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Random Variables
UNIT 5 RANDOM VARIABLES
Structure
5.1 Introduction
Objectives
5.2 Random Variable
5.3 Discrete Random Variable and Probability Mass Function
5.4 Continuous Random Variable and Probability Density Function
5.5 Distribution Function
5.6 Summary
5.7 Solutions/Answers
5.1 INTRODUCTION
In the previous units, we have studied the assignment and computation of
probabilities of events in detail. In those units, we were interested in knowing
the occurrence of outcomes. In the present unit, we will be interested in the
numbers associated with such outcomes of the random experiments. Such an
interest leads to study the concept of random variable.
In this unit, we will introduce the concept of random variable, discrete and
continuous random variables in Sec. 5.2 and their probability functions in Secs.
5.3 and 5.4.
Objectives
A study of this unit would enable you to:
define a random variable, discrete and continuous random variables;
specify the probability mass function, i.e. probability distribution of
discrete random variable;
specify the probability density function, i.e. probability function of
continuous random variable; and
define the distribution function.
5.2 RANDOM VARIABLE
Study related to performing the random experiments and computation of
probabilities for events (subsets of sample space) have been made in detail in
the first four units of this course. In many experiments, we may be interested in
a numerical characteristic associated with outcomes of a random experiment.
Like the outcome, the value of such a numerical characteristic cannot be
predicted in advance.
For example, suppose a die is tossed twice and we are interested in number of
times an odd number appears. Let X be the number of appearances of odd
number. If a die is thrown twice, an odd number may appear ‘0’ times (i.e. we
5
Random Variables and may have even number both the times) or once (i.e. we may have odd number
Expectation
in one throw and even number in the other throw) or twice (i.e. we may have
odd number both the times). Here, X can take the values 0, 1, 2 and is a
variable quantity behaving randomly and hence we may call it as ‘random
variable’. Also notice that its values are real and are defined on the sample
space
{(1, 1), (1, 2), (1, 3), (1, 4), (1, 5), (1, 6),
(2, 1), (2, 2), (2, 3), (2, 4), (2, 5), (2, 6),
(3, 1), (3, 2), (3, 3), (3, 4), (3, 5), (3, 6),
(4, 1), (4, 2), (4, 3), (4, 4), (4, 5), (4, 6),
(5, 1), (5, 2), (5, 3), (5, 4), (5, 4), (5, 6),
(6, 1), (6, 2), (6, 3), (6, 4), (6, 5), (6, 6)}
i.e.
0, if the outcome is 2, 2 , 2, 4 , 2, 6 , 4, 2 , 4, 4 , 4, 6 , 6, 2 ,
6, 4 , 6, 6
1, if the outcome is 1, 2 , 1, 4 , 1, 6 , 2,1 , 2, 3 , 2, 5 , 3, 2 ,
X 3, 4 , 3, 6 , 4,1 , 4,3 , 4, 5 , 5, 2 , 5, 4 ,
5, 6 , 6,1 , 6, 3 , 6, 5
2, if the outcome is 1,1 , 1, 3 , 1,5 , 3,1 , 3,3 , 3, 5 , 5,1 ,
5, 3 , 5, 5
9 1 18 1 9 1
So, P[X = 0] = , P[X 1] , P[X 2] ,
36 4 36 2 36 4
1 1 1
and P[X 0] P X 1 P X 2 1.
4 2 4
Observe that, a probability can be assigned to the event that X assumes a
particular value. It can also be observed that the sum of the probabilities
corresponding to different values of X is one.
So, a random variable can be defined as below:
Definition: A random variable is a real-valued function whose domain is a set
of possible outcomes of a random experiment and range is a sub-set of the set
of real numbers and has the following properties:
i) Each particular value of the random variable can be assigned some
probability
ii) Uniting all the probabilities associated with all the different values of the
random variable gives the value 1(unity).
Remark 1: We shall denote random variables by capital letters like X, Y, Z,
etc. and write r.v. for random variable.
6
Random Variables
5.3 DISCRETE RANDOM VARIABLE AND
PROBABILITY MASS FUNCTION
Discrete Random Variable
A random variable is said to be discrete if it has either a finite or a countable
number of values. Countable number of values means the values which can
be arranged in a sequence, i.e. the values which have one-to-one
correspondence with the set of natural numbers, i.e. on the basis of three-four
successive known terms, we can catch a rule and hence can write the
subsequent terms. For example suppose X is a random variable taking the
values say 2, 5, 8, 11, … then we can write the fifth, sixth, … values,
because the values have one-to-one correspondence with the set of natural
numbers and have the general term as 3n 1 i.e. on taking n = 1, 2, 3, 4, 5, …
we have 2, 5, 8, 11, 14,…. So, X in this example is a discrete random
variable. The number of students present each day in a class during an
academic session is an example of discrete random variable as the number
cannot take a fractional value.
Probability Mass Function
Let X be a r.v. which takes the values x1, x2, ... and let P X x i = p(xi). This
function p(xi), i =1,2, … defined for the values x1, x2, … assumed by X is
called probability mass function of X satisfying p(xi) 0 and p x i 1 .
i
The set x , p x , x , p x ,... specifies the probability distribution of a
1 1 2 2
discrete r.v. X. Probability distribution of r.v. X can also be exhibited in the
following manner:
X x1 x2 x3 …
p( x ) p( x1 ) p( x 2 ) p( x 3 )…
Now, let us take up some examples concerning probability mass function:
Example 1: State, giving reasons, which of the following are not probability
distributions:
(i)
X 0 1
p( x ) 1 3
2 4
(ii)
X 0 1 2
p( x ) 3 1 3
4 2 4
7
Random Variables and (iii)
Expectation
X 0 1 2
p( x ) 1 1 1
4 2 4
(iv)
X 0 1 2 3
p( x ) 1 3 1 1
8 8 4 8
Solution:
(i) Here p( x i ) 0, i = 1, 2; but
2
1 3 5
px
i 1
i = p( x1 ) + p( x 2 ) = p(0) + p(1) = 1.
2 4 4
2
So, the given distribution is not a probability distribution as p x is
i 1
i
greater than 1.
1
(ii) It is not probability distribution as p(x2) = p(1) = i.e. negative
2
(iii) Here, p(x i ) 0 , i = 1, 2, 3
3
1 1 1
and p x p x p x p x p 0 p 1 p 2 4 2 4 1 .
i 1
i 1 2 3
The given distribution is probability distribution.
(iv) Here, p(xi) 0, i = 1, 2, 3, 4; but
4
p x = p( x ) + p( x
i 1
i 1 2 ) + p( x3 ) + p( x 4 )
1 3 1 1 7
= p(0) + p(1) + p(2) + p(3) = 1.
8 8 4 8 8
The given distribution is not probability distribution.
Example 2: For the following probability distribution of a discrete r.v. X, find
i) the constant c,
ii) P[X 3] and
iii) P[1 < X < 4].
X 0 1 2 3 4 5
p( x ) 0 c c 2c 3c c
8
Solution: Random Variables
i) As the given distribution is probability distribution,
px 1
i
i
1
0 + c + c + 2c + 3c + c = 1 8 c = 1 c =
8
ii) P[X 3] = P[X = 3] + P[X = 2] + P[X = 1] + P[X = 0]
1 1
= 2c + c+ c + 0 = 4 c = 4 .
8 2
1 3
iii) P[1 < X < 4] = P[X = 2] + P[X = 3] = c + 2c = 3c = 3 .
8 8
Example 3: Find the probability distribution of the number of heads when
three fair coins are tossed simultaneously.
Solution: Let X be the number of heads in the toss of three fair coins.
As the random variable, “the number of heads” in a toss of three coins may be
0 or 1 or 2 or 3 associated with the sample space
{HHH, HHT, HTH, THH, HTT, THT, TTH, TTT},
X can take the values 0, 1, 2, 3, with
1
P[X = 0] = P[TTT ] =
8
3
P[X = 1] = P[HTT, THT, TTH] =
8
3
P[X = 2] = P[HHT, HTH, THH] =
8
1
P[X = 3] = P [HHH] = .
8
Probability distribution of X, i.e. the number of heads when three coins are
tossed simultaneously is
X 0 1 2 3
p( x ) 1 3 3 1
8 8 8 8
which is the required probability distribution.
Example 4: A r.v. X assumes the values 2, 1, 0, 1, 2 such that
P[X = 2] = P[X = 1] = P[X = 1] = P[X = 2],
P[X < 0] = P[X = 0] = P[X > 0].
Obtain the probability mass function of X.
9
Random Variables and Solution: As P[X < 0] = P[X = 0] = P[X > 0]
Expectation
P[X = 1] + P[X = 2] = P[X = 0] = P[X = 1] + P[X = 2]
p + p = P[X = 0] = p + p
[Letting P[X = 1] = P[X = 2] = P[X = 1] = P[X = 2] = p]
P[X = 0] = 2p.
Now, as P[X < 0] + P[X = 0] + P[X > 0] = 1,
P[X = 1] + P[X = 2] + P[X = 0] + P[X = 1] + P[X = 2] = 1
p + p + 2p + p + p = 1
1
6p = 1 p =
6
1 2
P[X = 0] = 2p = 2 = ,
6 6
1
P[X = 1] = P[X = 2] = P[X = 1] = P[X = 2] = p = .
6
Hence, the probability distribution of X is given by
X 2 1 0 1 2
p(x) 1 1 2 1 1
6 6 6 6 6
Now, here are some exercises for you.
E1) 2 bad articles are mixed with 5 good ones. Find the probability
distribution of the number of bad articles, if 2 articles are drawn at
random.
E2) Given the probability distribution:
X 0 1 2 3
p( x ) 1 3 1 1
10 10 2 10
Let Y = X2 + 2X. Find the probability distribution of Y.
E3) An urn contains 3 white and 4 red balls. 3 balls are drawn one by one
with replacement. Find the probability distribution of the number of red
balls.
10
Let us define and explain a continuous random variable and its probability Random Variables
function in the next section.
5.4 CONTINUOUS RANDOM VARIABLE AND
PROBABILITY DENSITY FUNCTION
In Sec. 5.3 of this unit, we have defined the discrete random variable as a
random variable having countable number of values, i.e. whose values can be
arranged in a sequence. But, if a random variable is such that its values cannot
be arranged in a sequence, it is called continuous random variable.
Temperature of a city at various points of time during a day is an example of
continuous random variable as the temperature takes uncountable values, i.e. it
can take fractional values also. So, a random variable is said to be continuous
if it can take all possible real (i.e. integer as well as fractional) values between
two certain limits. For example, let us denote the variable, “Difference
between the rainfall (in cm) of a city and that of another city on every rainy
day in a rainy reason”, by X, then X here is a continuous random variable as it
can take any real value between two certain limits. It can be noticed that for a
continuous random variable, the chance of occurrence of a particular value of
the variable is very small, so instead of specifying the probability of taking a
particular value by the variable, we specify the probability of its lying within
an interval. For example, chance that an athlete will finish a race in say exactly
10 seconds is very-very small, i.e. almost zero as it is very rare to finish the
race in a fixed time. Here, the probability is specified for an interval, i.e. we
may be interested in finding as to what is the probability of finishing the race
by the athlete in an interval of say 10 to 12 seconds.
So, continuous random variable is represented by different representation
known as probability density function unlike the discrete random variable
which is represented by probability mass function.
Probability Density Function
Let f( x ) be a continuous function of x . Suppose the shaded region ABCD
shown in the following figure represents the area bounded by y = f( x ), x -axis
and the ordinates at the points x and x + x , where x is the length of the
interval ( x , x + x ).
A B
y = f(x)
D C
x x + x
Fig. 5.1
Now, if x is very-very small, then the curve AB will act as a line and hence
the shaded region will be a rectangle whose area will be AD DC i.e. f( x ) x
[ AD = the value of y at x i.e. f ( x ), DC = length x of the interval
( x, x + x )]
Also, this area = probability that X lies in the interval ( x, x + x )
= P[ x X x + x ]
11
Random Variables and Hence,
Expectation
P[ x X x + x ] = f (x) x
P[x X x x]
f x , where x is very-very small
x
P[x X x x]
lim f x.
x 0 x
f( x ), so defined, is called probability density function.
Probability density function has the same properties as that of probability mass
function. So, f( x ) 0 and sum of the probabilities of all possible values that
the random variable can take, has to be 1. But, here, as X is a continuous
random variable, the summation is made possible through ‘integration’ and
hence
f x dx 1 ,
R
where integral has been taken over the entire range R of values of X.
Remark 2
i) Summation and integration have the same meanings but in mathematics
there is still difference between the two and that is that the former is used
in case of discrete values, i.e. countable values and the latter is used in
continuous case.
ii) An essential property of a continuous random variable is that there is
zero probability that it takes any specified numerical value, but the
probability that it takes a value in specified intervals is non-zero and is
calculable as a definite integral of the probability density function of the
random variable and hence the probability that a continuous r.v. X will
lie between two values a and b is given by
b
P[a < X < b] = f x dx .
a
Example 5: A continuous random variable X has the probability density
function:
f( x ) = Ax3, 0 x 1.
Determine
i) A
ii) P[0.2 < X < 0.5]
3 1
iii) P[X > given X > ]
4 2
Solution:
(i) As f( x ) is probability density function,
f x dx 1
R
12
1 1 Random Variables
f x dx 1 Ax 3dx 1
0 0
1
x4 1
A 1 A 0 1 A 4
4 0 4
0.5 0.5 0.5
x4
(ii) P[0.2 < X < 0.5] = f x dx = Ax dx 4 = [(0.5)4 – (0.2)4]
3
0.2 0.2 4 0.2
= 0.0625 – 0.0016= 0.0609
3 1 3 1
(iii) P[X > given X > ] = P[ X X ]
4 2 4 2
3 1
P X X
4 2 P A B
= [ P(AB) = ]
1 P B
P X
2
3
P X the common portion for
4
1 X > 3 and X > 1 is X > 3
P X 4 2 4
2
1
3 0 1 3
Now, P X f x dx
4 3 2 4
4
3
lower limit is 4 and upper limit
is given in the problem which is1
1 1 4
x4 4 3 81 175
= 4x dx 4 = 1 1
3
, and
3 4 3 4 256 256
4
4
1
1 1 15
P X f x [x 4 ]11/ 2 1 .
