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Chapter 5:
Joint Probability Distributions and Random Samples
Fall 2011
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P P
x
p(x, y ) = 1.
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0
0.2
0.05
100
0.10
0.15
200
0.20
0.30
Then
p(100, 100) = P(X = 100andY = 100)
= P($100 deductible on both policies)
= .10.
The probability P(Y 100) is computed by summing probabilities of all
(x, y ) pairs for which y 100:
P(Y 100) = p(100, 100)+p(250, 100)+p(100, 200)+p(250, 200) = 0.75
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if x = 100, 200
otherwise .
0.25
0.50
pY (y ) =
if y = 0, 100
if y = 200
otherwise .
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f (x, y )dxdy
A
P[(X , Y ) A] = P(a X b, c Y d) =
f (x, y )dxdy
a
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Definition
The marginal probability density functions of X and Y , denoted by fX (x)
and fY (y ), respectively, are given by
Z
fX (x) =
f (x, y )dy for x
(1)
Z
fY (y ) =
f (x, y )dx for y
(2)
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Definition
Two random variables X and Y are said to be independent if for every
pair of x and y values
p(x, y ) = pX (x)pY (y ) when X and Y are discrete
or
(3)
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Conditional Distributions
Definition
Let X and Y be two continuous rvs with joint pdf f (x, y ) and marginal X
pdf fX (x). Then for any X value x for which fX (x) > 0, the conditional
probability density function of Y given that X = x is
fY |X (y |x) =
f (x, y )
fX (x)
<y <
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Exercise (5.1) 13
You have two lightbulbs for a particular lamp. Let X = the lifetime of the
first bulb and Y = the lifetime of the second bulb (both in 1000s of
hours). Suppose that X and Y are independent and that each has an
exponential distribution with parameter = 1.
1 What is the joint pdf of X and Y ?
2 What is the probability that each bulb lasts at most 1000 hours (i.e.
X 1 and Y 1)?
3 What is the probability that the total lifetime of the two bulbs is at
most 2? [Hint: Draw a picture of the region
A = {(x, y ) : x 0, y 0, x + y 2} before integrating.]
4 What is the probability that the total lifetime is between 1 and 2?
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Expected Values
Proposition
Let X and Y be jointly distributed rvs with pmf p(x, y ) or pdf f (x, y )
according to whether the variables are discrete or continuous. Then the
expected value of a function h(X , Y ), denoted by E [h(X , Y )] or h(X ,Y ) ,
is given by
P P
h(x, y )p(x, y )
if X and Y are discrete
E [h(X , Y )] = R Rx y
if X and Y are continuous
h(x, y )f (x, y )dxdy
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1Z
1x
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Covariance
I When two random variables X and Y are not independent, it is
frequently of interest to assess how strongly they are related to one
another.
Definition
The covariance between two rvs X and Y is
Cov (X , Y ) = E [(X X )(Y Y )]
P P
(x X )(y Y )p(x, y )
R Rx y
=
(x X )(y Y )f (x, y )dxdy
X , Y discrete
X , Y cont.
Proposition
Cov (X , Y ) = E (XY ) X Y
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Covariance
I Since X X and Y Y are the deviations of the two variables from
their respective mean values, the covariance is the expected product of
deviations.
Remarks:
1
Cov (X , X ) = E [(X X )2 ] = V (X ).
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Correlation
Definition
The correlation coefficient of X and Y , denoted by Corr (X , Y ), X ,Y , or
just , is defined by
Cov (X , Y )
X ,Y =
X Y
where X and sigmaY are the standard deviations of X and Y .
Proposition
If a and c are either both positive or both negative,
Corr (aX + b, cY + d) = Corr (X , Y )
For any two rvs X and Y ,
1 Corr (X , Y ) 1.
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Correlation
Proposition
1
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Exercise (5.2) 27
Annie and Alvie have agreed to meet for lunch between noon (0:00pm)
and 1:00pm. Denote Annies arrival time by X , Alvies by Y , and suppose
X and Y are independent with pdfs
3x 2 0 x 1
fX (x) =
0
otherwise
2y 0 y 1
fY (y ) =
0
otherwise
What are the expected amount of time that the one who arrives first must
wait for the other person? [Hint: h(X , Y ) = |X Y |]
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Exercise (5.2) 35
1
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Random Samples
Definition
A statistic is any quantity whose value can be calculated from sample
data.
I A statistic is a random variable and will be denoted by an uppercase
letter; a lowercase letter is used to represent the calculated or observed
value of the statistic.
Definition
The rvs X1 , X2 , ..., Xn are said to form a (simple) random sample of size n
if
1
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Exercise (5.3) 39
It is known that 80% of all brand A zip drives work in a satisfactory
manner throughout the warranty period (are successes). Suppose that
n = 10 drives are randomly selected. Let X = the number of successes in
the sample. The statistic X /n is the sample proportion (fraction) of
successes. Obtain the sampling distribution of this statistic. [Hint: One
possible value of X /n is 0.3. What is the probability of this value (what
kind of random variable is X )?
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n
X
Xi
i=1
Proposition
Let X1 , X2 , ..., Xn be a random sample from a distribution with mean value
and standard deviation . Then
) = =
1 E (X
X
) = 2 = 2 /n and = /n
2 V (X
X
X
In addition, with T0 = X1 + ... + Xn , E (T0 ) = n.
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Theorem
Let X1 , X2 , ..., Xn be a random sample from a distribution with mean
has approximately a
and variance 2 . Then if n is sufficiently large, X
normal distribution with mean X and variance X2 = 2 /n and T0 also
has approximately a normal distribution with mean T0 = n and variance
T2 0 = n 2 .
Remark: The larger the value of n, the better the approximation.
Rule of Thumb: If n > 30, the Central Limit Theorem can be used.
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CLT - Example
The CLT can be used to justify the normal approximation to the binomial
distribution discussed earlier. We know that a binomial variable X is the
number of successes in a binomial experiment consisting of n independent
success/failure trials with p = P(S) for any particular trial. Define a new
rv X1 by
1 if the first trial results in a success
X1 =
0 if the first trial results in a failure
and define X2 , X3 , ..., Xn analogously for the other n1 trials. Each Xi
indicates whether or not there is a success on the corresponding trial.
Because the trials are independent and P(S) is constant from trial to trial,
the Xi s are iid (a random sample from a Bernoulli distribution).The CLT
then implies that if n is sufficiently large, both the sum and the average of
the Xi s have approximately normal distributions.
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Exercise (5.4) 55
The number of parking tickets issued in a certain city on any given
weekday has a Poisson distribution with parameter = 50. What is the
approximate probability that
1 between 35 and 70 tickets are given out on a particular day? [Hint:
When is large, a Poisson rv has approximately a normal
distribution.]
2 The total number of tickets given out during a 5-day week is between
225 and 175?
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Definition
Given a collection of n random variables X1 , ..., Xn and n numerical
constants a1 , ..., an , the rv
Y = a1 X1 + ... + an Xn
is called a linear combination of the Xi s.
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n X
n
X
ai aj Cov (Xi , Xj )
i=1 j=1
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Exercise (5.5) 73
Suppose the expected tensile strength of type-A steel is 105 ksi and the
standard deviation of tensile strength is 8 ksi. For type-B steel, suppose
the expected tensile strength and standard deviation of tensile strength are
= the sample average tensile
100 ksi and 6 ksi, respectively. Let X
strength of a random sample of 40 type-A specimens, and let Y = the
sample average tensile strength of a random sample of 35 type-B
specimens.
?, Of Y ?
1 What is the approximate distribution of X
2
3
4
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