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- Random Variables
- 5
- ch05
- Module 24 - Statistics 1
- Discrete Probability Distribution
- The Statistics and Probabilities of Football Team Results
- all
- computational statistics with matlab
- Cumulative Distribution Functions
- 7 Waiting Lines
- Probability Practice Question
- ProbabilityAndStats.pdf
- R Intruction
- Probability
- Geostatistical Ore Reserve Estimation-Elsevier Scientific Publishing Company (1977).pdf
- Chapter 11
- Dist_of_max_and_min_answers.pdf
- PRP2017_Assignment2
- Probability Stats for DS
- s2e - combprob - lessons - rev 2018

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Rohini Somanathan

Course 003, 2014-2015

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Rohini Somanathan

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The outcomes of some experiments inherently take the form of real numbers:

crop yields with the application of a new type of fertiliser

students scores on an exam

miles per litre of an automobile

Other experiments have a sample space that is not inherently a subset of Euclidean space

Outcomes from a series of coin tosses

The character of a politician

The modes of transport taken by a citys population

The degree of satisfaction respondents report for a service provider -patients in a

hospital may be asked whether they are very satisfied, satisfied or dissatisfied with the

quality of treatment. Our sample space would consist of arrays of the form

(VS, S, S, DS, ....)

The caste composition of elected politicians.

The gender composition of children attending school.

A random variable is a function that assigns a real number to each possible outcome s S.

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Rohini Somanathan

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Random variables

Definition: Let (S, S, ) be a probability space. If X : S < is a real-valued function having as

its domain the elements of S, then X is called a random variable.

A random variable is therefore a real-valued function defined on the space S. Typically x is

used to denote this image value, i.e. x = X(s).

If the outcomes of an experiment are inherently real numbers, they are directly

interpretable as values of a random variable, and we can think of X as the identity function,

so X(s) = s.

We choose random variables based on what we are interested in getting out of the

experiment. For example, we may be interested in the number of students passing an exam,

and not the identities of those who pass. A random variable would assign each element in

the sample space a number corresponding to the number of passes associated with that

outcome.

We therefore begin with a probability space (S, S, ) and arrive at an induced probability

space (R(X), B, PX (A)).

How exactly do we arrive at the function Px (.)? As long as every set A R(X) is associated

with an event in our original sample space S, Px (A) is just the probability assigned to that

event by P.

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Rohini Somanathan

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Random variables..examples

1. Tossing a coin ten times.

The sample space consists of the 210 possible sequences of heads and tails.

There are many different random variables that could be associated with this

experiment: X1 could be the number of heads, X2 the longest run of heads divided by

the longest run of tails, X3 the number of times we get two heads immediately before a

tail, etc...

For s = HT T HHHHT T H, what are the values of these random variables?

2. Choosing a point in a rectangle within a plane

An experiment involves choosing a point s = (x, y) at random from the rectangle

S = {(x, y) : 0 x 2, 0 y 1/2}

The random variable X could be the xcoordinate of the point and an event is X taking

values in [1, 2]

Another random variable Z would be the distance of the point from the origin,

p

Z(s) = x2 + y2 .

3. Heights, weights, distances, temperature, scores, incomes... In these cases, we can have

X(s) = s since these are already expressed as real numbers.

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Rohini Somanathan

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Lets look at some examples of how we arrive at our probability measure PX (A).

A coin is tossed once and were interested in the number of heads, X. The probability

assigned to the set A = {1} in our new space is just the probability associated with one head

in our original space. So Pr(X = x) = 12 , x {0, 1}.

With two tosses, the probability attached to the set A = {1} is the sum of the probabilities

associated with the disjoint sets {H, T } and {T , H} whose union forms this event. In this case

Pr(X = x) = x2 ( 21 )2 x {0, 1, 2}

Now consider a sequence of flips of an unbiased coin and our random variable X is the

number of flips needed for the first head. We now have

x1 x

1

1

1

=

Pr(X = x) = f(x) =

2

2

2

x = 1, 2, 3 . . .