2 1 16 16
2
3
P X
4 175 16 35 35
the required probability .
1 256 15 16 3 48
P X
2
Example 6: The p.d.f. of the different weights of a “1 litre pure ghee pack” of
a company is given by:
200 x 1 for 1 x 1.1
f(x) =
0, otherwise
13
Random Variables and Examine whether the given p.d.f. is a valid one. If yes, find the probability that
Expectation
the weight of any pack will lie between 1.01 and 1.02.
Solution: For 1 x 1.1, we have f(x) 0, and
1.1
1.1 1.1
x2 1.12 1
1 f x dx 1 200 x 1 dx 200 x 200 1.1 1
2 1 2 2
1.21 2.2 1 2 0.99 1 0.01 = 1.
200 200 = 200
2 2 2 2 2
f(x) is p.d.f.
1.02 1.02
x2
Now, P[1.01 < X < 1.02] = 200 x 1 dx = 200 x
1.01 2 1.01
1.02 2 1.01 2
= 200 1.02 1.01
2
2
1.0404 1.0201
= 200 1.02 1.01
2 2
= 200 0.5202 1.02 0.51005 1.01
= 200 0.00015 = 0.03.
Now, you can try the following exercise.
E4) The life (in hours) X of a certain type of light bulb may be supposed to
be a continuous random variable with p.d.f.:
A
, 1500 x 2500
f x x3
0, elsewhere
Determine the constant A and compute the probability that
1600 X 2000.
5.5 DISTRIBUTION FUNCTION
A function F defined for all values of a random variable X by
F( x ) = P[X x ] is called the distribution function. It is also known as the
cumulative distribution function (c.d.f.) of X since it is the cumulative
probability of X up to and including the value x. As X can take any real value,
therefore the domain of the distribution function is set of real numbers and as
F(x) is a probability value, therefore the range of the distribution function is
[0, 1].
Remark 3: Here, X denotes the random variable and x represents a particular
value of random variable. F( x ) may also be written as FX( x ), which means
that it is a distribution function of random variable X.
14
Discrete Distribution Function Random Variables
Distribution function of a discrete random variable is said to be discrete
distribution function or cumulative distribution function (c.d.f.). Let X be a
discrete random variable taking the values x1, x2, x3, … with respective
probabilities p1, p2, p3, …
Then F( x i ) = P[X x i ] = P[X = x1 ] + P[X = x 2 ] + … + P[X = x i ]
= p1 + p2 + ... + pi .
The distribution function of X, in this case, is given as in the following table:
X F( x )
x1 p1
x2 p1 p 2
x3 p1 p 2 p3
x4 p1 p 2 p3 p 4
. .
. .
. .
The value of F(x) corresponding to the last value of the random variable X is
always 1, as it is the sum of all the probabilities. F(x) remains 1 beyond this
last value of X also, as it being a probability can never exceed one.
For example, Let X be a random variable having the following probability
distribution:
X 0 1 2
p( x ) 1 1 1
4 2 4
Notice that p( x ) will be zero for other values of X. Then, Distribution function
of X is given by
X F( x ) = P[X x ]
0 1
4
1 1 1 3
4 2 4
2 1 1 1
1
4 2 4
15
Random Variables and Here, for the last value, i.e. for X = 2, we have F( x ) =1.
Expectation
Also, if we take a value beyond 2 say 4, then we get
F(4) = P[X 4]
= P[X = 4] + P[X = 3] + P[X 2]
= 0 + 0 + 1 = 1.
Example 7: A random variable X has the following probability function:
X 0 1 2 3 4 5 6 7
p( x ) 1 1 1 3 1 1 17
0
10 5 5 10 100 50 100
Determine the distribution function of X.
Solution: Here,
F(0) = P[X 0] = P[X = 0] = 0,
1 1
F(1) = P[X 1] = P[X = 0] + P [X = 1] = 0 + ,
10 10
1 1 3
F(2) = P[X 2] = P[X = 0] + P [X = 1] + [X = 2] = 0 + ,
10 5 10
and so on. Thus, the distribution function F( x ) of X is given in the following
table:
X F( x ) = P[X x ]
0 0
1 1
10
2 3
10
3 3 1 1
10 5 2
4 1 3 4
2 10 5
5 4 1 81
5 100 100
6 81 1 83
100 50 100
7 83 17
1
100 100
16
Continuous Distribution Function Random Variables
Distribution function of a continuous random variable is called the continuous
distribution function or cumulative distribution function (c.d.f.).
Let X be a continuous random variable having the probability density function
f( x ), as defined in the last section of this unit, then the distribution function
F( x ) is given by
x
F( x ) = P[X x ] = f x dx .
Also, in the last section, we have defined the p.d.f. f( x ) as
P x X x x
f x lim ,
x 0 x
P X x x P X x x x
f x lim x
x 0 x
F x x F x
f x lim ,
x 0 x
By definition of
f x Derivative of F( x ) with respect to x
the derivative
f x F ' x
d
f(x) =
dx
F x
dF(x) = f(x) dx
Here, dF( x ) is known as the probability differential.
x
So, F x f x dx
X and F(x) = f(x).
Example 8: The diameter ‘X’ of a cable is assumed to be a continuous random
6x 1 x , 0 x 1
variable with p.d.f. f x .
0, elsewhere
Obtain the c.d.f. of X.
Solution: For 0 x 1, the c.d.f. of X is given by
x x
F x P[X x] f x dx = 6x 1 x dx
0 0
x x
x 2 x3
= 6 x x dx = 6 = 3x 2 2x 3
2
0 2 3 0
17
Random Variables and The c.d.f. of X is given by
Expectation
0, x0
2 3
F x 3x 2x , 0 x 1.
1, x 1
Remark 4: In the above example, F( x ) is taken as 0 for x < 0 since p( x ) = 0
for x < 0 ; and F( x ) is taken as 1 for x > 1 since F(1) = 1 and therefore,
for x > 1 also F( x ) will remain 1.
Now, you can try the following exercises.
E 5) A random variable X has the following probability distribution:
X 0 1 2 3 4 5 6 7 8
p( x ) k 3k 5k 7k 9k 11k 13k 15k 17k
i) Determine the value of k.
ii) Find the distribution function of X.
E 6) Let X be continuous random variable with p.d.f. given by.
x
2, 0 x 1
1 , 1 x 2
f x 2 .
1
3 x , 2x 3
2
0, elsewhere.
Determine F( x ), the c.d.f. of X.
5.6 SUMMARY
Following main points have been covered in this unit of the course:
1) A random variable is a function whose domain is a set of possible
outcomes and range is a sub-set of the set of reals and has the following
properties:
i) Each particular value of the random variable can be assigned some
probability.
ii) Sum of all the probabilities associated with all the different values of
18 the random variable is unity.
2) A random variable is said to be discrete random variable if it has either Random Variables
a finite number of values or a countable number of values, i.e. the values
can be arranged in a sequence.
3) If a random variable is such that its values cannot be arranged in a
sequence, it is called continuous random variable. So, a random
variable is said to be continuous if it can take all the possible real
(i.e. integer as well as fractional) values between two certain limits.
4) Let X be a discrete r.v. which take on the values x1 , x2, ... and let
P X x i = p(xi). The function p(xi) is called probability mass
function of X satisfying p(xi) 0 and p x 1 . The set
i
i
x , p x , x , p x ,... specifies the probability distribution of
1 1 2 2
discrete r.v. X.
5) Let X be a continuous random variable and f( x ) be a continuous
function of x . Suppose ( x , x + x ) be an interval of length x . Then
P[x X x x]
f( x ) defined by lim f x is called the probability
x 0 x
density function of X.
Probability density function has the same properties as that of probability
mass function i.e. f( x ) 0 and f x dx 1 , where integral has been
R
taken over the entire range R of values of X.
6) A function F defined for all values of a random variable X by
F( x ) = P[X x ] is called the distribution function. It is also known as
the cumulative distribution function (c.d.f.) of X. The domain of the
distribution function is a set of real numbers and its range is [0, 1].
Distribution function of a discrete random variable X is said to be
discrete distribution function and is given by
x1 , F x1 , x 2 , F x 2 ,... . Distribution function of a continuous
random variable X having the probability density function f( x ) is said to
be continuous distribution function and is given by
x
F( x ) = P[X x ] = f x dx .
Derivative of F( x ) with respect to x is f x , i.e. F ' x = f x .
5.7 SOLUTIONS/ANSWERS
E 1) Let X be the number of bad articles drawn.
X can take the values 0, 1, 2 with
P[X = 0] = P[No bad article]
= P[Drawing 2 articles from 5 good articles and zero article
from 2 bad articles]
19
Random Variables and 5
Expectation
C 2 2 C0 5 4 1 10
7
,
C2 76 21
P[X = 1] = P[One bad article and 1 good article]
2
C1 5 C1 2 5 2 10
7
, and
C2 7 6 21
P[X = 2] = P[Two bad articles and no good article]
2
C 2 5 C0 1 1 2 1
= 7
C2 76 21
Probability distribution of number of bad articles is:
X 0 1 2
p( x ) 10 10 1
21 21 21
E2) As Y = X2 + 2X,
For X = 0, Y = 0 + 0 = 0;
For X = 1, Y = 12 + 2(1) = 3;
For X = 2, Y = 22 + 2(2) = 8; and
For X = 3, Y = 32 + 2(3) = 15.
Thus, the values of Y are 0, 3, 8, 15 corresponding to the values
0, 1, 2, 3 of X and hence
1 3
P[Y = 0] = P[X = 0] = , P[Y = 3] = P[X = 1] = ,
10 10
1 1
P[Y = 8] = P[X = 2] = and P[Y = 15] = P[X = 3] = .
2 10
The probability distribution of Y is
Y 0 3 8 15
p(y) 1 3 1 1
10 10 2 10
E3) Let X be the number of red balls drawn.
X can take the values 0, 1, 2, 3.
Let Wi be the event that i th draw gives white ball and Ri be the event
that i th draw gives red ball.
P[X = 0] = P[No Red ball] = P[W1 W2 W3]
=P(W1). P(W2). P(W3)
[ balls are drawn with replacement and hence the draws are independent]
20
3 3 3 27 Random Variables
=
7 7 7 343
P[X = 1] = P[One red and two white]
= P R1 W2 W3 or W1 R 2 W3 or W1 W2 R 3
= P R 1 W2 W3 P W1 R 2 W3 P W1 W2 R 3
= P[R 1 ]P W2 P W3 P W1 P R 2 P W3 P W1 P W2 P R 3
4 3 3 3 4 3 3 3 4 4 3 3 108
= = 3 = ,
7 7 7 7 7 7 7 7 7 7 7 7 343
P[X = 2] = P[Two red and one white]
P R1 R 2 W3 or R 1 W2 R 3 or W1 R 2 R 3
= P[R 1 ]P R 2 P W3 P R1 P W2 P R 3 P W1 P R 2 P R 3
4 4 3 4 3 4 3 4 4 4 4 3 144
= = 3 = .
7 7 7 7 7 7 7 7 7 7 7 7 343
P[X = 3] = P [Three red balls]
4 4 4 64
= P[R1 R2 R3] = P(R1) P(R2) P(R3) = .
7 7 7 343
Probability distribution of the number of red balls is
X 0 1 2 3
p( x ) 27 108 144 64
343 343 343 343
E4) As f( x ) is p.d.f.,
2500 2500 2500
A 3 x 2
3
dx 1 A x dx 1 A 1
1500
x 1500 2 1500
A 1 1 A 1 1
1 1
2 2
2 2500 1500 20000 625 225
A 9 25
1 16A = 5625 20000
20000 5625
5625 20000
A= = 5625 1250 = 7031250.
16
2000 2000
1
Now, P[1600 X 2000] = f x dx = A dx
1600 1600
x3
21
Random Variables and
A 1 1
2000
Expectation A 1
=
2 x 2 1600 2 2000 2 1600 2
A 1 1 A 16 25
= =
20000 400 256 20000 6400
9 7031250 2025
= =
20000 6400 4096
E5) i) As the given distribution is probability distribution,
sum of all the probabilities = 1
k + 3k + 5k + 7k + 9k + 11k + 13k + 15k + 17k = 1
1
81 k = 1 k =
81
ii) The distribution function of X is given in the following table:
X F( x ) = P[X x ]
0 1
k
81
1 4
k 3k 4k
81
2 9
4k 5k 9k
81
3 16
9k 7k 16k
81
4 25
16k 9k 25k
81
5 36
25k 11k 36k
81
6 49
36k 13k 49k
81
7 64
49k 15k 64k
81
8 64k 17k 81k 1
E6) For x < 0,
x x
F( x ) = P[X x ] = f x dx = 0dx 0 [ f(x) = 0 for x < 0] .
22
For 0 x < 1, Random Variables
x 0 x
F( x ) = P[X x ] =
f x dx = f x dx f x dx
0
[ 0 x <1]
x
x x
=0+ 2 dx f (x) 2 for 0 x 1
0
x
1 x2 x2
= .
