MULTINOMIAL DISTRIBUTION

Consider a random experiment E and suppose it has k possible outcomes A1 , A2 ,.... Ak .

Suppose P ( Ai ) = pi for all i and that pi remains the same for all independent repetitions
of E. Consider n independent repetitions of E. Suppose A1 occurs X1 times, A2 occurs X2
times, …, Ak occurs Xk times. Then P ( X 1 = x1 , X 2 = x 2 ,.... X k = x k )

n!
= p1x1 p 2x 2 ..... p kxk
x1 ! x 2 !......x k !

for all non-ve integers x1 , x 2 .., x k with x1 + x 2 + ... + x k = x

Proof. The probability of getting A1 x1 times, A2 x 2 times, Ak x k times in any one way
is p1x1 p 2x2 ...... p kxk as all the repetitions are independent. Now among the n repetitions
n n!
A1 occurs x1 times in = ways.
x1 x1 ! (n − x1 )!

From the remaining n − x1 repetitions A2 can occur x2 times in

n − x1 (n − x1 )!
= ways and so on.
x2 x 2 ! (n − x1 − x 2 )!

Hence the total number of ways of getting A1 x1 times, A2 x 2 times, …. Ak x k times will
be

n! (n − x1 )! (n − x1 − x 2 .....x k −1 )!
× × ...
x1 ! (n − x1 )! x 2 ! (n − x1 − x 2 )! x k ! (n − x1 − x 2 ....x k −1 − x k )!

n!
= as x1 + x 2 + .....x k = n and 0! = 1
x1 ! x 2 !......x k !

n!
Hence P ( X 1 = x1 , X 2 = x 2 ,..... X k = x k ) = p1x1 p 2x2 .... p kxk
x1 ! x 2 !....x k !

52
Example 26

A die is rolled 30 times. Find the probability of getting 1 2 times, 2 3 times, 3 4 times,
4 6 times, 5 7 times and 6 8 times.

Ans

2 3 4 6 7 8
30! 1 1 1 1 1 1
×
2! 3! 4! 6! 7! 8! 6 6 6 6 6 6

Example 27 (See exercise 4.72 of your text)

The probabilities are, respectively, 0.40, 0.40, and 0.20 that in city driving a certain type
of imported car will average less than 10 kms per litre, anywhere between 10 and 15 kms
per litre, or more than 15 kms per litre. Find the probability that among 12 such cars
tested, 4 will average less than 10 kms per litre, 6 will average anywhere from 10 to 15
kms per litre and 2 will average more than 15 kms per litre.

Solution

12!
(.40)4 (.40)6 (.20)2 .
4! 6! 2!

Remark
1. Note that the different probabilities are the various terms in the expansion of the
multinomial

( p1 + p 2 + ...... p k )n .
Hence the name multinomial distribution.

2. The binomial distribution is a special case got by taking k =2.

3. For any fixed i (1 ≤ i ≤ k )X i (the number of ways of getting Ai ) is a random
variable having binomial distribution with parameters n and pi. Thus
E ( X i ) = n p i and V(X i ) = np i (1 − p i ). i = 1,2..........k

53
SIMULATION

Nowadays simulation techniques are being applied to many problems in Science and
Engineering. If the processes being simulated involve an element of chance, these
techniques are referred to as Monte Carlo methods. For example to study the distribution
of number of calls arriving at a telephone exchange, we can use simulation techniques.

Random Numbers : In simulation problems one uses the tables of random numbers to
“generate” random deviates (values assumed by a random variable). Table of random
numbers consists of many pages on which the digits 0,1,2….. 9 are distributed in such a
1
was that the probability of any one digit appearing is the same, namely 0.1 = .
10

Use of random numbers to generate ‘heads’ and ‘tails’. For example choose the 4th
column of the four page of table 7, start at the top and go down the page. Thus we get
6,2,7,5,5,0,1,8,6,3….. Now we can interpret this as H,H,T, T,T, H, T, H, H,T, because the
prob of getting an odd no. = the propagating an even number = 0.5 Thus we associate
head to the occurrence of an even number and tail to that of an odd no. We can also
associate a head if we get 5,6,7,8, or 9 and tail otherwise. The use can say we got
H,T,H,H,H,T,T,H,H,T….. In problems on simulation we shall adopt the second scheme
as it is easy to use and is easily ‘extendable’ for more than two outcomes. Suppose for
example, we have an experiment having 4 outcomes with prob. 0.1, 0.2, 0.3 and 0.4
respectively.

Thus to simulate the above experiment, we have to allot one of the 10 digits 0,1….9 to
the first outcome, two of them to the second outcome, three of them to the third outcome
and the remaining four to the fourth outcome. Though this can be done in a variety of
ways, we choose the simplest way as follows:

Associate the first digit 0 to the 1st outcome 01

Associate the next 2 digits 1,2 to the 2nd outcome 0 2
Associate the next 3 digits 3,4,5 to the 3rd outcome 0 3 .
And associate the last 4 digits 6,7,8,9 to the 4th outcome 0 4 .

Hence the above sequence 6,2,7,5,5,0,1,8,6,3… of random numbers would correspond to

the sequence of outcomes O 4 , O 2 , O 4 , O3 , O3 , O1 , O 2 , O 4 , O 4 , O3 ..............

Using two and higher – digit Random numbers in Simulation

54
Suppose we have a random experiment with three outcomes with probabilities 0.80, 0.15
and 0.05 respective. How can we now use the table of random numbers to simulate this
experiment? We now read 2 numbers at a time : say (starting from page 593 room 12,
1
column 4) 84,71,14,24,20,31,78, 03………….. Since P (anyone digit) = , P (any two
10
1 1
digits) = × = 0.01 . Thus each 2 digit random number occurs with prob 0.01.
10 10

Now that there will be 100 2 digit random numbers : 00, 01, …, 10, 11, …, 20, 21, …,
98, 99. Thus we associate the first 80 numbers 00,01…79 to the first out come, the next
15 numbers (80, 81, …94) to the second outcome and the last 5 numbers (95, 96, …, 99)
to the 3rd outcome. Thus the above sequence of 2 digit random numbers would simulate
the outcomes:

O 2 , O1 , O1 , O1 , O1 , O1 , O1 , O1 .......

