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Part IA Easter Term

Joint Distributions for Continuous Random Variables

Joint PDF

For continuous random variables XX and YY, the joint PDF f(x,y)f(x, y) satisfies:

P((X,Y)∈A)=∬Af(x,y) dx dyP((X, Y) \in A) = \iint_A f(x, y) \, dx \, dy

Properties

  1. f(x,y)≥0f(x, y) \geq 0 for all (x,y)(x, y)
  2. ∫−∞∞∫−∞∞f(x,y) dx dy=1\int_{-\infty}^{\infty} \int_{-\infty}^{\infty} f(x, y) \, dx \, dy = 1

Interpretation

The joint PDF is a surface over the xyxy-plane. Probabilities correspond to volumes under the surface.

P(a≤X≤b,c≤Y≤d)=∫ab∫cdf(x,y) dy dxP(a \leq X \leq b, c \leq Y \leq d) = \int_a^b \int_c^d f(x, y) \, dy \, dx

Joint PDF as surface

Joint CDF

The joint CDF is:

F(x,y)=P(X≤x,Y≤y)=∫−∞x∫−∞yf(u,v) dv duF(x, y) = P(X \leq x, Y \leq y) = \int_{-\infty}^x \int_{-\infty}^y f(u, v) \, dv \, du

Recovering the PDF:

f(x,y)=∂2F(x,y)∂x∂yf(x, y) = \frac{\partial^2 F(x, y)}{\partial x \partial y}

Example: Uniform on Unit Square

(X,Y)(X, Y) uniform on [0,1]×[0,1][0, 1] \times [0, 1]:

f(x,y)={10≤x≤1,0≤y≤10otherwisef(x, y) = \begin{cases} 1 & 0 \leq x \leq 1, 0 \leq y \leq 1 \\ 0 & \text{otherwise} \end{cases}

P(X+Y≤1)=∫01∫01−x1 dy dx=∫01(1−x) dx=[x−x22]01=12P(X + Y \leq 1) = \int_0^1 \int_0^{1-x} 1 \, dy \, dx = \int_0^1 (1 - x) \, dx = \left[x - \frac{x^2}{2}\right]_0^1 = \frac{1}{2}

Marginal PDFs

fX(x)=∫−∞∞f(x,y) dyf_X(x) = \int_{-\infty}^{\infty} f(x, y) \, dy

fY(y)=∫−∞∞f(x,y) dxf_Y(y) = \int_{-\infty}^{\infty} f(x, y) \, dx

Intuition: Integrate out one variable to get the distribution of the other.

Example

f(x,y)={2e−xe−2yx>0,y>00otherwisef(x, y) = \begin{cases} 2e^{-x} e^{-2y} & x > 0, y > 0 \\ 0 & \text{otherwise} \end{cases}

Find fX(x)f_X(x):

fX(x)=∫0∞2e−xe−2y dy=2e−x∫0∞e−2y dy=2e−x⋅12=e−x,x>0f_X(x) = \int_0^{\infty} 2e^{-x} e^{-2y} \, dy = 2e^{-x} \int_0^{\infty} e^{-2y} \, dy = 2e^{-x} \cdot \frac{1}{2} = e^{-x}, \quad x > 0

So X∼Exp(1)X \sim \text{Exp}(1).

Similarly: fY(y)=2e−2yf_Y(y) = 2e^{-2y}, y>0y > 0. So Y∼Exp(2)Y \sim \text{Exp}(2).

Independence for Continuous Variables

XX and YY are independent if:

f(x,y)=fX(x)⋅fY(y)for all x,yf(x, y) = f_X(x) \cdot f_Y(y) \quad \text{for all } x, y

Equivalently:

F(x,y)=FX(x)⋅FY(y)F(x, y) = F_X(x) \cdot F_Y(y)

Example

For the PDF above:

fX(x)fY(y)=e−x⋅2e−2y=2e−xe−2y=f(x,y)f_X(x) f_Y(y) = e^{-x} \cdot 2e^{-2y} = 2e^{-x} e^{-2y} = f(x, y)

Thus XX and YY are independent.

Counterexample

Let f(x,y)=8xyf(x, y) = 8xy on 0≤x≤y≤10 \leq x \leq y \leq 1.

fX(x)=∫x18xy dy=8x⋅1−x22=4x(1−x2)f_X(x) = \int_x^1 8xy \, dy = 8x \cdot \frac{1 - x^2}{2} = 4x(1 - x^2)

fY(y)=∫0y8xy dx=8y⋅y22=4y3f_Y(y) = \int_0^y 8xy \, dx = 8y \cdot \frac{y^2}{2} = 4y^3

fX(x)fY(y)=16xy3(1−x2)≠8xyf_X(x) f_Y(y) = 16xy^3(1 - x^2) \neq 8xy

Not independent.

Example: Computing Probabilities

For f(x,y)=2e−xe−2yf(x, y) = 2e^{-x} e^{-2y} (x,y>0x, y > 0), find P(X<Y)P(X < Y).

P(X<Y)=∫0∞∫0y2e−xe−2y dx dyP(X < Y) = \int_0^{\infty} \int_0^y 2e^{-x} e^{-2y} \, dx \, dy

Inner integral: ∫0y2e−x dx=2(1−e−y)\int_0^y 2e^{-x} \, dx = 2(1 - e^{-y})

P(X<Y)=∫0∞2e−2y⋅2(1−e−y) dy=4∫0∞(e−2y−e−3y) dyP(X < Y) = \int_0^{\infty} 2e^{-2y} \cdot 2(1 - e^{-y}) \, dy = 4\int_0^{\infty} (e^{-2y} - e^{-3y}) \, dy

=4(12−13)=4⋅16=23= 4\left(\frac{1}{2} - \frac{1}{3}\right) = 4 \cdot \frac{1}{6} = \frac{2}{3}

Summary

ConceptFormula
Joint PDFP((X,Y)∈A)=∬Af(x,y)dxdyP((X,Y) \in A) = \iint_A f(x,y) dx dy
MarginalfX(x)=∫f(x,y)dyf_X(x) = \int f(x,y) dy
Independencef(x,y)=fX(x)fY(y)f(x,y) = f_X(x) f_Y(y)
Joint CDFF(x,y)=P(X≤x,Y≤y)F(x,y) = P(X \leq x, Y \leq y)