2 2 0 4
For 1 x < 2,
x
F ( x ) = P [X x ] =
f x dx
0 1 x
f x dx f x dx f x dx
0 1
1 x
x 1 1 1 1
= 0 dx dx = x 2 [x]1x
0
2 1
2 4 0 2
1 x 1 1
= 2x 1
4 2 2 4
For 2 x < 3,
x
F x = f x dx
0 1 2 x
= f x dx f x dx f x dx f x dx
0 1 2
1 2 x
x 1 1
= 0 dx dx 3 x dx
0
2 1
2 2
2
1 x
x2 1 2 1 x2
= x 1 3x
4 0 2 2 2 2
1 1 1 x2
= 3x 6 2
4 2 2 2
1 x2 5 x 2 3x 5
= 3x =
2 2 4 4 2 4
For 3 x < ,
x
F x = f x dx
23
Random Variables and 0 1 2 3 x
Expectation = f x dx f x dx f x dx f x dx f x dx
0 1 2 3
1 2 3 x
x 1 1
= 0 dx dx 3 x dx 0 dx
0
2 1
2 2
2 3
1 2 3
x2 x 1 x2
= 3x 0
4 0 2 1 2 2 2
1 1 1 9
= 1 9 6 2
4 2 2 2
1 1 19
= 4
4 2 22
1 1 1
= 1
4 2 4
Hence, the distribution function is given by:
0, x 0
x2
, 0 x 1
4
2x 1
Fx , 1 x 2
4
x 2 3x 5
, 2 x3
4 2 4
1, 3 x
24
Bivariate Discrete Random
UNIT 6 BIVARIATE DISCRETE RANDOM Variables
VARIABLES
Structure
6.1 Introduction
Objectives
6.2 Bivariate Discrete Random Variables
6.3 Joint, Marginal and Conditional Probability Mass Functions
6.4 Joint and Marginal Distribution Functions for Discrete Random Variables
6.5 Summary
6.6 Solutions/Answers
6.1 INTRODUCTION
In Unit 5, you have studied one-dimensional random variables and their
probability mass functions, density functions and distribution functions. There
may also be situations where we have to study two-dimensional random
variables in connection with a random experiment. For example, we may be
interested in recording the number of boys and girls born in a hospital on a
particular day. Here, ‘the number of boys’ and ‘the number of girls’ are
random variables taking the values 0, 1, 2, … and both these random variables
are discrete also.
In this unit, we concentrate on the two-dimensional discrete random variables
defining them in Sec. 6.2. The joint, marginal and conditional probability mass
functions of two-dimensional random variable are described in Sec. 6.3. The
distribution function and the marginal distribution function are discussed in
Sec. 6.4.
Objectives
A study of this unit would enable you to:
define two-dimensional discrete random variable;
specify the joint probability mass function of two discrete random
variables;
obtain the marginal and conditional distributions for two-dimensional
discrete random variable;
define two-dimensional distribution function;
define the marginal distribution functions; and
solve various practical problems on bivariate discrete random variables.
25
Random Variables and
Expectation 6.2 BIVARIATE DISCRETE RANDOM
VARIABLES
In Unit 5, the concept of single-dimensional random variable has been studied
in detail. Proceeding in analogy with the one-dimensional case, concept of
two-dimensional discrete random variables is discussed in the present unit.
A situation where two-dimensional discrete random variable needs to be
studied has already been given in Sec. 6.1 of this unit. To describe such
situations mathematically, the study of two random variables is introduced.
Definition: Let X and Y be two discrete random variables defined on the
sample space S of a random experiment then the function (X, Y) defined on
the same sample space is called a two-dimensional discrete random variable. In
others words, (X, Y) is a two-dimensional random variable if the possible
values of (X, Y) are finite or countably infinite. Here, each value of X and Y is
represented as a point ( x, y ) in the xy-plane.
As an illustration, let us consider the following example:
Let three balls b1, b2, b3 be placed randomly in three cells. The possible
outcomes of placing the three balls in three cells are shown in Table 6.1.
Table 6.1 : Possible Outcomes of Placing the Three Balls in Three Cells
Arrangement Placement of the Balls in
Number
Cell 1 Cell 2 Cell 3
1 b1 b2 b3
2 b1 b3 b2
3 b2 b1 b3
4 b2 b3 b1
5 b3 b1 b2
6 b3 b2 b1
7 b1,b2 b3 -
8 b1,b2 - b3
9 - b1,b2 b3
10 b1,b3 b2 -
11 b1,b3 - b2
12 - b1,b3 b2
13 b2,b3 b1 -
14 b2,b3 - b1
15 - b2,b3 b1
16 b1 b2,b3 -
17 b1 - b2,b3
18 - b1 b2,b3
26
19 b2 b3,b1 - Bivariate Discrete Random
Variables
20 b2 - b3,b1
21 - b2 b3,b1
22 b3 b1,b2 -
23 b3 - b1,b2
24 - b3 b1,b2
25 b1,b2,b3 - -
26 - b1,b2,b3 -
27 - - b1,b2,b3
Now, let X denote the number of balls in Cell 1 and Y be the number of cells
occupied. Notice that X and Y are discrete random variables where X take on
the values 0, 1, 2, 3 ( number of balls in Cell 1 may be 0 or 1 or 2 or 3) and
Y take on the values 1, 2, 3 ( number of occupied cells may be 1 or 2 or 3).
The possible values of two-dimensional random variable (X, Y), therefore, are
all ordered pairs of the values x and y of X and Y, respectively, i.e. are (0, 1),
(0, 2), (0, 3), (1, 1), (1, 2), (1, 3), (2, 1), (2, 2), (2, 3), (3, 1), (3, 2), (3, 3).
Now, to each possible value xi , y j of (X, Y), we can associate a number
p x i , y j representing P X x i , Y y j as discussed in the following section
of this unit.
6.3 JOINT, MARGINAL AND CONDITIONAL
PROBABILITY MASS FUNCTIONS
Let us again consider the example discussed in Sec. 6.2. In this example, we
have obtained all possible values of (X, Y), where X is the number of balls in
Cell 1 and Y be the number of occupied cells. Now, let us associate numbers
p x i , y j representing P X x i , Y y j as follows:
p(0, 1) = P[X = 0, Y = 1] = P[no ball in Cell 1 and 1 cell occupied]
2
= P[Arrangement numbers 26, 27] =
27
p(0, 2) = P[X = 0, Y = 2] = P[no ball in Cell 1 and 2 cells occupied]
= P[Arrangement numbers 9, 12, 15, 18, 21, 24]
6
=
27
p(0, 3) = P[X = 0, Y = 3] = P[no ball in Cell 1 and 3 cells occupied]
= P[Impossible event] = 0
p(1, 1) = P[X = 1, Y = 1] = P[one ball in Cell 1 and 1 cell occupied]
= P[Impossible event] = 0
27
Random Variables and
Expectation p(1, 2) = P[X = 1, Y = 2] = P[one ball in Cell 1 and 2 cells occupied]
= P[Arrangement numbers 16, 17, 19, 20, 22, 23]
6
=
27
p(1, 3) = P[X = 1, Y = 3] = P[one ball in Cell 1 and 3 cells occupied]
6
= P[Arrangement numbers1 to 6] =
27
p(2, 1) = P[X = 2, Y = 1] = P[two balls in Cell 1 and 1 cell occupied]
= P[Impossible event] = 0
p(2, 2) = P[X = 2, Y = 2] = P[two balls in Cell 1 and 2 cells occupied]
= P[Arrangement numbers 7, 8, 10, 11, 13, 14]
6
=
27
p(2, 3) = P[X = 2, Y = 3] = P[two balls in Cell 1 and 3 cells occupied]
= P[Impossible event] = 0
p(3, 1) = P[X = 3, Y = 1] = P[three balls in Cell 1 and 1 cell occupied]
1
= P[Arrangement number 25] =
27
p(3, 2) = P[X = 3, Y = 2] = P[three balls in Cell 1 and 2 cells occupied]
= P[Impossible event] = 0
p(3, 3) = P[X = 3, Y = 3] = P[three balls in Cell 1 and 3 cells occupied]
= P[Impossible event] = 0
The values of (X, Y) together with the number associated as above constitute
what is known as joint probability distribution of (X, Y) which can be written
in the tabular form also as shown below:
Y 1 2 3 Total
X
0 2 / 27 6 / 27 0 8 / 27
1 0 6 / 27 6 / 27 12 / 27
2 0 6 / 27 0 6 / 27
3 1 / 27 0 0 1 / 27
Total 3 / 27 18 / 27 6 / 27 1
28
We are now in a position to define joint, marginal and conditional probability Bivariate Discrete Random
mass functions. Variables
Joint Probability Mass Function
Let (X, Y) be a two-dimensional discrete random variable. With each possible
outcome xi , y j , we associate a number p x i , y j representing
P X x i , Y y j or P X x i Y y j and satisfying following conditions:
(i) p xi , y j 0
(ii) p x , y 1
i j
i j
The function p defined for all x i , y j is in analogy with one-dimensional case
and called the joint probability mass function of X and Y. It is usually
represented in the form of the table as shown in the example discussed above.
Marginal Probability Function
Let (X, Y) be a discrete two-dimensional random variable which take up finite
or countably infinite values x i , y j . For each such two-dimensional random
variable (X, Y), we may be interested in the probability distribution of X or the
probability distribution of Y, individually.
Let us again consider the example of the random placement of three balls in
there cells wherein X and Y are the discrete random variables representing “the
number of balls in Cell 1” and “the number of occupied cells”, respectively.
Let us consider Table 6.1 showing the joint distribution of (X, Y). From this
table, let us take up the row totals and column totals. The row totals in the table
represent the probability distribution of X and the column totals represent the
probability distribution of Y, individually. That is,
2 6 8
P[X 0] 0
27 27 27
6 6 12
P[X 1] 0
27 27 27
6 6
P[X 2] 0 0
27 27
1 1
P[X 3] 00 and
27 27
2 1 3
P[Y 1] 00
27 27 27
6 6 6 18
P[Y 2] 0
27 27 27 27
6 6
P[Y 3] 0 00
27 27
These distributions of X and Y, individually, are called the marginal
probability distributions of X and Y, respectively.
29
Random Variables and
Expectation
So, if (X, Y) is a discrete two-dimensional random variable which take up the
values x i , y j , then the probability distribution of X is determined as follows:
p x i P X xi
= P X x i Y y1 or X x i Y y 2 or...
P X x i Y y1 P X x i Y y 2 P X x i Y y 3 ...
= P X x
j
i Y y j
p x i , y j , the joint probability mass
p xi , y j
j function, is P X x i Y y j
which is known as the marginal probability mass function of X. Similarly, the
probability distribution of Y is
p y j P Y y j
= P X x1 Y y j P X x 2 Y y j ...
P X x i Y y j
i
= p xi , y j
i
and is known as the marginal probability mass function of Y.
Conditional Probability Mass Function
Let (X, Y) be a discrete two-dimensional random variable. Then the
conditional probability mass function of X, given Y y is defined as
p x y P[X x Y y]
P X x Y y
= , provided P[Y = y] 0
P Y y
P A B
P A B , P B 0
P B
Similarly, the conditional probability mass function of Y, given X = x, is
defined as
P Y y X x
p y x P Y y X x
P X x
Let us again consider the example as already discussed in this section.
Suppose, we are interested in finding the conditional probability mass function
of X given Y = 2. Then the conditional probabilities are found separately for
each value of X given Y = 2. That is, we proceed as follows:
30
6 Bivariate Discrete Random
P X 0 Y 2 1 Variables
P X 0 Y 2 27
P Y 2 18 3
27
6
P X 1 Y 2 1
P X 1 Y 2 27
P Y 2 18 3
27
6
P X 2 Y 2 1
P X 2 Y 2 27
P Y 2 18 3
27
P X 3 Y 2 0
P X 3 Y 2 0
P Y 2 18
27
[Note that values of numerator and denominator in the above expressions have
already been obtained while discussing the joint and marginal probability mass
functions in this section of the unit.]
Independence of Random Variables
Two discrete random variables X and Y are said to be independent if and only
if
P X x i Y y j P X x i P Y y j
[ two events A and B are independent if and only if P(A B) = P(A) P(B)]
Example 1: The following table represents the joint probability distribution of
the discrete random variable (X, Y):
Y 1 2
X
1 0.1 0.2
2 0.1 0.3
3 0.2 0.1
Find :
i) The marginal distributions.
ii) The conditional distribution of X given Y = 1.
iii) P[(X + Y) < 4].
Solution:
i) To find the marginal distributions, we have to find the marginal totals, i.e.
row totals and column totals as shown in the following table:
31
Random Variables and
Expectation
Y 1 2 px
X
(Totals)
1 0.1 0.2 0.3
2 0.1 0.3 0.4
3 0.2 0.1 0.3
p y 0.4 0.6 1
(Totals)
Thus, the marginal probability distribution of X is
X 1 2 3
p(x) 0.3 0.4 0.3
and the marginal probability distribution of Y is
Y 1 2
P(y) 0.4 0.6
P X 1, Y 1 0.1 1
ii) As P X 1 Y 1 ,
P Y 1 0.4 4
P X 2, Y 1 0.1 1
P X 2 Y 1 and
P Y 1 0.4 4
P X 3 Y 1 0.2 1
P X 3 Y 1 ,
P Y 1 0.4 2
The conditional distribution of X given Y = 1 is
X 1 2 3
P X x Y 1 1 1 1
4 4 2
(iii) As the values of (X, Y) which satisfy X + Y < 4 are (1, 1), (1, 2) and (2, 1)
only.
P X Y 4 P X 1, Y 1 P X 1, Y 2 P X 2, Y 1
0.1 0.2 0.1 = 0.4
Example 2: Two discrete random variables X and Y have
2 1 1
P[X = 0, Y = 0] , P[X = 0, Y = 1] = , P X 1, Y 0 , and
9 9 9
32
5 Bivariate Discrete Random
P X 1, Y 1 . Examine whether X and Y are independent? Variables
9
Solution: Writing the given distribution in tabular form as follows:
Y 0 1 px
X
0 2/ 9 1/ 9 3/ 9
1 1/ 9 5/ 9 6/9
p y 3/ 9 6/9 1
3 6
P X 0 , P X 1 ,
9 9
3 6
P Y 0 , P Y 1
9 9
3 3 1
Now P X 0 P Y 0
9 9 9
2
But P X 0, Y 0
9
P X 0, Y 0 P X 0 P Y 0
Hence X and Y are not independent
[Note: If P X x, Y y P X x P Y y for each possible value of X
and Y, only then X and Y are independent.]
Here are two exercises for you.
E1) The joint probability distribution of a pair of random variables is given
by the following table:
Y 1 2 3
X
1 1 / 12 0 1 / 18
2 1/ 6 1/ 9 1/ 4
3 0 1/ 5 2 / 15
i) Evaluate marginal distribution of X.
ii) Evaluate conditional distribution of Y given X = 2
iii) Obtain P X Y 5.
33
Random Variables and
Expectation
E2) For the following joint probability distribution of (X, Y),
Y 1 2 3
X
1 1 / 20 1 / 10 1 / 10
2 1 / 20 1 / 10 1 / 10
3 1 / 10 1 / 10 1 / 20
4 1 / 10 1 / 10 1 / 20
i) find the probability that Y = 2 given that X = 4,
ii) find the probability that Y = 2, and
iii) examine if the two events X = 4 and Y = 2 are independent.