We describe the above scheme in a diagram as follows:

Outcome Probability Cumulative Probability* Random Numbers**

O1 0.80 0.80 00-79
O2 0.15 0.95 80-94
O3 0.05 1.00 95-99

* Cumulative prob is got by adding all the probabilities at that position and above thus cumulative
prob at O2 = Prob of O1 + Prob O2 = 0.80 + 0.15 = 0.95.
** You observe the beginning random number is 00 for the 1st outcome; and for the remaining
outcomes, it is one more than the ending random numbers of the immediately preceding outcome.
Also the ending random number for each outcome is “one less than the cumulative probability”.

Similarly three digit random numbers are used if the prob of an outcome has 3 decimal
places. Read the example on page 133 of your text book.

55
Exercise 4.97 on page 136

Cumulative
No. of polluting spices Probability Random Numbers
Probability
0 0.2466 0.2466 0000-2465
1 0.3452 0.5918 2466-5917
2 0.2417 0.8335 5918-8334
3 0.1128 0.9463 8335-9462
4 0.0395 0.9858 9463-9857
5 0.0111 0.9969 9858-9968
6 0.0026 0.9995 9969-9994
7 0.0005 1.0000 9995-9999

Starting with page 592, Row 14, Column 7, we read of the 4 digit random nos as :

R No. Polluting spics R.No. Polluting spics

5095 1 2631 1
0150 0 3033 1
8043 2 9167 3
9079 3 4998 1
6440 2 7036 2

CONTINOUS RANDOM VARIABLES

In many situations, we come across random variables that take all values lying in a
certain interval of the x axis.

Example

(1) life length X of a bulb is a continuous random variable that can take all non-ve
real values.
(2) The time between two consecutive arrivals in a queuing system is a random
variable that can take all non-ve real values.

56
 (3) The distance R of the point (where a dart hits) (from the centre) is a
continuous random variable that can take all values in the interval (0,a) where
a is the radius of the board.

It is clear that in all such cases, the probability that the random variable takes any one
particular value is meaningless. For example, when you buy a bulb, you ask the question?
What are the chances that it will work for at least 500 hours?

Probability Density function (pdf)

If X is a continuous random variable, the questions about the probability that X takes
values in an interval (a,b) are answered by defining a probability density function.

Def Let X be a continuous rv. A real function f(x) is called the prob density function of X
if

(1) f ( x ) ≥ 0 for all x

f ( x )dx = 1
∞
(2)
−∞

P (a ≤ X ≤ b ) = f ( x ) dx.
b
(3)
a

Condition (1) is needed as probability is always ≥ 0.

Condition (2) says that the probability of the certain event is 1.
Condition (3) says to get the prob that X takes a value between a and b, integrate the
function f(x) between a and b. (This is similar to finding the mass of a rod by integrating
its density function).

Remarks

P( X = a ) = P(a ≤ X ≤ a ) = f ( x )dx = 0
a
1.
a

2. Hence P(a ≤ X ≤ b ) = P(a < X ≤ b ) = P(a ≤ X < b ) = P(a < X < b )

Please note that unlike discrete case, it is immaterial whether we include or
exclude one or both the end points.
3. P( x ≤ X ≤ x + ∆x ) ≈ f ( x )∆x

57
This is proved using Mean value theorem.

Definition (Cumulative Distribution function)

If X is a continuous rv and if f(x) is its density,

P( X ≤ x ) = P(− ∞ < X ≤ x ) = f (t )dt

x

−∞

We denote the above by F(x) and call it the cumulative distribution function (cdf) of X.

Properties of cdf

1. 0 ≤ F ( x ) ≤ 1 for all x.

2. x1 < x 2 F ( x1 ) ≤ F ( x 2 ) i.e., F(x) is a non-decreasing function of x.

3. F (− ∞ ) = lim f ( x ) = 0; f (+ ∞ ) = lim F (x ) = 1.
x → −∞ x →∞

x
d d
4. F (x ) = f (t ) dt = f ( x )
dx dx −∞

(Thus we can get density function f(x) by differentiating the distribution function F(x)).

Example 1 (Exercise 5.2 of your book)

If the prob density of a rv is given by f ( x ) = kx 2 0 < x < 1 (and 0 elsewhere) find the
value of k and the probability that the rv takes on a value

1 3
(a) Between and
4 4
2
(b) Greater than
3

Find the distribution function F(x) and hence answer the above questions.

58
Solution

f ( x )dx = 1
∞

−∞

gives

f ( x )dx = 1 (as f ( x ) = 0 if x < 0 or > 1)

1

1 1
i.e. kx 2 dx = 1 or k = 1 or k = 3.
0 3

Thus f ( x ) = 3 x 2 0 ≤ x ≤ 1 and 0 otherwise.

3 3
1 3 3
3 1 26 13
P <X < = 3 x dx =
2
− = =
4

4 4 4 4 64 32
1
4

2 2 1
P X > = P < X <1 = 3 x 2 dx
3 3 2
3

3
2 19
= 13 − =
3 27

Distribution function F (x ) = f (t )dt

x

−∞

Case (i) x ≤ 0 . In this case f (t ) = 0 between − ∞ and x∴ F ( x ) = 0

Case (ii) 0<x<1. In this case f (t ) = 3t 2 between 0 and x and 0 for t<0.

