Documente Academic
Documente Profesional
Documente Cultură
6
Copyright Syed Ali Khayam 2009
ExamplesofJointDistributions:Throwing
TwoDiceExperiment
x
y
p
X,Y
(x,y)
(1,1)
(6,6)
7
Copyright Syed Ali Khayam 2009
ExamplesofJointDistributions:AJoint
GaussianDistribution
8
Copyright Syed Ali Khayam 2009
JointDistributions
Y
X b
Xb
Yd
d
9
Copyright Syed Ali Khayam 2009
JointDistributions
b
Xb
Yd
d
,
Integrating shaded region gives ( , )
X Y
F b d
Y
X
10
Copyright Syed Ali Khayam 2009
PropertiesofJointCDFs
F1:
F2:
F3:IfXandYarecontinuousrvsthenF
X,Y
(a,b)isalso
continuous
( )
,
0 , 1, ,
X Y
F a b a b - < <
( ) ( )
1 2 1 2 , 1 1 , 2 2
and , ,
X Y X Y
a a b b F a b F a b
11
Copyright Syed Ali Khayam 2009
PropertiesofJointCDFs
F4:
( )
( )
and
,
or
,
, 1
, 0
a b
X Y
a b
X Y
F a b
F a b
a
b
,
Integrating shaded region gives ( , )
X Y
F a b
Y
X
12
Copyright Syed Ali Khayam 2009
PropertiesofJointCDFs
( )
and
,
, 1
a b
X Y
F a b
a
b
b
Y
X
13
Copyright Syed Ali Khayam 2009
PropertiesofJointCDFs
( )
and
,
, 1
a b
X Y
F a b
a
b
b
Y
X
14
Copyright Syed Ali Khayam 2009
PropertiesofJointCDFs
( )
and
,
, 1
a b
X Y
F a b
a
b
Y
X
15
Copyright Syed Ali Khayam 2009
PropertiesofJointCDFs
F5:
( ) ( )
,
,
a
X Y Y
F a b F b
b
These distributions are
called marginal
distributions
a
( )
( )
,
,
b
X Y X
F a b F a
Y
X
16
Copyright Syed Ali Khayam 2009
PropertiesofJointCDFs
( )
{ }
{ }
{ } { }
{ } ( )
,
lim , Pr
Pr
Pr Pr
Pr
a X Y
Y
F a b X Y b
X Y b
Y b X X
Y b F b
=
= - -
= - - -
= - =
17
Copyright Syed Ali Khayam 2009
PropertiesofJointCDFs
( )
{ }
{ } ( )
,
lim , Pr Pr
a X Y Y
F a b X Y b Y b F b
= = =
b
a
Y
X
18
Copyright Syed Ali Khayam 2009
PropertiesofJointCDFs
( )
{ }
{ } ( )
,
lim , Pr Pr
a X Y Y
F a b X Y b Y b F b
= = =
b
a
Y
X
19
Copyright Syed Ali Khayam 2009
PropertiesofJointCDFs
b
a
( )
{ }
{ } ( )
,
lim , Pr Pr
a X Y Y
F a b X Y b Y b F b
= = =
Y
X
20
Copyright Syed Ali Khayam 2009
PropertiesofJointCDFs
F6:
{ }
, , , ,
Pr and c ( , ) ( , ) ( , ) ( , )
X Y X Y X Y X Y
a X b Y d F b d F a d F b c F a c < < = - - +
21
Copyright Syed Ali Khayam 2009
PropertiesofJointCDFs
b
Xb
Yd
d
Y
X
22
Copyright Syed Ali Khayam 2009
PropertiesofJointCDFs
b
Xb
Yd
d
,
Integrating shaded region gives ( , )
X Y
F b d
Y
X
23
Copyright Syed Ali Khayam 2009
PropertiesofJointCDFs
b
Xb
Yd
d
c
a
{ }
We want Pr c a X b Y d < <
Y
X
24
Copyright Syed Ali Khayam 2009
PropertiesofJointCDFs
b
Xb
Yd
d
c
a
Integrating the
entire region gives
F
X,Y
(b,d)
Y
X