6.4 JOINT AND MARGINAL DISTRIBUTION
FUNCTIONS FOR DISCRETE RANDOM
VARIABLES
Two-Dimensional Joint Distribution Function
In analogy with the distribution function F x P X x of one-dimensional
random variable X discussed in Unit 5 of this course, the distribution function
of the two-dimensional random variable (X, Y) for all real x and y is defined
as
F x, y P X x, Y y
Marginal Distribution Functions
Let (X, Y) be a two-dimensional discrete random variable having F x, y as its
distribution function. Now the marginal distribution function of X is defined
as
F x P X x
P X x, Y y1 P X x, Y y 2 ...
P X x, Y y j
j
Similarly, the marginal distribution function of Y is defined as
F y P Y y
P X x1 , Y y P X x 2 , Y y ...
P X x i , Y y
i
34
Example 3: Considering the probability distribution function given in Bivariate Discrete Random
Example 1, find Variables
i) F(2, 2), F(3,2)
ii) FX(3)
iii) FY(1)
Solution:
i) F 2, 2 P X 2, Y 2
= P X 2, Y 2 P X 1, Y 2
P X 2, Y 2 P X 2, Y 1 P X 1, Y 2
P X 1, Y 1
= 0.3 + 0.1 + 0.2 + 0.1 = 0.7
F 3, 2 P X 3, Y 2
P X 2, Y 2 P X 3, Y 2
first term on R.H.S. has been
= 0.7 P X 3, Y 2 obtained in part (i) of this example
= 0.7 P X 3, Y 2 P X 3, Y 1 0.7 0.1 0.2 = 1
ii) FX 3 P X 3
= P X 3, Y 1 P X 3, Y 2
= P X 3, Y 1 P X 2, Y 1 P X 1, Y 1
P X 3, Y 2 P X 2, Y 2 P X 1, Y 2
= 0.2 + 0.1 + 0.1 +0.1+ 0.3 + 0.2 = 1
iii) FY 1 P Y 1
= P X 1, Y 1 P X 2, Y 1 P X 3, Y 1
= P X 1, Y 1 P X 2, Y 1 P X 3, Y 1
= 0.1 + 0.1 + 0.2 = 0.4
Example 4: Find the joint and marginal distribution functions for the joint
probability distribution given in Example 2.
Solution: For the joint distribution function, we have to find
F x, y P X x, Y y for each x and y, i.e. we are to find F(0,0), F(0,1),
F(1,0), F(1,1).
35
Random Variables and
2
Expectation F 0, 0 P X 0, Y 0 P X 0, Y 0
9
F 0,1 P X 0, Y 1 P X 0, Y 0 P X 0, Y 1
2 1 3
=
9 9 9
F 1,0 P X 1, Y 0 P X 1, Y 0 P X 0, Y 0
1 2 3
9 9 9
F 1,1 P X 1, Y 1 P X 1, Y 1 P X 1, Y 0
+ P X 0, Y 1 P X 0, Y 0
5 1 1 2
=1
9 9 9 9
Above distribution function F x, y can be shown in the tabular form as
follows:
Y 0 Y 1
X 0 2/ 9 3/ 9
X 1 3/ 9 1
Marginal distribution function of X is obtained on finding F x P X x for
each x, i.e. we have to obtain FX 0 , FX 1 .
FX 0 P X 0 P X 0
P X 0, Y 0 P X 0, Y 1
2 1 3
9 9 9
FX 1 P X 1 P X 1, Y 0 P X 1, Y 1
P X 1, Y 0 P X 0, Y 0
P X 1, Y 1 P X 0, Y 1
1 2 5 1
1
9 9 9 9
marginal distribution function of X is given as
X F(x)
0 3/ 9
1 1
Similarly, marginal distribution function of Y can be obtained. [Do it yourself]
36
Here is an exercise for you. Bivariate Discrete Random
Variables
E3) Obtain the joint and marginal distribution functions for the joint
probability distribution given in E 1).
Now before ending this unit, let us summarizes what we have covered in it.
6.5 SUMMARY
In this unit we have covered the following main points:
1) If X and Y be two discrete random variables defined on the sample space
S of a random experiment then the function (X, Y) defined on the same
sample space is called a two-dimensional discrete random variable. In
others words, (X, Y) is a two-dimensional random variable if the
possible values of (X, Y) are finite or countably infinite.
2) A number p x i , y j associated with each possible outcome x i , y j of a
two-dimensional discrete random variable (X, Y) is called the joint
probability mass function of X and Y if it satisfies the following
conditions:
(i) p xi , y j 0
(ii) p x , y 1
i j
i j
3) If (X,Y) is a discrete two-dimensional random variable which take up the
values xi , y j , then the probability distribution of X given by
p x i = p x i , y j is known as the marginal probability mass
j
function of X and the probability distribution of Y given by
p y j = p x i , y j is known as the marginal probability mass
i
function of Y.
4) The conditional probability mass function of X given Y y in case of
a two-dimensional discrete random variable (X, Y) is defined as
p x y P[X x Y y]
P X x Y y
= ; and
P Y y
the conditional probability mass function of Y, given X = x is
defined as
p y x P Y y X x
P Y y X x
P X x
5) Two discrete random variables X and Y are said to be independent if
and only if
P X x i Y y j P X x i P Y y j
37
Random Variables and
Expectation 6.6 SOLUTIONS/ANSWERS
E1) Let us compute the marginal totals. Thus, the complete table with
marginal totals is given as
Y 1 2 3 px
X
1 1 1 1 1 5
0 0
12 18 12 18 36
2 1 1 1 1 1 1 19
6 9 4 6 9 4 36
3 1 2 1 2 1
0 0
5 15 5 15 3
p y 1 14 79 1
4 45 180
Therefore,
i) Marginal distribution of X is
X px
1 5 / 36
2 19 / 36
3 1/ 3
P Y 1, X 2 1 36 6
ii) P Y 1 X 2
P X 2 6 19 19
P Y 2, X 2 1 36 4
P Y 2 X 2
P X 2 9 19 19
P Y 3, X 2 1 36 9
P Y 3 X 2
P X 2 4 19 19
The conditional distribution of Y given X = 2 is
Y P Y y X 2
1 6 / 19
2 4 / 19
3 9 / 19
38
iii) P X Y 5 Bivariate Discrete Random
Variables
=P X 1, Y 1 P X 1, Y 2 P X 1, Y 3
+P X = 2, Y = 1 P X 2, Y 2 P X 3, Y 1
1 1 1 1 15
0 0 .
12 18 6 9 36
E2) First compute the marginal totals, then you will be able to find
1
i) P X 4 , and hence
4
P Y 2, X 4 2
P Y 2 X 4
P X 4 5
2
ii) P Y 2
5
1 1 2
iii) P X 4, Y 2 , P X 4 , P Y 2
10 4 5
1 2 1
P[X = 4] P[Y = 2] = =
4 5 10
X= 4 and Y= 2 are independent
E3) To obtain joint distribution function F x, y P X x, Y y , we have
to obtain
F x, y for each value of X and Y, i.e. we have to obtain
F 1,1 , F 1, 2 , F 1,3 , F 2,1 , F 2, 2 , F 2,3 , F 3,1 , F 3, 2 , F 3,3 .
Then, the distribution function in tabular form is
Y1 Y2 Y3
X1 1 1 5
12 12 36
X2 1 13 2
4 36 3
1 101
X3 1
4 180
39
Random Variables and
Expectation
Marginal distribution function of X is given as
X F(x)
1 5/36
2 2/3
3 1
Marginal distribution function of Y is
Y F(y)
1 1/4
2 101/180
3 1
40
Bivariate Continuous
UNIT 7 BIVARIATE CONTINUOUS Random Variables
RANDOM VARIABLES
Structure
7.1 Introduction
Objectives
7.2 Bivariate Continuous Random Variables
7.3 Joint and Marginal Distribution and Density Functions
7.4 Conditional Distribution and Density Functions
7.5 Stochastic Independence of Two Continuous Random Variables
7.6 Problems on Two-Dimensional Continuous Random Variables
7.7 Summary
7.8 Solutions/Answers
7.1 INTRODUCTION
In Unit 6, we have defined the bivariate discrete random variable (X, Y), where
X and Y both are discrete random variables. It may also happen that one of the
random variables is discrete and the other is continuous. However, in most
applications we deal only with the cases where either both random variables are
discrete or both are continuous. The cases where both random variables are
discrete have already been discussed in Unit 6. Here, in this unit, we are going
to discuss the cases where both random variables are continuous.
In Unit 6, you have studied the joint, marginal and conditional probability
functions and distribution functions in context of bivariate discrete random
variables. Similar functions, but in context of bivariate continuous random
variables, are discussed in this unit.
Bivariate continuous random variable is defined in Sec. 7.2. Joint and marginal
density functions are described in Sec. 7.3. Sec. 7.4 deals with the conditional
distribution and density functions. Independence of two continuous random
variables is dealt with in Sec. 7.5. Some practical problems on two-dimensional
continuous random variables are taken up in Sec. 7.6.
Objectives
A study of this unit would enable you to:
define two-dimensional continuous random variable;
specify the joint and marginal probability density functions of two
continuous random variables;
obtain the conditional density and distribution functions for two-
dimensional continuous random variable;
check the independence of two continuous random variables; and
solve various practical problems on bivariate continuous random
variables.
41
Random Variables and 7.2 BIVARIATE CONTINUOUS RANDOM
Expectation
VARIABLES
Definition: If X and Y are continuous random variables defined on the sample
space S of a random experiment, then (X, Y) defined on the same sample space
S is called bivariate continuous random variable if (X, Y) assigns a point in
xy-plane defined on the sample space S. Notice that it (unlike discrete random
variable) assumes values in some non-countable set. Some examples of
bivariate continuous random variable are:
1. A gun is aimed at a certain point (say origin of the coordinate system).
Because of the random factors, suppose the actual hit point is any point
(X, Y) in a circle of radius unity about the origin.
1 X
-1
-1
Fig.7.1: Actual Hit Point when a Gun is Aimed at a Certain Point
Then (X, Y) assumes all the values in the circle x, y : x 2
y 2 1 i.e.
(X, Y) assumes all values corresponding to each and every point in the
circular region as shown in Fig.7.1. Here, (X, Y) is bivariate continuous
random variable.
2. (X, Y) assuming all values in the rectangle x, y : a x b, c y d is a
bivariate continuous random variable.
Here, (X, Y) assumes all values corresponding to each and every point in
the rectangular region as shown in Fig.7.2.
y=d
d
x=a x=b
c
y=c
X
a b
Fig.7.2: (X, Y) Assuming All Values in the Rectangle x,y : a x b,c y d
3. In a statistical survey, let X denotes the daily number of hours a child
watches television and Y denotes the number of hours he/she spends on the
studies. Here, (X, Y) is a two-dimensional continuous random variable.
42
Bivariate Continuous
7.3 JOINT AND MARGINAL DISTRIBUTION AND Random Variables
DENSITY FUNCTIONS
Two-Dimensional Continuous Distribution Function
The distribution function of a two-dimensional continuous random variable
(X, Y) is a real-valued function and is defined as
F x, y P X x, Y y for all real x and y.
Notice that the above function is in analogy with one-dimensional continuous
random variable case as studied in Unit 5 of the course.
Remark 1: F x, y can also be written as FX,Y x, y .
Joint Probability Density Function
Let (X, Y) be a continuous random variable assuming all values in some region
R of the xy-plane. Then, a function f x, y such that
x y
F x, y f x, y dydx
is defined to be a joint probability density function.
As in the one-dimensional case, a joint probability density function has the
following properties.
i) f x, y 0
ii) f x, y dydx 1
Remark 2:
As in the one-dimensional case, f x, y does not represent the probability of
anything. However, for positive x and y sufficiently small, f x, y xy is
approximately equal to
P x X x x, y Y y y .
In the one-dimensional case, you have studied that for positive x sufficiently
small f(x)x is approximately equal to P x X x x . So, the two-
dimensional case is in analogy with the one-dimensional case.
Remark 3:
In analogy with the one-dimensional case [See Sec. 5.4 of Unit 5 of this course],
P x X x x, y Y y y
f x, y can be written as lim
x 0
y 0
xy
and is equal to
2
xy
F x, y , i.e. second order partial derivative with respect to x and y.
43
d
Random Variables and
Expectation
[See Sec. 5.5 of Unit 5 where f x
dx
F x ]
2
Note:
xy
F x, y means first differentiate F x, y partially w.r.t. y and
then the resulting function w.r.t. x. When we differentiate a function partially
w.r.t. one variable, then the other variable is treated as constant
For example, Let F x, y xy3 x 2 y
If we differentiate it partially w.r.t. y, we have
y
F x, y = x(3y 2 ) x 2 .1 [ here, x is treated as constant.]
If we now differentiate this resulting expression w.r.t. x, we have
2
xy
F x, y = 3 y 2 2 x [ here, y is treated as constant.]
Marginal Continuous Distribution Function
Let (X, Y) be a two-dimensional continuous random variable having f x, y as
its joint probability density function. Now, the marginal distribution function of
the continuous random variable X is defined as
F x P X x
P X x, y [ for X x, Y can take any real value]
x
f x, y dy dx,
and the marginal distribution function of the continuous random variable Y is
defined as
F y P Y y
P Y y, X [ for Y y, X can take any real value]
y
f x, y dx dy
Marginal Probability Density Functions
Let (X, Y) be a two-dimensional continuous random variable having
F x, y and f x, y as its distribution function and joint probability density
function, respectively. Let F x and F y be the marginal distribution
functions of X and Y, respectively. Then, the marginal probability density
function of X is given as
44
Bivariate Continuous
f x f x, y dy, Random Variables
d
or, it may also be obtained as
dx
F x ,
and the marginal probability density function of Y is given as
f y f x, y dx
or
d
=
dy
F y
7.4 CONDITIONAL DISTRIBUTION AND
DENSITY FUNCTIONS
Conditional Probability Density Function
Let (X, Y) be a two-dimensional continuous random variable having the joint
probability density function f(x, y). The conditional probability density function
of Y given X = x is defined as
f x, y
f y x , where f(x) > 0 is the marginal density of X.
f x
Similarly, the conditional probability density function of X given Y = y is
defined to be
f x, y
f x y , where f(y) > 0 is the marginal density of Y.
f y
As f y x and f x y , though conditional yet, are the probability density
functions, hence possess the properties of a probability density function.
