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Random Vectors:: A Random Vector Is A Column Vector Whose Elements Are Random Variables

A random vector is a generalization of a random variable to multiple dimensions. It is a vector-valued function of outcomes of a probabilistic experiment. The components of a random vector are random variables defined on the same sample space that occur simultaneously. A random vector can be characterized by its mean vector and variance-covariance matrix. Linear combinations of random vectors yield new random vectors whose properties can be determined from the mean and variance-covariance matrix of the original vector.

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28 views7 pages

Random Vectors:: A Random Vector Is A Column Vector Whose Elements Are Random Variables

A random vector is a generalization of a random variable to multiple dimensions. It is a vector-valued function of outcomes of a probabilistic experiment. The components of a random vector are random variables defined on the same sample space that occur simultaneously. A random vector can be characterized by its mean vector and variance-covariance matrix. Linear combinations of random vectors yield new random vectors whose properties can be determined from the mean and variance-covariance matrix of the original vector.

Uploaded by

Patrick Mugo
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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RANDOM VECTORS:

The concept of random vector is a multidimensional generalization of the concept of random


variable.
Suppose that we conduct a probabilistic experiment and that the possible outcomes of the
experiment are described by a sample space . A random vector is a vector whose value depends
on the outcome of the experiment, as stated by the following:
Let be a sample space. A random vector is a function from the sample space to the set of dimensional real vectors :

: n

We map elements of sample space to an n-dimensional set of real numbers.


Another definition of random vector is :
A random vector is a column vector whose elements are random variables.
These random variables are such that they are defined to occur simultaneously; i.e observations
of these variables are taken on the same unit.For example suppose we are interested in analyzing
information on age, height, weight, blood pressure and cholesterol level of certain individual;
then each of these measurements is a random variable and if we talk about them together we
come up with a random vector. Let X1 be age, X2 be height, X3 be weight, X4 be blood pressure
and X5 be cholesterol level; then the random vector is

X1
X
2

= X3

X4
X5

In this case we say we have a random vector with five components since it is a 51 column
vector.
In general, let X be a random vector with p components, then
X

X1

X2

Xi

Xp

Joint probability distribution of random vector: the probability distribution depends on


whether the components of X are discrete or continuous.
(i) If the components are discrete random variables, then joint probability distribution
function(j.p.d.f) is
P [ X 1 x1 , X 2 x 2 , X i xi ,.. X x p ]

which satisfies the conditions:


(a)
(b)

0 P [ X 1 x1 , X 2 x 2 , X i x i ,.. X x p ] 1

.... .... P [ X
xp

xi

x1 , X 2 x 2 , X i xi ,.. X x p ] 1

x1

For (b) we are summing of all possible values that each random variable can take on. We have p
summations.
f ( x1 , x2 ,.., xi ,.., x p ) and

(ii) If the components are continuous random variables, then j.p.d.f is


it satisfies the conditions:

For (b) we have p integrals over all possible values the p variables can take on.
(a)
(b)

0 f ( x1, x2 ,.., xi ,.., x p ) 1

..... ....... f ( x , x ,.., x ,.., x


1

xp

xi

p)

dx1dxx ...dx p 1

x1

bp

(c )

P [a1 X 1 b1,.., ai X i bi ,.., a1 p X p b p ]

bi

b1

f ( x , x ,.., x ,.., x
.. ..

ap

ai

p )dx1dx x ...dx p

a1

Using the j.pd.f we can obtain the marginal distributions and conditional distributions of the
components of random vector.
MEAN VECTOR AND VARIANCE-COVARIANCE MATRIX OF RANDOM VECTOR:
Since each component of the random vector is a random variable, then it is defined by its own
marginal probability distribution.
Using these marginal p.d.fs we can obtain the mean and variance of each random variable Xi,
i=1,2,..,p.
2

i E[ X i ] , i 1,2,.., p
i2 Var ( X i ) E[ X i i ]2 i 1,2,..., p

Also we can obtain the marginal distribution of combination of any two random variables Xi and
Xj. We can therefore use the distribution to define covariance between the two variables.
ij E[ X i i ][ X j j ]

We will used the mean, variance and covariance measures of components of random vector(i.e
random variables) to define the expected value and variance of the vector.
Definition 1: the expected value of X is given by
X1
X
2
E X

= E

E( X i )

X p

E ( X p )

Xi

1

2

E ( X1)
E( X )
2

is referred to as mean vector. Its elements are the expected values of random variables.