∴ F (x ) = f (t )dt =
x x
3t 2 dt = x 3 .
−∞ 0

Case (iii) x>1

Now f (t ) = 0 for t > 1

59
 ∴ F (x ) = f (t )dt = f (t )dt = 1 (by case ii )
x 1

−∞ −∞

Hence we can say the distribution function

0 x≤ 0
F (x ) = x 3 0< x ≤1
1 x> 0

1 3 3 1
Now P <X < =P X < −P X ≤
4 4 4 4

3 1
= P X ≤ −P X ≤
4 4

3 3
3 1 3 1 13
= F −F = − =
4 4 4 4 32

2 2
P X > = 1− P X ≤
3 3
3
2 2 19
= 1− F =1 − =
3 3 27

Example 2 (Exercise 5.4 of your book)

The prob density of a rv X is given by

x 0 < x <1
f (x ) = 2 − x 1 ≤ x < 2
0 elsewhere

Find the prob that the rv takes a value

(a) between 0.2 and 0.8

(b) between 0.6 and 1.2
Find the distribution function and answer the same questions.
60
Solution

P(0.2 < X < 0.8) = f ( x )dx

0.8
(a)
0.2

2 2
0.8 0 .8 0 .2
= x dx = − = 0 .3
0.2 2 2

P(0.6 < X < 1.2) = f ( x )dx

1.2
(b)
0.6

f ( x )dx + f (x )dx (why ?)

1 1.2
=
0.6 4

2 2 1.2
2
2− x
(2 − x ) dx = 1 − 0.6
1 1.2
= x dx + + −
0.6 1 2 2 2
1

1 (.8)
2
= 0.32 + = = 0.32 + 0.18 = 0.5
2 2

To Find the distribution function F ( x ) = P( x ≤ x ) = f (t )dt

x

−∞

Case (i) x ≤ 0 In this case f (t ) = 0 for t ≤ x

∴ F (x ) = f (t )dt = 0.
x

−∞

Case (ii) 0 < x ≤ 1 In this case f (t ) = 0 for t ≤ 0 = t and = t for t ≤ x

Hence F ( x ) = f (t )dt = f (t )dt + 1 f (t )dt

x 0 x

−∞ −∞ 0

x x2
=0+ t dt =
0 2

Case (iii) 1 < x ≤ 2 In this case f (t ) = 0 t≤0

t 0< t ≤1
2−t 1< t ≤ x

61
 ∴ F (x ) = f (t )dt
x

−∞

f (t )dt + f (t )dt
1 x
=
−∞ 1`

1
(by case ii ) + (2 − t )dt
x
=
2 1

1 1 (2 − x ) (2 − x )2 2
= + − = 1−
2 2 2 2

Case (iv) x > 2 In this case f (t ) = 0 for 2 < t < x

∴ F (x ) = f (t )dt
x

−∞

f (t )dt + f (t )dt
2 x
=
−∞ 2

= 1 (by case iii ) +

x
0 dt = 1
2

Thus

0 x ≤ 0
x2
0< x≤ 1
F (x ) = 2
1−
(2 − x)
2
1< x≤ 2
2
1 x > 2

∴ P (0.6 < X < 1.2 ) = P( X < 1.2 ) − P ( X ≤ 0.6 )

= P ( X ≤ 1 .2 ) − P ( X ≤ 0 .6 )
= F (1.2 ) − F (0.6 )

= 1−
(0 .8 )
2

−
(0.6 )2
2 2
= 0 .5

62
 P ( X > 1 .8 ) = 1 − P ( X ≤ 1 .8 )

= 1 − F (1.8) = 1 − 1−
(.2 )
2
= 0.02
2

The mean and Variance of a continuous r.v

Let X be a continuous rv with density f(x)

We define its mean as

µ = E(X ) = x f ( x )dx
∞

−∞

We define its variance σ 2 as

∞
E (x − µ ) = (x − µ )2 f (x )dx
2
−∞

( )
= E X 2 −µ2

( )
Here E X 2 =
∞

−∞
x 2 f ( x )dx

Example 3 The density of a rv X is

F ( x ) = 3x 2 0 < x < 1 (and 0 elsewhere )

∞ 3
Its mean µ = E ( X ) = x f ( x )dx =
1
x.3 x 2 dx = .
−∞ 0 4
( )
E X2 =
∞

−∞
x 2 f ( x )dx

1 3
= x 2 . 3 x 2 dx =
0 5
2
3 3
Hence σ 2 = − = 0.0375
5 4

Hence its sd is σ = 0.1936.

63
Example 4 The density of a rv X is

1 − x / 20
e x>0
f ( x ) = 20
0 elsewhere

∞ ∞ 1 − x / 20
µ = E(X ) = x f ( x )dx = x. e dx
−∞ 0 20

Integrating by parts we get

[( )
= x. − e − x / 20 − 20e − x / 20 ] ∞
0

= 20.

( )
E X2 =
∞

−∞
x 2 f ( x )dx

∞ 1 − x / 20
= x2 e dx
0 20

On integrating by parts we get

[x (− e
2 − x / 20
) − (2 x ) (20 e − x / 20
) + 2.(− 400 e − x / 20
)]
∞
0

= 800
( )
∴σ 2 = E X 2 − µ 2 = 800 − 400 = 400
∴σ = 20.

NORMAL DISTRIBUTION
A random variable X is said to have the normal distribution (or Gaussian Distribution) if
its density is

( x − µ )2
( ) 1 −
f x; µ , σ 2 = e 2σ 2
−∞ < x < ∞
2π σ

Hence µ , σ are fixed (called parameters) and σ > 0. The graph of the normal density is
a bell shaped curve:

64
Figure

It is symmetrical about the line x = µ and has points of inflection at x = µ ± σ .

f ( x )dx = 1 . We also see that E ( X ) = µ and

∞
One can use integration and show that
−∞

variance of X = E ( X − µ ) = σ 2 .
2

If µ = 0, σ = 1, we say that X has standard normal distribution. We usually use the

symbol Z to denote the variable having standard normal distribution. Thus when Z is
1
standard normal, its density is f ( z ) = e − z 2 , − ∞ < z < ∞.
2

2π

The cumulative distribution function of Z is

1
F ( z ) = P (Z ≤ z ) =
z
e −t
2
2
dt
−∞
2π

and represents the area under the density upto z. It is the shaded portion in the figure.