How is the nature of the sample space in the first two coin-flipping examples is different

from the third?

In all these cases we have a discrete random variable .

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Rohini Somanathan

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Once weve assigned real numbers to all the subsets of our sample space S that are of

interest, we can restrict our attention to the probabilities associated with the occurrence of

sets of real numbers.

Consider the set A = (, x]

Now P(A) = Pr(X x)

F(x) is used to denote the probability Pr(X x) and is called the distribution function of x

Definition: The distribution function F of a random variable X is a function defined for each

real number x as follows:

F(x) = P(X x) for < x <

If there are a finite number of elements w in A, this probability can be computed as

F(x) =

f(w)

wx

In this case, the distribution function will be a step function, jumping at all points x in

R(X) which are assigned positive probability.

Consider the experiment of tossing two fair coins. Describe the probability space induced

by the random variable X, the number of heads, and derive the distribution function of X.

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Rohini Somanathan

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Discrete distributions

Definition: A random variable X has a discrete distribution if X can take only a finite number k

of different values x1 , x2 , . . . , xK or an infinite sequence of different values x1 , x2 , . . . .

The function f(x) = P(X = x) is the probability function of x. We define it to be f(x) for all

values x in our sample space R(X) and zero elsewhere.

If X has a discrete distribution, the probability of any subset A of the real line is given by

P

P(X A) =

f(xi ).

xi A

Examples:

1. The discrete uniform distribution: picking one of the first k non-negative integers at

random

1

for x = 1, 2, ...k,

f(x) = k

0

otherwise

2. The binomial distribution: the probability of x successes in n trials.

n px qnx

for x = 0, 1, 2, ...n,

x

f(x) =

0

otherwise

Derive the distribution functions for each of these.

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Rohini Somanathan

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Continuous distributions

The sample space associated with our random variable often has an infinite number of points.

Example: A point is randomly selected inside a circle of unit radius with origin (0, 0) where the probability

assigned to being in a set A S is P(A) = areaof A and X is the distance of the selected point from the

origin. In this case F(x) = Pr(X x) = area of circle with radius x , so the distribution function of X is given by

0

F(x) =

for x < 0

x2

0x<1

1x

function f defined on the real line, such that for any interval A,

Z

P(X A) =

f(x)dx

A

The function f is called the probability density function or p.d.f. of X and must satisfy the

conditions below

1. f(x) 0

2.

f(x)dx = 1

What is f(x) for the above example? How can you use this to compute P( 14 < X 21 )? How would

you use F(x) instead?

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Rohini Somanathan

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Continuous distributions..examples

1. The uniform distribution on an interval: Suppose a and b are two real numbers with a < b.

A point x is selected from the interval S = {x : a x b} and the probability that it

belongs to any subinterval of S is proportional to the length of that subinterval. It follows

that the p.d.f. must be constant on S and zero outside it:

1

for a x b

f(x) = ba

0

otherwise

Notice that the value of the p.d.f is the reciprocal of the length of the interval, these values

can be greater than one, and the assignment of probabilities does not depend on whether

the distribution is defined over the closed interval or the open interval (a, b)

2. Unbounded random variables: It is sometimes convenient to define a p.d.f over unbounded

sets, because such functions may be easier to work with and may approximate the actual

distribution of a random variable quite well. An example is:

0

for x 0

f(x) =

1 2

for x > 0

(1+x)

3. Unbounded densities: The following function is unbounded around zero but still represents

a valid density.

2 x 13

for 0 < x < 1

f(x) = 3

0

otherwise

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Rohini Somanathan

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Mixed distributions

Often the process of collecting or recording data leads to censoring, and instead of obtaining

a sample from a continuous distribution, we obtain one from a mixed distribution.

Examples:

The weight of an object is a continuous random variable, but our weighing scale only

records weights up to a certain level.

Households with very high incomes often underreport their income, for incomes above a

certain level (say $250,000), surveys often club all households together - this variable is

therefore top-censored.