Definition 2: the variance of random vector is given by

E X

It is the product of a column vector and its transpose will gives a pp matrix.
12

21

p1

( ij )

12 1 p

22 2 p

p 2 2p

It is a symmetrical matrix with measures of variance along the diagonal and measures of
covariance off the diagonal.

Correlation matrix:
3

The correlation between Xi and Xj is given by


ij

ij
i2 2j

These measures can be used to obtain the correlation matrix


1

21

p1

12 1 p
1 2 p

p2
1

It is a symmetrical matrix with the values 1 along the diagonal .

LINEAR COMBINATIONS OF RANDOM VECTOR:


Recall when dealing with single random variable X , then one can define a new random variable
which is a function of X, for example suppose we define Y as
Y = aX, a is a constant
We can obtain the p.d.f of Y using p.d.f of X; more importantly even without the p.d.f of Y we
know that
(i) E[Y]=a E[X]

(ii) Var(Y)= a2Var(X)

Using properties of expectation.


We will extend the same idea to random vector.
Let X be a random vector with p components. Further let
variance-covariance matrix of vector.

and be the mean vector and

(i) Define a new random vector Z such that Z a1 X 1 a 2 X 2 ... a p X p a X where


a [ a1, , a2 ,.., a p ] is a vector of constants;
E ( Z ) E[ a X ]

Var ( Z ) Var (a X ) a a

(ii) Let A be a mp matrix of constants. Define a new random vector Y, Y = A X


4

Y is a m1 column vector whose elements are m random variables.


Y AX
Y1
Y
2

Ym

a11

a21

am1

a12
a22

am 2

a1 p X 1

a2 p X 2

amp X p

The mean and variance of Y are given by

E Y AE X A
Var [Y ] AVar [ X ] A AA

Examples:
(1) let X=[X1 X2 X3] have joint probability distribution function
1
( x1 2 x2 3 x3 )
3

f ( x1 , x2 , x3 )

0 x1 1 0 x2 1 0 x3 1

Find
(ii) the marginal distribution of X1 and X2
(iii) P( X3 < | X1=1/4, X2=1/2)

Solution :

(i )
1

2
1
x1 2 x 2 3x3 dx3 x1 x3 2 x 2 x3 x3
3
3
3
2

1
( x1 2 x 2 )
3

the marginal distribution is


1
( x 2 x 2 ) 0 x1 , x 2 1
g ( x1 , x 2 ) 3 1

0, elsewhere

(ii )
1 x 2 x 3x
1
2
3
f ( x1 , x2 , x3 )
x 2 x 2 3 x3
h( x3 | x1 , x 2 )
3
1
1 x 2x
g ( x1 , x 2 )
x1 2 x2
2
3 1
x1 1 x2 1
4
4
h( x3 | x1 , x 2 ) 1 4 x3
1

P( X 3 1 )
2

1 4 x3 dx3

3
4

(2) let Y be a random vector with three components and having mean vector
variance-covariance matrix
5
3
1

3
7
2

1
2

Find (i) the mean and variance of Z= -2Y1+Y2+3Y3


(ii) the correlation coefficient between X1=Y1+2Y2+4Y3 and X2= Y1-Y2-Y3

Solution :
Y1

(i) Z 2 1 3 Y2
Y3

Hence the mean and variance are

[ 2 3 1]

and

E (Z ) 2

Var ( Z ) 2

2
3 3 2
1

5
3 3
1

3
7
2

1
2
8

2
3 53

Y1
4
X1
1 2
(ii)

Y2
1 1 1 Y
X2
3

The variance-covariance matrix is

The correlation matrix is

47

213 16

47

1
0.8051
213 16
0.8051

Hence the correlation coefficient is -0.8051

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