Properties of f y x are:
i) f y x is clearly 0
f x, y
ii) f y x dy f x dy
1
f x, y dy
f x
1 f x, y dyis the m arg inal
f x
f (x)
probability density function of X
=1
45
Random Variables and Similarly, f x y satisfies
Expectation
i) f x y 0 and
ii) f x y dx 1
Conditional Continuous Distribution Function
For a two-dimensional continuous random variable (X, Y), the conditional
distribution function of Y given X = x is defined as
F y x P Y y X x
y
f y x dy , for all x such that f x 0 ;
and the conditional distribution function of X given Y = y is defined as
F x y P X x Y y
x
f x y dx , for all y such that f(y) > 0.
7.5 STOCHASTIC INDEPENDENCE OF TWO
CONTINUOUS RANDOM VARIABLES
You have already studied in Unit 3 of this course that independence of events is
closely related to conditional probability, i.e. if events A and B are independent,
then P A B P A , i.e. conditional probability of A is equal to the
unconditional probability of A. Likewise independence of random variables is
closely related to conditional distributions of random variables, i.e. two random
variables X and Y with joint probability function f x, y and marginal
probability functions f x and f y respectively are said to be stochastically
independent if and only if
i) f y x f y
ii) f x y f x .
Now, as defined in Sec. 7.4, we have
f x, y
f y x
f x
f x, y f x f y x [On cross-multiplying]
So, if X and Y are independent, then
f x, y f x f y [ f y x f y ]
Remark 4: The random variables, if independent, are actually stochastically
46
independent but often the word “stochastically” is omitted.
Definition: Two random variables are said to be (stochastically) independent if Bivariate Continuous
and only if their joint probability density function is the product of their Random Variables
marginal density functions.
Let us now take up some problems on the topics covered so far in this unit.
7.6 PROBLEMS ON TWO-DIMENSIONAL
CONTINUOUS RANDOM VARIABLES
Example 1: Let X and Y be two random variables. Then for
k 2x y , 0 x 1, 0 y 2
f x, y
0, elsewhere
to be a joint density function, what must be the value of k ?
Solution: As f x, y is the joint probability density function,
f x, y dy dx 1
1 2
f x, y dy dx 1
0 0
[0 x 1, 0 y 2 ]
1 2
k 2x y dy dx 1
0 0
1 2
k 2x y dy dx 1
0 0
1 2
y2
k 2xy dx 1
0
2 0
[Firstly the integral has been done w.r.t. y treating x as constant.]
1 2
k 2x 2
2
0 dx 1
0
2
1
k 4x 2 dx 1
0
1
4x 2
k 2x 1
2 0
4 1
k 2 0 1 4k 1 k =
2 4
47
Random Variables and
Example 2: Let the joint density function of a two-dimensional random
Expectation variable (X, Y) be:
x y for 0 x 1 and 0 y 1
f x, y
0, otherwise
Find the conditional density function of Y given X.
f x, y
Solution: The conditional density function of Y given X is f y x ,
f x
where f x, y is the joint density function, which is given; and f x is the
marginal density function which, by definition, is given by
f x f x, y dy
1
f x, y dy [ 0 y < 1]
0
1
= x y dy
0
1
y2
xy .
2 0
2
1 1
x 1 0 x , 0 x 1.
2 2
the conditional density function of Y given X is
f x, y xy
f y x , for 0 x < 1 and 0 y < 1.
f x x
1
2
Example 3: Two-dimensional random variable (X, Y) have the joint density
8xy, 0 x y 1
f x, y
0 , otherwise
1 1
i) Find P[X < Y < ].
2 4
ii) Find the marginal and conditional distributions.
iii)Are X and Y independent?
Solution:
1 1 1 1 1 1
1 1 2 4 2 4 2
y2 4
i) P X Y f x, y dy dx 8xy dy dx 0 2 dx
8x
2 4 0 0 0 0
0
48
1 1 1 Bivariate Continuous
2 1 2
x 1 x2 2 Random Variables
8x dx 0 4 dx
0 16 2 4 2 0
1 1 1
.
4 8 32
ii) Marginal density function of X is
1
f x f x, y dy [0 x y 1]
x
1 1
y2
8xy dy 8x
x 2 x
1 x2
8x 4x 1 x 2 for 0 x 1
2 2
Marginal density function of Y is
y
f y f x, y dx [0 x y ]
0
8xy dx
0
y
x2 8y 3
8y 4y 3 for 0 y 1
2 0 2
Conditional density function of X given Y(0 < Y < 1) is
f x, y
f x y
f y
8xy 2x
, 0x y
4y 3 y 2
Conditional density function of Y given X(0 < X < 1) is
f x, y
f y x
f x
8xy 2y
, x < y <1
4x 1 x 2 1 x2
iii) f x, y 8xy,
But f x f y 4x 1 x 2 4y3
16x 1 x y
2 3
49
Random Variables and f x, y f x f y
Expectation
Hence, X and Y are not independent random variables.
Now, you can try some exercises.
E1) Let X and Y be two random variables. Then for
kxy for 0 x 4 and 1 y 5
f x, y
0, otherwise
to be a joint density function, what must be the value of k?
E2) If the joint p.d.f. of a two-dimensional random variable (X, Y) is given by
2 for 0 x 1 and 0 y x
f x, y
0, otherwise,
Then,
i) Find the marginal density functions of X and Y.
ii) Find the conditional density functions.
iii) Check for independence of X and Y.
E3) If (X, Y) be two-dimensional random variable having joint density
function.
1
6 x y ; 0 x 2 , 2 y 4
f x, y 8
0, elsewhere
Find (i) P X 1, Y 3 (ii) P X 1 Y 3
Now before ending this unit, let’s summarize what we have covered in it.
7.7 SUMMARY
In this unit, we have covered the following main points:
1) If X and Y are continuous random variables defined on the sample space S of
a random experiment, then (X, Y) defined on the same sample space S is
called bivariate continuous random variable if (X, Y) assigns a point in
xy -plane defined on the sample space S.
2) The distribution function of a two-dimensional continuous random variable
(X, Y) is a real-valued function and is defined as
F x, y P X x, Y y for all real x and y.
3) A function f x, y is called joint probability density function if it is such
that
x y
F x, y f x, y dydx
50
and satisfies Bivariate Continuous
Random Variables
i) f x, y 0
ii) f x, y dydx 1.
4) The marginal distribution function of the continuous random variable X is
defined as
x
F x P X x f x, y dy dx,
and that of continuous random variable Y is defined as
y
F y P Y y f x, y dx dy .
5) The marginal probability density function of X is given as
d
f x f x, y dy dx F(x) ,
and that of Y is given as
d
f y f x, y dx = dx
F y .
6) The conditional probability density function of Y given X = x is defined
as
f x, y
f y x ,
f x
and that of X given Y = y is defined as
f x, y
f x y .
f y
7) The conditional distribution function of Y given X = x is defined as
y
F y x f y x dy , for all x such that f x 0 ;
and that of X given Y = y is defined as
x
F x y f x y dx , for all y such that f(y) > 0.
8) Two random variables are said to be (stochastically) independent if and
only if their joint probability density function is the product of their
marginal density functions.
51
Random Variables and 7.8 SOLUTIONS/ANSWERS
Expectation
E1) As f x, y is the joint probability density function,
f x, y dy dx 1
4 5 4 5
0 1 kxy dy dx 1 k 0 1 xy dy dx 1
4 5 4
y2
k x dx 1 k 12x dx 1
0
2 1 0
4
x2
12k 1 96 k = 1
2 0
1
k=
96
E2) i) Marginal density function of Y is given by
1
f y f x, y dx 2dx
y
[As x is involved in both the given ranges, i.e. 0 < x < 1 and 0 < y < x;
therefore, here we will combine both these intervals and hence have
0 < y < x < 1. x takes the values from y to 1]
1
2x y 2 2y
= 2 – 2y
= 2(1– y), 0 < y < 1
Marginal density function of X is given by
f x f x, y dy
x
2dy [ 0 < y < x < 1]
0
x
2 y 0
2x, 0 x 1.
ii) Conditional density function of Y given X(0 < X < 1) is
f x, y 2 1
f y x ; 0 y x
f x 2x x
Conditional density function of X and given Y(0 < Y < 1) is
f x, y 2 1
f x y , y x 1
f y 2 1 y 1 y
52
iii) f x, y 2, Bivariate Continuous
Random Variables
f x f y 2 2x 1 y
As f x, y f x f y ,
X and Y are not independent.
1 3
E3) (i) P X 1, Y 3 f x, y dy dx
1 3
1
6 x y dy dx
0 2
8
3
1
1 y2
6y xy dx
8
0
2 2
1
1 9
6 3 x 3 12 2x 2dx
8 0 2
1
1 9
18 3x 10 2x dx
8 0 2
1 1
1 7 1 7 x2 1 7 1 3
x dx x
802 8 2 2 0 8 2 2 8
P X 1, Y 3
ii) P X 1 Y 3
P Y 3
2 3
1
where P Y 3 6 x y dy dx
0 2
8
2 3
1 y2
6y xy dx .
80 2 2
2
1 9
18 3x 12 2x 2 dx
8 0 2
2
1 9
18 3x 10 2x dx
8 0 2
2
1 7
x dx
8 0 2
2
1 7 x2
x
8 2 2 0
53
Random Variables and 1 4
7 0
Expectation 8 2
5
8
3 / 8 value of numerator is
P X 1 Y 3
5 / 8 already calculated in part(i)
3
5
54
Bivariate Continuous
UNIT 7 BIVARIATE CONTINUOUS Random Variables
RANDOM VARIABLES
Structure
7.1 Introduction
Objectives
7.2 Bivariate Continuous Random Variables
7.3 Joint and Marginal Distribution and Density Functions
7.4 Conditional Distribution and Density Functions
7.5 Stochastic Independence of Two Continuous Random Variables
7.6 Problems on Two-Dimensional Continuous Random Variables
7.7 Summary
7.8 Solutions/Answers
7.1 INTRODUCTION
In Unit 6, we have defined the bivariate discrete random variable (X, Y), where
X and Y both are discrete random variables. It may also happen that one of the
random variables is discrete and the other is continuous. However, in most
applications we deal only with the cases where either both random variables are
discrete or both are continuous. The cases where both random variables are
discrete have already been discussed in Unit 6. Here, in this unit, we are going
to discuss the cases where both random variables are continuous.
In Unit 6, you have studied the joint, marginal and conditional probability
functions and distribution functions in context of bivariate discrete random
variables. Similar functions, but in context of bivariate continuous random
variables, are discussed in this unit.
Bivariate continuous random variable is defined in Sec. 7.2. Joint and marginal
density functions are described in Sec. 7.3. Sec. 7.4 deals with the conditional
distribution and density functions. Independence of two continuous random
variables is dealt with in Sec. 7.5. Some practical problems on two-dimensional
continuous random variables are taken up in Sec. 7.6.
Objectives
A study of this unit would enable you to:
define two-dimensional continuous random variable;
specify the joint and marginal probability density functions of two
continuous random variables;
obtain the conditional density and distribution functions for two-
dimensional continuous random variable;
check the independence of two continuous random variables; and
solve various practical problems on bivariate continuous random
variables.
41
Random Variables and 7.2 BIVARIATE CONTINUOUS RANDOM
Expectation
VARIABLES
Definition: If X and Y are continuous random variables defined on the sample
space S of a random experiment, then (X, Y) defined on the same sample space
S is called bivariate continuous random variable if (X, Y) assigns a point in
xy-plane defined on the sample space S. Notice that it (unlike discrete random
variable) assumes values in some non-countable set. Some examples of
bivariate continuous random variable are:
1. A gun is aimed at a certain point (say origin of the coordinate system).
Because of the random factors, suppose the actual hit point is any point
(X, Y) in a circle of radius unity about the origin.
1 X
-1
-1
Fig.7.1: Actual Hit Point when a Gun is Aimed at a Certain Point
Then (X, Y) assumes all the values in the circle x, y : x 2
y 2 1 i.e.
(X, Y) assumes all values corresponding to each and every point in the
circular region as shown in Fig.7.1. Here, (X, Y) is bivariate continuous
random variable.
2. (X, Y) assuming all values in the rectangle x, y : a x b, c y d is a
bivariate continuous random variable.
Here, (X, Y) assumes all values corresponding to each and every point in
the rectangular region as shown in Fig.7.2.
y=d
d
x=a x=b
c
y=c
X
a b
Fig.7.2: (X, Y) Assuming All Values in the Rectangle x,y : a x b,c y d
3. In a statistical survey, let X denotes the daily number of hours a child
watches television and Y denotes the number of hours he/she spends on the
studies. Here, (X, Y) is a two-dimensional continuous random variable.
42
Bivariate Continuous
7.3 JOINT AND MARGINAL DISTRIBUTION AND Random Variables
DENSITY FUNCTIONS
Two-Dimensional Continuous Distribution Function
The distribution function of a two-dimensional continuous random variable
(X, Y) is a real-valued function and is defined as
F x, y P X x, Y y for all real x and y.
Notice that the above function is in analogy with one-dimensional continuous
random variable case as studied in Unit 5 of the course.
Remark 1: F x, y can also be written as FX,Y x, y .
Joint Probability Density Function
Let (X, Y) be a continuous random variable assuming all values in some region
R of the xy-plane. Then, a function f x, y such that
x y
F x, y f x, y dydx
is defined to be a joint probability density function.
As in the one-dimensional case, a joint probability density function has the
following properties.
i) f x, y 0
ii) f x, y dydx 1
Remark 2:
As in the one-dimensional case, f x, y does not represent the probability of
anything. However, for positive x and y sufficiently small, f x, y xy is
approximately equal to
P x X x x, y Y y y .