In each of these examples, we can derive the probability distribution for the new random

variable, given the distribution for the continuous variable. In the example weve just

considered:

0

for x 0

f(x) =

1 2

for x > 0

(1+x)

suppose we record X = 3 for all values of X 3 The p.f. for our new random variable Y is

given by the same p.f. for values less than 3 and by 14 for Y=3.

Some variables, such as the number of hours worked per week have a mixed distribution in

the population, with mass points at 0 and 40.

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Rohini Somanathan

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Recall that the distribution function or cumulative distribution function (c.d.f ) for a random

variable X is defined as

F(x) = P(X x) for < x < .

It follows that for any random variable (discrete, continuous or mixed), the domain of F is the

real line and the values of F(x) must lie in [0, 1]. We can also establish that all distribution

functions have the following three properties:

1. F(x) is a nondecreasing function of x, i.e. if x1 < x2 then F(x1 ) < F(x2 ).

( The occurrence of the event {X x1 } implies the occurrence of {X x2 } so P(X x1 ) P(X x2 ))

( {x : x } is the entire sample space and {x : x } is the null set. )

3. F(x) is right-continuous, i.e. F(x) = F(x+ ) at every point x, where F(x+ ) is the right hand

limit of F(x).

( for discrete random variables, there will be a jump at values that are taken with positive probability)

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Rohini Somanathan

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RESULT 1: For any given value of x, P(X > x) = 1 F(x)

RESULT 2: For any values x1 and x2 where x1 < x2 , P(x1 < X x2 ) = F(x2 ) F(x1 )

Proof: Let A be the event X x1 and B be the event X x2 . B can be written as the union of two events

B = (A B) (Ac B). Since A B, P(A B) = P(A). The event were interested in is Ac B whose probability

is given by P(B) P(A) or P(x1 < X x2 ) = P(X x2 ) P(X x1 ). Now apply the definition of a d.f.

P(X < x) = F(x )

RESULT 4: For any given value x

P(X = x) = F(x+ ) F(x )

The distribution function of a continuous random variable will be continuous and since

Rx

F(x) =

f(t)dt,

F0 (x) = f(x)

For discrete and mixed discrete-continous random variables F(x) will exhibit a countable number

of discontinuities at jump points reflecting the assignment of positive probabilities to a countable

number of events.

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Rohini Somanathan

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Consider the experiment of rolling a die or tossing a fair coin, with X in the first case being

the number of dots and in the second case the number of heads. Graph the distribution

function of X in each of these cases.

What about the experiment of picking a point in the unit interval [0, 1] with X as the

distance from the origin?

3.3 The Cumulative

Distribution

Function

109 distribution function?

What type of probability function

corresponds

to the

following

le of a

F(x)

1

z3

z2

z1

z0

x1

x2

x3

x4

Section 1.10. Similarly, the fact that Pr(X x) approaches 1 as x follows from

&

Exercise 12 in Sec. 1.10.

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Rohini Somanathan

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The distribution function X gives us the probability that X x for all real numbers x

Suppose we are given a probability p and want to know the value of x corresponding to this

value of the distribution function.

If F is a one-to-one function, then it has an inverse and the value we are looking for is given

by F1 (p)

Examples: median income would be found by F1 ( 21 ) where F is the distribution function of

income.

Definition: When the distribution function of a random variable X is continuous and one-to-one

over the whole set of possible values of X, we call the function F1 the quantile function of X. The

value of F1 (p) is called the pth quantile of X or the 100 pth percentile of X for each 0 < p < 1.

Example:

xa

ba

for x a and 1 for x > b. Given a value p, we simply solve for the pth quantile:

x = pb + (1 p)a. Compute this for p = .5, .25, .9, . . .

