Joint Probability Distributions

In general, if X and Y are two random

variables, the probability distribution that
defines their simultaneous behavior is
called a joint probability distribution.

503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
Note:

If X and Y are 2 discrete random variables, this

distribution can be described with a joint
probability mass function. If X and Y are
continuous, this distribution can be described
with a joint probability density function.

503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
Two Discrete Random Variables:

If X and Y are discrete, with ranges 𝑅𝑋

and 𝑅𝑌 , respectively, the joint
probability mass function is

p(x, y) = P(X = x and Y = y), x ∈ 𝑅𝑋 , y ∈ 𝑅𝑌 .

503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
in the discrete case,

503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
Two Continuous Random Variables:
If X and Y are continuous, the joint
probability density function is a function
f(x,y) that produces probabilities:

𝑃 𝑋, 𝑌 ∈ 𝐴 = ඵ 𝑓 𝑥, 𝑦 𝑑𝑦𝑑𝑥
A

503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
in the continuous case,

4) P ( a  x  b ,c  y  d ) =   f (x , y )dydx
bd

ac

503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
 Example:
Suppose we have the following joint mass function
Y -2 0 5
X
1 0.15 K 0.20
3 0.20 0.05 0.15

Find the value of k?

503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
 Answer:
Using
෍ ෍ 𝑓(𝑥, 𝑦) = 1
𝑥 𝑦
We get

0.15 + 0.20 + 𝑘 + 0.05 + 0.20 + 0.15 = 1

0.75 + 𝑘 = 1
𝑘 = 1 − 0.75 = 0.25

503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
 Example:
Suppose we have the following joint density function
6 − x − y
 0x 2 , 2 y 4
f (x , y ) =  8
 0 O .W .

1) Prove that 𝑓(𝑥, 𝑦) is a joint probability function?

2 5
2) Calculate 𝑃 𝑋 ≤ , 𝑌 ≤
3 2

503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
Answer:
1) f ( x , y )  0
  4 2
6−x − y
  f (x , y ) =   dxdy
− − 2 0 8
14
=   2 ( 6 − x − y ) dx  dy
82  0 
2
14  x2 
=   6x − − yx  dy
82  2 0
1 4  (2) 2  
=   6(2) − − y (2)  − 0  dy
8 2  2  
14
=  (10 − 2 y )dy
82

10 y − y 2  2 = (10(4) − (4) 2 ) − (10(2) − (2) 2 ) 

1 4
=
8
1 1
= ( 40 − 16 ) − ( 20 − 4 ) = ( 8 ) = 1
8 8
503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
 2 5
 2 5 6−x − y  3 2
2) P  x  , y   =     dydx
 3 2  0 2 8 

41
= = 0.142 Prove that?
288

Another example see Ex 3.15 on page 96

503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
The marginal distributions

503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
 Example:
Suppose we have the following joint mass function
Y -2 0 5
X
1 0.15 0.25 0.20
3 0.20 0.05 0.15

Find the marginal distributions of X and Y?

503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
Answer:
Y -2 0 5 Sum
X
1 0.15 0.25 0.20 0.6

3 0.20 0.05 0.15 0.4

Sum 0.35 0.30 0.35 1

503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
 So
1 3 Sum
x
The marginal distribution
of X f (x ) 0.6 0.4 1

y -2 0 5 Sum

The marginal f ( y ) 0.35 0.30 0.35 1

distribution of Y
15
503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
 Example:
Suppose we have the following joint density function

f (x , y ) = c ( x + y ) , 0  x 1 , 0  y  2

Find the value of c ?

Find the marginal distributions of X and Y?

503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
 Answer:
 
1)   f ( x , y )dxdy = 1    c ( x + y ) dxdy = 1
2 1

− − 0 0

1 1
c =  f (x , y ) = ( x + y )
3 3
1
( x + y )dy
2
2) f ( x ) =  f ( x , y ) = 
y 0 3

2
 f (x ) = ( x + 1)
3
1
( x + y )dx
1
f ( y ) =  f (x , y ) = 
x 0 3

1 1
 f (y ) =  y + 
3 2
503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
conditional probability distribution

503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
Example:

503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
Solution:

503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
Another example see Ex 3.20 on page 100

503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
Statistical Independence

503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
 Example:
Suppose we have the following joint distribution

3e e −x −3 y
, x 0, y 0
f (x , y ) = 
 0 , O .W .
Prove that X and Y are independent?

503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
f (x , y ) = f (x )  f ( y )
  
1) f (x ) =  f (x , y )dy =  3e e −x −3 y
dy = 3e  e −x −3 y
dy
− 0 0


e 
−3 y

= 3e −x
 −3  = −e −x
 
0 − 1 = e −x
.....................(1)
 0
  
2) f ( y ) =  f (x , y )dx =  3e e −x −3 y
dx = 3e −3 y −x
 dx
e
− 0 0

 −e  0 = −3e −3 y  0 − 1 = 3e −3 y ...............(2)

= 3e −3 y −x

From (1) and (2) 

f (x , y ) = f (x )  f ( y )
503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
Notes:
if X and Y are independent, then
1) f (x , y ) = f (x )  f ( y )
2) f ( x y ) = f (x )
3) f ( y x ) = f ( y )

503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
 Example:
Suppose we have the following joint distribution
f (x , y ) = k (8 − x − y ) , 0  x  4 , 1  y  3
Find:
1) The value of k
2) f (x ) , f ( y ) 3) f ( y x ) , f ( x y )
4) P (x  3) 5) P ( x  3 y  2 )

503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
Solution:1)    3 4

 f ( x , y )dxdy = 1    k (8 − x − y )dxdy = 1
− − 1 0

 4 3
 k    (8 − x − y )dx dy = 1
1 0

4
 3
x  2

 k  8x − − xy  = 1
1 2 0
 3
42 
 k  8(4) − − 4y dy = 1
1 2 
3
 k  ( −4 y + 24 )dy = 1
1

3
 −4 y 2

k  + 24 y  = 1
 2 1
1 1
 k ( 32 ) = 1  k =  f ( x , y ) = (8 − x − y )
32 32
503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
 
2) f ( x ) =  f ( x , y )dy
−

1 3
 f (x ) =  ( 8 − x − y ) dy
1 32

1
 f (x ) = (12 − 2x ) , 0x 4
32

f ( y ) =  f ( x , y )dx
−

1 4
 f (y ) =  ( 8 − x − y ) dx
0 32

1
 f (y ) = ( 24 − 4 y ) , 1 y  3
32
503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
 1
f (x , y ) 32 ( 8−x − y )
( 8−x − y )
3) f ( y x ) = = =
f (x ) 1
(12 − 2 x ) (12 − 2 x )
32

1
f (x , y ) 32 ( 8−x − y )
( 8−x − y )
f (x y ) = = =
f (y ) 1
( 24 − 4 y ) ( 24 − 4 y )
32

3
27
4) P (x  3) =  f (x )dx =
0 32
503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili
 P (x  3, y  2)
5) P ( x  3 y  2 ) =
p ( y  2)

23
1 30
23
P (x  3, y  2) =   f (x , y )dxdy =   ( 8 − x − y ) dxdy =
10 1 0 32 64
2
1 2
18
p ( y  2) =  f ( y )dy =  ( 24 − 4 y ) dy =
1 1 32 32

5
P ( x  3 y  2) =
6

503 STAT - Probability and Statistics for Engineers and Scientists – Dr. Mansour Shrahili