Figure
1
We at once see from the symmetry of the graph that F (0 ) = = 0 .5
2
F (− z ) = 1 − F ( z )

65
F(z) for various positive z has been tabulated at in table 3 (at the end of your book).

We thus see from Table 3 that

F (0.37 ) = 0.6443, F (1.645) = 0.95

F (2.33) = 0.99 F ( z ) ≈ 1 for z ≥ 3

Hence F (− 0.37 ) = 1 − 0.6443 = 0.3557

F (− 1.645) = 1 − 0.95 = 0.05 etc

Definition of zα

If Z is standard normal, we define zα to be that number such that

P (Z > z α ) = α or F ( z α ) = 1 − α .

Since F(1.645) = 0.95 = 1-0.05, we see that

z 0.05 = 1.645

Similarly z 0.01 = 2.33

we also note z1−α = − zα

Thus z 0.95 = − z 0.05 = −1.645

z 0.99 = − z 0.01 = −2.33.

Important

If X is normal with mean µ and variance σ 2 , it can be shown that the standardized r.v.
X −µ
Z= has standard normal distribution. Thus questions about the prob that X
σ
assumes a value between say a and b can be translated into the prob that Z assumes
values in a corresponding range. Specifically :

P(a < X < b )

66
 a−µ X −µ b−µ a−µ b−µ
=P < < =P <Z<
σ σ σ σ σ

b−µ a−µ
=F −F
σ σ

Example 1 (See Exercise 5.24 on page 152)

Given that X has a normal distribution with mean µ = 16.2 and variance σ 2 = 1.5625,
find the prob that it will take on a value

(a) > 16.8

(b) < 14.9
(c) between 13.6 and 18.8
(d) between 16.5 and 16.7

Here σ = 1.5625 = 1.25

X −µ 16.8 − 16.2
Thus P ( X > 16.8) = P >
σ 1.25
.6
=P Z> = P (Z > 0.48)
1.25
= 1 − P (z ≤ 0.48) = 1 − F (0.48)
= 1 − 0.6844 = 0.3156

X −µ 14.9 − 16.2
(b) P ( X < 14.9 ) = P <
σ 1.25

1 .3
=P Z <− = P (Z < −1.04 )
1.25
= F (− 1.04 ) = 1 − F (1.04 ) = 1 − 0.8508 = .1492

P (13.6 < X < 18.8)

13.6 − 16.2 X − µ 18.8 − 16.2
P < <
1.25 σ 1.25

67
 2 .6 2 .6
=P − <Z < = P (− 2.08 < Z < 2.08)
1.25 1.25
= F (2.08) − F (− 2.08) = F (2.08) − (1 − F (2.08))
= 2 F (2.08) − 1 = 2 × 0.9812 − 1 = .9624

(Note that P(− c < Z < c ) = 2 F (c ) − 1 for c > 0 )

16.5 − 16.2 X − µ 16.7 − 16.2

P (16.5 < X < 16.7 ) = P < <
1.25 σ 1.25

.3 .5
=P <Z <
1.25 1.25
= P (0.24 < z < 0.4 ) = F (0.4 ) − F (0.24 )
= 0.6554 − 0.5948 = 0.606

Example 2

A rv X has a normal distribution with σ = 10. If the prob is 0.8212 that it will take on a
value < 82.5, what is the prob that it will take on a value > 58.3?

Solution

Let the mean (unknown) be µ .

Given P( X < 82.5) = 0.8212

X −µ 82.5 − µ
Thus P < = 0.8212
σ 10

82.5 − µ
Or P Z < = 0.8212
10

82.5 − µ
F = 0.8212
10

82.5 − µ
From table 3, = 0.92
10

Or µ = 82.5 − 9.2 = 73.3

Hence P( X > 58.3)

68
 X −µ 58.3 − 73.3
=P > = P (Z > 1 / 5 )
σ 10

= 1 − P(Z ≤ −1.5) = 1 − F (− 1.5)

= 1 − (1 − F (1.5)) = F (1.5) = 0.9332

Example 3 (See Exercise 5.33 on page 152)

In a Photographic process the developing time of prints may be looked upon as a r.v. X
having normal distribution with µ = 16.28 seconds and s.d. of 0.12 second. For which
value is the prob 0.95 that it will be exceeded by the time it takes to develop one of the
prints.

Solution

That is find a number c so that

P( X > c ) = 0.95

X −µ c − 16.28
i.e P > = 0.95
σ 1 .2

c − 16.28
i.e. P Z > = 0.95
1 .2

c − 16.28
Hence P Z ≤ = 0.05
1 .2

c − 16.28
∴ = 1.645
1 .2

∴ c = 16.28 − 1.2 × 1.645 = 14.306.

NORMAL APPROXIMATION TO BINOMIAL DISTRIBUTION

Suppose X is a r.v. having Binomial distribution with parameters n and p. Then it can be
X − np
shown that P ≤ z → P (Z ≤ z ) = F ( z ) as n → ∞. i.e in words, standardized
npq
binomial tends to standard normal.

69
Thus when n is large, the binomial probabilities can be approximated using normal
distribution function.

Example 4 (See Exercise 5.36 on page 153)

A manufacturer knows that on the average 2% of the electric toasters that he makes will
require repairs within 90 days after they are sold. Use normal approximation to the
binomial distribution to determine the prob that among 1200 of these toasters at least 30
will require repairs within the first 90 days after they are sold?

