Math 2274 Lecture 18- Joint distributions of several random variables (Continued)

X, Y are Continuous Pg 103, Lecture notes

P((X, Y) E) = (, ) where E 2
See **DOUBLE INTEGRATION (Chapter 8 Lecture notes)

Joint df F is F(x,y) =P(Xx ,Y y) = (, )

Marginal Distribution of X( or of Y) = Distribution of X alone (or Y alone).

The marginal pf. g of X is defined to be:

g(x) = (, )

The marginal pf. h of Y is defined to be:

h(y) = (, )

Note: See other properties of joint distributions on pgs103-104, Lecture notes.

Properties of Expectation:
i) E(c) = c where c is a constant
ii) E[cg(X,Y)] = cE[g(X,Y)]
iii) E [c1g1(X,Y) + c2g2(X,Y)] = c1E[g1(X,Y)] + c2E[g2(X,Y)]
where g is a real-valued function of x and y and E[g(X,Y)] = 2 (, )(, )

Independence

X and Y are independent iff f(x,y) = g(x)h(y) for all (x,y) R2.

Note: The same rules apply for Covariance and Correlation as seen in Lecture 17.

See Example 4.2 Pg 104, Lecture notes.

**DOUBLE INTEGRATION

Double (Iterated) Integration over a rectangular region finding the volume of a solid bounded
by some region R and the surface z = f(x,y).
 The idea here is a 3-D version of the Trapezium Rule i.e. it divides the base of the figure
into small rectangles and a rectangular solid is drawn above each of the heights on the
base (each with height z).

The volume of this solid enclosed by the region E (a region in the (x,y) plane, R2) and the
surface z = f(x,y) is the Area of the base * height and this is given by the formula

(, )

General method: For a given plane z = f(x,y)

i) Choose to fix either x or y, for example fix x or keep x.
ii) Find the volume of the thin slice of width as y varies. This volume is ().

iii) For an interval where y [b1, b2], the volume is in the limit 2 (, ) , for
1
fixed x.
iv) Continue this for all sub-intervals (xi-1, xi) within the interval x [a1,a2] and the
double integral is evaluated as:

2 2
[ (, )]
1 1

x varies

Examples:

1) Find ( + ) where E = [0,2] * [1,2]

2) Find 2 2 where E is the region bounded by x=0, y=1and y=x.

3) Find where E is the region bounded by x=0, y=1 and y=x2.

4) Find 2 2 where E is the region bounded by y =x, y = 2-x and y = 0.

5) Find 1. where E is the region bounded by x = 0, y = 0, and the line y = (1 2 such

that x, y 0.