25
Copyright Syed Ali Khayam 2009
PropertiesofJointCDFs
b
Xb
Yd
d
c
a
F
i
r
s
t
s
u
b
t
r
a
c
t
F
(
a
,
d
)
f
r
o
m
F
X
,
Y
(
b
,
d
)
Y
X
26
Copyright Syed Ali Khayam 2009
PropertiesofJointCDFs
b
Xb
Yd
d
c
a
Then subtract F
X,Y
(b,c) from F
X,Y
(b,d)-F
X,Y
(a,d)
Y
X
27
Copyright Syed Ali Khayam 2009
PropertiesofJointCDFs
b
Xb
Yd
d
c
a
Finally add F
X,Y
(a,c) to F
X,Y
(b,d)-
F
X,Y
(a,d)-F
X,Y
(b,c)
{ }
, , , ,
Pr and c ( , ) ( , ) ( , ) ( , )
X Y X Y X Y X Y
a X b Y d F b d F a d F b c F a c < < = - - +
Y
X
28
Copyright Syed Ali Khayam 2009
JointProbabilityDensityFunction
Thejointprobabilitydensityfunctionisdefinedas:
Alternatively:
2
, ,
( , ) ( , )
X Y X Y
f x y F x y
x y
=
, ,
( , ) ( , )
y
x
X Y X Y
F x y f a b dadb
- -
=
29
Copyright Syed Ali Khayam 2009
PropertiesofJointCDFs
b
Xb
Yd
d
c
a
{ }
,
Pr c ( , )
b d
X Y
a c
a X b Y d f x y dydx < < =
Y
X
30
Copyright Syed Ali Khayam 2009
JointProbabilityDensityFunction
Thejointprobabilitydensityfunctionmustsatisfythefollowing
property:
Moreover:
,
( , ) 1
X Y
f x y dxdy
- -
=
,
,
( ) ( , )
( ) ( , )
X X Y
Y X Y
f x f x y dy
f y f x y dx
-
=
=
31
Copyright Syed Ali Khayam 2009
Homework
ReadingAssignment:Examples4.1to4.9inthebook
Homework
Problem4.3inthetextbook
Problem4.9inthetextbook
32
Copyright Syed Ali Khayam 2009
IndependentRandomVariables
TworandomvariablesXandYareindependentif
Or:
,
( , ) ( ) ( )
X Y X Y
F x y F x F y =
,
,
( , ) ( ) ( ) for discrete rvs
( , ) ( ) ( ) for continuous rvs
X Y X Y
X Y X Y
p x y p x p y
f x y f x f y
=
=
33
Copyright Syed Ali Khayam 2009
ConditionalProbabilityforRandomVariables
Conditionalprobabilityisanimportanttoolwhenanalyzing
randomvariables
Ingeneral,weareinterestedinfindingtheprobabilitythata
randomvariableYtakesonacertainvalue(orarangeof
values)giventhatanotherrandomvariableXhasalreadytaken
somevalue
Conditionalprobabilitycanbeexpressedintermsofthejoint
andmarginalprobabilities
34
Copyright Syed Ali Khayam 2009
ConditionalProbabilityforRandomVariables
Random
Experiment
Whatistheprobabilitythatthesumofthe
twodiceisoddgiventhatX=2?
X
Y
35
Copyright Syed Ali Khayam 2009
ConditionalProbabilityforRandomVariables
Wecanextendthedefinitionofconditionalprobabilityto
randomvariables
( | ) Pr{( ) | ( )}
Pr{ }
Pr{ }
Y
F y x Y y X x
Y y X x
X x
= =
=
=
=
36
Copyright Syed Ali Khayam 2009
ConditionalProbabilityforRandomVariables
Wecanextendthedefinitionofconditionalprobabilityto
randomvariables
Whatswrongwiththisdefinition?
