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Lecture 14: Multivariate Distributions

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Lottery: A tax on people who are bad at math. ~Author Unknown

Lecture 14: Multivariate Distributions

Probability Theory and Applications

Fall 2008

October 17-20

- Multivariate Distributions
- Bivariate Distributions
- Discrete
- Continuous
- Mixed

- Marginal Distributions
- Conditional Distributions
- Independence

Distributions may have more than one R.V.

Example: S=size of house - real RV

P=price of house - real RV

A=Age of house - real RV

C= condition of house

Excellent, Very Good, Good, Poor - discrete RV

Since variables are not-independent need a multivariate distribution to describe them: f(S,P,A,C)

Given R.V. X and Y

Cases

- X,Y both discrete
number of blue and red jelly beans

picked from jar

2. X,Y both continuous

height and weight

3. X discrete and Y continuous

date and stock price

The joint distribution of (X,Y) is specified by

- The value set of (X,Y)
- The joint probability function
f(x,y)=P(X=x,Y=y)

Note:

- f(x,y)≥0 for any (x,y)

3 H

2 M

2 D

Box contains jewels H=high quality

M=medium quality

D=defective

You pick two jewels w/o replacement

X=# of H

Y =#of M

The marginal distribution of X is

Note this is exactly the same as pdf of X

The joint cumulative density function of X,Y is

P(You get one high quality and one medium jewel)?

P(You pick at least one high quality jewel)?

The conditional distribution of Y given X is

In our example:

Find distribution of

X given Y=1

Given that exactly one jewel picked is medium quality, what is the probability that the other is high quality?

6/10

Given that at least one jewel picked is medium quality, what is the probability that the other is high quality?

6/11

The joint pdf, f(x,y) defined over R2has properties:

- f(x,y)≥0
To calculate probabilities, integrate joint pdf over X,Y over the area

Or more generally if we want

More generally if we want

The c.d.f.

The marginal pdf of X

The marginal pdf of Y

The conditional pdf of X given Y=y

The joint pdf of (x,y) is

Find c

Find pdf of X

Find pdf of Y

Find marginal of X given Y=1

Note this is the same as marginal of X!

X and Y are independent!

2

Y

Find P(X>Y)

0 X 1

Let L a be R.V. that is 1 if candy corn manufactured from Line 1 and 0 if line 0

Let X=weight of candy corn

The joint pdf is

What is the marginal distribution of X – the weight of the candy corn?

The joint pdf is

Sum over L to find the marginal of X

What is the marginal of L?

L is Bernoulli R.V. p=0.25

What is the conditional X given L?

If candy corn is from Line 1,

weight is normal with

mean 7.05 and s.d. = 1.

If candy corn is from Line 0,

weight is normal with

mean 10.1 and s.d. = 1.2.

X is a mixture of two different normals

Harry Potter plays flips a magical coin 10 times and records the number of heads.

The coin is magical because each day the probability of getting heads changes.

Let Y, the probability of getting heads on a given day, be uniform [0,1]

Let X be the number of heads of 10 gotten on a given day with the magic coin.

What is the pdf of X?

Y is uniform [0,1] so

X|Y is binomial n=10 p=Y

So f(X,Y)

X is discrete uniform

All values equally likely

You can compute the joint from a marginal and a conditional.

Be careful how you compute the value sets!

The joint pdf of X and Y is

Find marginal of X

1

Y

O

X

1

Still need c

You check:

1

1

Y

Y

O

O

1

1

X

X

P(Y≥2X)

Find P(Y<2X)

Find conditional pdf of Y and X=1/2

1

Y

O

X

1

Find conditional pdf of Y and X=x 0<x<1

1

Y

O

X

1

R.V. X and Y are independent if and only any of the following hold

- F(x,y)=FX(x)FY(y)
P(X≤x,Y≤y)= P(X≤x)P(Y≤y)

2.f(x,y)=fX(x)fY(y)

3. f(y|x)=fY(y)

Given the joint pdf of X,Y

Use the marginal of X and the conditional pdf of Y given X=x to determine if X and Y are independent?

1

Find marginal of X

Find conditional of Y given X

Y

O

Are they independent?

No

P(Y≤3/4|x=1/2) and P(Y≤3/4|x ≤1/2) are very different things!

Let’s calculate each one

The pdf of Y given X=1/2 is

so

The probability Y given X ≤ 1/2 is

where

The probability P(Y≤3/4,X ≤ 1/2)

The probability

1

O

Suppose X has the Gamma distribution with parameters with K=2 and theta=1 and

the conditional distribution of Y given X.

(X>0) is

Find P( X<4| Y=2)

We know f(x,y)=f(x|y)fx(x) so the joint is

The marginal of Y is

Thus conditional of X given Y is

So

Thus

Exercise try: P(X>4|Y>2)

You write a paper with an average rate of 10 errors per paper. Assume the number of errors per papers follows a Poisson distribution.

You roommate proofreads it for you, and he/she has .8 percent of correcting each error.

What is the joint distributions of the number of errors and the number of corrections?

What is the distribution of the number of errors after you roommate reads the paper?

Let X be the number of errors

Y be the number of errors after correction

Clearly Y depends on X.

Given

What is pdf of Y|X?

binomial(n=X,p=.2)

Let X be the number of errors

Y be the number of errors after correction

Extra Credit: if you can figure out marginal of Y.