In the one-dimensional case, you have studied that for positive x sufficiently
small f(x)x is approximately equal to P x X x x . So, the two-
dimensional case is in analogy with the one-dimensional case.
Remark 3:
In analogy with the one-dimensional case [See Sec. 5.4 of Unit 5 of this course],
P x X x x, y Y y y
f x, y can be written as lim
x 0
y 0
xy
and is equal to
2
xy
F x, y , i.e. second order partial derivative with respect to x and y.
43
d
Random Variables and
Expectation
[See Sec. 5.5 of Unit 5 where f x
dx
F x ]
2
Note:
xy
F x, y means first differentiate F x, y partially w.r.t. y and
then the resulting function w.r.t. x. When we differentiate a function partially
w.r.t. one variable, then the other variable is treated as constant
For example, Let F x, y xy3 x 2 y
If we differentiate it partially w.r.t. y, we have
y
F x, y = x(3y 2 ) x 2 .1 [ here, x is treated as constant.]
If we now differentiate this resulting expression w.r.t. x, we have
2
xy
F x, y = 3 y 2 2 x [ here, y is treated as constant.]
Marginal Continuous Distribution Function
Let (X, Y) be a two-dimensional continuous random variable having f x, y as
its joint probability density function. Now, the marginal distribution function of
the continuous random variable X is defined as
F x P X x
P X x, y [ for X x, Y can take any real value]
x
f x, y dy dx,
and the marginal distribution function of the continuous random variable Y is
defined as
F y P Y y
P Y y, X [ for Y y, X can take any real value]
y
f x, y dx dy
Marginal Probability Density Functions
Let (X, Y) be a two-dimensional continuous random variable having
F x, y and f x, y as its distribution function and joint probability density
function, respectively. Let F x and F y be the marginal distribution
functions of X and Y, respectively. Then, the marginal probability density
function of X is given as
44
Bivariate Continuous
f x f x, y dy, Random Variables
d
or, it may also be obtained as
dx
F x ,
and the marginal probability density function of Y is given as
f y f x, y dx
or
d
=
dy
F y
7.4 CONDITIONAL DISTRIBUTION AND
DENSITY FUNCTIONS
Conditional Probability Density Function
Let (X, Y) be a two-dimensional continuous random variable having the joint
probability density function f(x, y). The conditional probability density function
of Y given X = x is defined as
f x, y
f y x , where f(x) > 0 is the marginal density of X.
f x
Similarly, the conditional probability density function of X given Y = y is
defined to be
f x, y
f x y , where f(y) > 0 is the marginal density of Y.
f y
As f y x and f x y , though conditional yet, are the probability density
functions, hence possess the properties of a probability density function.
Properties of f y x are:
i) f y x is clearly 0
f x, y
ii) f y x dy f x dy
1
f x, y dy
f x
1 f x, y dyis the m arg inal
f x
f (x)
probability density function of X
=1
45
Random Variables and Similarly, f x y satisfies
Expectation
i) f x y 0 and
ii) f x y dx 1
Conditional Continuous Distribution Function
For a two-dimensional continuous random variable (X, Y), the conditional
distribution function of Y given X = x is defined as
F y x P Y y X x
y
f y x dy , for all x such that f x 0 ;
and the conditional distribution function of X given Y = y is defined as
F x y P X x Y y
x
f x y dx , for all y such that f(y) > 0.
7.5 STOCHASTIC INDEPENDENCE OF TWO
CONTINUOUS RANDOM VARIABLES
You have already studied in Unit 3 of this course that independence of events is
closely related to conditional probability, i.e. if events A and B are independent,
then P A B P A , i.e. conditional probability of A is equal to the
unconditional probability of A. Likewise independence of random variables is
closely related to conditional distributions of random variables, i.e. two random
variables X and Y with joint probability function f x, y and marginal
probability functions f x and f y respectively are said to be stochastically
independent if and only if
i) f y x f y
ii) f x y f x .
Now, as defined in Sec. 7.4, we have
f x, y
f y x
f x
f x, y f x f y x [On cross-multiplying]
So, if X and Y are independent, then
f x, y f x f y [ f y x f y ]
Remark 4: The random variables, if independent, are actually stochastically
46
independent but often the word “stochastically” is omitted.
Definition: Two random variables are said to be (stochastically) independent if Bivariate Continuous
and only if their joint probability density function is the product of their Random Variables
marginal density functions.
Let us now take up some problems on the topics covered so far in this unit.
7.6 PROBLEMS ON TWO-DIMENSIONAL
CONTINUOUS RANDOM VARIABLES
Example 1: Let X and Y be two random variables. Then for
k 2x y , 0 x 1, 0 y 2
f x, y
0, elsewhere
to be a joint density function, what must be the value of k ?
Solution: As f x, y is the joint probability density function,
f x, y dy dx 1
1 2
f x, y dy dx 1
0 0
[0 x 1, 0 y 2 ]
1 2
k 2x y dy dx 1
0 0
1 2
k 2x y dy dx 1
0 0
1 2
y2
k 2xy dx 1
0
2 0
[Firstly the integral has been done w.r.t. y treating x as constant.]
1 2
k 2x 2
2
0 dx 1
0
2
1
k 4x 2 dx 1
0
1
4x 2
k 2x 1
2 0
4 1
k 2 0 1 4k 1 k =
2 4
47
Random Variables and
Example 2: Let the joint density function of a two-dimensional random
Expectation variable (X, Y) be:
x y for 0 x 1 and 0 y 1
f x, y
0, otherwise
Find the conditional density function of Y given X.
f x, y
Solution: The conditional density function of Y given X is f y x ,
f x
where f x, y is the joint density function, which is given; and f x is the
marginal density function which, by definition, is given by
f x f x, y dy
1
f x, y dy [ 0 y < 1]
0
1
= x y dy
0
1
y2
xy .
2 0
2
1 1
x 1 0 x , 0 x 1.
2 2
the conditional density function of Y given X is
f x, y xy
f y x , for 0 x < 1 and 0 y < 1.
f x x
1
2
Example 3: Two-dimensional random variable (X, Y) have the joint density
8xy, 0 x y 1
f x, y
0 , otherwise
1 1
i) Find P[X < Y < ].
2 4
ii) Find the marginal and conditional distributions.
iii)Are X and Y independent?
Solution:
1 1 1 1 1 1
1 1 2 4 2 4 2
y2 4
i) P X Y f x, y dy dx 8xy dy dx 0 2 dx
8x
2 4 0 0 0 0
0
48
1 1 1 Bivariate Continuous
2 1 2
x 1 x2 2 Random Variables
8x dx 0 4 dx
0 16 2 4 2 0
1 1 1
.
4 8 32
ii) Marginal density function of X is
1
f x f x, y dy [0 x y 1]
x
1 1
y2
8xy dy 8x
x 2 x
1 x2
8x 4x 1 x 2 for 0 x 1
2 2
Marginal density function of Y is
y
f y f x, y dx [0 x y ]
0
8xy dx
0
y
x2 8y 3
8y 4y 3 for 0 y 1
2 0 2
Conditional density function of X given Y(0 < Y < 1) is
f x, y
f x y
f y
8xy 2x
, 0x y
4y 3 y 2
Conditional density function of Y given X(0 < X < 1) is
f x, y
f y x
f x
8xy 2y
, x < y <1
4x 1 x 2 1 x2
iii) f x, y 8xy,
But f x f y 4x 1 x 2 4y3
16x 1 x y
2 3
49
Random Variables and f x, y f x f y
Expectation
Hence, X and Y are not independent random variables.
Now, you can try some exercises.
E1) Let X and Y be two random variables. Then for
kxy for 0 x 4 and 1 y 5
f x, y
0, otherwise
to be a joint density function, what must be the value of k?
E2) If the joint p.d.f. of a two-dimensional random variable (X, Y) is given by
2 for 0 x 1 and 0 y x
f x, y
0, otherwise,
Then,
i) Find the marginal density functions of X and Y.
ii) Find the conditional density functions.
iii) Check for independence of X and Y.
E3) If (X, Y) be two-dimensional random variable having joint density
function.
1
6 x y ; 0 x 2 , 2 y 4
f x, y 8
0, elsewhere
Find (i) P X 1, Y 3 (ii) P X 1 Y 3
Now before ending this unit, let’s summarize what we have covered in it.
7.7 SUMMARY
In this unit, we have covered the following main points:
1) If X and Y are continuous random variables defined on the sample space S of
a random experiment, then (X, Y) defined on the same sample space S is
called bivariate continuous random variable if (X, Y) assigns a point in
xy -plane defined on the sample space S.
2) The distribution function of a two-dimensional continuous random variable
(X, Y) is a real-valued function and is defined as
F x, y P X x, Y y for all real x and y.
3) A function f x, y is called joint probability density function if it is such
that
x y
F x, y f x, y dydx
50
and satisfies Bivariate Continuous
Random Variables
i) f x, y 0
ii) f x, y dydx 1.
4) The marginal distribution function of the continuous random variable X is
defined as
x
F x P X x f x, y dy dx,
and that of continuous random variable Y is defined as
y
F y P Y y f x, y dx dy .
5) The marginal probability density function of X is given as
d
f x f x, y dy dx F(x) ,
and that of Y is given as
d
f y f x, y dx = dx
F y .
6) The conditional probability density function of Y given X = x is defined
as
f x, y
f y x ,
f x
and that of X given Y = y is defined as
f x, y
f x y .
f y
7) The conditional distribution function of Y given X = x is defined as
y
F y x f y x dy , for all x such that f x 0 ;
and that of X given Y = y is defined as
x
F x y f x y dx , for all y such that f(y) > 0.
8) Two random variables are said to be (stochastically) independent if and
only if their joint probability density function is the product of their
marginal density functions.
51
Random Variables and 7.8 SOLUTIONS/ANSWERS
Expectation
E1) As f x, y is the joint probability density function,
f x, y dy dx 1
4 5 4 5
0 1 kxy dy dx 1 k 0 1 xy dy dx 1
4 5 4
y2
k x dx 1 k 12x dx 1
0
2 1 0
4
x2
12k 1 96 k = 1
2 0
1
k=
96
E2) i) Marginal density function of Y is given by
1
f y f x, y dx 2dx
y
[As x is involved in both the given ranges, i.e. 0 < x < 1 and 0 < y < x;
therefore, here we will combine both these intervals and hence have
0 < y < x < 1. x takes the values from y to 1]
1
2x y 2 2y
= 2 – 2y
= 2(1– y), 0 < y < 1
Marginal density function of X is given by
f x f x, y dy
x
2dy [ 0 < y < x < 1]
0
x
2 y 0
2x, 0 x 1.
ii) Conditional density function of Y given X(0 < X < 1) is
f x, y 2 1
f y x ; 0 y x
f x 2x x
Conditional density function of X and given Y(0 < Y < 1) is
f x, y 2 1
f x y , y x 1
f y 2 1 y 1 y
52
iii) f x, y 2, Bivariate Continuous
Random Variables
f x f y 2 2x 1 y
As f x, y f x f y ,
X and Y are not independent.
1 3
E3) (i) P X 1, Y 3 f x, y dy dx
1 3
1
6 x y dy dx
0 2
8
3
1
1 y2
6y xy dx
8
0
2 2
1
1 9
6 3 x 3 12 2x 2dx
8 0 2
1
1 9
18 3x 10 2x dx
8 0 2
1 1
1 7 1 7 x2 1 7 1 3
x dx x
802 8 2 2 0 8 2 2 8
P X 1, Y 3
ii) P X 1 Y 3
P Y 3
2 3
1
where P Y 3 6 x y dy dx
0 2
8
2 3
1 y2
6y xy dx .
80 2 2
2
1 9
18 3x 12 2x 2 dx
8 0 2
2
1 9
18 3x 10 2x dx
8 0 2
2
1 7
x dx
8 0 2
2
1 7 x2
x
8 2 2 0
53
Random Variables and 1 4
7 0
Expectation 8 2
5
8
3 / 8 value of numerator is
P X 1 Y 3
5 / 8 already calculated in part(i)
3
5
54
UNIT 8 MATHEMATICAL EXPECTATION Mathematical Expectation
Structure
8.1 Introduction
Objectives
8.2 Expectation of a Random Variable
8.3 Properties of Expectation of One-dimensional Random Variable
8.4 Moments and Other Measures in Terms of Expectations
8.5 Addition and Multiplication Theorems of Expectation
8.6 Summary
8.7 Solutions/Answers
8.1 INTRODUCTION
In Units 1 to 4 of this course, you have studied probabilities of different events
in various situations. Concept of univariable random variable has been
introduced in Unit 5 whereas that of bivariate random variable in Units 6 and
7. Before studying the present unit, we advice you to go through the above
units.
You have studied the methods of finding mean, variance and other measures in
context of frequency distributions in MST-002 (Descriptive Statistics). Here, in
this unit we will discuss mean, variance and other measures in context of
probability distributions of random variables. Mean or Average value of a
random variable taken over all its possible values is called the expected value
or the expectation of the random variable. In the present unit, we discuss the
expectations of random variables and their properties.
In Secs. 8.2, 8.3 and 8.4, we deal with expectation and its properties. Addition
and multiplication laws of expectation have been discussed in Sec. 8.5.
Objectives
After studying this unit, you would be able to:
find the expected values of random variables;
establish the properties of expectation;
obtain various measures for probability distributions; and
apply laws of addition and multiplication of expectation at appropriate
situations.
8.2 EXPECTATION OF A RANDOM VARIABLE
In Unit 1 of MST-002, you have studied that the mean for a frequency
distribution of a variable X is defined as
55
Random Variables and n
Expectation
f x
i 1
i i
Mean = n
.
fi
i 1
If the frequency distribution of the variable X is given as
x: x1 x2 x 3 ...x n
f: f1 f2 f 3 ...f n
The above formula of finding mean may be written as
n
f x
i 1
i i
f1x1 f 2 x 2 ... f n x n
Mean = n
= n
fi
i 1
f i 1
i
x1f1 x 2 f2 xn fn
= n
n
... n
fi
i 1
fi
i 1
f
i 1
i
f f f
= x1 n i x2 n 2 ... x n n n
f f f
i i i
i 1 i 1 i1
f1 f2 fn
Notice that n
, n
,..., n
are, in fact, the relative frequencies or the
f f
i 1
i
i 1
i f
i 1
i
proportion of individuals corresponding to the values x1 , x 2 , …, x n
respectively of variable X and hence can be replaced by probabilities. [See
Unit 2 of this course]
Let us now define a similar measure for the probability distribution of a
random variable X which assumes the values say x1 , x 2 ,..., x n with their
associated probabilities p1 , p2 , ..., p n . This measure is known as expected value
of X and in the similar way is given as
n
x1 p1 x 2 p 2 ... x n p n x i pi with only difference is that the role of
i 1
relative frequencies has now been taken over by the probabilities. The expected
value of X is written as E(X).