( | ) Pr{( ) | ( )}
Pr{( ) ( )}
Pr{ }
Y
F y x Y y X x
Y y X x
X x
= =
=
=
=
37
Copyright Syed Ali Khayam 2009
ConditionalProbabilityforRandomVariables
Whatswrongwiththisdefinition?
ThisdefinitionwillonlyworkfordiscretervsbecausePr{X=a}=0
forcontinuousrvs
Therefore,weneedtogeneralizethisdefinitiontoencompass
continuousrvs
Pr{( ) ( )}
( | )
Pr{ }
Y
Y y X x
F y x
X x
=
=
=
38
Copyright Syed Ali Khayam 2009
PropertiesofJointCDFs
b
0
Pr{( ) ( )}
( | ) lim
Pr{ }
Y
h
Y y x X x h
F y x
x X x h
< +
=
< +
a
h
Y
X
39
Copyright Syed Ali Khayam 2009
ConditionalProbabilityforRandomVariables
Weneedtogeneralizethedefinitionofconditionalprobability
toencompassbothdiscreteandcontinuousrvs
( )
( )
( )
( )
( )
( )
0
, ,
,
Pr{( ) ( )}
( | ) lim
Pr{ }
, ,
,
Y
h
y y
x h
X Y X Y
x
x h
X
X
x
y
X Y
X
Y y x X x h
F y x
x X x h
f x y dx dy hf x y dy
hf x
f x dx
f x y dy
f x
+
- -
+
-
< +
=
< +
=
=
40
Copyright Syed Ali Khayam 2009
ConditionalProbabilityforRandomVariables
WecandifferentiatetheconditionalCDFtoobtainthe
conditionalpdf
( )
( )
,
,
( | )
y
X Y
Y
X
f x y dy
F y x
f x
-
=
41
( )
( )
,
,
( | ) ( | )
X Y
Y Y
X
f x y
d
f y x F y x
dy f x
= =
Copyright Syed Ali Khayam 2009
ConditionalProbabilityforRandomVariables
Inotherwords,ajointpdfcanbewrittenasaproductof
conditionalandmarginalpdfs:
Foradiscreterv,thesameconditioncanbestatedas:
42
( )
( )
,
, ( | )
X Y Y X
f x y f y x f x =
( ) { }
( )
,
, Pr , ( | )
X Y Y X
p x y X x Y y p y x p x = = = =
Copyright Syed Ali Khayam 2009
ConditionalExpectation
Expectationofaconditionaljointdistributionisdefinedas
43
{ }
( | ) continuous rvs
|
( | ) discrete rvs
Y
Y
y
yf y x dy
E Y x
yp y x
( )
( )
( )
1 2
1 2 1
, , , 1 2 1
1 2 1
, , , 1 2 1
, , , ,
| , , ,
, , ,
n
n
n
X X X n n
X n n
X X X n
p x x x x
p x x x x
p x x x
-
-
-
-
=
( )
( )
( )
1 2
1 2 1
, , , 1 2 1
1 2 1
, , , 1 2 1
, , , ,
| , , ,
, , ,
n
n
n
X X X n n
X n n
X X X n
p x x x x
p x x x x
p x x x
-
-
-
-
=
( )
( ) ( ) ( ) ( )
1 2
1 2 1
, , , 1
1 1 1 1 2 2 1 1
, ,
| , , | , , |
n
n n
X X X n
X n n X n n X X
f x x
f x x x f x x x f x x f x
-
- - -
=
Copyright Syed Ali Khayam 2009
ConditinalDistributionofMultiplervs
Conditionalpdfofajointpdfis:
Repeatedlyapplyingthisexpressiongives:
50
( )
( )
( )
1 2
1, 2 1
, , , 1
1 1
, , 1 1
, ,
| , ,
, ,
n
n
n
X X X n
X n n
X X X n
f x x
f x x x
f x x
-
-
-
=
( )
( ) ( ) ( ) ( )
1 2
1 2 1
, , , 1
1 1 1 1 2 2 1 1
, ,
| , , | , , |
n
n n
X X X n
X n n X n n X X
f x x
f x x x f x x x f x x f x
-
- - -
=
Copyright Syed Ali Khayam 2009
JointDistributionofMultiplervs
Marginalpmfofonervisobtainedbysummingovertheimages
ofallotherrvs
51
( ) { }
( )
1
1 2
2
1 1 1
, , , 1 2
Pr
, , ,
n
n
X
X X X n
x x
p x X x
p x x x
= =
=
Copyright Syed Ali Khayam 2009
JointDistributionofMultiplervs
