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2.3 Conditional Distributions and Expectations. 1

x22 dx1 = 1 x2 2 E( X2 | X1 = x1 ) = x1 + 1 1) = x1 + 1 - The document describes joint and conditional probability distributions and expectations for random variables X and Y based on their joint probability distribution or density function. - It provides examples of calculating conditional distributions and expectations like P(Y|X), E(X|Y), E(E(X|Y)), and discusses properties like E(E(X|Y)) = E(X). - The summaries focus on the key calculations and concepts discussed in each problem or example rather than providing all the details.

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53 views

2.3 Conditional Distributions and Expectations. 1

x22 dx1 = 1 x2 2 E( X2 | X1 = x1 ) = x1 + 1 1) = x1 + 1 - The document describes joint and conditional probability distributions and expectations for random variables X and Y based on their joint probability distribution or density function. - It provides examples of calculating conditional distributions and expectations like P(Y|X), E(X|Y), E(E(X|Y)), and discusses properties like E(E(X|Y)) = E(X). - The summaries focus on the key calculations and concepts discussed in each problem or example rather than providing all the details.

Uploaded by

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STAT 410

Fall 2016

2.3

Conditional Distributions and Expectations.

1.

Consider the following joint probability distribution p ( x, y ) of two random


variables X and Y:

y
x

pX( x )

0.15

0.10

0.25

0.25

0.30

0.20

0.75

pY( y )

0.40

0.40

0.20

p( x,y )
Find the conditional probability distributions p X | Y ( x | y ) =
of X given
pY ( y )
Y = y, conditional expectation E ( X | Y = y ) of X given Y = y, and E ( E ( X | Y ) ).

a)

x
1
2

p X|Y ( x | 0 )

0.15

/0.40 = 0.375
0.25
/0.40 = 0.625

1
2

E ( X | Y = 0 ) = 1.625

Def

E( X |Y = y ) =

p X|Y ( x | 1 )
0.10

/0.40 = 0.25
0.30
/0.40 = 0.75

E ( X | Y = 1 ) = 1.75

x P(X = x|Y = y)
x

p X|Y ( x | 2 )

x
1
2

0.00

/0.20 = 0.00
0.20
/0.20 = 1.00

E ( X | Y = 2 ) = 2.0

x p X |Y ( x | y )

discrete

E( X |Y = y ) =

x f X| Y ( x | y ) dx

continuous

Denote by E ( X | Y ) that function of the random variable Y whose value at Y = y


is E ( X | Y = y ). Note that E ( X | Y ) is itself a random variable, it depends on the

( random ) value of Y that occurs.

E( X |Y = y )

pY( y )

1.625

0.40

0.65

1.75

0.40

0.70

2.0

0.20

0.40

E ( E ( X | Y ) ) = 1.75.

Recall:

E ( X ) = 1.75.

E( a1 X1 + a2 X2 | Y ) = a1 E( X1 | Y ) + a2 E( X2 | Y )

E[g(Y ) |Y ] = g( Y)

E( E(X |Y )) = E( X )

E[ E(X |Y ) |Y] = E( X |Y )

E[g(Y ) X |Y ] = g( Y) E( X |Y)

b)

p( x,y )
Find the conditional probability distributions p Y | X ( y | x ) =
of Y given
pX (x )
X = x, conditional expectation E ( Y | X = x ) of Y given X = x, and E ( E ( Y | X ) ).

p Y|X ( y | 1 )

0.15

/0.25 = 0.60
0.10
/0.25 = 0.40
0.00
/0.25 = 0.00

0
1
2

E ( Y | X = 1 ) = 0.4 = 6 15

x
1
2

E( Y |X = x )
6

/15
14
/15

pX( x )

y
0
1
2

0.25

/0.75 = 5/15
0.30
/0.75 = 6/15
0.20
/0.75 = 4/15

E ( Y | X = 2 ) = 14 15

E( E(Y |X )) =

0.25
0.75

p Y|X ( y | 2 )

14
6
0.25 + 0.75
15
15

= 0.10 + 0.70 = 0.80.


Recall:

E ( Y ) = 0.80.

2.

