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MA 6453 PROBABILITY AND QUEUEING THEORY

(Regulation 2013)

UNIT SYLLABUS
UNIT II TWO - DIMENSIONAL RANDOM VARIABLES

Joint distributions Marginal and conditional

distributions Covariance Correlation and Linear
regression Transformation of random variables

18 December 2014 Two Dimensional Random 2

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JOINT DISTRIBUTIONS
&
MARGINAL AND CONDITIONAL DISTRIBUTIONS

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TWO DIMENSIONAL RANDOM VARIABLES

Let S be the sample space associated with a random experiment E.
Let X = X(s) and Y = Y(s) be two functions each assigning a real
number to each outcomes s S. Then (X, Y ) is called a
two - dimensional random variable.

Examples :
1. Signal transmission : X is high quality signals and
Y low quality signals.

18 December 2014 Two Dimensional Random 4

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TWO DIMENSIONAL DISCRETE RANDOM VARIABLES

If the possible values of (X, Y) are finite or countably infinite,
then (X, Y) is called a two - dimensional discrete random variables.
Example:
(Sample space for dice) Consider the experiment of
tossing two fair dice. The sample space for this experiment
has 36 equally likely points. Let X = sum of the two dice
and Y = |deference of two dice|. The random variable (X, Y )
defined above is called a discrete random vector because it
has only a countable (in this case, finite) number of
possible values.

18 December 2014 Two Dimensional Random 5

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JOINT PROBABILITY MASS FUNCTION (PMF)

When both X and Y are discrete random variables,

we define their joint PMF or simply the Probability
Function of (X, Y) as follows :
p XY ( x i , y j ) = P [ X = x i ,Y = y j ]
provided the following conditions are satisfied.
(i ) 0 p XY ( x i , y j )) 1 i , j
(ii ) p
i j
XY (xi , y j ) = 1

18 December 2014 Two Dimensional Random 6

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MARGINAL PROBABILITY DISTRIBUTION

(For discrete random variables)

If (X, Y) is a two - dimensional discrete RV, then the

probability distribution of X, also called marginal
probability mass function of X, denoted by p X (x i ), is defined as
p X (x i ) = p XY (x i , y j ) = P[X = x i ]
j

Similarly, the marginal probability mass function of Y, denoted by

p Y (y j ), is defined as
p Y (y j ) = p XY (xi , y j ) = P[Y = y j ]
j

18 December 2014 Two Dimensional Random 7

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CONDITIONAL PROBABILITY DISTRIBUTION

(For discrete random variables)
Let (X, Y) be a discrete two - dimensiona l discrete random
variables with the joint PMF p XY ( x , y ). Then the conditional
PMF of Y, given X = x , is given by
P[ X = x ,Y = y ] p XY ( x , y )
pY X ( y x ) = = provided p X ( x ) > 0.
P[ X = x ] pX ( x )

Similarly,
the conditional PMF of X, given Y = y , is given by
P[ X = x ,Y = y ] p XY ( x , y )
PX Y ( x y ) = = provided pY ( y ) > 0.
P[Y = y ] pY ( y )

18 December 2014 Two Dimensional Random 8

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INDEPENDENT RANDOM VARIABLES

(For discrete random variables)

Let (X, Y) be a two - dimensiona l discrete random variable.

Then X and Y are independent random variables iff
PX ,Y ( x , y ) = PX ( x ). PY ( y )
where PX ,Y ( x , y ) is the joint p.m.f of (X, Y) and PX ( x ) and
PY ( y ) are the marginal p.m.f of X and Y.

18 December 2014 Two Dimensional Random 9

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CONDITIONAL MEANS
(For discrete random variables)

If X and Y are discrete random variables with the

joint PMF p XY ( x , y ), the conditiona l expected value of Y,
given that X = x , is defined by E [Y X = x ] = y pY X (y x)
y

Similarly,
the conditional expected value X, given Y = y ,
is given by E [ X Y = y ] = x p X Y ( x y )
x

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Example :
The joint probability mass function of (X , Y ) is given by
p(x , y ) = k (2 x + 3y ), x = 0,1,2; y = 1,2,3. Find all the
marginal and conditional probability distributi ons.