Marginalpmfofonervisobtainedbysummingovertheimages
ofallotherrvs
52
( ) { }
( )
1
1 2
2
1 1 1
, , , 1 2
Pr
, , ,
n
n
X
X X X n
x x
p x X x
p x x x
= =
=
Copyright Syed Ali Khayam 2009
JointDistributionofMultiplervs
JointCDFofncontinuousrandomvariablesis:
Jointpdfisthenobtainedas
53
( )
( )
1 2
1 2
1 2
, , , 1 2
, , , 1 2 1
, , ,
, , ,
n
n
n
X X X n
x x x
X X X n n
F x x x
f x x x dx dx
- - -
=
( ) ( )
1 2 1 2
, , , 1 2 , , , 1 2
1
, , , , , ,
n n
n
X X X n X X X n
n
f x x x F x x x
x x
( ) ( )
1 2 1 2
, , , 1 2 , , , 1 2
1
, , , , , ,
n n
n
X X X n X X X n
n
f x x x F x x x
x x
( ) ( )
1 2 1 2
, , , 1 2 , , , 1 2
1
, , , , , ,
n n
n
X X X n X X X n
n
f x x x F x x x
x x
( ) ( )
1 2 1 2
, , , 1 2 , , , 1 2
1
, , , , , ,
n n
n
X X X n X X X n
n
f x x x F x x x
x x
- -
-
=
Copyright Syed Ali Khayam 2009
JointDistributionofMultiplervs
Asinglemarginalpdf canbeobtainedas:
Also,amarginalpdf forasubvectorrv canbeobtainedas:
58
( )
( )
1 1 2
1 , , , 1 2 2
, , ,
n
X X X X n n
f x f x x x dx dx
- -
=
( )
( )
1 1 1 2
, , 1 1 , , , 1 2 1
, , , , , ,
n n
X X n X X X n n n
f x x f x x x x dx
-
- -
-
=
Copyright Syed Ali Khayam 2009
JointDistributionofMultiplervs
Asinglemarginalpdf canbeobtainedas:
Also,amarginalpdf forasubvectorrv canbeobtainedas:
59
( )
( )
1 1 2
1 , , , 1 2 2
, , ,
n
X X X X n n
f x f x x x dx dx
- -
=
( )
( )
1 1 1 2
, , 1 1 , , , 1 2 1
, , , , , ,
n n
X X n X X X n n n
f x x f x x x x dx
-
- -
-
=
Copyright Syed Ali Khayam 2009
JointDistributionofMultiplervs
Asinglemarginalpdfcanbeobtainedas:
Also,amarginalpdfforasubvectorrvcanbeobtainedas:
60
( )
( )
1 1 2
1 , , , 1 2 2
, , ,
n
X X X X n n
f x f x x x dx dx
- -
=
( )
( )
1 1 1 2
, , 1 1 , , , 1 2 1
, , , , , ,
n n
X X n X X X n n n
f x x f x x x x dx
-
- -
-
=
Copyright Syed Ali Khayam 2009
Summary
Avectorrvisamappingfromoutcomesofarandom
experimenttoavector
Jointdensityanddistributionfunctionsofavectorrvare:
Marginaldensitiescanbeobtainedas:
61
:
n
X
Z S S
2
, ,
( , ) ( , ),
X Y X Y
f x y F x y
x y
=
, ,
( , ) ( , )
y
x
X Y X Y
F x y f a b dadb
- -
=
( ) ( )
,
,
a
X Y Y
F a b F b
( )
( )
,
,
b
X Y X
F a b F a
=
, ,
( , ) ( , )
y
x
X Y X Y
F x y f a b dadb
- -
=
( ) ( )
,
,
a
X Y Y
F a b F b
( )
( )
,
,
b
X Y X
F a b F a
=
, ,
( , ) ( , )
y
x
X Y X Y
F x y f a b dadb
- -
=
( ) ( )
,
,
a
X Y Y
F a b F b
( )
( )
,
,
b
X Y X
F a b F a
( )
( ) ( )
Z X Y
y
p z p z y p y = -
-
= -
( )
( ) ( )
Z X Y
f z f z y f y dy
-
= -
-
= -
( )
( ) ( )
Z X Y
f z f z y f y dy
-
= -
Convolution integral
Copyright Syed Ali Khayam 2009
Example2:Z=X+Y
LetZ=g(X,Y)=X+Y
LetXandYbethepacketprocessingtimetakenattworouters
connectedinseries
XandYareidenticallydistributedexponentialrandomvariables
withparameters
Findthepdf ofZ.