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Rohini Somanathan

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1. The p.d.f of a random variable is given by:

1x

f(x) = 8

0

for 0 x 4

otherwise

(a) P(X t) =

(b) P(X t) =

1

4

1

2

cx2

f(x) =

0

for 1 x 2

otherwise

&

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Rohini Somanathan

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Bivariate distributions

Social scientists are typically interested in the manner in which multiple attributes of

people and the societies they live in. The object of interest is a multivariate probability

distribution. examples: education and earnings, days ill per month and age, sex-ratios and

areas under rice cultivation)

This involves dealing with the joint distribution of two or more random variables. Bivariate

distributions attach probabilities to events that are defined by values taken by two random

variables (say X and Y).

Values taken by these random variables are now ordered pairs, (xi , yi ) and an event A is a

set of such values.

If both X and Y are discrete random variables, the probability function

P

f(x, y) = P(X = x and Y = y) and P(X, Y) A =

f(xi , yi )

(xi ,yi )A

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Rohini Somanathan

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If both X and Y are discrete, this function takes only a finite number of values.

If there are only a small number of these values, they can be usefully presented in a table.

The table below could represent the probabilities of receiving different levels of education.

X is the highest level of education and Y is gender:

education

gender

male

female

none

.05

.2

primary

.25

.1

middle

.15

.04

high

.1

.03

senior secondary

.03

.02

.02

.01

What are some features of a table like this one? In particular, how would we obtain

probabilities associated with the following events:

receiving no education

becoming a female graduate

completing primary school

What else do you learn from the table about the population of interest?

&

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Rohini Somanathan

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We can extend our definition of a continuous univariate distribution to the bivariate case:

Definition: Two random variables X and Y have a continuous joint distribution if there exists a

nonnegative function f defined over the xy-plane such that for any subset A of the plane

Z Z

P[(X, Y) A] =

f(x, y)dxdy

A

f is now called the joint probability density function and must satisfy

1. f(x, y) 0 for < x < and < y <

2.

f(x, y)dxdy = 1

Example 1: Given the following joint density function on X and Y, well calculate P(X Y)

f(x, y) =

cx2 y

for x2 y 1

otherwise

First find c to make this a valid joint density (notice the limits of integration here)-it will turn out to be 21/4.

3 .

Then integrate the density over Y (x2 , x) and X (1, 1). Now using this density, P(X Y) = 20

Example 2: A point (X, Y) is selected at random from inside the circle x2 + y2 9. Determine the joint density

function, f(x, y).

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Rohini Somanathan

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Definition: The joint distribution function of two random variables X and Y is defined as the

function F such that for all values of x and y ( < x < and < y < )

F(x, y) = P(X x and Y y)

The probability that (X, Y) will lie in a specified rectangle in the xy-plane is given by

Pr(a < X b and c < Y d) = F(b, d) F(a, d) F(b, c) + F(a, c)

Note: The distinction between weak and strict inequalities is important when points on the boundary of the

rectangle occur with positive probability.

Pr(X x) = F1 (x) = lim F(x, y) and Pr(Y y) = F2 (y) = lim F(x, y)

y

If F(x, y) is continuously differentiable in both its arguments, the joint density is derived as:

f(x, y) =

2 F(x, y)

xy

and given the density, we can integrate w.r.t x and y over the appropriate limits to get the

distribution function.

Example:

Suppose that, for x and y [0, 2], we have F(x, y) = 16

X and Y and their joint density. Notice the (x, y) range over which F(x, y) is strictly increasing.

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Rohini Somanathan

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Marginal distributions

A distribution of X derived from the joint distribution of X and Y is known as the marginal

distribution of X. For a discrete random variable:

f1 (x) = P(X = x) =

P(X = x and Y = y) =

f(x, y)

and analogously

f2 (y) = P(Y = y) =

P(X = x and Y = y) =

f(x, y)

For a continuous joint density f(x, y), the marginal densities for X and Y are given by:

f(x, y)dx

f1 (x) =

Go back to our table representing the joint distribution of gender and education and find

the marginal distribution of education.

Can one construct the joint distribution from one of the marginal distributions?