Solution

Let X = No. of toasters (among 1200) that require repairs within the first 90 days after
they are sold. Hence X is a rv having Binomial Distribution with parameters n = 1200
2
and p = = .02.
100

X − np 30 − 24
Required P ( X ≥ 30 ) = P ≥
npq 4.85

≈ P (Z ≥ 1.24 )1 − P(Z < 1.24 )

= 1 − F (1.24 ) = 1 − 0.8925 = 0.1075

Correction for Continuity

Since for continuous rvs P( z ≥ c ) = P( z > c ) (which is not true for discrete rvs), when we
approximate binomial prob by normal prob, we must ensure that we do not ‘lose’ the end
point. This is achieved by what we call continuity correction: In the previous example,
P( X ≥ 30) also = P( X ≥ 29.5) (Read the justification given in your book on page 150
line 1to 7).

X − np 29.5 − 24
=P ≥
npq 4.85

5 .5
≈P Z≥ = P(Z ≥ 1.13)
4.85
= 1 − P (Z ≤ 1.13) = 1 − F (1.13) = 1 − 0.878
= .1292

(probably better answer).

70
Example 5 (See Exercise 5.38 on page 153)

A safety engineer feels that 30% of all industrial accidents in her plant are caused by
failure of employees to follow instructions. Find approximately the prob that among 84
industrial accidents anywhere from 20 to 30 (inclusive) will be due to failure of
employees to follow instructions.

Solution

Let X = no. of accidents (among 84) due to failure of employees to follow instructions.
Thus X is a rv having Binomial distribution with parameters n = 84 and p = 0.3.

Thus np = 25.2 and npq = 4.2

Required P(20 ≤ X ≤ 30)

= P(19.5 ≤ X ≤ 30.5) (continuity correction)

19.5 − 25.2 X − np 30.5 − 25.2

=P ≤ ≤
4 .2 npq 4 .2

≈ P (− 1.36 ≤ Z ≤ 1.26 )

= F (1.26 ) − F (− 1.36 ) = F (1.26 ) + F (1.36 ) − 1

= 0.8962 + 0.9131 − 1 = 0.8093

OTHER PROBABILITY DENSITIES

The Uniform Distribution

A r.v X is said to have uniform distribution over the interval (α , β ) if its density is given
by

1
α <x<β
f (x ) = β − α
0 elsewhere

71
Thus the graph of the density is a constant over the interval (α , β )

If α <c<d <β

1 d −c
P (c < X < d ) =
d
dx =
c β −α β −α

and thus is proportional to the length of the interval (c, d ).

You may verify that

α +β
The mean of X = E ( X ) = µ = (mid point of the interval (α , β ) )
2

The variance of X = σ 2
=
( β − α )2
. The cumulative distribution function is
12

0 x ≤α
x −α
f (x ) = α <x≤β
β −α
1 x>β

Example 6 (See page 165 exercise 546)

In certain experiments, the error X made in determining the solubility of a substance is a

rv having the uniform density with α = −0.025 and β = 0.025 . What is the prob such an
error will be

(a) between 0.010 and 0.015?

(b) between –0.012 and 0.012?

Solution

0.015 − 0.010
(a) P (0.010 < X < 0.015) =
0.025 − (− 0.025)
0.005
= = 0 .1
0.050

0.012 − (− 0.012 )
(b) P (− 0.012 < X < 0.012) =
0.025 − (− 0.025)
12
= = 0.48
25

72
Example 7 (See exercise 5.47 on page 165)

From experience, Mr. Harris has found that the low bid on a construction job can be
regarded as a rv X having uniform density

3 2C
< x < 2C
f ( x ) = 4C 3
0 elsewhere

where C is his own estimate of the cost of the job. What percentage should Mr. Harris
add to his cost estimate when submitting bids to maximize his expected profit?

Solution

Suppose Mr. Harris adds k% of C when submitting his bid. Thus Mr. Harris gets a profit
kC kC
if he gets the contract which happens if the lowest bid (by others) ≥ C + and
100 100
kC
gets no profit if the lowest bid < C + . Thus the prob that he gets the bid
100
kC 3 kC 3 k
=P C+ < X < 2C = × 2C − C + = 1−
100 4C 100 4 100

Thus the expected profit of Mr. Harris is

kC 3 k
× 1− + 0 × (....)
100 4 100
3C k2
= k−
400 100

which is maximum (by using calculus) when k =50.

Thus Mr. Harris’s expected profit is a maximum when he adds 50% of C to C, when
submitting bids.

Gamma Function

This is one of the most useful functions in Mathematics. If x > 0, it is shown that the
∞
improper integral e − t t x −1 dt converges to a fuite real number which we denote by Γ( x )
0
(Capital gamma of x). Thus for all real no x > 0, we define

Γ( x ) =
∞
e −t t x −1 dt.
0

73
Properties of Gamma Function

1. Γ( x + 1) = xΓ( x ) , x > 0

2. Γ(1) = 1

3. Γ(2) = 1Γ(1) = 1, Γ(3) = 2Γ(2) = 2 × 1 = 2!

More generally Γ(n + 1) = n! whenever n is a +ve integer or zero.

1
4. Γ = π.
2

5. Γ( x ) decreases in the interval (0,1) and increases in the interval (2, ∞ ) and has a
minimum somewhere between 1 and 2.

THE GAMMA DISTRIBUTION

Let α 1 β be 2 +ve real numbers. A r.v X is said to have a Gamma Distribution with
parameters α 1 β if its density is

1 −x .
e β x α −1 x > 0
f ( x ) = β Γ(α )
α

0 elsewhere

It can be shown that

Mean of X = E ( X ) = µ = αβ

(See the working on Page 159 of your text book)

Variance of X = σ 2 = αβ 2 .