Solution :
The joint probability mass function of ( X , Y ) is given below
Y 1 2 3
X
0 3k 6k 9k
1 5k 8k 11k
2 7k 10k 13k

18 December 2014 Two Dimensional Random 11

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Since p( x , y ) is a probability mass function, we have

p( x , y ) = 1
3 k + 6 k + 9 k + 5 k + 8 k + 11 k + 7 k + 10 k + 13 k = 1
1
72 k = 1 k = .
72
Marginal probability distribution of X
P [ X = 0] = 3k + 6k + 9k = 18k =
18 1
=
72 4

P [ X = 1] = 5k + 8k + 11k = 24k =
24 1
=
72 3

P [ X = 0] = 7 k + 10k + 13k = 30k =

30 5
=
72 12

18 December 2014 Two Dimensional Random 12

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Marginal probabilit y distribution ofY

P [Y = 1] = 3k + 5k + 7k = 15k =
15 5
=
72 24

[ ]
P Y = 2 = 6k + 8k + 10k = 24k =
24 1
=
72 3

[ ]
P Y = 3 = 9k + 11k + 13k = 33k =
33 11
=
72 24

18 December 2014 Two Dimensional Random 13

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Conditiona l distributi on of X given Y = 1

P [ X = 0 , Y = 1] 3k
[ ]
P X =0 Y = 1 = = =
3 1
=
P [Y = 1] 15k 15 5

P [ X = 1 , Y = 1] 5k
P [ X = 1 Y = 1] =
5 1
= = =
P [Y = 1] 15k 15 3

P [ X = 2 , Y = 1] 7k
P [ X = 2 Y = 1] =
7
= =
P [Y = 1] 15k 15

18 December 2014 Two Dimensional Random 14

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Conditiona l distributi on of X given Y = 2

P [ X = 0 , Y = 2]
P [ X = 0 Y = 2] =
6k 6 1
= = =
P [Y = 2] 24 k 24 4
P [ X = 1 , Y = 2]
P [ X = 1 Y = 2] =
8k 8 1
= = =
P [Y = 2] 24k 24 3
P [ X = 2 , Y = 2] 10 k
P [ X = 2 Y = 2] =
5
= =
P [Y = 2] 24 k 12

18 December 2014 Two Dimensional Random 15

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Conditional distribution of X given Y = 3

P [ X = 0 , Y = 3]
P [ X = 0 Y = 3] =
9k 9 3
= = =
P [Y = 3] 33k 33 11
P [ X = 1 , Y = 3] 11k 11 1
P [ X = 1 Y = 3] = = = =
P [Y = 3] 33k 33 3
P [ X = 2 , Y = 3] 13k 13
P [ X = 2 Y = 3] = = =
P [Y = 3] 33k 33

18 December 2014 Two Dimensional Random 16

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Conditiona l distributi on of Y given X = 0

P [ X = 0 , Y = 1] 3k
P [Y = 1 X = 0] =
3 1
= = =
P [ X = 0] 18k 18 6
P [ X = 0 , Y = 2] 6 k
[
P Y =2 X = 0 =] = =
6 1
=
P [ X = 0] 18k 18 3
P [ X = 0 , Y = 3] 9 k
P [Y = 3 X = 0] =
9 1
= = =
P [ X = 0] 18k 18 2

18 December 2014 Two Dimensional Random 17

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Conditiona l distributi on of Y given X = 1

P [ X = 1 , Y = 1] 5k
P [Y = 1 X = 1] =
5
= =
P [ X = 1] 24k 24
P [ X = 1 , Y = 2]
P [Y = 2 X = 1] =
8k 8 1
= = =
P [ X = 1] 24k 24 3
P [ X = 1 , Y = 3]
P [Y = 3 X = 1] =
11k 11
= =
P [ X = 1] 24k 24

18 December 2014 Two Dimensional Random 18

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Conditional distribution of Y given X = 2

P [ X = 2 , Y = 1] 7k
[
P Y =1 X = 2 =] = =
7
P [ X = 2] 30k 30
P [ X = 2 , Y = 2] 10k 10 1
P [Y = 2 X = 2] = = = =
P [ X = 2] 30k 30 3
P [ X = 2 , Y = 3] 13k 13
P [Y = 3 X = 2] = = =
P [ X = 2] 30k 30

18 December 2014 Two Dimensional Random 19

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Example :
The Joint p.m.f of X and Y is

Y
p(x,y)
0 1 2
0 0.1 0.04 0.02
X 1 0.08 0.20 0.06
2 0.06 0.14 0.30

Determine if X and Y are independent.