73
Router 1
(Time taken: X)
Router 2
(Time taken: Y)
Copyright Syed Ali Khayam 2009
Example2:Z=X+Y
Z=X+Y
ThepdfofXis:
74
( )
0
0 0
x
X
e x
f x
x
l
l
-
<
Router 1
(Time taken: X)
Router 2
(Time taken: Y)
Copyright Syed Ali Khayam 2009
Example2:Z=X+Y
Z=X+Y
ThepdfofYis:
75
( )
0
0 0,
y
Y
e y z x
f y
y y z x
l
l
-
< > -
Router 1
(Time taken: X)
Router 2
(Time taken: Y)
Copyright Syed Ali Khayam 2009
Example2:Z=X+Y
Z=X+Y
Inotherwords,thepdfofYis:
76
( )
( )
0,
0
z x
Y
e z x x z
f y
x z
l
l
- -
- > <
>
Router 1
(Time taken: X)
Router 2
(Time taken: Y)
Copyright Syed Ali Khayam 2009
Example2:Z=X+Y
ThepdfofZis:
77
( ) ( ) ( )
( )
2
0 0
2
Z Y X
z z
z x x z x x
z
f z f z x f x dx
e e dx e e e dx
ze
l l l l l
l
l l l
l
-
- - - - -
-
= -
= =
=
This is a 2-stage Erlang PDF
( )
1
( 1)!
r r t
R
t e
f t
r
l
l
- -
=
-
Copyright Syed Ali Khayam 2009
Homework
ReadingAssignment
Example4.314.34inthetextbook;specialemphasisonExample4.34
HomeworkAssignment
Problem4.31intextbook
Problem4.38intextbook
Problem4.41intextbook
78
Copyright Syed Ali Khayam 2009
MomentsofFunctionsofMultiple
RandomVariables
79
Copyright Syed Ali Khayam 2009
ExpectedValueofFunctionsofMultipleRVs
Theexpectedvalueofafunctionofmultiplervs,g(X,Y),isgiven
as:
80
{ }
( ) ( )
( ) ( )
,
,
, , , jointly continuous
, , , discrete
X Y
i n X Y i n
i n
g x y f x y dxdy X Y
E Z
g x y p x y X Y
- -
(
(
(
=
(
(
2
1 12 1
2
21 2 2
2
1 2
N
N
N N N
o o o
o o o
o o o
(
(
(
E =
(
(
(
(
=
(
2
1 12
2
21 2
o o
o o
(
E =
(
Copyright Syed Ali Khayam 2009
JointlyNormalRandomVariables
Themultivariate Gaussianpdf hasthefollowingform:
FortheBivariatecase:
97
( ) ( )
1
1 2
1
2
1 1
( , ,..., ) exp
2
2
T
X N
f x x x x m x m
t
| |
= E
|
\ .
