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Math 367 - Lecture 5

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Math 367 - Lecture 5

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lama asiri.
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Course Title: Probability Theory

Course Code: Math 367


Lecture (5): Distribution of Bivariate Random Variables
(continuous Case)

Dr. Shuhrah Alghamdi


Assistant Professor; Department of Mathematical Sciences,
College of Science, Princess Nourah bint Abdulrahman University
1
References

1- Hogg, R. V., Tanis, E. A., & Zimmerman, D. L.


(2010). Probability and statistical inference (Chapter (4)).
Upper Saddle River, NJ, USA:: Pearson/Prentice Hall, 5th
Ed.
WHAT YOU SHOULD LEARN?

Bivariate Distribution of Continuous Type.

1) The joint probability density function for Bivariate Distribution.


2) The marginal probability density function for Bivariate Distribution.
3) The independent RV for Bivariate Distribution.
4) The Covariance and Correlation coefficient.
5) The Conditional Distributions.
6) The Bivariate Normal Distribution.

3
Joint probability density function (Joint pdf)

The joint probability density function (joint pdf) of two continuous-type random variables is
an integrable function f (x, y) with the following properties:

4
The marginal probability density function
Joint and marginal pdfs example 1
Joint and marginal pdfs example 1 continue

We can find ! from the


marginal pdfs directly.
Joint and marginal pdfs example 2
The independent RV for Bivariate Distribution.

*****************************************************************

9
The Covariance and Correlation coefficient

In Section 4.2, we used discrete random variables to define the correlation coefficient and related concepts. These
ideas carry over to the continuous case with the usual modifications—in particular, with integrals replacing
summations. We illustrate the continuous relationships in the following example
Example continuous
Example continuous
The conditional pdf
In Section 4.3, we used random variables of the discrete type to introduce the new definitions. These
definitions also hold for random variables of the continuous type. Let X and Y have a distribution of
the continuous type with joint pdf f (x, y) and marginal pdfs #! (%) and #" (y), respectively. Then the
conditional pdf, mean, and variance of Y, given that X = x, are, respectively,
Example
The Bivariate Normal Distribution.

Let X and Y be random variables with joint pdf f (x, y) of the continuous type.

Suppose that we have an application in which we can make the following three assumptions
about the conditional distribution of Y, given X = x:
(a) It is normal for each real x.
The conditional distribution of Y=y given X = x is normal for every real value of x.
(b) Its mean, E(Y | x), is a linear function of x.
The mean of the conditional distribution, denoted as E(Y | x), is a linear function of x.
(c) Its variance is constant; that is, it does not depend upon the given value of x.
In other words, the variability in Y does not depend on the specific value of x.

For example:
X and Y might be a student’s grade point averages from high school and from
the first year in college, respectively. Persons in the field of educational testing
and measurement are extremely interested in the conditional distribution of Y,
given that X = x, in such situations.
The Bivariate Normal Distribution.

Definition:
A continuous bivariate normal distribution (X, Y) is said to have the bivariate normal
distribution if its conditional pdf of Y, given that X = x, be

The derivation of this formula can be found on pages 155 and 156.

Result:
The Bivariate Normal Distribution Example 1

By using

17
Example continue:
Example
Theorem

In Equation 4.5-2

Thus, in the bivariate normal case, ρ = 0 does imply independence


of X and Y.
Homework

Ø Ex 4.4, Page 153&154 (4.4-1, 4.4-5 (a,b),4.4-6, 4.4-8,)


Ø Ex 4.5, Page 159 (4.5-1,4.5-2, 4.5-3, 4.5-4)
‫ﺷﻛرا ً ﻟﻛم‬
Thank You

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