18 December 2014 Two Dimensional Random 20

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Solution :
The marginal p.m.f of X and Y are given by

Y
p(x,y) p(x) = P(X=x)
0 1 2
0 0.1 0.04 0.02 0.16
X 1 0.08 0.20 0.06 0.34
2 0.06 0.14 0.30 0.5
p(y) = P(Y=y) 0.24 0.38 0.38 1

If p XY(x,y) = p X(x).p Y(y) for all x and y,

we can say that X and Y are independent.

18 December 2014 Two Dimensional Random 21

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We have p(X = 0 ) p(Y = 0 ) = 0.16 0.24 = 0.0384

p(x = 0 ,y = 0 ) = 0 .1

Similarly we can verify that

p(X = 1 ) p(Y = 1 ) p(x = 1,y = 1 )
p(X = 2 ) p(Y = 2 ) p(x = 2 ,y = 2 ) and so on.
Hence the RVs X and are not independent.

18 December 2014 Two Dimensional Random 22

Variables by Dr M Radhakrishnan

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TWO DIMENSIONAL CONTINUOUS RANDOM VARIABLES

If (X, Y) can assume all values in a specified region R
in the xy - plane, (X, Y) is called a two - dimensional
continuous random variables.
Example:
Suppose X denotes the duration of an eruption (in second)
of Volcano, and Y denotes the time (in minutes) until the
next eruption. We might want to know if there is a
relationship between X and Y. Or, we might want to know
the probability that X falls between two particular
values a and b, and Y falls between two particular
values c and d. That is, we might want to
know P(a < X < b, c < Y < d ). In this case (X, Y) is called two
dimensional continuous random variables.
18 December 2014 Two Dimensional Random 23
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JOINT PROBABILITY DENSITY FUNCTION (PDF)

If (X, Y) is a two - dimensional continuousrandom variable such that

dx dx dy dy
Px X x + , y Y y + = f ( x, y )dxdy,
2 2 2 2
then f ( x, y ) is called the joint p.d.f of (X, Y), provided f ( x, y )
satisfies the following conditions:
( i ) f ( x, y ) 0 for all ( x, y ) R, whre R is the range space.
(ii) f(x, y)dxdy = 1
R

( iii ) If D is a subspace of the range space R, then

P{(X, Y) D} = f(x, y)dxdy.
D

18 December 2014 Two Dimensional Random 24

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MARGINAL PROBABILITY DISTRIBUTION

(For continuous random variables)
Let (X, Y) be the two - dimensional continuous RV.
Then the marginal density function of X is denoted
by f X ( x ) and is defined as,

f X ( x) = f

XY ( x , y )dy

Similarly,
the marginal density function of Y is denoted by
fY ( y ) and is defined as,

fY ( y ) = f

XY ( x, y )dx

18 December 2014 Two Dimensional Random 25

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CONDITIONAL PROBABILITY DISTRIBUTION

(For continuous random variables)

Consider two continuous random variables X and Y

with the joint PDF f XY ( x , y ).
The conditiona l PDF of Y, given X = x , is given by
f ( x, y)
f Y X ( y x ) = XY provided f X ( x ) > 0
f X ( x)

Similarly,
the conditional PDF of X, Y = y , is given by
f ( x, y)
f X Y ( x y ) = XY provided f Y ( y ) > 0
fY ( y )

18 December 2014 Two Dimensional Random 26

Variables by Dr M Radhakrishnan

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INDEPENDENT RANDOM VARIABLES

(For continuous random variables)

Two random variables X and Y with joint p.d.f f(x, y)

and marginal p.d.fs f(x) and f(y) respective ly are said
to be independen t iff
f X Y ( x y ) = f X ( x ) f Y ( y ).

