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# Joint Probability Distributions

Outlines
Two Discrete/Continuous Random Variables
Joint Probability Distributions
Marginal Probability Distributions
Conditional Probability Distributions
Independence
Multiple Discrete/Continuous Random Variables
Joint Probability Distributions
Multinomial Probability Distribution
Covariance and Correlation
Bivariate Normal Distribution
Linear Combination of random variables

Joint Probability Distributions
In general, if X and Y are two random variables, the
probability distribution that defines their simultaneous
behavior is called a joint probability distribution.
For example: X : the length of one dimension of an
injection-molded part, and Y : the length of another
dimension. We might be interested in
P(2.95 s X s 3.05 and 7.60 s Y s 7.80).
Two Discrete Random Variables
Joint Probability Distributions
Marginal Probability Distributions
Conditional Probability Distributions
Independence

Joint Probability Distributions
The joint probability distribution of two random
variables =bivariate probability distribution.
The joint probability distribution of two discrete
random variables is usually written as P(X=x,
Y=y).

Marginal Probability
Distributions
Marginal Probability Distribution: the individual
probability distribution of a random variable.
Marginal Probability
Distributions
Example: The marginal probability distribution
for X and Y.

y=numbe
r of times
city name
is stated
x=number of bars of signal strength
1 2 3 Marginal
probability
distributio
n of Y
4 0.15 0.1 0.05 0.3
3 0.02 0.1 0.05 0.17
2 0.02 0.03 0.2 0.25
1 0.01 0.02 0.25 0.28
0.2 0.25 0.55
Marginal probability distribution of X
P(X=3)
Conditional Probability
Distributions
When two random variables are defined in a
random experiment, knowledge of one can
change the probabilities of the other.
Conditional Mean and Variance

Conditional Mean and Variance
Example: From the previous example,
calculate
P(Y=1|X=3), E(Y|1), and V(Y|1).

454 . 0 55 . 0 / 25 . 0 ) 3 ( / ) 1 , 3 (
) 3 ( / ) 1 , 3 ( ) 3 | 1 (
,
= = =
= = = = = =
x y x
f f
X P Y X P X Y P
748 . 0
75 . 0 ) 55 . 3 4 ( 1 . 0 ) 55 . 3 3 ( 1 . 0 ) 55 . 3 2 ( 05 . 0 ) 55 . 3 1 (
) ( ) ( ) 1 | (
55 . 3 ) 75 . 0 ( 4 ) 1 . 0 ( 3 ) 1 . 0 ( 2 ) 05 . 0 ( 1
) ( ) 1 | (
2 2 2 2
1 |
2
|
1 |
=
+ + + =
=
= + + + =
=

y
Y x Y
y
Y
y f y Y V
y yf Y E

Independence
In some random experiments, knowledge of the values
of X does not change any of the probabilities associated
with the values for Y.
If two random variables are independent, then
Multiple Discrete Random
Variables
Joint Probability Distributions
Multinomial Probability Distribution

Joint Probability Distributions
In some cases, more than two random
variables are defined in a random experiment.

Marginal probability mass function
Joint Probability Distributions
Mean and Variance
Joint Probability Distributions
Conditional Probability Distributions

Independence

Multinomial Probability
Distribution
A joint probability distribution for multiple discrete
random variables that is quite useful in an extension of
the binomial.
Multinomial Probability
Distribution
Example: Of the 20 bits received, what is the probability that 14 are
Excellent, 3 are Good, 2 are Fair, and 1 is Poor? Assume that the
classifications of individual bits are independent events and that the
probabilities of E, G, F, and P are 0.6, 0.3, 0.08, and 0.02,
respectively.

One sequence of 20 bits that produces the specified numbers of
bits in each class can be represented as:
EEEEEEEEEEEEEEGGGFFP
P(EEEEEEEEEEEEEEGGGFFP)=
The number of sequences (Permutation of similar objects)=
9 1 2 3 14
10 708 . 2 02 . 0 08 . 0 3 . 0 6 . 0

=
2325600
! 1 ! 2 ! 3 ! 14
! 20
=
0063 . 0 10 708 . 2 2325600 ) 1 , ' 2 , ' 3 , ' 14 (
9
= =

P s F s G s E P
Two Continuous Random
Variables
Joint Probability Distributions
Marginal Probability Distributions
Conditional Probability Distributions
Independence

Joint Probability Distributions
Joint Probability Distributions
Example: X: the time until a computer server connects to your
machine , Y: the time until the server authorizes you as a valid user.
Each of these random variables measures the wait from a common
starting time and X <Y. Assume that the joint probability density
function for X and Y is

The probability that X<1000 and Y<2000 is:

y x y x y x f
XY
< =

), 002 . 0 001 . 0 exp( 10 6 ) , (
6
Marginal Probability
Distributions
Similar to joint discrete random variables, we
can find the marginal probability distributions
of X and Y from the joint probability
distribution.
Marginal Probability
Distributions
Example: For the random variables in the previous example,
calculate the probability that Y exceeds 2000 milliseconds.
Conditional Probability
Distributions

