Midterm on Oct 13

LTD => Last Name A to S

LTH => Last Name T to Z

Cover Lectures 1 to 6

No cheat sheet; most equations will be given

 Ch4 Multiple RV
• More often than not, probabilistic problems are
governed by multiple RVs;

• For example: the number of students going to class

is depending on i) the level of course difficulty, and
ii) how much you are interested in the subject, etc…

• We use PDF and CDF in Ch3; in this chapter, joint

PDF and CDF are used
CDF and PDF:
FX (x) = Pr(X ≤ x)
fX (x) = Pr(X = x)

Joint CDF and PDF:

FX, Y (x, y) = Pr(X ≤ x, Y ≤ y)
fX, Y (x, y) = Pr(X = x, Y = y)

Rules:

Pr
Fx,y (∞, ∞) = 1
Fx,y (-∞, -∞) = 0
Y
X
 • Joint PDF can be reduced to single PDF or the
so-called marginal PDF

Pr (Y = 10) = fY(10)
The summation of blue columns
Pr (Y = 20) = fY(20)
The summation of purple columns
30 Pr (Y = 30) = fY(30)
20
1 10 Y The summation of yellow columns
2
X 3

=> Marginal fY(y) = f(x1, y) + f(x2, y) + …. = ∑ f(xi, y)

=> Marginal fX(x) = f(x, y1) + f(x, y2) + …. = ∑ f(x, yi)

Ex4.1

What is the joint PDF?

What is fX( x = 8)?
=> marginal PDF of X => ∑ (Y)
fX( x = 8) = 0.036 + 0.216 + 0.18 = 0.43

What is fY( y = 90)

=> marginal PDF of Y => ∑ (X)
=> fY( y = 90) = 0.072 + 0.18 + 0.079 + 0.014
= 0.35

6
Ex4.2: continuous case
6
 ( x  y 2 ) ; 0  x  1, 0  y  1
f ( x, y )   5
 0

What is fX(x)?
1
f X ( x)   f ( x, y )dy
0

1
6
  ( x  y 2 )dy
0
5

6 2
 x
5 5
For a “legit” joint PDF
=> The volume needs to be 1.0

Ex4.3: Show the joint PDF in Ex4.2 is legit

6
 ( x  y 2 ) ; 0  x  1, 0  y  1
f ( x, y )   5
 0

1 1
6
Since   ( x  y 2 )dxdy  1 ,
x 0 y 0
5

this joint PDF is legit

Ex4.4(a): Is the following joint PDF is legit?

=> ∫ ∫ PDF dxdy 1.0

1 1

 
0.8

Can we do ?
x 0 y 0 0.6
Y x*, 1-x*
0.4
1 1 x

How about  
x 0 y 0
0.2 Region of
positive density
0.0
x*, 0
0.0 0.2 0.4 0.6 0.8 1.0

X
Therefore,

dx

=> This joint PDF is good

Ex4.4(b)
What is Pr (X+Y ≤ 0.5)?

dx

11
Ex4.4(c)
What is the marginal PDF of X? 1.0

0.8

0.6

Y
0.4

0.2

0.0
0.0 0.2 0.4 0.6 0.8 1.0

i) when 0 ≤ X ≤ 1, ii) otherwise,

f(x) = 0

12
Statistical independence between X and Y in
multiple RV questions
• Review of SI in Ch 2:
SI <=> Pr(A) x Pr(B) = Pr(AB)

• In this case:
fX, Y(x, y) = fX (x) * fY(y)

For example:
fX (x) = 0.1, fY (y) = 0.1 and fX, Y(x, y) = 0.01
Ex4.5
Is X and Y in Ex4.1 statistical independent?

fX( x = 8) = 0.036 + 0.216 + 0.18 = 0.43

fY( y = 90) = 0.072 + 0.18 + 0.079 + 0.014 = 0.35

=> Since 0.18 not equal to 0.43 x 0.35, X and Y are

dependent
14
Ex4.6
Given that the service life of two bulldozers are SI, and
each following the exponential distribution, what is the
joint PDF, and what does this PDF mean?

=> fX, Y(x, y) = fX (x) * fY(y) = λX(e- λ x) * λY(e- λ y)

X Y

=> The probability that X bulldozer fails at time x, and Y

bulldozer fails at time y

What if λX = 1/1000 and λY = 1/1200 (expected life time =

1000 and 1200 hours), both fails within 1500 hours?

=> P(X ≤ 1500 and Y ≤ 1500) = P(X ≤ 1500) x P(Y ≤ 1500)

= 0.78 x 0.71 = 0.55
“E”
• Review: E(whatever) = ∫ whatever * PDF

Ex4.7
What is E(XY) in Ex4.4 1.0

0.8

0.6

Y
0.4

0.2

0.0
0.0 0.2 0.4 0.6 0.8 1.0

=> E(XY) = ∫∫ xy*f(x,y) dxdy

X

1 1 x

=  
x 0 y 0
xy*24xy dy dx = 2/15
Covariance
• Cov(X,Y) = E [ (X-μX)*(Y-μY) ] ***
= ∫∫ (X-μX)*(Y-μY) * f(x,y) dxdy