18 December 2014 Two Dimensional Random 27

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Example :
cx ( x y ) ; 0 < x < 2 , x < y < x
Given f XY ( x , y ) = .
0 ; otherwise
(i ) Evaluate c (ii ) f X ( x ) (iii ) fY X ( y x ) and (iv ) fY (y ).
Solution :
Given f ( x , y ) is the jo int p.d . f , we have

f ( x , y ) dx dy = 1
2 x

c (x xy ) dy dx = 1
2

0 x

c x 2 ( x ( x )) ( x 2 x 2 ) dx = 1
x
0
2

18 December 2014 Two Dimensional Random 28

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c
[16 0]= 1 8c = 1 c = 1
2 8

f ( x , y ) = ( x xy ) ; 0 < x < 2 , x < y < x

1 2
8

f X (x ) = f (x , y ) dy = (x 2 xy )dy
1

8 x

1 2 x
y
= x 2 (y ) x x
x

8 2 x

18 December 2014 Two Dimensional Random 29

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= x 2 (x ( x )) (x 2 x 2 )
1 x
8 2
= [x (2x ) 0]
1 2
8
x3
= ,0 < x < 2
4

(
1 2
f (x , y ) 8 x xy
)
f Y X (y x ) = =
f X (x ) x3
4
4 x (x y )
=
8 x3
xy
= 2
, x< y < x
2x

18 December 2014 Two Dimensional Random 30

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Example :
8 x y ; 0 < x < y < 1
Given the joint pdf of (X, Y) as f ( x , y ) = . Find the
0 , otherwise
marginal and conditional probability density functions of X and Y.
Are X and Y are independent?
Solution :
Marginal density of X is
1

f X ( x ) = f ( x , y ) dy = 8 x y dy
x

1
y2
1

= 8 x y dy = 8 x
x 2 x

= 4 x (1 x 2 ) , 0 < x < 1

18 December 2014 Two Dimensional Random 31

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Marginal density of Y is
y

fY ( y ) = f ( x , y ) dx = 8 x y dx
0
y y
x 2
= 8 y x dx = 8 y
0 2 0

= 4 y ( y 2 0) = 4 y 3 , 0 < y < 1

and f X ( x ) . fY ( y ) = 4 x (1 x 2 ). 4 y 3 8 xy = f XY ( x , y )

Therefore X and Y are not independent.

Conditional density of X given Y is

f (x , y) 8 x y 2 x
f X Y (x y) = = = 2 , 0< x < y
fY ( y ) 4y 3
y

18 December 2014 Two Dimensional Random 32

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Conditional density of Y given X is

f (x , y )
f Y X (y x ) =
f X (x )
8xy
=
4 x (1 x 2 )
2y
= , x< y <1
1 x 2

18 December 2014 Two Dimensional Random 33

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JOINT CUMMULATIVE DISTRIBUTION FUNCTION (CDF)

If (X, Y) is a two - dimensional RV(discrete or continuous), then by

F ( x , y ) = P[ X x , Y y ] is called the cdf of (X, Y).
In the discrete case,
F(x, y) = p( x , y )
j i
i j

yj y xi x

In the continuous case,

y x

F(x, y) = f(x, y)dxdy

- -

18 December 2014 Two Dimensional Random 34

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PROPERTIES OF JOINT CDFs

1. 0 F XY ( x , y ) 1 for < x < , < y < .

2. lim FXY ( x , y ) = FXY (, ) = 1

x
y

3. lim FXY ( x , y ) = FXY ( , y ) = 0

x

4. lim FXY ( x , y ) = FXY ( x , ) = 0

y

18 December 2014 Two Dimensional Random 35

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MARGINAL CDFs
The marginal distribution of X with respect to the joint CDF
FXY ( x , y ) is FX ( x ) = P[ X x] = P[ X x, Y < ]
P[ X x , Y = y ], for discrete random var iables
y
i .e ., FX ( x ) = x

f XY ( x , y )dy dx , for continuous random var iables

and the marginal distribution of Y with respect to the joint CDF
FXY ( x , y ) is FY ( y ) = P[Y y] = P[ X < , Y y ]

P[ X = x , Y y ], for discrete random var iables

x
i .e ., FY ( y ) = y
f XY ( x , y )dx dy , for continuous random var iables

18 December 2014 Two Dimensional Random 36

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COVARIANCE

AND

CORRELATION COEFFICIENT

18 December 2014 Two Dimensional Random 37

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COVARIANCE

COVARIANCE(Definition)
The covariance of X and Y, which is denoted by Cov( X, Y)
or XY , is defined by Cov( X, Y) = E{[X - E(X)][Y - E(Y)]}
= E[ XY] E[ X]E[Y]

Note :
(i ) If Cov ( X ,Y ) = 0, we define the two random variables
to be uncorrelated.