Conditional Probability
Distributions
Example: For the random variables in the previous example, determine the
conditional probability density function for Y given that X=x

Determine P(Y>2000|x=1500)

0 ) ( ,
) (
) , (
) (
|
> = x f for
x f
y x f
y f
X
X
XY
x Y
)) ( (
|
y f
x Y
Conditional Probability
Distributions
Mean and Variance
Conditional Probability
Distributions
Example: For the random variables in the previous example,
determine the conditional mean for Y given that x=1500
Independence
Independence
Example: Let the random variables X and Y denote the lengths of two
dimensions of a machined part, respectively.
Assume that X and Y are independent random variables, and the
distribution of X is normal with mean 10.5 mm and variance 0.0025 (mm)
2

and that the distribution of Y is normal with mean 3.2 mm and variance
0.0036 (mm)
2
.
Determine the probability that 10.4 < X < 10.6 and 3.15 < Y < 3.25.
Because X,Y are independent
Multiple Continuous Random
Variables

Multiple Continuous Random
Variables
Marginal Probability

Multiple Continuous Random
Variables
Mean and Variance

Independence

Covariance and Correlation
When two or more random variables are
defined on a probability space, it is useful to
describe how they vary together.
It is useful to measure the relationship
between the variables.
Covariance
Covariance is a measure of linear relationship between
the random variables.

\

The expected value of a function of two random
variables
h(X, Y ).
Covariance
Y X Y X XY
Y X Y X Y X XY X Y
Y X XY y Y X XY X
Y XY
XY
XY X XY X
XY Y X Y X
XY Y X X Y
XY E dxdy y x xyf
dxdy y x xyf X Y E in Substitute
dxdy y x f x and dxdy y x yf in Substitute
dxdy y x yf y E y y h For
dxdy y x f y h y h E From
dxdy y x yf dxdy y x yf
Now
dxdy y x f x y xy
dxdy y x f y x X Y E

} }
} }
} } } }
} }
} }
} } } }
} }
} }

= =
+ =
= =
= = =
=
(

=
+ =
=
) ( ) , (
) , ( )] )( [( ), 1 (
) , ( , ) , ( ), 2 (
) , ( ) ( ; ) (
) , ( ) ( )) ( (
) 2 ( ) , ( ) , (
) 1 ( ) , ( ] [
) , ( ) )( ( )] )( [(
Covariance
Covariance
Example: For the discrete random variables X, Y with the joint
distribution shown in Fig. Determine

XY XY
o and
Correlation
The correlation is a measure of the linear
relationship between random variables.
Easier to interpret than the covariance.
Correlation
For independent random variables
Correlation
Example: Two random variables , calculate the
covariance and correlation between X and Y.
xy y x f
XY
16
1
) , ( =
Bivariate Normal Distribution
Correlation
Bivariate Normal Distribution
Marginal distributions

Dependence
Bivariate Normal Distribution
Conditional probability

) 1 (
2 2 2
|
|
o o

o
o
o
o

=
+ =
Y x Y
X
Y
X
Y
X Y x Y
x
Bivariate Normal Distribution
Ex. Suppose that the X and Y dimensions of an injection-modeled part have a
bivariate normal distribution with
Find the P(2.95<X<3.05,7.60<Y<7.80)

8 . 0 , 70 . 7 , 00 . 3 , 08 . 0 , 04 . 0 = = = = = o o
y x y x
Bivariate Normal Distribution
Ex. Let X, Y : milliliters of acid and base needed for equivalence,
respectively. Assume X and Y have a bivariate normal distribution
with

Covariance between X and Y
Marginal probability distribution of X
P(X<116)
P(X|Y=102)
P(X<116|Y=102)

6 . 0 , 100 , 120 , 2 , 5 = = = = = o o
y x y x
Linear Combination of random
variables

Linear Combination of random
variables
Mean and Variance

Linear Combination of random
variables
Ex. A semiconductor product consists of 3 layers. The variances in
thickness of the first, second, and third layers are 25,40,30 nm
2
.
What is the variance of the thickness of the final product?

Let X1, X2, X3, and X be random variables that denote the
thickness of the respective layers, and the final product.

V(X)=V(X1)+V(X2)+V(X3)=25+40+30=95 nm
2

Homework
1. The time between surface finish problems in a galvanizing process is
exponentially distributed with a mean of 40 hours. A single plant operates
three galvanizing lines that are assumed to operate independently.
a) What is the probability that none of the lines experience a surface finish problem in 40
hours of operation?
b) What is the probability that all three lines experience two surface finish problems
between 20 and 40 hours after starting the operation?
2. Suppose X and Y have a bivariate normal distribution with
Determine the following:
a) P(2.95<X<3.05)
b) P(7.60<Y<7.80)
c) P(2.95<X<3.05,7.60<Y<7.80)
. 0 , 70 . 7 , 00 . 3 , 08 . 0 , 04 . 0 = = = = = o o
y x y x