The above aspect can be viewed in the following way also:
56
n
Mathematical Expectation
x f
i 1
i i
Mean of a frequency distribution of X is n
, similarly mean of a
fi
i 1
n
x p
i 1
i i
probability distribution of r.v. X is n
.
p
i 1
i
n
Now, as we know that p
i 1
i 1 for a probability distribution, therefore
n
the mean of the probability distribution becomes x i pi .
i 1
n
Expected value of a random variable X is E X x i pi .
i 1
The above formula for finding the expected value of a random variable X
is used only if X is a discrete random variable which takes the values
x1 , x 2 , ..., x n with probability mass function
p x i P X x i , i 1, 2,..., n.
But, if X is a continuous random variable having the probability density
function f x , then in place of summation we will use integration and in
this case, the expected value of X is defined as
E X xf x dx ,
The expectation, as defined above, agrees with the logical/theoretical
argument also as is illustrated in the following example.
Suppose, a fair coin is tossed twice, then answer to the question, “How
many heads do we expect theoretically/logically in two tosses?” is
obviously 1 as the coin is unbiased and hence we will undoubtedly expect
one head in two tosses. Expectation actually means “what we get on an
average”? Now, let us obtain the expected value of the above question
using the formula.
Let X be the number of heads in two tosses of the coin and we are to
obtain E(X), i.e. expected number of heads. As X is the number of heads
in two tosses of the coin, therefore X can take the values 0, 1, 2 and its
probability distribution is given as
X: 0 1 2
1 1 1. [Refer Unit 5 of MST-003]
px :
4 2 4
3
E X x i pi
i 1
= x1p1 x 2 p 2 x 3p 3
57
Random Variables and
1 1 1 1 1
Expectation = 0 1 (2) = 0 1
4 2 4 2 2
So, we get the same answer, i.e. 1 using the formula also.
So, expectation of a random variable is nothing but the average (mean)
taken over all the possible values of the random variable or it is the value
which we get on an average when a random experiment is performed
repeatedly.
Remark 1: Sometimes summations and integrals as considered in the
above definitions may not be convergent and hence expectations in such
cases do not exist. But we will deal only those summations (series) and
integrals which are convergent as the topic regarding checking the
convergence of series or integrals is out of the scope of this course. You
need not to bother as to whether the series or integral is convergent or
not, i.e. as to whether the expectation exists or not as we are dealing with
only those expectations which exist.
Example 1: If it rains, a rain coat dealer can earn Rs 500 per day. If it is a dry
day, he can lose Rs 100 per day. What is his expectation, if the probability of
rain is 0.4?
Solution: Let X be the amount earned on a day by the dealer. Therefore, X can
take the values Rs 500, Rs 100 ( loss of Rs 100 is equivalent to negative of
the earning of Rs100).
Probability distribution of X is given as
Rainy Day Dry day
X in Rs. : 500 100
px : 0.4 0.6
Hence, the expectation of the amount earned by him is
2
E X x i pi = x1p1 x 2 p 2
i 1
= 500 0.4 100 0.6 = 200 60 = 140
Thus, his expectation is Rs 140, i.e. on an overage he earns Rs 140 per day.
Example 2: A player tosses two unbiased coins. He wins Rs 5 if 2 heads
appear, Rs 2 if one head appears and Rs1 if no head appears. Find the
expected value of the amount won by him.
Solution: In tossing two unbiased coins, the sample space, is
S = HH, HT, TH, TT.
1 2 1
P 2 heads , P one head , P no head .
4 4 4
Let X be the amount in rupees won by him
X can take the values 5, 2 and 1 with
58
1 Mathematical Expectation
P X 5 P 2heads ,
4
2
P X 2 P 1Head , and
4
1
P X 1 P no Head .
4
Probability distribution of X is
X: 5 2 1
1 2 1
px
4 4 4
Expected value of X is given as
3
E X x i pi = x1p1 x 2 p 2 x 3p 3
i 1
1 2 1 5 4 1 10
= 5 2 1 = 2.5.
4 4 4 4 4 4 4
Thus, the expected value of amount won by him is Rs 2.5.
Example 3: Find the expectation of the number on an unbiased die when thrown.
Solution: Let X be a random variable representing the number on a die when thrown.
X can take the values 1, 2, 3, 4, 5, 6 with
1
P X 1 P X 2 P X 3 P X 4 P X 5 P X 6 .
6
Thus, the probability distribution of X is given by
X: 1 2 3 4 5 6
1 1 1 1 1 1
px :
6 6 6 6 6 6
Hence, the expectation of number on the die when thrown is
6
1 1 1 1 1 1 21 7
E X x i pi 1 2 3 4 5 6 =
i 1 6 6 6 6 6 6 6 2
Example 4: Two cards are drawn successively with replacement from a
well shuffled pack of 52 cards. Find the expected value for the number of
aces.
Solution: Let A1, A2 be the events of getting ace in first and second draws,
respectively. Let X be the number of aces drawn. Thus, X can take the
values 0, 1, 2 with
P X 0 P no ace P A1 A 2
cards are drawn with replacement
P A1 P A 2 and hence the events are independent
59
Random Variables and 48 48 12 12 144
Expectation = = ,
52 52 13 13 169
P X 1 one Ace and one other card
P A1 A 2 A1 A 2
By Addition theorem of probability
P A1 A 2 P A1 A 2 for mutually exclusive events
By multiplication theorem of
P A1 P A 2 P A1 P A 2
probability for independent events
4 48 48 4 1 12 12 1 24
, and
52 52 52 52 13 13 13 13 169
P X 2 P both aces P A1 A 2
4 4 1
P A1 P A 2 = .
52 52 169
Hence, the probability distribution of random variable X is
X: 0 1 2
144 24 1
px :
169 169 169
The expected value of X is given by
3
144 24 1 26 2
E X x i pi 0 1 2
i 1 169 169 169 169 13
Example 5: For a continuous distribution whose probability density
function is given by:
3x
f x 2 x , 0 x 2, find the expected value of X.
4
Solution: Expected value of a continuous random variable X is given by
2 2
3x 3
E X xf x dx = x 2 x dx x 2 2 x dx
0
4 40
2 3 4
3
2
3 x3 x 4 3 2 2
40
2 3
= 2x x dx = 2 = 2
4 3 4 0 4 3
4
0
3 16 16 3 16
1
4 3 4 4 12
Now, you can try the following exercises.
E1) You toss a fair coin. If the outcome is head, you win Rs 100; if the
outcome is tail, you win nothing. What is the expected amount won
by you?
60
E2) A fair coin is tossed until a tail appears. What is the expectation of Mathematical Expectation
number of tosses?
E3) The distribution of a continuous random variable X is defined by
x3 , 0 x 1
3
f x 2 x , 1 x 2
0 , elsewhere
Obtain the expected value of X.
Let us now discuss some properties of expectation in the next section.
8.3 PROPERTIES OF EXPECTATION OF ONE-
DIMENSIONAL RANDOM VARIABLE
Properties of mathematical expectation of a random variable X are:
1. E(k) = k, where k is a constant
2. E(kX) = kE(X), k being a constant.
3. E(aX + b) = aE(X) + b, where a and b are constants
Proof:
Discrete case:
Let X be a discrete r.v. which takes the values x1 , x 2 , x 3 , ... with
respective probabilities p1 , p2 , p 3 , ...
1. E k k p i [By definition of the expectation]
i
= k pi
i
sum of probabilities of all the
k 1 k possible value of r.v. is 1
2. E kX kx i pi [By def.]
i
= k x i pi
i
k E X
3. E a X b ax i b p i [By def.]
i
= ax p
i
i i bp i ax i p i bpi a x i pi b pi
i i i i
aE X b 1 aE X b
61
Random Variables and Continuous Case:
Expectation
Let X be continuous random variable having f(x) as its probability density
function. Thus,
1. E k kf x dx [By def.]
k f x dx
integral of the p.d.f. over
k 1 k the entire range is 1
2. E kX kx f x dx [By def.]
k xf x dx kE X
3. E aX b ax b f x dx ax f x dx b f x dx
a x f x dx b f x dx aE X b 1 = aE X b
Example 6: Given the following probability distribution:
X 2 1 0 1 2
px 0.15 0.30 0 0.30 0.25
Find i) E(X)
ii) E(2X + 3)
iii) E(X2)
iv) E(4X – 5)
Solution
5
i) E X x i pi = x1p1 x 2 p 2 x 3 p3 x 4 p 4 x 5p 5
i 1
2 0.15 1 0.30 0 0 1 0.30 2 0.25
0.3 0.3 0 0.3 0.5 0.2
ii) E(2X + 3) = 2 E X 3 [Using property 3 of this section]
= 2(0.2) + 3 [Using solution (i) of the question]
= 0.4 + 3 = 3.4
5
iii) E X 2 x i2 pi [By def.]
i 1
62
= x12 p1 x 22 p 2 x 32 p3 x 42 p 4 x 52 p5 Mathematical Expectation
2 2 2 2 2
2 0.15 1 0.30 0 0 1 0.30 2 0.25
= 4 0.15 1 0.30 0 1 0.30 4 0.25
0.6 0.3 0 0.3 1 2.2
iv) E (4X 5) E 4X 5
= 4E X 5 [Using property 3 of this section]
= 4(0.2) 5
0.8 5 4.2
Here is an exercise for you.
E4) If X is a random variable with mean ‘’ and standard deviation ‘’,
X
then what is the expectation of Z= ?
[Note: Here Z so defined is called standard random variate.]
Let us now express the moments and other measures for a random variable
in terms of expectations in the following section.
8.4 MOMENTS AND OTHER MEASURES IN
TERMS OF EXPECTATIONS
Moments
The moments for frequency distribution have already been studied by you
in Unit 3 of MST-002. Here, we deal with moments for probability
distributions. The rth order moment about any point ‘A’ (say) of variable X
already defined in Unit 3 of MST-002 is given by:
n
r
f x i i A
r' i 1
n
f i 1
i
So, the rth order moment about any point ‘A’ of a random variable X
having probability mass function P X x i p x i pi is defined as
n
r
p x i i A
r' i 1
n
p i 1
i
[Replacing frequencies by probabilities as discussed in Sec. 8.2 of this unit.]
n
r n
pi xi A p i 1
i 1 i1
63
Random Variables and The above formula is valid if X is a discrete random variable. But, if X is a
Expectation
continuous random variable having probability density function f(x), then
r
rth order moment about A is defined as r ' x A f x dx.
th
So, r order moment about any point ‘A’ of a random variable X is defined as
pi x i A r , if X is a discrete r.v.
i
r'
x A r f x dx, if X is a continous r.v
= E(X A)r
Similarly, rth order moment about mean () i.e. rth order central moment is
defined as
p i x i r , if X is a discrete r.v.
i
r
x r f x dx, if X is a continous r.v
r r
= E X E X E X
Variance
Variance of a random variable X is second order central moment and is
defined as
2 2
2 = V X E X E X E X
Also, we know that
2
V X 2 ' 1 '
where 1 ', 2 ' be the moments about origin.
2
We have V X E X 2 E X
1 ' E X 01 E X , and 2 ' E X 0 2 E X 2
Theorem 8.1: If X is a random variable, then V aX b a 2 V X ,
where a and b are constants.
2
Proof: V aX b E aX b E aX b [By def. of variance]
2
= E aX b aE X b [Using property 3 of Sec. 8.3]
2
= E aX b aE X b
2
= E a X E X
2
E a 2 X E X
64
Mathematical Expectation
2
a 2 E X E X [Using property 2 of section 8.3]
a 2V X [By definition of Variance]
Cor. (i) V aX a 2 V X
(ii) V(b) = 0
(iii) V(X + b) = V(X)
Proof: (i) This result is obtained on putting b = 0 in the above theorem.
(ii) This result is obtained on putting a = 0 in the above theorem.
(iii) This result is obtained on putting a = 1 in the above theorem.
Covariance
For a bivariate frequency distribution, you have already studied in Unit 6 of
MST-002 that covariance between two variables X and Y is defined as
f xi i x y i y
Cov X, Y i
f
i
i
For a bivariate probability distribution, Cov (X, Y) is defined as
pi j x i x yi y , if X, Y is two-dimensional discrete r.v.
i
Cov(X, Y) =
x x y y f x, y dydx, if X, Y is two dimensional continuous r.v.
where p i j = P X x i , Y y j
= E X X Y Y [By definition of expectation]
E(X) =Mean of X i.e. X,
E X E X Y E Y
E(Y) = Mean of Y i.e.Y
On simplifying,
Cov(X, Y) = E(XY) – E(X) E(Y).
Now, if X and Y are independent random variables then, by multiplication
theorem,
E(XY) = E(X)E(Y) and hence in this case Cov(X, Y) = 0.
Remark 2:
i) If X and Y are independent random variables, then
V(X + Y) = V(X) +V(Y).
65
Random Variables and 2
Expectation Proof: V X Y E X Y E X Y
2
E X Y E X E Y
2
E X E X Y E Y
2 2
E X E X Y E Y 2 X E X Y E Y
2 2
E X E X E Y E Y 2E X E X Y E Y
V X V Y 2Cov X, Y
V X V Y 0 [ X and Y are independent]
V X V Y
ii) If X and Y are independent random variables, then
V(X – Y) = V(X) + V(Y).
Proof: This can be proved in the similar manner as done is Remark 2(i)
above.
iii) If X and Y are independent random variables, then
V aX bY a 2 V X b 2 V Y .
Proof: Prove this result yourself proceeding in the similar fashion as in
proof of Remark 2(i).