(ii) Cov(aX + b, cY + d) = ac Cov(X, Y)

18 December 2014 Two Dimensional Random 38

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Result 1 :
Let X and Y be any two random variables and a, b be constants.
Prove that Cov (a X , bY ) = ab cov ( X ,Y )
Result 2 :
Let X and Y be any two random variables and a,b be constants.
Prove that Cov(X + a, Y + b) = Cov(X, Y)

Result 3 :
Show that Cov 2 ( X ,Y ) Var ( X ).Var (Y )

18 December 2014 Two Dimensional Random 39

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CORRELATION COEFFICIENT

CORRELATION COEFFICIEN T (Formula)

We define the correlation coefficient of X and Y, denoted by
( X ,Y ) or XY , as follows :
Cov ( X , Y ) XY
XY = = , 1 XY 1
Var ( X )Var (Y ) X Y

18 December 2014 Two Dimensional Random 40

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Result 1 :
1. Prove that the limits of correlatio n coefficien t is between 1 and 1.
i.e., 1 XY 1 or XY 1 or C XY X Y .

Result 2 :
Prove that two independen t variables are uncorrelated.

Result 3 :
Prove that correlation coefficient is independent of change of
origin and scale.

18 December 2014 Two Dimensional Random 41

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Example :
If X 1 has mean 4 and variance 9 while X 2 has mean 2
and variance 5 and the two variables independen t, find
Var (2 X 1 + X 2 5 ).

Solution :
Given E [ X 1 ] = 4 ,Var [ X 1 ] = 9
E [ X 2 ] = 2 ,Var [ X 2 ] = 5

Var (2 X 1 + X 2 5 ) = 4Var X 1 + Var X 2

= 4 (9 ) + 5 = 36 + 5 = 41.

18 December 2014 Two Dimensional Random 42

Variables by Dr M Radhakrishnan

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Example :
The joint p.m.f of X and Y is given below :
X
p(x,y)
-1 1
Find the correlation coefficient of (X,Y).
0 1/8 3/8
Y
1 2/8 2/8

Solution :
The marginal p.m.f of X and Y are given by
X
p(x,y) p(Y= y)
-1 1
0 1/8 3/8 4/8
Y
1 2/8 2/8 4/8
P(X= x) 3/8 5/8 1
18 December 2014 Two Dimensional Random 43
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3 5 2
E[X] = x i p( x i ) = ( 1) + (1) =
i 8 8 8

3 2 5
E[X ] = x p( x i ) = ( 1) + (1) = 1
2 2
i
2

i 8 8

4 4 1
E[Y] = y i p( y i ) = (0) + (1) =
i 8 8 2

4 4 1
E[Y 2 ] = y i2 p( y i ) = (0) 2 + (1) 2 =
i 8 8 2

18 December 2014 Two Dimensional Random 44

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E[XY] = x i y j p( x i , y i )
i j

1 3 2 2
= (0)(-1) + (0)(1) + (1)(-1) + (1)(1) = 0
8 8 8 8

4 15
= E[X ] [ E ( X )] = 1 =
2
X
2 2

64 16
15
X =
4

18 December 2014 Two Dimensional Random 45

Variables by Dr M Radhakrishnan

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1 1 1
= E[Y ] [ E (Y )] = =
2
Y
2 2

2 4 4
1
Y =
2

Cov( X, Y )
Hence ( X, Y ) =
X Y
E[ XY] E[ X]E[ Y]
=
X Y
= 0.2582.