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Rohini Somanathan

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Definition: The two random variables X and Y are independent if, for any two sets A and B of

real numbers,

P(X A and Y B) = P(X A)P(Y B)

In other words, if A is an event whose occurrence depends only values taken by X and Bs

occurrence depends only on values taken by Y, then the random variables X and Y are

independent only if the events A and B are independent, for all such events A and B.

The condition for independence can be alternatively stated in terms of the joint and

marginal distribution functions of X and Y by letting the sets A and B be the intervals

(, x) and (, y) respectively.

F(x, y) = F1 (x)F2 (y)

For discrete distributions, we simply define the sets A and B as the points x and y and

require f(x, y) = f1 (x)f2 (y).

In terms of the density functions, we say that X and Y are independent if it is possible to

choose functions f1 and f2 such that the following factorization holds for

( < x < and < y < )

f(x, y) = f1 (x)f2 (y)

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Rohini Somanathan

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There are two independent measurements X and Y of rainfall at a certain location:

2x

for 0 x 1

g(x) =

0

otherwise

Find the probability that X + Y 1.

The joint density 4xy is got by multiplying the marginal densities because these variables

are independent. The required probability of 61 is then obtained by integrating over

y (0, 1 x) and x (0, 1)

How might we use a table of probabilities to determine whether two random variables are

independent?

Given the following density, can we tell whether the variables X and Y are independent?

ke(x+2y)

for x 0 and y 0

f(x, y) =

0

otherwise

Notice that we can factorize the joint density as the product of k1 ex and k2 e2y where

k1 k2 = k. To obtain the marginal densities of X and Y, we multiply these functions by

appropriate constants which make them integrate to unity. This gives us

f1 (x) = ex for x 0 and f2 (y) = 2e2y for y 0

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Rohini Somanathan

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Given the following density densities, lets see why the variables X and Y are dependent:

1.

f(x, y) =

x + y

otherwise

Notice that we cannot factorize the joint density as the product of a non-negative function

of x and another non-negative function of y. Computing the marginals gives us

f1 (x) = x +

1

1

for 0 < x < 1 and f2 (y) = y + for 0 < y < 1

2

2

2. Suppose we have

f(x, y) =

kx2 y2

for x2 + y2 1

otherwise

In this case the possible values X can take depend on Y and therefore, even though the joint

density can be factorized, the same factorization cannot work for all values of (x, y).

More generally, whenever the space of positive probability density of X and Y is bounded by a

curve, rather than a rectangle, the two random variables are dependent.

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Rohini Somanathan

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Whenever the space of positive probability density of X and Y is bounded by a curve, rather

than a rectangle, the two random variables are dependent. If, on the other hand, the support of

f(x, y) is a rectangle and the joint density is of the form f(x, y) = kg(x)h(y), then X and Y are

independent.

Proof: For the latter part of the result, suppose the support of f(x, y) is given by the rectangle abcd where

a < b and c < d and a x b and c y d. Now the joint density f(x, y) can be written as

1

1

k1 g(x)k2 h(y) where k1 = b

and k2 = d

.

R

g(x)dx

h(y)dy

c

d

R

c

b

R

a

density.

Now to show that if the support is not a rectangle, the variables are dependent: Start with a point (x, y) outside

the domain where f(x, y) > 0. If x and y are independent, we have f(x, y) = f1 (x)f2 (y), so one of these must be zero.

Now as we move due south and enter the set where f(x, y) > 0, our value of x has not changed, so it could not be

that f1 (x) was zero at the original point. Similarly, if we move west, y is unchanged so it could not be that f2 (y)

was zero at the original point. So we have a contradiction.

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Rohini Somanathan

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Conditional distributions

Definition: Consider two discrete random variables X and Y with a joint probability function

f(x, y) and marginal probability functions f1 (x) and f2 (y). After the value Y = y has been

observed, we can write the the probability that X = x using our definition of conditional

probability:

f(x, y)

P(X = x and Y = y)

=

P(X = x|Y = y) =

Pr(Y = y)

f2 (y)

g1 (x|y) =

f(x,y)

f2 (y)

1. for each fixed value of y, g1 (x|y) is a probability function over all possible values of X

because it is non-negative and

X

g1 (x|y) =

1 X

1

f(x, y) =

f2 (y) = 1

f2 (y) x

f2 (y)

2. conditional probabilities are proportional to joint probabilities because they just divide

these by a constant.