E
1
2
m
(
=
(
2
1 12
2
21 2
o o
o o
(
E =
(
Copyright Syed Ali Khayam 2009
JointlyNormalRandomVariables
Themultivariate Gaussianpdf hasthefollowingform:
FortheBivariatecase:
98
( ) ( )
1
1 2
1
2
1 1
( , ,..., ) exp
2
2
T
X N
f x x x x m x m
t
| |
= E
|
\ .
E
1
2
m
(
=
(
2
1 12
2
21 2
o o
o o
(
E =
(
1 2
12
1 2
( , ) Cov X X
o o
=
1 2 12 12 1 2
( , ) Cov X X o o o = =
Copyright Syed Ali Khayam 2009
JointlyNormalRandomVariables
Themultivariate Gaussianpdf hasthefollowingform:
FortheBivariatecase:
99
( ) ( )
1
1 2
1
2
1 1
( , ,..., ) exp
2
2
T
X N
f x x x x m x m
t
| |
= E
|
\ .
E
1
2
m
(
=
(
2
1 12 1 2
2
21 2 1 2
o o o
o o o
(
E =
(
1 2
12
1 2
( , ) Cov X X
o o
=
1 2 12 12 1 2
( , ) Cov X X o o o = =
12 21
= =
Copyright Syed Ali Khayam 2009
JointlyNormalRandomVariables
Themultivariate Gaussianpdf hasthefollowingform:
FortheBivariatecase:
100
( ) ( )
1
1 2
1
2
1 1
( , ,..., ) exp
2
2
T
X N
f x x x x m x m
t
| |
= E
|
\ .
E
1
2
m
(
=
(
2
1 1 2
2
2 1 2
o o o
o o o
(
E =
(
1 2
12
1 2
( , ) Cov X X
o o
=
1 2 12 12 1 2
( , ) Cov X X o o o = =
12 21
= =
Copyright Syed Ali Khayam 2009
JointlyNormalRandomVariables
TworandomvariablesXandYarejointlynormaliftheirpdfhas
thefollowingform
101
( ) ( )
1
1 2
1
2
1 1
( , ,..., ) exp
2
2
T
X N
f x x x x m x m
t
| |
= E
|
\ .
E
2
1 12 1 2
2
21 2 1 2
o o o
o o o
(
E =
(
1
2
1 2
2 2 2 2 2 1 1 2
2
1 2 1 2
2
2 1 2
2
1 2
1
o o o
o o o o
o o o
o o
E = =
=
Copyright Syed Ali Khayam 2009
JointlyNormalRandomVariables
TworandomvariablesXandYarejointlynormaliftheirpdfhas
thefollowingform
102
( ) ( )
1
1 2
1
2
1 1
( , ,..., ) exp
2
2
T
X N
f x x x x m x m
t
| |
= E
|
\ .
E
2
1 12 1 2
2
21 2 1 2
o o o
o o o
(
E =
(
1
2
1 2
2 2 2 2 2 1 1 2
2
1 2 1 2
2
2 1 2
2
1 2
1
o o o
o o o o
o o o
o o
E = =
=
Copyright Syed Ali Khayam 2009
JointlyNormalRandomVariables
TworandomvariablesXandYarejointlynormaliftheirpdfhas
thefollowingform
103
( ) ( )
1
1 2
1
2
1 1
( , ,..., ) exp
2
2
T
X N
f x x x x m x m
t
| |
= E
|
\ .
E
2
1 1 2
1
2
2
2 1 2
1
1
1 1
o o o
o o o
(
(
(
E =
(
(
2
1 12 1 2
2
21 2 1 2
o o o
o o o
(
E =
(
1
2
1 2
2 2 2 2 2 1 1 2
2
1 2 1 2
2
2 1 2
2
1 2
1
o o o
o o o o
o o o
o o
E = =
=
Copyright Syed Ali Khayam 2009
JointlyNormalRandomVariables
TworandomvariablesXandYarejointlynormaliftheirpdfhas
thefollowingform
104
( )
( )
2 2
,
2
,
,
2
,
1
exp 2
2 1
,
2 1
X X Y Y
X Y
X X Y Y
X Y
X Y
X Y X Y
x m x m y m y m
f x y
r
s s s s
r
ps s r
- - - -
-
- +
-
=
-
( ) ( )
1
1 2
1
2
1 1
( , ,..., ) exp
2
2
T
X N
f x x x x m x m
t
| |
= E
|
\ .