18 December 2014 Two Dimensional Random 46

Variables by Dr M Radhakrishnan

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Example :
Suppose that the two dimensional RVs (X, Y) has the joint p.d.f
x + y, 0 < x < 1, 0 < y < 1
f(x,y) = .
0 , otherwise
Obtain the correlation coefficient between X and Y.
Solution :
The marginal density function of X is given by
1
y2
1
1
f X ( x ) = f ( x ) = f XY ( x , y )dy = ( x + y )dy = xy + = x + .
0 2 0 2

Similarly, the marginal density function of Y is given by

1
fY ( y ) = f ( y ) = f XY ( x , y )dx = y + , 0 < y < 1.

2

18 December 2014 Two Dimensional Random 47

Variables by Dr M Radhakrishnan

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E[ X] = xf ( x )dx

1
2 x
= x + dx
0
2
1
x3 x2 7
= + = .
3 4 0 12

E[Y ] = yf ( y )dy

1
2 y
= y + dy
0
2
1
y3 y2 7
= + = .
3 4 0 12

18 December 2014 Two Dimensional Random 48

Variables by Dr M Radhakrishnan

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E[ X 2 ] = x 2f ( x )dx

1
x x
1
x 2 4 3
= x 3 + dx = +
0
2 4 6 0
5
= .
12
1
y y
1
y
2 4 3
E[Y 2 ] = y 2f ( y )dy = y 3 + dy = +
0

2 4 6 0
5
= .
12

18 December 2014 Two Dimensional Random 49

Variables by Dr M Radhakrishnan

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E[ XY] = xyf (x, y )dxdy

1 1

= xy( x + y )dxdy
0 0
1
1 2
= y ( x + xy )dx dy
0 0
y y2
1

= + dy
0
3 2
1
= .
3

18 December 2014 Two Dimensional Random 50

Variables by Dr M Radhakrishnan

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5 49 11
Var ( X ) = E[ X ] [ E ( X )] =
2 2
=
12 144 144
11
X = .
12
5 49 11
Var (Y ) = E[Y 2 ] [ E (Y )]2 = =
12 144 144
11
Y = .
12
Coc( X , Y ) E[XY] - E[X]E[Y] 1
Hence (X, Y) = = = .
X Y X Y 11

18 December 2014 Two Dimensional Random 51

Variables by Dr M Radhakrishnan

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LINEAR REGRESSION

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Variables by Dr M Radhakrishnan

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LINES OF REGRESSION

The line of regression of y on x is given by

y
y-y = ( x x)
x

The line of regression of x on y is given by

x
x x= (y - y )
y

Note
Both the lines of regression passes through (x, y).

18 December 2014 Two Dimensional Random 53

Variables by Dr M Radhakrishnan

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REGRESSION COEFFICIENTS
y
Regression coefficien t of y on x is = b yx
x
x
Regression coefficien t of x on y is = b xy
y
PROPERTIES OF REGRESSION

1. Correlation coefficient is the geometric mean between

the regression coefficients. i.e = b xy b yx .

2. If one of the regression coefficients is greater than unity,

then other must be less than unity.

3. Regression coefficients are independent of the change of origin

but not of scale.

18 December 2014 Two Dimensional Random 54

Variables by Dr M Radhakrishnan

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Result :
The acute angle between the two lines of regression is
(1 r )
y
2

tan =
x

r ( x + y )
2 2
.

Example :
If the equations of the to lines of regression of y on x and x on y
are respective ly, 7x - 16y + 9 = 0; 5y - 4x - 3 = 0, calculate the
coefficien t of correlatio n, x and y .
Solution :
Since both the regression lines passes through (x, y), we get
7x - 16y = -9 & 4x - 5y = -3
3 15
Solving, we get x = - and y = .
29 29

18 December 2014 Two Dimensional Random 55

Variables by Dr M Radhakrishnan

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3 15
The mean value of x and y are - and .
29 29
Now, the regression equation of y onx is,
7x - 16y + 9 = 0
7 9 7
i.e y= x + b yx = .
16 16 16
Similarly, the regression equation of x on y is,
5y - 4x - 3 = 0
5 3 5
i.e x= y b xy = .
4 4 4

Hence the correlatio n coefficien t between X and Y is given by

= b yx b xy = 0.7338 .