We cannot use the definition of condition probability to derive the conditional density for

continuous random variables because the probability that Y takes any particular value y is zero.

We simply define the conditional probability density function of X given Y = y as

g1 (x|y) =

f(x, y)

for ( < x < and < y < )

f2 (y)

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Rohini Somanathan

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f(x,y)

The numerator in g1 (x|y) = f (y) is a section of the surface representing the joint density and

2

the denominator is the constant by which we need to divide the numerator to get a valid density

(which integrates to unity)

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Rohini Somanathan

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For the education-gender example, we can find the distribution of educational achievement

conditional on being male, the distribution of gender conditional on completing college, or any

other conditional distribution we are interested in :

education

gender

male

female

f(education|gender=male)

none

.05

.2

.08

primary

.25

.1

.42

middle

.15

.04

.25

high

.1

.03

.17

senior secondary

.03

.02

.05

.02

.01

.03

f(gender|graduate)

.67

.33

&

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Rohini Somanathan

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For the continuous joint distribution weve looked at before

cx2 y

for x2 y 1

f(x, y) =

0

otherwise

the marginal distribution of X is given by

Z1

21 2

21 2

x ydy =

x (1 x4 )

4

8

x2

f(x,y)

f1 (x) :

g2 (y|x) =

2y

1x4

for x2 y 1

otherwise

R1

3

4

g2 (y| 21 ) =

7

15

&

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Rohini Somanathan

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We can use conditional and marginal distributions to arrive at a joint distribution:

f(x, y) = g1 (x|y)f2 (y) = g2 (y|x)f1 (x)

(1)

Notice that the conditional distribution is not defined for a value y0 at which f2 (y) = 0, but this is irrelevant

because at any such value f(x, y0 ) = 0.

Example: X is first chosen from a uniform distribution on (0, 1) and then Y is chosen from a uniform distribution

on (x, 1). The marginal distribution of X is straightforward:

f1 (x) =

otherwise

1

1x

otherwise

1

1x

otherwise

g2 (y|x) =

f(x, y) =

f2 (y) =

y

Z

f(x, y)dx =

1

dx = log(1 y) for 0 < y < 1

1x

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Rohini Somanathan

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Multivariate distributions

Our definitions of joint, conditional and marginal distributions can be easily extended to an

arbitrary finite number of random variables. Such a distribution is now called a multivariate

distributon.

The joint distribution function is defined as the function F whose value at any point

(x1 , x2 , . . . xn ) <n is given by:

F(x1 , . . . , xn ) = P(X1 x1 , X2 x2 , . . . , Xn xn )

For a discrete joint distribution, the probability function at any point (x1 , x2 , . . . xn ) <n is given

by:

f(x1 , . . . , xn ) = P(X1 = x1 , X2 = x2 , . . . , Xn = xn )

(2)

and the random variables X1 , . . . , Xn have a continuous joint distribution if there is a nonnegative

function f defined on <n such that for any subset A <n ,

Z

Z

P[(X1 , . . . , Xn ) A] =

f(x1 , . . . , xn )dx1 . . . dxn

(3)

...A ...