Exponential Distribution

If α = 1, we say X has exponential distribution. Thus X has an exponential distribution

(with parameter β > 0 ) if its density is

1 − xβ
e x>0
f (x ) = β
0 elsewhere
74
We also see easily that:

1. Mean of X = E ( X ) = β
2. Variance of X = σ 2 = β 2
3. The cumulative distribution function of X is

− xβ
1− e x>0
F (x ) =
0 elsewhere

4. X has the memoryless property:

P( X > s + t | X > s ) = P( X > t )., s, t > 0

Proof of (4): P( X > s ) = 1 − P( X ≤ s )

= 1 − F (s ) = e
− sβ
(by (3))

P (( X > s + t ) ∩ ( X > s ))
P( X > s + t | X > s ) =
P( X > s )

P( X > s + t ) e − ( s + t ) / β
= P( x > t ).QED
− tβ
= = = e
P( X > s ) − s
e β

Example 8 (See exercise 5.54 on page 166)

In a certain city, the daily consumption of electric power (in millions of kw hours) can be
treated as a r.v. X having a Gamma distribution with α = 3, β = 2. If the power plant in
the city has a daily capacity of 12 million kw hrs, what is the prob. that the power supply
will be inadequate on any given day?

Solution

The power supply will be inadequate if demand exceeds the daily capacity.

Hence the prob that the power supply is inadequate

∞
= P ( X > 12 ) = f ( x )dx
12

75
 x
1 −
Now as α = 3, β = 2, f ( x ) = 3 e 2 x 3−1
2 Γ(3)

x
1 2 −2
= x e
16

∞ x
1 2 −2
Hence P ( X > 12 ) = x e dx
12 10

Integrating by parts, we get

∞
x x x
1 2 − − −
= x − 2e 2 − 2 x 4e 2 + 2 − 8e 2
10
12

=
1
16
[
2 × 12 2 × e − 6 + 8 × 12 × e − 6 + 16e − 6 ]

400 − 6
= e = 25e − 6 = 0.062
10

Example 9 (see exercise 5.58 on Page 166)

The amount of time that a surveillance camera will run without having to be reset is a r.v.
X having exponential distribution with β = 50 days. Find the prob that such a camera

(a) will have to be reset in less than 20 days.

(b) will not have to be reset in at least 60 days.

Solution

The density of X is

x
1 − 50
f (x ) = e x > 0 (and 0 elsewhere)
50

(a) P (The camera has to be reset in < 20 days)

= P (the running time < 20)

76
 x x 20
20
1 − 50 −
= P ( X < 20 ) = e dx = − e 50
0
50 0

20 2
− −
= 1− e 50
=1 − e 5
= 0.3297

(b) P (The camera will not have to be reset in at least 60 days.)

∞ x
1 − 50
= P ( X > 60 ) = e dx
60 50

x ∞ 6
− −
= −e 50
=e 5
= 0.3012
60

Example 10 (See exercise 5.61 on page 166)

Given a Poisson process with the average α arrivals per unit time, find the prob density
of the inter arrival time (i.e the time between two consecutive arrivals).

Solution

Let T be the time between two consecutive arrivals. Thus clearly T is a continuous r.v.
with values > 0. Now T > t No arrival in time period t.

Thus P (T > t ) = P ( X t = 0)

( X t = Number of arrivals in time period t)

= e −αt (as X t has a Poisson distribution with parameter λ = αt )

Hence the distribution function of T

= F (t ) = P (T ≤ t ) = 1 − P (t > t ) = 1 − e αt t > 0

(F (t ) = 0 clearly for all t ≤ 0)

77
 d
Hence the density of T , f (t ) = F (t )
dt

αe −αt if t > 0
=
0 elsewhere

Hence we would say the IAT is a continuous rv. with exponential density with parameter
1
.
α

The Beta Function

If x,y>0 the beta function, B( x, y ) (read capital Beta x,y), is defined by

1
B ( x, y ) = t x −1 (1 − t )
y −1
dt
0

Γ( x )Γ( y )
It is well-known that B ( x, y ) = , x , y > 0.
Γ( x + y )

BETA DISTRIBUTION

A r.v. X is said to have a Beta distribution with parameter α , β > 0 if its density is
1
f (x ) = , x α −1 (1 − x )
β −1
0 < x <1
B (α , β )
0 elsewhere

It is easily shown that

α
(1) E(X ) = µ =
α+β

αβ
(2) V (X ) = σ 2 =
(α + β ) (α + β + 1)
2

78
Example 11 (See Exercise 5.64)

If the annual proportion of erroneous income tax returns can be looked upon as a rv
having a Beta distribution with α = 2, β = 9, what is the prob that in any given year,
there will be fewer than 10% of erroneous returns?

Solution

Let X = annual proportion of erroneous income tax returns. Thus X has a Gamma density
with α = 2, β = 9.

0.1
∴ P( X < 0.1) = f (x )dx (Note the proportion can not be < 0)
0

0.1
1
x 2 −1 (1 − x ) dx
9 −1
=
0
B (2,9 )

Γ(2 )Γ(9 ) 1× 8! 1 1
B (2,9 ) = = = =
Γ(11) 11! 9 × 10 × 11 990

[(1 − x ) ]
0.1 0.1
x. (1 − x ) dx = − (1 − x ) dx
8 8 9

0 0

(1 − x )9 (1 − x) (.9 )1 (.9 )
10 0.1 9 10
1
= − = + + −
−9 − 10 0
−9 9 10 10

.9 1 1 1 1 19
= (.9 ) = − (.9 ) ×
9 9
− + −
10 9 9 10 90 900

= 0.00293

The Log –Normal Distribution

A r.v X is said to have a log normal distribution if its density is

1
x −1 e − (ln x −α )
2
/ 2β 2
x > 0, β > 0
f (x ) = 2π β
0 elsewhere

79
It can be shown that if X has log-normal distribution, Y = ln X has a normal distribution
with mean µ = α and s.d. σ = β .

Thus P(a < X < b )

= p(ln a < ln X < ln b )

ln a − α ln b − α ln b − α ln a − α
=p <Z < =F −F
β β β β

Where F (z ) = cdf of the standard normal variable Z.