E
Copyright Syed Ali Khayam 2009
JointlyNormalRandomVariables
105
PicturefromProf.HayderRadhaslecturenotesofECE863course
( )
( )
2 2
,
2
,
,
2
,
1
exp 2
2 1
,
2 1
X X Y Y
X Y
X X Y Y
X Y
X Y
X Y X Y
x m x m y m y m
f x y
r
s s s s
r
ps s r
- - - -
-
- +
-
=
-
X
Y
Bivariate Gaussian PDF
-4 -2 0 2 4
-4
-2
0
2
4
Copyright Syed Ali Khayam 2009
JointlyNormalRandomVariables
106
PicturefromProf.HayderRadhaslecturenotesofECE863course
( )
( )
2 2
,
2
,
,
2
,
1
exp 2
2 1
,
2 1
X X Y Y
X Y
X X Y Y
X Y
X Y
X Y X Y
x m x m y m y m
f x y
r
s s s s
r
ps s r
- - - -
-
- +
-
=
-
X
Y
Bivariate Gaussian PDF
-4 -2 0 2 4
-4
-2
0
2
4
Copyright Syed Ali Khayam 2009
JointlyNormalRandomVariables
107
PicturefromProf.HayderRadhaslecturenotesofECE863course
( )
( )
2 2
,
2
,
,
2
,
1
exp 2
2 1
,
2 1
X X Y Y
X Y
X X Y Y
X Y
X Y
X Y X Y
x m x m y m y m
f x y
r
s s s s
r
ps s r
- - - -
-
- +
-
=
-
X
Y
Bivariate Gaussian PDF
-4 -2 0 2 4
-4
-2
0
2
4
Copyright Syed Ali Khayam 2009
JointlyNormalRandomVariables
108
( )
( )
2 2
,
2
,
,
2
,
1
exp 2
2 1
,
2 1
X X Y Y
X Y
X X Y Y
X Y
X Y
X Y X Y
x m x m y m y m
f x y
r
s s s s
r
ps s r
- - - -
-
- +
-
=
-
Ifwesettheexponentsinvolvingxandyintheabove
expressiontoaconstantK,weobtaintheequationforanellipse
( )
( )
2
,
,
2
,
1
exp
2 1
,
2 1
X Y
X Y
X Y X Y
K
f x y
r
ps s r
-
-
=
-
Copyright Syed Ali Khayam 2009
JointlyNormalRandomVariables
109
( )
( )
2 2
,
2
,
,
2
,
1
exp 2
2 1
,
2 1
X X Y Y
X Y
X X Y Y
X Y
X Y
X Y X Y
x m x m y m y m
f x y
r
s s s s
r
ps s r
- - - -
-
- +
-
=
-
Ifwesettheexponentsinvolvingxandyintheabove
expressiontoaconstantK,weobtaintheequationforanellipse
( )
( )
2
,
,
2
,
1
exp
2 1
,
2 1
X Y
X Y
X Y X Y
K
f x y
r
ps s r
-
-
=
-
This is the equation for
an ellipse
Copyright Syed Ali Khayam 2009
( )
( )
2
,
,
2
,
1
exp
2 1
,
2 1
X Y
X Y
X Y X Y
K
f x y
r
ps s r
-
-
=
-
JointlyNormalRandomVariables
110
Theorientationoftheellipsedependsonthevalueof
correlation
Copyright Syed Ali Khayam 2009
( )
( )
2
,
,
2
,
1
exp
2 1
,
2 1
X Y
X Y
X Y X Y
K
f x y
r
ps s r
-
-
=
-
JointlyNormalRandomVariables
111
Theorientationoftheellipsedependsonthevalueof
correlation
When0,wehave:
PicturefromProf.HayderRadhaslecturenotesofECE863course
Copyright Syed Ali Khayam 2009
( )
( )
2
,
,
2
,
1
exp
2 1
,
2 1
X Y
X Y
X Y X Y
K
f x y
r
ps s r
-
-
=