Let the joint probability density function for ( X , Y ) be


2

f ( x, y ) = 60 x y 0 x 1, 0 y 1, x + y 1

Recall:

a)

otherwise

f X ( x ) = 30 x 2 ( 1 x ) 2 ,

0 < x < 1,

E( X ) =

1
,
2

f Y ( y ) = 20 y ( 1 y ) 3 ,

0 < y < 1,

E( Y ) =

1
.
3

0 < x < 1.

f ( x,y )
60 x 2 y
2y
=
=
,
f X ( x ) 30 x 2 ( 1 x ) 2 ( 1 x ) 2

f Y|X ( y | x ) =

0 < y < 1 x.

Find P ( Y > 1 3 | X = 1 2 ), P ( Y > 1 4 | X = 1 3 ), P ( Y < 1 2 | X = 1 3 ).

P(Y > 1

/3

|X=1

1 2

/2 ) =

1 3

P(Y > 1 4 | X = 1 3) =

/2

|X=1

/3 ) =

/2

|X=2

/3 ) =

Find

1 2

5
dy = 8 y dy = .
9
(1 2 )
1 3
2y

(2

3)

2y

(2

1 3

P(Y < 1

1 2

P(Y < 1

2y

2 3
1 4

c)

f ( x,y )
f X (x )

Find the conditional probability density function f Y | X ( y | x ) =


of Y given X = x,

b)

3)

dy =
2

55
.
64

dy =
2

9
= 0.5625.
16

2y

(1

3 )2

dy = 1.

E ( Y | X = x ), E ( Y | X ), and E ( E ( Y | X ) ).
1 x

E( Y | X = x ) =

2y

(1 x )2

dy =

1 x
2
2
= ( 1 x ) , 0 < x < 1.

y
dy

3
(1 x )2 0

E( Y |X ) =

2
(1 X ).
3

E( E(Y |X )) =

d)

2
( 1 E ( X ) ) = 2 1 1 = 1 = E ( Y ).
3
3
3
2

Find the conditional probability density function f X | Y ( x | y ) =


of X given Y = y,

f X|Y ( x | y ) =

e)

f ( x,y )
f Y (y)

0 < y < 1.

f ( x,y )
60 x 2 y
3x2
=
=
,
f Y ( y ) 20 y ( 1 y ) 3 ( 1 y ) 3

0 < x < 1 y.

1
1
Find P X >
Y = .
2
3

f X | Y x

1 81 x 2
,
=
8
3

0<x<

2
.
3

2 3
27 x 3 2 3 37

81 x 2
1
1

=
.
dx =
P X >
Y = =
1 2 64
2
3
8
8

1 2

f)

Find

E ( X | Y = y ), E ( X | Y ), and E ( E ( X | Y ) ).
1 y

E( X | Y = y ) =

E( X |Y ) =

3x2

(1 y )

dx =

(1 y )

1 y

dx =

3
( 1 y ) , 0 < y < 1.
4

3
(1 Y ).
4

E( E(X |Y )) =

3
( 1 E ( Y ) ) = 3 1 1 = 1 = E ( X ).
2
4
4
3

Recall:

Var ( X ) =

9
,
252

Var ( Y ) =

8
,
252

XY

1
2

If E ( Y | X = x ) is linear in x, then
E( Y |X = x ) = Y +

E( Y |X = x ) =

E( X |Y = y ) =

3.

1
1

3
2

Y
( x X ).
X

8 252
1
x
2
9 252

2 2
1 2
1
x.
x =
3 3
3 3
2
1
1

2
2

9 252
3 3
1
1
1 3
y.
y =
y =
4 4
3
2 4
3
8 252

Let the joint probability density function for ( X , Y ) be


x + y 0 x 1, 0 y 1
otherwise
0

f ( x, y ) =
Recall:
a)

1
2

f X ( x ) = x + , 0 < x < 1.

1
2

f Y ( y ) = y + , 0 < y < 1.

Find the conditional p.d.f. f Y | X ( y | x ) of Y given X = x,

f Y|X ( y | x ) =

x+ y
f ( x,y )
=
,
1
f X (x )
x+
2

0 < y < 1.

0 < x < 1.

b)

Find P ( Y < 1 2 X = 3 4 ).