Lengthy calculations show that if X has log-normal distribution, its mean E ( X ) = e α +

β2
2

2
and its variance = e 2α + β e β − 1( 2
)
More problems on Normal Distribution

Example 12

Let X be normal with mean and sd . Determine c as a function of µ and σ such

that

P( X ≤ c ) = 2 P( X ≥ c )

Solution

P ( X ≤ c ) = 2 P (x ≥ c )

Implies P( X ≤ c ) = 2 (1 − P( X < c ))

Let P( X ≤ c ) = p
2
Thus 3 p = 2 or p =
3

X −µ c−µ c−µ 2
Now P ( X ≤ c ) = P ≤ =F = = .6667
σ σ σ 3
c−µ
Implies = 0.43 (approx from Table 3)
σ

∴c = µ + 0.43σ

80
Example 13

(
Suppose X is normal with mean 0 and sd 5. Find P 1 < X 2 < 4 )
Solution

(
P 1< X 2 < 4 )
= P (1 < X < 2 )

1 2 2 1
=P < Z < =P Z < −P Z <
5 5 5 5

2 1 2 1
=2 F −1− 2 F −1 = 2 F −F
5 5 5 5

= 2(0.6554 − 0.5793) from Table 3

= 2 × (.0761) = 0.1522

Example 14

The annual rain fall in a certain locality is a r.v. X having normal distribution with mean
29.5” and sd 2.5”. How many inches of rain (annually) is exceeded about 5% of the time?

Solution

That is we have to find a number C such that

P ( X > C ) = 0.05

X −µ C − 29.5
i.e P > = 0.05
σ 2 .5

C − 29.5
Hence = z 0.05 = 1.645
2 .5

∴C = 29.5 + 2.5 × 1.645

= 33.6125

81
Example 15
A rocket fuel is to contain a certain percent (say X) of a particular compound. The
specification calls for X to lie between 30 and 35. The manufacturer will make a net
profit on the fuel per gallon which is the following function of X.

$ 0.10 per gallon if 30 < X < 35

T (X ) =
$0.05 per gallon if 35 ≤ X < 40 or 25 < X ≤ 30
-$0.10 per gallon elsewhere.
If X has a normal distribution with mean 33and s.d. 3, find the prob distribution of T and
hence the expected profit per gallon.
Solution

T = 0.10 if 30 < X < 35

∴ P (T = 0.10 ) = P(30 < X < 35)

30 − 33 X − µ 35 − 33
=P < <
3 σ 3
2
= P −1< Z <
3
2 2
=F − F (− 1) = F + F (1) − 1
3 3
= 0.7486 + 0.8413 − 1 = 0.5899

P (T = 0.05) = P(35 ≤ X < 40 ) + P (25 < X ≤ 30 )

35 − 33 X − µ 40 − 33 25 − 33 X − µ 30 − 33
=P ≤ < +P < <
3 σ 3 3 σ 5
2 7 −8
=P ≤Z < +P < Z ≤ −1
3 3 3
7 2 8
=F −F + F (− 1) − F −
3 3 3
7 2 8
=F −F +F − F (1)
3 3 3

= 0.9901 − 0.7486 + 0.9961 − 0.8413 = 0.3963

Hence P (T = −0.10 ) = 1 − 0.5899 − 0.3963
= 0.0138

Hence expected profit = E(T)

82
 = 0.10 × .5899 + 0.05 × 0.3963 + (− 0.10) × 0.0138

= $0.077425

JOINT DISTRIBUTIONS – Two and higher dimensional Random

Variables

Suppose X,Y are 2 discrete rvs and suppose X can take values x1 , x 2 .......and Y can take
values y1 , y 2 ......... we refer to the function f ( x, y ) = P(Y = x, Y = y ) as the joint prob
distribution of X and Y. The ordered pair (X,Y) is sometimes referred to as a two –
dimensional discrete r.v.

Example 16

Two cards are drawn at random from a pack of 52 cards. Let X be the number of aces
drawn and Y be the number of Queens drawn.

Find the joint prob distribution of X and Y.

Solution

Clearly X can take any one of the three values 0,1,2 and Y one of the three values, 0,1,2.

The joint prob distribution of X, and Y is depicted in the following 3 x 3 table

x
0 1 2
44 4 44 4
2 1 2 2
0
52 52 52
2 2 2
4 44 4 4
1 1 1 1
y 1 0
52 52
2 2
4
2
2 0 0
52
2

83
Justification

P ( x = 0, y = 0 )

= P (no aces and no queens in t he 2 cards)

44
2
=
52
2

P( X = 1, Y = 0) (the entry in the 2nd col and 1st row)

=P (one ace and one other card which is neither ace nor a queen)

44 44
1 1
= etc.
52
2

Can we write down the distribution of X? X can take any one of the 3 values 0,1,2

What is P( X = 0) ?

X = 0 means no ace is drawn but we might draw 2 queens, or 1 queen and one non queen
or 2 cards which are neither aces nor queens.

Thus

P ( X = 0 ) = P ( X = 0, Y = 0 ) + P ( X = 0, Y = 1) + P ( X = 0, Y = 1)
= Sum of the 3 prob in col. 1

44 4 44 4 48
2 1 1 2 2
+ + = (Verify!)
52 52 52 52
2 2 2 2

Similarly P( X = 1) = P( X = 1, Y = 0) + P( X = 1, Y = 1) + P( X = 1, Y = 2)

84
= Sum of the 3 probabilities in 2nd col.

4 44 4 4 4 48
1 1 1 1 1 1
= + +0= (Verify!)
52 52 52
2 2 2

P ( X = 2 ) = P( X = 2, Y = 0 ) + P ( X = 2, Y = 1) + P( X = 2, Y = 2 )

= Sum of the 3 probabilities in 3rd col

4 4
2 2
= +0+0=
52 52
2 2

The distribution of X derived from the joint distribution of X and Y is referred to as the
marginal distribution of X..

Similarly the marginal distribution of Y are the 3 row totals.