18 December 2014 Two Dimensional Random 56

Variables by Dr M Radhakrishnan

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Example
From the following data, find
(i) the two regression equations,
(ii) the coefficient of correlation between the marks in
Economics and Statistics and
(iii) the most likely marks in statistics when marks in
Economics are 30.

Marks in
25 28 35 32 31 36 29 38 34 32
Economics
Marks in
43 46 49 41 36 32 31 30 33 39
Statistics

18 December 2014 Two Dimensional Random 57

Variables by Dr M Radhakrishnan

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Solution :
Let x = marks in Economics & y = marks in Statistics
xx yy (x x) 2 (y y) (x x)(y - y )
2
x y
25 43 -7 5 49 25 -35
28 46 -4 8 16 64 -32
35 49 3 11 9 121 33
32 41 0 3 0 9 0
31 36 -1 -2 1 4 2
36 32 4 -6 16 36 -24
29 31 -3 -7 9 49 21
38 30 6 -8 36 64 -48
34 33 2 -5 4 25 -10
32 39 0 1 0 1 0
320 380 0 0 140 398 -93
18 December 2014 Two Dimensional Random 58
Variables by Dr M Radhakrishnan

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where x =
x
= 32; y=
y
= 38
n n

and b YX =
( x x )( y y )
= 0.6643
(x x) 2

b XY =
( x x )( y y )
= 0.2337
(y y ) 2

Equation of the line of regression of x on y is

x - x = b XY (y y )
x = 0.2337 y + 40 .8806
Equation of the line of regression of y on x is
y y = b YX (x - x)
y = 0 .6643 x + 59 .2576

18 December 2014 Two Dimensional Random 59

Variables by Dr M Radhakrishnan

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Hence the correlation coefficient between X and Y is given by

= b yx bxy = 0.394
When x = 30,
y = ( 0.6643 30) + 59.2576 = 19.929 + 59.2576 = 39.3286.

18 December 2014 Two Dimensional Random 60

Variables by Dr M Radhakrishnan

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REGRESSION CURVE OR FUNCTION

Regression curve y on x is given by

y = E[Y/X = x] = y f (y/x )dy

-

Regression curve x on y is given by

x = E[X/Y = y] = x f (x/y )dx

-

Note
A linear regression line has an equation of the form
Y = a + bX, where X is the explanator y variable and Y
is the dependent variable. The slope of the line is ' b' and
' a' is the intercept. (the value of Y when x = 0)

18 December 2014 Two Dimensional Random 61

Variables by Dr M Radhakrishnan

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Example :
1, if y = x , 0 < x < 1
Let (X, Y) have the joint p.d.f given by f(x, y) = .
0, otherwise
Show that the regression of y on x is linear but regression of
x on y is not linear.

Solution :
The marginal p.d.f of X is
x

f(x) = f(x, y)dy = dy = 2x

- -x

Similarly, The marginal p.d.f of Y is

1

f(y) = f(x, y)dx = dx = 1

- 0

18 December 2014 Two Dimensional Random 62

Variables by Dr M Radhakrishnan

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Also, the conditional p.d.f of Y is given X = x is given by

f(x, y) 1
f(y/x) = =
f(x) 2x

and the conditional p.d.f of X is given Y = y is given by

f(x, y) 1
f(x/y) = = = 1.
f(y) 1
The regression curve y on x is

y = E[Y/X = x] = y f (y/x )dy

-

x x
1 1 y2 1 x2 x2
= y dy = = = 0
-x
2x 2x 2 x 2x 2 2

18 December 2014 Two Dimensional Random 63

Variables by Dr M Radhakrishnan

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i.e y = 0 , which is a straight line.

The regression curve y on x is linear.

Regression curve x on y is given by

x = E[X/Y = y] = x f (x/y )dx

-

1 1
x2 1
= x dx = = .
0 2 0 2

Hence the regression curve s on y is not linear.

18 December 2014 Two Dimensional Random 64

Variables by Dr M Radhakrishnan

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TRANSFORMATION OF RANDOVARIABLES

18 December 2014 Two Dimensional Random 65

Variables by Dr M Radhakrishnan

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TRANSFORMATION OF TWO-DIMENSIONAL RANDOM VARIABLE

If (X, Y) is a two - dimensiona l random variable with joint

pdf f XY (x, y) and if U = g(x, y) and V = h(x, y) are two other
random variables then the joint pdf of (U, V) is given by
f UV (u, v ) = f XY (x, y) . J
x x
(x, y) u v is called the jacobian of the
where J = =
(u, v) y y
u v
transforma tion.

