1 Probability and Statistical Inference (9th Edition) Chapter 4 Bivariate Distributions November 4, 2015

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Probability and Statistical Inference (9th Edition)

Chapter 4

Bivariate Distributions

November 4, 2015

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Joint Probability Mass Function

Let X and Y be two discrete random variables defined on the same outcome set. The probability that X=x and Y=y is denoted by PX,Y(x,y)= P(X=x,Y=y) and is called the joint probability mass function (joint pmf) of X and Y

PX,Y(x,y) satisfies the the following 3 properties:

S. ofsubset a isA where,,,Pr )3(

1, )2(

1,0 )1(

,,

,,

,

AyxYX

SyxYX

YX

yxPAYXob

yxP

yxP

3

Example: Roll a pair of unbiased dice. For each of the 36 possible outcomes, let X denote the smaller number and Y denote the larger number

The joint pmf of X and Y is:

61 36/2

61 36/1,, yx

yxyxP YX


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Note that we can always create a common outcome set for any two or more random variables. For example, let X and Y correspond to the outcomes of the first and second tosses of a coin, respectively. Then, the outcome set of X is {head up, tail up} and the outcome set of Y is also {head up, tail up}. The common outcome set of X and Y is {(head up, head up),(head up, tail up),(tail up, head up),(tail up, tail up)}


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Another Example: Assume that we toss a dice once. Let random variable X correspond to whether the outcome is less than or equal to 2, and random variable Y correspond to whether the outcome is an even number. Then, the joint pmf of X and Y is shown on the next page


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1

0 1PXY(0,0)=1/3

PXY(0,1)=1/3

PXY(1,1)=1/6

PXY(1,0)=1/6

Outcome 1 2 3 4 5 6

X 1 1 0 0 0 0

Y 0 1 0 1 0 1

X

Y


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Marginal Probability Mass Function

Let PXY(x,y) be the joint pmf of discrete random variables X and Y. Then

is called the marginal pmf of X Similarly,

is called the marginal pmf of Y

j

j

yiXY

yiX

yxP

yYxXobxXobxP

),(

,PrPr

ix

iYXY yxPyP ,,

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Independent Random Variables

Two discrete random variables X and Y are said to be independent if and only if

Otherwise, X and Y are said to be dependent

.,, yPxPyxP YXYX

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Uncorrelated Random Variables

Let X and Y be two random variables. Then, E[(X-µX)(Y-µY)] is called the covariance of X and Y (denoted by Cov(X,Y))

Covariance is a measure of how much two random variables change together

A positive value of Cov(X,Y) indicates that Y tends to increase as X increases

Two discrete random variables X and Y are said to be uncorrelated if Cov(X,Y)=0

Otherwise, X and Y are said to be correlated

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Independent Implies Uncorrelated Cov(X,Y) = E[(X-µX)(Y-µY)]

= E[XY- µYX- µXY+ µXµY]

= E[XY]- µYE[X]- µXE[Y]+E[µXµY]

= E[XY]- µXµY

If X and Y are independent, then

Therefore, if X and Y are independent, then Cov(X,Y)=0 The converse statement is not true (example later)

][][

)()(

)()(

),(][

YEXE

yyPxxP

yPxxyP

yxxyPXYE

yY

xX

x yYX

x yXY

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Correlation Coefficient

Correlation coefficient of X and Y:

Insights: If X and Y are above or below their respective means simultaneously, then ρXY > 0. If X is above µX whenever Y is below µY, and X is below µX whenever Y is above µY, then ρXY < 0

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Addition of Two Random Variables

Let X and Y be two random variables. Then, E[X+Y]=E[X]+E[Y]

Note that the above equation holds even if X and Y are dependent

Proof of the discrete case:

][][)()(

),(),(

),(),(

))(,(][

YEXEyyPxxP

yxPyyxPx

yxPyyxPx

yxyxPYXE

yY

xX

y xXY

x yXY

x yXY

x yXY

x yXY

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On the other hand,

#

2222

2222

222

22

2

])[][][(2][][

)][(2)][()][(

2][2][][

)(2)(])[(

)])((2)()[(

]))()[((

][

YEXEXYEYVarXVar

XYEYEXE

XYEYEXE

YXE

YXYXE

YXE

YXVar

yxyx

yxyx

yxyx

yxyx

yx


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Note that if X and Y are independent, then E[XY]=E[X]E[Y]

Therefore, if X and Y are independent, then Var[X+Y]=Var[X]+Var[Y]


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Examples of Correlated Random Variables

Assume that a supermarket collected the following statistics of customers’ purchasing behavior:

Purchasing

Wine

Not Purchasing

Wine

Male 45 255

Female 70 630

Purchasing

Juice

Not Purchasing

Juice

Male 60 240

Female 210 490

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Let random variable M correspond to whether a customer is male, random variable W correspond to whether a customer purchases wine, random variable J correspond to whether a customer purchases juice

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The joint pmf of M and W is

Cov(M,W)= E[MW] - E[M]E[W]= 0.045 – 0.3*0.115 = 0.0105 > 0M and W are positively correlated (outcome M=1 makes it more likely that W=1)

W

M

PMW (1,1) = 0.045

PMW (1,0) = 0.255

PMW (0,1) = 0.07

PMW (0,0) = 0.63


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The joint pmf of M and J is

Cov(M,J)= E[MJ] - E[M]E[J]= 0.06 – 0.3*0.27 = -0.021 < 0M and J are negatively correlated