-
JointlyNormalRandomVariables
112
Theorientationoftheellipsedependsonthevalueof
correlation
When0,wehave:
PicturefromProf.HayderRadhaslecturenotesofECE863course
Copyright Syed Ali Khayam 2009
( )
( )
2
,
,
2
,
1
exp
2 1
,
2 1
X Y
X Y
X Y X Y
K
f x y
r
ps s r
-
-
=
-
JointlyNormalRandomVariables
113
Theorientationoftheellipsedependsonthevalueof
correlation
When0,wehave:
PicturefromProf.HayderRadhaslecturenotesofECE863course
Copyright Syed Ali Khayam 2009
( )
( )
2
,
,
2
,
1
exp
2 1
,
2 1
X Y
X Y
X Y X Y
K
f x y
r
ps s r
-
-
=
-
JointlyNormalRandomVariables
114
When=0(i.e.,X&Yareuncorrelated),wehave:
TheellipsesareparalleltotheXandYaxis
PicturefromProf.HayderRadhaslecturenotesofECE863course
Copyright Syed Ali Khayam 2009
( )
( )
2
,
,
2
,
1
exp
2 1
,
2 1
X Y
X Y
X Y X Y
K
f x y
r
ps s r
-
-
=
-
JointlyNormalRandomVariables
115
When=0(i.e.,X&Yareuncorrelated),wehave:
TheellipsesareparalleltotheXandYaxis
PicturefromProf.HayderRadhaslecturenotesofECE863course
Copyright Syed Ali Khayam 2009
( )
( )
2
,
,
2
,
1
exp
2 1
,
2 1
X Y
X Y
X Y X Y
K
f x y
r
ps s r
-
-
=
-
JointlyNormalRandomVariables
116
When=0(i.e.,X&Yareuncorrelated),wehave:
TheellipsesareparalleltotheXandYaxis
PicturefromProf.HayderRadhaslecturenotesofECE863course
Copyright Syed Ali Khayam 2009
JointlyNormalRandomVariables
117
As=0increasestowards1,XandYbecomemoreandmore
correlatedandtheellipsesbecomenarrower
PicturefromProf.HayderRadhaslecturenotesofECE863course
X
Y
Bivariate Gaussian PDF
-4 -2 0 2 4
-4
-2
0
2
4
Copyright Syed Ali Khayam 2009
JointlyNormalRandomVariables
118
As=0increasestowards1,XandYbecomemoreandmore
correlatedandtheellipsesbecomenarrower
PicturefromProf.HayderRadhaslecturenotesofECE863course
X
Y
Bivariate Gaussian PDF
-4 -2 0 2 4
-4
-2
0
2
4
Copyright Syed Ali Khayam 2009
nJointlyNormalRandomVariables
RandomvariablesX1,X2,Xnarejointlynormaliftheirpdfhas
thefollowingform:
where:
119
( ) ( )
( ) ( )
{ }
( )
1 2
1
, , , 1 2
1/ 2 /2
1
exp
2
, , ,
2
n
T
X X X n
X n
x m K x m
f x f x x x
K p
-
-
- -
=
{ } { } { }
{ } { } { }
{ } { } { }
1 2
1 2
1 1 2 1
2 1 1 2
1 2
var
var
var
n
n
n
n
n n n
x x x x
m m m m
X COV X X COV X X
COV X X X COV X X
K
COV X X COV X X X
=
=
=
Covariance
matrix
Copyright Syed Ali Khayam 2009
ReadingAssignment
Section4.8inthetextbook
Examples4.454.48
120