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So far we have studied probability models for a single discrete or continuous random variable.
In many practical cases it is appropriate to take more than one measurement of a random observation. For
example:
1. Height and weight of a medical subject.
2. Grade on quiz 1, quiz 2, and quiz 3 of a math student.
How are these variables related?
The air quality type of situation is very important and is the foundation of much of inferential statistics.
Example #1:
Suppose we toss a pair of fair, four sided dice, in which one of the dice is red and the other is black. Let X be the
outcome on the red die, and Y be the outcome on the black die.
a. Find the joint probability mass distribution of red and black die.
b. Find the marginal probability mass function of X
c. Find the marginal probability mass function of Y
Example#2:
Measurements for the length and width of a rectangular plastic covers for CDs are rounded to the nearest mm (so
they are discrete). Let X denote the length and Y denote the width. The possible values of X are 129, 130, and 131
mm. The possible values of Y are 15 and 16 mm (Thus, both X and Y are discrete). The joint probability mass
distribution table is given below.
𝐸(𝑌) = ∑ ∑ 𝑦 𝑓(𝑥, 𝑦)
𝑥 𝑦
Let X be a discrete random variable with support 𝑆1, and let Y be a discrete random variable with support 𝑆2 . Let X
and Y have the joint probability mass function 𝑓(𝑥, 𝑦) with support S. Then the expected value of X and Y is given
by:
𝑉(𝑋) = 𝐸(𝑋 2 ) − [𝐸(𝑋)]2
𝑉(𝑌) = 𝐸(𝑌 2 ) − [𝐸(𝑌)]2
Example#3:
a. Find the mean of X and the mean of Y in example#1
b. Find the variance of X and the variance of Y in example#2
∞
𝑓𝑌 (𝑦) = ∫ 𝑓(𝑥, 𝑦)𝑑𝑥
−∞
Where 𝑠1 and 𝑠2 are the respective supports of X and Y.
The variance of a continuous random variable X can be found from the joint pdf of X and Y by:
𝑉(𝑋) = 𝐸(𝑋 2 ) − [𝐸(𝑋)]2
The varinace of a continuous random variable Y can be found from the joint pdf of X and Y by:
𝑉(𝑌) = 𝐸(𝑌 2 ) − [𝐸(𝑌)]2
In the last two lessons, we've concerned ourselves with how two random variables X and Y behave jointly. We'll now turn to
investigating how one of the random variables, say Y, behaves given that another random variable, say X, has already
behaved in a certain way.
Definition. A conditional probability distribution is a probability distribution for a sub-population. That is, a conditional
probability distribution describes the probability that a randomly selected person from a sub-population has the one
characteristic of interest.
Definition. The conditional probability mass function of X, given that Y = y, is defined by:
𝑓(𝑥, 𝑦)
𝑔(𝑥|𝑦) = 𝑝𝑟𝑜𝑣𝑖𝑑𝑒𝑑 𝑓𝑌(𝑦) > 0
𝑓𝑌(𝑦)
Similarly, the conditional probability mass function of Y, given that X = x, is defined by:
𝑓(𝑥, 𝑦)
ℎ(𝑦|𝑥) = 𝑝𝑟𝑜𝑣𝑖𝑑𝑒𝑑 𝑓𝑋(𝑥) > 0
𝑓𝑋(𝑥)
Example
Let X be a discrete random variable with support S1 = {0, 1}, and let Y be a discrete random variable with support S2 = {0, 1,
2}. Suppose, in tabular form, that X and Y have the following joint probability distribution f(x,y):
X 0 1
Y 0 1/8 2/8
1 2/8 1/8
2 1/8 1/8
a. What is the conditional distribution of X given Y? That is, what is 𝑔(𝑥|𝑦)?
b. What is the conditional distribution of Y given X? That is, what is ℎ(𝑥|𝑦)?
(1) Conditional distributions are valid probability mass functions in their own right. That is, the conditional
probabilities are between 0 and 1, inclusive:
0 ≤ 𝑔(𝑥|𝑦) ≤ 1 𝑎𝑛𝑑 0 ≤ ℎ(𝑦|𝑥) ≤ 1
and, for each subpopulation, the conditional probabilities sum to 1:
Suppose X and Y are discrete random variables. Then, the conditional mean of Y given X = x is defined as:
𝜇𝑌|𝑋 = 𝐸[𝑌|𝑥] = ∑ 𝑦ℎ(𝑦|𝑥)
𝑦
The conditional mean of X given Y = y is defined as:
𝜇𝑋|𝑌 = 𝐸[𝑋|𝑦] = ∑ 𝑥𝑔(𝑥|𝑦)
𝑥
The conditional variance of Y given X = x is:
𝜎 2 𝑌|𝑥 = 𝑉(𝑌|𝑥) = 𝐸[𝑌 2 |𝑥] − (𝐸[𝑌|𝑥])2
Definition. Suppose X and Y are continuous random variables with joint probability density function f(x,y) and marginal
probability density functions fX(x) and fY(y), respectively.