W

M

PMJ (1,1) = 0.06

PMJ (1,0) = 0.24

PMJ (0,1) = 0.21

PMJ (0,0) = 0.49


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Example of Uncorrelated Random Variables

Assume X and Y have the following joint pmf:PXY(0,1)= PXY(1,0)= PXY(2,1)= 1/3

We can derive the following marginal pmfs:

xXYY

x xXYYXYX

yXYX

yXYX

xPP

xPPyPP

yPPyPP

3/2)1,(1

3/1)0,(0 ; 3/1),2(2

3/1),1(1 ; 3/1),0(0

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Example of Uncorrelated Random Variables

Since PXY(0,1) = 1/3, andPX(0) x PY(1) = 1/3 x 2/3 = 2/9,X and Y are not independent

However,Cov(X,Y) = E[XY] – E[X]E[Y] = [2/9 x 1 + 2/9 x 2] – [1 x 2/3] = 0.Thus, X and Y are uncorrelated

Thus, uncorrelated does not imply independence

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Conditional Distributions

Let X and Y be two discrete random variables. The conditional probability mass function (pmf) of X, given that Y=y, is defined by

Similarly, if X and Y are continuous random variables, then the conditional probability density function (pdf) of X, given that Y=y, is defined by

Y. of Space y that provided ,

,

yP

yxPyxP

Y

XYYX

.

,

yf

yxfyxf

Y

XYYX

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Assume that X and Y are two discrete random variables. Then,

Similarly, for two continuous random variables X and Y, we have

.1

,,

Y. of Space y that provided ,0,

x x Y

Y

Y

xXY

Y

XYYX

Y

XYYX

yP

yP

yP

yxP

yP

yxPyxPb

yP

yxPyxPa

.1

Y. of Space y that provided ,0,

XS

yxfb

yf

yxfyxfa

YX

Y

XYYX

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The conditional mean of X, given that Y=y, is defined by

The conditional variance of X, given that Y=y, is defined by

. EYX x

YX yxxPyx

. 2

YX x

YXYX yxPx

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Example 1

Let X and Y have the joint pmf

It can be easily shown that

Then, the conditional pmf of X, given that Y=y, is

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Example 1 (Cont.)

Similarly, the conditional pmf of Y, given that X=x, is

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Example 2

3 blue balls (labeled A, B, C) and 2 red balls (labeled D, E) are in a bag

Randomly taking a ball out of the bag, what is the probability of getting a blue ball? (Ans: 3/5)

What is the probability of getting A? (Ans: 1/5) What is the probability of getting A, given that the bal

l we get is a blue ball? (Ans: 1/3)

X = label of the ball we getY = color of the ball we getP(X=A | Y=blue) = P(X=A, Y=blue) / P(Y=blue) = (1/5) / (3/5) = 1/3

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Bivariate Normal Distribution

The joint pdf of bivariate normal

The joint pdf of multivariate normal

where in the case of bivariate

and | | denotes the determinant of a matrix

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-3-2

-10

12

3

-2

0

2

0

0.1

0.2

0.3

0.4

x1x2

Prob

abili

ty D

ensi

ty

-3-2

-10

12

3

-2

0

2

0

0.1

0.2

0.3

0.4

x1x2

Prob

abili

ty D

ensi

ty

Graphic representations of bivariate (2D) normal

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x1

x2

-3 -2 -1 0 1 2 3-3

-2

-1

0

1

2

3

x1

x2

-3 -2 -1 0 1 2 3-3

-2

-1

0

1

2

3

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-3-2

-10

12

3

-2

0

2

0

0.1

0.2

0.3

0.4

x1x2

Prob

abili

ty D

ensi

ty

-3-2

-10

12

3

-2

0

2

0

0.1

0.2

0.3

0.4

x1x2

Prob

abili

ty D

ensi

ty

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x1

x2

-3 -2 -1 0 1 2 3-3

-2

-1

0

1

2

3

x1

x2

-3 -2 -1 0 1 2 3-3

-2

-1

0

1

2

3

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-3-2

-10

12

3

-2

0

2

0

0.1

0.2

0.3

0.4

x1x2

Prob

abili

ty D

ensi

ty

x1

x2

-3 -2 -1 0 1 2 3-3

-2

-1

0

1

2

3

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Example

Let us assume that in a certain population of college students, the respective grade point average (GPA)—say X and Y—in high school and the first year in college have an approximate bivariate normal distribution with parameters

Then, for example,

where

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Example (Cont.)

The conditional pdf of Y, given that X=x, is normal, with mean

and variance

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Example (Cont.)

Since the conditional pdf of Y, given that X=3.2, is normal with mean

and standard deviation

we have

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Correlations and Independence for Normal Random Variables

In general, random variables may be uncorrelated but statistically dependent (i.e., uncorrelated does not imply independence)

But if a random vector has a multivariate normal distribution, then any two or more of its components that are uncorrelated are independent (i.e., uncorrelated does imply independence in this case)

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The fact that two random variables X and Y both have a normal distribution does not imply that the pair (X, Y) has a joint normal distribution.

Example: Suppose X has a normal distribution with expected value 0 and variance 1. Let

where c is a positive number X and Y are not jointly normally distributed,

even though they are separately normally distributed


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If X and Y are normally distributed and independent, this implies they are "jointly normally distributed", i.e., the pair (X, Y) must have multivariate normal distribution

However, a pair of jointly normally distributed variables need not be independent (would only be so if uncorrelated)


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1 Probability and Statistical Inference (9th Edition) Chapter 4 Bivariate Distributions November 4, 2015