Mean Deviation about Mean
Mean deviation about mean in context of frequency distribution is
n
f
i 1
i xi x
n
, and
f i 1
i
therefore, mean deviation about mean in context of probability distribution is
n
p i x mean n
i 1
n
p i x mean
p
i 1
i
i 1
by definition of expectation, we have
M.D. about mean = EX Mean
= EX – E(X)
66
pi x Mean for discrete r.v Mathematical Expectation
x Mean f x dx for continuous r.v
Note: Other measures as defined for frequency distributions in MST-002
can be defined for probability distributions also and hence can be
expressed in terms of the expectations in the manner as the moments;
variance and covariance have been defined in this section of the Unit.
Example 7: Considering the probability distribution given in Example 6, obtain
i) V(X)
ii) V(2X + 3).
Solution:
2
(i) V X E X 2 E X
2 The values have already been obtained
2.2 0.2 in the solution of Example 6
2.2 0.04 = 2.16
2
(ii) V 2X 3 2 V X [Using the result of Theorem 8.1]
= 4V(X) = 4(2.16) = 8.64
Example 8: If X and Y are independent random variables with variances 2
and 3 respectively, find the variance of 3X + 4Y.
Solution: V(3X + 4Y) = (3)2 V(X) + (4)2 V(Y) [By Remark 3 of Section 8.4]
= 9(2) + 16( 3) = 18 + 48 = 66
Here are two exercises for you:
E5) If X is a random variable with mean and standard deviation , then
X
find the variance of standard random variable Z = .
E6) Suppose that X is a random variable for which E(X) = 10 and
V(X) = 25. Find the positive values of a and b such that Y = aX – b
has expectation 0 and variance 1.
8.5 ADDITION AND MULTIPLICATION
THEOREMS OF EXPECTATION
Now, we are going to deal with the properties of expectation in case of
two-dimensional random variable. Two important properties, i.e. addition
and multiplication laws of expectation are discussed in the present section.
67
Random Variables and
Expectation
Addition Theorem of Expectation
Theorem 8.2: If X and Y are random variables, then E X Y E X E Y
Proof:
Discrete case:
Let (X, Y) be a discrete two-dimensional random variable which takes up
the values (xi, yj) with the joint probability mass function
pij = P X x i Y y j .
Then, the probability distribution of X is given by
pi p x i P X x i
event X = xi can happen with
P X x i Y y1 P X x i Y y 2 ...
Y=y1 orY=y2 orY=y3 or...
= pi1 pi2 pi3 ...
p ij
j
Similarly, the probability distribution of Y is given by
p j p y j P Y y j = p ij
i
E X x i pi , E Y y jp j and E X Y x i y j p ij
i j i j
Now E X Y x i y j p ij
i j
x i pij y jpij
i j i j
= x p y p
i
i
j
ij
j
j
i
ij
[ in the first term of the right hand side, xi is free from j and hence can
be taken outside the summation over j; and in second term of the right
hand side, yj is free from i and hence can be taken outside the summation
over i.]
E X Y x i pi y j p j = E X E Y
i j
Continuous Case:
Let (X, Y) be a bivariate continuous random variable with probability
density function f x, y . Let f x and f y be the marginal
probability density functions of random variables X and Y respectively.
68
Mathematical Expectation
E X x f x dx, E Y y f y dy,
and E X Y x y f x, y dy dx .
Now, E X Y x y f x, y dy dx
x f x, y dy dx y f x, y dy dx
x
f x, y dy dx y f x, y dx dy
[ in the first term of R.H.S., x is free from the integral w.r.t. y and
hence can be taken outside this integral. Similarly, in the second term of
R.H.S, y is free from the integral w.r.t. x and hence can be taken outside
this integral.]
Refer to the definition of marginal density
x f x dx y f y dy function given in Unit 7 of this course
E X E Y
Remark 3: The result can be similarly extended for more than two random
variables.
Multiplication Theorem of Expectation
Theorem 8.3: If X and Y are independent random variables, then
E(XY) = E(X) E(Y)
Proof:
Discrete Case:
Let (X, Y) be a two-dimensional discrete random variable which takes up the
values x i , y j with the joint probability mass function
pij P X x i Y y j . Let pi and p j' be the marginal probability mass
functions of X and Y respectively.
E X x i pi , E Y y jp j' , and
i j
E XY x i y j p ij
i j
But as X and Y are independent,
p ij P X x i Y y j
69
Random Variables and
Expectation if events A and B are independent,
= P X x i P Y y j
then P A B P A P B
p i p j'
Hence, E(XY) = x y p p
i j
i j i j
'
= x i y jpi p j'
i j
x i p i y j p j'
i j
x i pi is free from j and hence can be
x i pi y j p j' taken outside the summation over j
i j
=E(X) E(Y)
Continuous Case:
Let (X, Y) be a bivariate continuous random variable with probability
density function f(x, y). Let f(x) and f(y) be the marginal probability
density function of random variables X and Y respectively.
E X x f x dx, E Y y f y dy ,
and E XY xy f x, y dy dx .
Now E XY xy f x, y dy dx
X and Y are independent, f(x,y)=f(x)f(y)
xy f x f y dy dx
(see Unit 7 of this course)
x f x yf y dy dx
x f x dx y f y dy
E X E Y
Remark 4: The result can be similarly extended for more than two
random variables.
Example 8: Two unbiased dice are thrown. Find the expected value of
the sum of number of points on them.
Solution: Let X be the number obtained on the first die and Y be the
number obtained on the second die, then
70
7 7 Mathematical Expectation
E X and E Y [See Example 3 given in Section 8.2]
2 2
The required expected value = E(X + Y)
Using addition theorem
= E(X) + E(Y)
of expectation
7 7
= =7
2 2
Remark 5: This example can also be done considering one random
variable only as follows:
Let X be the random variable denoting “the sum of numbers of points on
the dice”, then the probability distribution in this case is
X: 2 3 4 5 6 7 8 9 10 11 12
1 2 3 4 5 6 5 4 3 2 1
p(x) :
36 36 36 36 36 36 36 36 36 36 36
1 2 1
and hence E(X) = 2 3 ... 12 =7
36 36 36
Example 9: Two cards are drawn one by one with replacement from 8
cards numbered from 1 to 8. Find the expectation of the product of the
numbers on the drawn cards.
Solution: Let X be the number on the first card and Y be the number on
the second card. Then probability distribution of X is
X 1 2 3 4 5 6 7 8
px 1 1 1 1 1 1 1 1
8 8 8 8 8 8 8 8
and the probability distribution of Y is
Y 1 2 3 4 5 6 7 8
p y 1 1 1 1 1 1 1 1
8 8 8 8 8 8 8 8
1 1 1
E X E Y 1 2 ... 8
8 8 8
1 1 9
1 2 3 4 5 6 7 8 36
8 8 2
Thus, the required expected value is
E XY E X E Y [Using multiplication theorem of expectation]
9 9 81
.
2 2 4
71
Random Variables and
Expectation
Expectation of Linear Combination of Random Variables
Theorem 8.4: Let X1 , X 2 , ..., X n be any n random variables and if
a1 , a 2 , ..., a n are any n constants, then
E a1X1 a 2 X 2 ... a n X n a1E X1 a 2 E X 2 ... a n E X n
[Note : Here a1X1 a 2 X 2 ... a n X n is a linear combination of X1, X2, ... , Xn]
Proof: Using the addition theorem of expectation, we have
E a1X1 a 2 X 2 .... a n X n E a1X1 E a 2 X 2 ... E a n X n
= a1E X1 a 2 E X 2 ... a n E X n .
[Using second property of Section 8.3 of the unit]
Now, you can try the following exercises.
E7) Two cards are drawn one by one with replacement from ten cards
numbered 1 to 10. Find the expectation of the sum of points on two
cards.
E8) Find the expectation of the product of number of points on two dice.
Now before ending this unit, let’s summarize what we have covered in it.
8.6 SUMMARY
The following main points have been covered in this unit:
1) Expected value of a random variable X is defined as
n
E X x i pi , if X is a discrete random variable
i 1
xf x dx , if X is a continuous random variable.
2) Important properties of expectation are:
i) E(k) = k, where k is a constant.
ii) E(kX) = kE(X), k being a constant.
iii) E(aX + b) = aE(X) + b, where a and b are constants
iv) Addition theorem of Expectation is stated as:
If X and Y are random variables, then E X Y E X E Y .
v) Multiplication theorem of Expectation is stated as:
If X and Y are independent random variables, then
E(XY) = E(X)E(Y).
72
vi) If X1 , X 2 , ..., X n be any n random variables and if a1 , a 2 , ..., a n are any n Mathematical Expectation
constants, then
E a1X1 a 2 X 2 ... a n X n a1E X1 a 2 E X 2 ... a n E X n .
3) Moments and other measures in terms of expectation are given as:
i) r th order moment about any point is given as
pi x i A r , if X is a discrete r.v.
i
'
r
x A r f x dx, if X is a continous r.v
= E(X A)r
ii) Variance of a random variable X is given as
2 2
V X E X E X E X
pi xi x yi y , if X, Y is discrete r.v.
i
iii) Cov(X,Y) =
x x y y f x, y dydx, if X, Y is continuous r.v.
E X E X Y E Y
= E(XY) – E(X) E(Y).
iv) M.D. about mean = EX – E(X)
pi x Mean for discrete r.v
x Mean f x dx for continuous r.v
If you want to see what our solutions to the exercises in the unit are, we
have given them in the following section.
8.7 SOLUTIONS/ANSWERS
E1) Let X be the amount (in rupees) won by you.
1
X can take the values 100, 0 with P[X = 100] = P[Head] = , and
2
1
P[X = 0] = P[Tail] = .
2
probability distribution of X is
X: 100 0
1 1
px
2 2
73
Random Variables and and hence the expected amount won by you is
Expectation
1 1
E X 100 0 = 50.
2 2
E2) Let X be the number of tosses till tail turns up.
X can take values 1, 2, 3, 4… with
1
P[X = 1] = P[Tail in the first toss] =
2
2
1 1 1
P[X = 2] = P[Head in the first and tail in the second toss] = ,
2 2 2
3
1 1 1 1
P[X = 3] = P[HHT] = , and so on.
2 2 2 2
Probability distribution of X is
X: 1 2 3 4 5...
2 3 4 5
1 1 1 1 1
px ...
2 2 2 2 2
and hence
2 3 4
1 1 1 1
E X 1 2 3 4 ... … (1)
2 2 2 2
1
Multiplying both sides by , we get
2
2 3 4 5
1 1 1 1 1
E X 2 3 4 ...
2 2 2 2 2
2 3 4
1 1 1 1
E X 2 3 ... … (2)
2 2 2 2
[Shifting the position one step towards right so that we get the
terms having same power at the same positions as that in (1)]
Now, subtracting (2) from (1), we have
2 3 4
1 1 1 1 1
E X E X ...
2 2 2 2 2
2 3 4
1 1 1 1 1
E X
2 2 2 2 2
2 3
1 1 1
E X 1 ...
2 2 2
74
(Which is an infinite G.P. with first term a = 1 and common ratio Mathematical Expectation
1
r= )
2
1 a
[ S (see Unit 3of course MST - 001)]
1 1 r
1
2
1
= 2.
1
2
E3) E X x f x dx
0 1 2
x f x dx x f x dx x f x dx x f x dx
0 1 2
0 1 2
3
x 0 dx x x dx x 2 x
3
dx x 0 dx
0 1 2
1 2
0 x 4 dx x 8 x 3 6x 2 x dx 0
0 1
1 2
x 4dx 8x x 4 12x 2 6x 3 dx
0 1
1 2
x5 x 2 x5 x3 x4
8 12 6
5 0 2 5 3 4 1
1 8 2 2 12 2 6 2 8 1 1 12 1 6 1
2 5 3 4 2 5 3 4
5 2 5 3 4 2 5 3 4
1 32 1 3
16 32 24 4 4
5 5 5 2
1 8 13 1 3 1
.
5 5 10 5 10 2
E4) As X is a random variable with mean ,
E(X) = ... (1)
expectation is nothing but simply the average taken over all
the possible values of random variable as defined in Sec. 8.2
75
Random Variables and
X
Expectation Now, E Z E
1
E X
1
E X [Using Property 2 of Sec. 8.3]
1
E X [Using Property 3 of Sec. 8.3]
1
[Using (1)]
=0
Note: Mean of standard random variable is zero.
X
E5) Variance of standard random variable Z = is given as
X X
V(Z) = V =V
1
V X
2
1 Using the result of the Theorem 8.1
V X of Sec. 8.5 of this unit
1
= VX
2
1 it is given that the standard deviation
2
2 = 1 2
of X is and hence its variance is
Note: The mean of standard random variate is ‘0’ [See (E4)] and its
variance is 1.
E6) Given that E Y 0 E(a X b) = 0 a E(X) – b = 0
a(10) – b = 0
10 a – b = 0 ... (1)
Also as V(Y) = 1,
hence V(aX b) = 1
1
a2V(X) = 1 a2(25) = 1 a2 =
25
1
a= [ a is positive]
5
From (1), we have
1
10 b 0 2 – b = 0 b = 2
5
76
1 Mathematical Expectation
Hence, a = , b = 2.
5
E7) Let X be the number on the first card and Y be the number on the
second card. Then probability distribution of X is:
X 1 2 3 4 5 6 7 8 9 10
px 1 1 1 1 1 1 1 1 1 1
10 10 10 10 10 10 10 10 10 10
and the probability distribution of Y is
X 1 2 3 4 5 6 7 8 9 10
px 1 1 1 1 1 1 1 1 1 1
10 10 10 10 10 10 10 10 10 10
1 1 1
E(X) = E(Y) = 1 2 ... 10
10 10 10
1 1
1 2 3 4 5 6 7 8 9 10 = 55 5.5
10 10
and hence the required expected value is
E X Y E X E Y = 5.5 + 5.5 = 11
E8) Let X be the number obtained on the first die and Y be the number
obtained on the second die.
7
Then E(X) = E(Y) = . [See Example 3 given in Section 8.2]
2
Hence, the required expected value is
E XY E X E Y [Using multiplication theorem of expectation]
7 7 49
= = .
2 2 4
77
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