The marginal distribution of any single random variable Xi can now be derived by integrating

over the other variables

Z

Z

f1 (x1 ) =

...

f(x1 , . . . , xn )dx2 . . . dxn

(4)

and the conditional probability density function of X1 given values of the other variables is:

g1 (x1 |x2 . . . xn ) =

f(x1 , . . . , xn )

f0 (x2 , . . . , xn )

(5)

&

Page 29

%

Rohini Somanathan

'

Independence: The n random variables X1 , . . . Xn are independent if for any n sets

A1 , A1 , . . . An or real numbers,

P(X1 A1 , X2 A2 , . . . , Xn An ) = P(X1 A1 )P(X2 A2 ) . . . P(Xn An )

If the joint distribution function of X1 , . . . Xn is given by F and the marginal d.f. for Xi by

Fi , it follows that X1 , . . . Xn will be independent if and only if, for all points (x1 , . . . xn ) <n

F(x1 , . . . xn ) = F1 (x1 )F2 (x2 ) . . . Fn (xn )

and, if these random variables have a continuous joint distribution with joint density

f(x1 , . . . xn ):

f(x1 , . . . xn ) = f1 (x1 )f2 (x2 ) . . . fn (xn )

In the case of a discrete joint distribution the above equality holds for the probability

function f.

Random samples: The n random variables X1 , . . . Xn form a random sample if these

variables are independent and the marginal p.f. or p.d.f. of each of them is f. It follows that

for all points (x1 , . . . xn ), their joint p.f or p.d.f. is given by

g(x1 , . . . , xn ) = f(x1 ) . . . f(xn )

The variables that form a random sample are said to be independent and identically

distributed (i.i.d.) and n is the sample size.

&

Page 30

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Rohini Somanathan

'

Multivariate distributions..example

Suppose we start with the following density function for a variable X1 :

ex for x > 0

f1 (x) =

0

otherwise

and are told that for any given value of X1 = x1 , two other random variables X2 and X3 are

independently and identically distributed with the following conditional p.d.f.:

1

g(t|x1 ) =

0

otherwise

The conditional p.d.f. is now given by g23 (x2 , x3 |x1 ) = x21 ex1 (x2 +x3 ) for non-negative values of

x2 , x3 (and zero otherwise) and the joint p.d.f of the three random variables is given by:

f(x1 , x2 , x3 ) = f1 (x1 )g23 (x2 , x3 |x1 ) = x21 ex1 (1+x2 +x3 )

for non-negative values of each of these variables. We can now obtain the marginal joint p.d.f of

X2 and X3 by integrating over X1

&

Page 31

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Rohini Somanathan

'

Wed like to derive the distribution of X2 , knowing that X has a uniform distribution on (1, 1)

the density f(x) of X over this interval is

1

2

the distribution function of Y is therefore given by

Zy

f(x)dx =

g(y) = 2 y

0

otherwise

&

Page 32

%

Rohini Somanathan

'

RESULT: Let X be a continuous random variable with the distribution function F and let

Y = F(X). Then Y must be uniformly distributed on [0, 1]. The transformation from X to Y is

called the probability integral transformation.

We know that the distribution function must take values between 0 and 1. If we pick any of

these values, y, the yth quantile of the distribution of X will be given by some number x and

Pr(Y y) = Pr(X x) = F(x) = y

which is the distribution function of a uniform random variable.

This result helps us generate random numbers from various distributions, because it allows

us to transform a sample from a uniform distribution into a sample from some other

distribution provided we can find F1 .

Example: Suppose we want a sample from an exponential distribution. The density is ex

defined over all x > 0 and the distribution function is 1 ex . If we pick from a uniform

between 0 and 1, and get (say) .3, we can invert the distribution function to get

x = log(10/7) = .36 as an observation of an exponential random variable.

&

Page 33

%

Rohini Somanathan

'

Historically, tables of random digits were used to generate a sample from a uniform

distribution. For example, consider the following series of digits

553617280595580771997955130480651347088612

If we want 10 numbers between 1 and 9, we start at a random digit in the table, and pick

the next 10 numbers. What about numbers between 1 and 100?

Today, we would never do this, but use a statistical package to generate these. In stata for

example:

runiform() returns uniformly distributed random variates on the interval [0,1).

Many packages also allow us to draw directly from the distribution we are interested in:

rnormal(m, s) returns normal(m, s) random variates, where m is the mean and s is the

standard deviation.

&

Page 34

%

Rohini Somanathan

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