18 December 2014 Two Dimensional Random 66

Variables by Dr M Radhakrishnan

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Result
Assume that U = g(X, Y), and we are required to find the
p.d.f of U. We can use the above transformation method
by defining an auxiliary function W = X or Y so we can
obtain the joint PDF f UW ( u, w ) of U and W.
Then we obtain the required marginal PDF f U ( u) as follows :

f U ( u) = f

UW ( u, w ) dw

Example :
If X and Y are independen t RVs with pdf' s e - x , x 0, e - y , y 0,
X
respectively, find the density functions of U = and V = X + Y.
X+Y
Are U and V independen t?

18 December 2014 Two Dimensional Random 67

Variables by Dr M Radhakrishnan

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Solution :
Since X and Y are independent, f X Y (x y ) = f X (x)fY (y) = e (x + y) .
x
Solving the equations u = andv = x + y,
x+y
we get x = uv and y = v(1 - u).

x x
(x, y) u v = v u
J= = = v.
(u, v) y y v (1 u)
u v

The joint pdf of (U, V) is given by

f UV (u, v ) = f XY (x, y) . J

= e -(x + y) v = e v v .

18 December 2014 Two Dimensional Random 68

Variables by Dr M Radhakrishnan

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The range space of (U, V) is obtained as follows :

Since x and y 0, uv 0 and 1 - u 0.
either u 0 and v 0 and 1 - u 0 i.e 0 u 1 and v 0
or u 0, v 0 and 1 u 0, i.e u 0 and u 1, which is absurd.
Therefore range space of (U, V) is given by 0 u 1 and v 0.
f UV (u, v ) = e v v; 0 u 1 and v 0.

PDF of U is given by f U ( u) = f UV (u, v ) dv

v v
= e v vdv = (v ) e (1) e

0 1 1 0

= 1, 0 u 1

18 December 2014 Two Dimensional Random 69

Variables by Dr M Radhakrishnan

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PDF of V is given by f V (v ) = f UV (u, v ) du

= e v vdu
0

= e v v (1 0 ) = e v v v 0.

Now f U (u ) f V ( v ) = (1) e v v
= e v v
= f UV (u, v )
Therefore, U and V are independent RVs.

18 December 2014 Two Dimensional Random 70

Variables by Dr M Radhakrishnan

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Example:
If X and Y are independent RVs each normally distributed with
mean zero and variance 2 , find the density functions of
Y
R = X2 + Y 2 and = tan-1 .
X
Solution :
Since X and Y are independent N(0, ),
1 ( x 2 + y 2 ) / 2 2
f XY ( x, y ) = e - < x, y < and r = x 2 + y 2 and
2 2

-1 y
= tan are the transformations from cartesiansto polars.
x
Therefore,the inverse transformations are given by x = rcos and y = rsin
x x
(x, y) r
J= = = r.
(r, ) y y
r
18 December 2014 Two Dimensional Random 71
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The joint pdf of (R, ) is given by

r
f R ( r , ) = e r 2 / 2 2
r 0, 0 2 .
2 2

Since - < x, y < and r 0, 0 2 both

represent the entire xy - plane.
The density function of R is given by
2 2
r
f R (r ) = f R (r , )d = e r 2 / 2 2
d
0 0
2 2

r
= e r 2 / 2 2
( )02
2 2

r r 2 / 2 2
= e r0
2

18 December 2014 Two Dimensional Random 72

Variables by Dr M Radhakrishnan

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The density function of is given by

r
f ( ) = e r 2 / 2 2
dr
0
2 2

r2
Putting t = 2 .
2

1
f ( ) =
t
e dt
2 0

1 e t 1
= = , 0 2
2 1 0 2

18 December 2014 Two Dimensional Random 73

Variables by Dr M Radhakrishnan

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18 December 2014 Two Dimensional Random 74

Variables by Dr M Radhakrishnan

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