/ |

3
+y
3 y +2 y 2 1 2
4
3 1 dy = 5 0 = 0.40.

+
0
4 2

1 2

P(Y < 1 2 X = 3 4) =

/ |

c)

Find

E ( Y | X = x ).

1
1
x
+
x+ y
3 = 3x+2,
E( Y |X = x ) = y
dy = 2
1
1
6x+3
x+
x+
0
2
2
1

0 < x < 1.

Recall:
Cov ( X , Y ) =

XY

1
.
144

1
.
11

x=0

x=1

f Y|X ( y | x ) :

4.

Let the joint probability density function for ( X , Y ) be

f ( x, y ) = 12 x ( 1 x ) e

2 y

0 x 1, y 0
otherwise

f X ( x ) = 6 x ( 1 x ) , 0 < x < 1,

Recall:

f Y ( y ) = 2 e 2 y , y > 0,
Find

E( Y ) =

1
.
2

E( X ) =

1
,
2

X and Y are independent.

f X | Y ( x | y ), E ( X | Y = y ), f Y | X ( y | x ), E ( Y | X = x ).

Since X and Y are independent, and f ( x, y ) = f X ( x ) f Y ( y ),

f X|Y ( x | y ) =

f ( x,y )
= f X ( x ) = 6 x ( 1 x ),
f Y (y)

E( X |Y = y ) = E(X ) =

f Y|X ( y | x ) =

1
,
2

f ( x,y )
= f Y ( y ) = 2 e 2 y ,
f X (x )

E( Y |X = x ) = E(Y ) =

0 < x < 1,

1
.
2

y > 0,

5.

Let X 1 , X 2 be two random variables with joint pdf f ( x 1 , x 2 ) = x 1 exp { x 2 },


for 0 < x 1 < x 2 < , zero elsewhere.

a)

Find the conditional p.d.f. f 1 | 2 ( x1 | x2 ) of X 1 given X 2 = x 2 ,


x2

f 2 ( x2 ) = x1 e

x2

dx1 =

x22
2

e x2 ,

0 < x 2 < .

0 < x2 < .

X 2 has a Gamma distribution with = 3, = 1.

f 1 | 2 ( x1 | x2 ) =

x1 e x 2
x22
2

e x2

2 x1

x22

0 < x1 < x2.

P( X1 > 3 | X2 = 5 ) =

For example,

3
2

P( X1 < 2 | X2 = 5 ) =

2 x1
4
= 0.16.
dx1 =
25
25

b)

2 x1
16
dx1 =
= 0.64.
25
25

Find the conditional p.d.f. f 2 | 1 ( x2 | x1 ) of X 2 given X 1 = x 1 ,

f 1 ( x1 ) = x1 e x 2 dx2 = x1 e x1 ,

0 < x 1 < .

0 < x1 < .

x1

X 1 has a Gamma distribution with = 2, = 1.

f 2 | 1 ( x2 | x1 ) =

x1 e x 2
x1 e

x1

= e x1 x2,

x 1 < x 2 < .
8

For example,

P( X2 < 8 | X1 = 5 ) =

5 x2

dx2 = 1 e 3 0.9502.

P( X2 > 6 | X1 = 5 ) =

5 x2

dx2 = e 1 0.3679.

c)

Find

E ( X 1 | X 2 = x 2 ), E ( X 2 | X 1 = x 1 ).
x2

E( X1 | X2 = x2 ) =

x1

2 x1

E( X2 | X1 = x1 ) =

x2 e

x22

dx1 =

x1 x 2

2
x ,
3 2

0 < x 2 < .

0 < x 1 < .

dx2 = x 1 + 1,

x1

If E ( Y | X = x ) is linear in x, then
E( Y |X = x ) = Y +

1 = 2,

12 = 2,

Y
( x X ).
X

2 = 3,
2
3

22 = 3.

OR

4
x 2
x

(5 )
x2
2
E ( X 1 X 2 ) = x1 x2 e
= 8.
dx1 dx2 = 2 e x 2 dx2 =
3
3

0
0 0

Cov ( X 1 , X 2 ) = 8 2 3 = 2.

2
2 3

2
3

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