!! Cov(X,Y) is unit-dependent

• Correlation ρ = Cov(X,Y) / (σX* σY) ***

!! ρ is unit-independent, from -1 to 1

• When ρXY = 0, X and Y are independent

Function of RV: X-Y system => mapping

0.4

X
0.3

(given)
PDF

0.2 Y = g(X)
(given)
Y
0.1

0.0
(unknown)
-10 -5 0 5 10 15 20
Functions of RV: the X-Y-Z case
• Given PDFs of X and Y, and Z = aX + bY for
example, what is PDF of Z

• E(Z) = E(aX+bY) = aE(X) + bE(Y) = aμX + bμY

• V(Z) = V(aX+bY) = a2V(X) + b2V(Y) + 2ab*Cov(X,Y)

when X and Y are SI:
V(Z) = V(aX+bY) = a2V(X) + b2V(Y) = a2σX2 + b2σY2

• When X and Y are Gaussian RV, so is Z.

Ex4.11
Given the midterm X and final Y of CIVL2160 last year are
X~N(70, 12) and Y~N(65, 8). If you got 70 in both
exams, what is your percentile? Given final is weighted
twice as much as midterm.

=> Let Z = X + 2Y; Find Pr(Z < 210)

=> μZ = 70 + 2*65 = 200
σZ2 = 122 + 22*82 = 400 => σZ = 20

Since Z ~ N as well,
Pr(Z < 210) = Ф ((210 - 200) / 20) = 0.69
Extended case:
=> Given Z = X/Y and both X and Y follow the
lognormal distribution, and Z follows the
lognormal distribution as well

=> lnZ = ln(X/Y) = ln(X) – ln(Y)

since ln(X) and ln(Y) follow normal, so ln(Z)
follows normal, or Z follows lognormal

=> Similar for Z = XY

EX4.12: engineering management. The annual
expense (C) of your company is governed by:
C = WF / E0.5
Given W, F and E following lognormal with their
median and COV (= SD / mean) as follows:

find Pr (C > 35000)?

=> I need to know the distribution of C and its

mean and SD
C = WF / E0.5 => lnC = lnW + lnF – 0.5lnE
Because W, F and E ~ lognormal, C ~ lognormal
or lnC ~ normal:

Pr (C > 35000)
= Pr (lnC > ln35000)
= 1 – Pr (lnC ≤ ln35000)
= 1 - Ф ((ln35000 – 10.36) /0.26)
= 1 - Ф (0.39) = 0.35
What if Z = g(X,Y) is not the special cases and we
want to find CDF of Z?

=> From the fundamentals

FZ(z) = Pr(Z ≤ z) = Pr(g(X,Y) ≤ z)

Ex4.14: Given that X and Y are SI and Z = Y – X, what is CDF of Z?

 ke kx ; x  0 he hy ; y  0
f ( x)   f ( y)  
0 ; otherwise 0 ; otherwise

=> FZ(z) = Pr(Z ≤ z) = Pr(Y – X ≤ z)

i) When z ≤ 0, X > 0 and Y > 0

Y-X=z
Therefore,
FZ(z) = ∫∫ f(x,y) dxdy A
 z x -z

 
z

x   z y 0

Also f(x,y) = khe-kxe-hy ; after doing some math

 zx
h kz
 
 kx  hy
FZ ( z )  khe e dydx  e
x   z y 0
hk
ii) When z > 0, X > 0 and Y > 0 Y-X=z

Therefore,
FZ(z) =∫∫ f(x,y) dxdy
z A

 zx

 
x 0 y 0

As a result,
 z x
h hz
 
 kx  hy
FZ ( z )  khe e dydx  1  e
x 0 y 0
hk
Ex4.15: Following Ex4.14, what is the CDF of Z,
given Z = X + Y and Z = Y/X?

 ke
 kx
; x0 he hy ; y  0
f ( x)   f ( y)  
0 ; otherwise 0 ; otherwise

X+Y=z
i) Z < 0
=> F(z) = 0
ii) Z ≥ 0
FZ(z) = ∫∫ f(x,y) dxdy
A
z zx

 
x 0 y 0
With some tedious calculation:

zx
 
z
1
 
 kx  hy
FZ ( z )  khe e dydx  1  kehz  he kz
x 0 y 0
k h
Ex4.15: Following Ex4.14, what is the CDF of Z,
given Z = Y/X?

 ke  kx
; x0 he hy ; y  0
f ( x)   f ( y)  
0 ; otherwise 0 ; otherwise

i) Z < 0 Y - zX= 0

=> F(z) = 0
ii) Z ≥ 0
A
FZ(z) = Pr(Y/X ≤ z)
= Pr(Y – zX ≤ 0)
 zx
hz
 
 kx  hy
FZ ( z )  khe e dydx 
x 0 y 0
k  hz
Tips of finding FZ(z) given Z = g(X,Y)

• FZ(z) = Pr(Z ≤ z) = Pr(g(X,Y) ≤ z)

• Plot the “area” (mapping)
• Find the “integrating range of X and Y”
• Do the math
Summary of Ch4
• Joint PDF and CDF

• Marginal PDF from joint PDF

• Function of RV in Z = g(X,Y):
– wanting to know PDF of Z, given PDF of X and Y,
and Z = g(X,Y)
– Check if it is a special case
– FZ(z) = Pr(Z ≤ z) = Pr(g(X,Y) ≤ z)
(see the tips in the previous slice)