Example 17

The joint prob distribution of X and Y is given by

x
-1 0 1
1 1 1 3
-1
8 8 8 8
y
1 1 2
0 0
8 8 8
1 1 1 3
1
8 8 8 8
3 2 3
Marginal Distribution of X
8 8 8

Write the marginal distribution of X and Y. To get the marginal distribution of X, we find
the column totals and write them in the (bottom) margin. Thus the (marginal) distribution
of X is
X -1 0 1
Prob 3 2 3
8 8 8
85
(Do you see why we call it the marginal distribution)
Similarly to get the marginal distribution of Y, we find the 3 row totals and write them in
the (right) margin.

Thus the marginal distribution of y is

Y Prob
-1 3
8
0 2
8
1 3
8

Notation: If f ( x, y ) = P( X = x, Y = y ) is the joint prob distribution of the 2-dimensional

discrete r.v (X.Y), we denote by g (x) the marginal distribution of X and by h(y) the
marginal distribution of Y.

Thus g ( x ) = P ( X = x ) = 1 P( X = x, Y = y ) = 1 f ( x, y )
1 1

All y all y

h( y ) = P(Y = y ) = P ( X = x, Y = y ) = f ( x, y )
1 1

And 1 1

all x all x

Conditional Distribution

The conditional prob distribution of Y for a given X = x is defined as

h( y x ) = P (Y = y X = x ) (read prob of Y = y given X = x)

P ( X = x, Y = y ) f ( x , y )
= =
P( X = x ) g (x )

where g (x) is the marginal distribution of X.

Thus in the above example 17,

P( X = 1, Y = 0 ) 1 1
h(0 | 1) = P (Y = 0 | X = 1) = = 8
=
P( X = 1) 3
8 3

Similarly, the conditional prob distribution of X for a given Y = y is defined as

86
 P ( X = x, Y = y ) f ( x, y )
g ( x | y ) = P( X = x | Y = y ) = =
P(Y = y ) h( y )

Where h(y) is the marginal distribution of Y.

In the above example,

P (Y = 0, y = 0 ) 0
g (0 | 0 ) = P ( X = 0 | Y = 0 ) = = =0
P (Y = 0 ) 2
8

Independence

We say X,Y are independent if

P( X = x, Y = y ) = P( X = x )P(Y = y ) for all x, y.

Thus X,Y are independent if and only if

f ( x, y ) = g ( x )h( y ) for all x and y

which is the same as saying of g(x|y) =g(x) for all x and y which is the same as saying
h( y | x ) = h( y ) for all x,y.

In the above example X,Y are not independent as P( X = 0, Y = 0) ≠ P( X = 0)P(Y = 0)

Example 18

The joint prob distribution of X and Y is given by

X
2 0 1
Y 2 0.1 0.2 0.1
0 0.05 0.1 0.15
1 0.1 0.1 0.1

(a) Find the marginal distribution of x.

Ans
X 2 0 1
Prob 0.25 0.4 0.35

87
(b) Find the marginal distribution of Y

Ans

Y Prob
2 0.4
0 0.3
1 0.3

(c) Find P( X + Y = 2)

Ans X + Y = 2 if ( X = 2, Y = 0) or ( X = 1, Y = 1) or ( X = 0, Y = 2)

Thus P( X + Y = 2 ) = 0.05 + 0.1 + 0.2 = 0.35

(d) Find P( X − Y = 0)

Ans : X − Y = 0 if ( X = 2, Y = 2) or ( X = 0, Y = 0) or ( X = 1, Y = 1)

∴ P( X − Y = 0) = 0.1 + 0.1 + 0.1 = 0.3

(e) Find P( X ≥ 0) Ans. 1

0 .3
(f) Find P ( X − Y = 0 X ≥ 0 ) Ans. = 0 .3
1
0 .2 1
(g) Find P ( X − Y = 0 X ≥ 1) Ans. =
0 .6 3
(h) Are X,Y independent?

Ans No! P( X = 1, Y = 1) ≠ P( X = 1) P(Y = 1).

Two-Dimensional Continuous Random Variables

Let (X,Y) be a continuous 2-dimensional r.v. This means (X,Y) can take all values in a
certain region of the X,Y plane. For example, suppose a dart is thrown at a circular board
of radius 2. Then the position where the dart hits the board (X,Y) is a continuous two
dimensional r.v as it can take all values (x,y) such that x 2 + y 2 ≤ 4.

A function f ( x, y ) is said to be the joint prob density of (X,Y) if

(i) f ( x, y ) ≥ 0 for all x, y

88
 ∞ ∞
(ii) f (x, y )dy dx = 1
−∞ − ∞

b d
(iii) P(a ≤ X ≤ b, c ≤ Y ≤ d ) = f ( x, y )dy dx.
a c

Example 19(a)

Let the joint prob density of (X,Y) be

1
f ( x, y ) = 0 ≤ x ≤ 2, 0 ≤ y ≤ 2
4
0 elsewhere

Find P( X + Y ≤ 1)

Ans : The region x + y ≤ 1 is given by the shaded portion.

1 1− x
1
∴ P (x + y ≤ 1) dy dx
x = 0 y =0
4

1 1
1
= (1 − x ) dx = − 1 (1 − x )2 1
= .
0 4 8 0 8

Example 19(b)

The joint prob density of (X,Y) is

1
f ( x, y ) = (6 − x − y ) 0 < x < 2, 0 < y < 4
8

Find P ( X < 1, Y < 3)

Solution

1 3
f (x, y )dy dx
x =0 y = 2

89
 1 3
1
= (6 − x − y )dy dx
x=0 y =2 8

1 2 3
1
(6 − x ) y − y dx
x =0 8 2 2

1
1
= (6 − x ) − 5 dx
x=0
8 2

1
1 (6 − x )
2
5 1 25 5 3
= − − = − − + 18 =
8 2 2 0
8 2 2 8

Marginal and Conditional Densities

If f ( x, y ) is the joint prob density of the 2-dimensional continuous rv (X,Y), we define

the marginal prob density of X as

∞
g (x ) = f ( x, y )dy
−∞

That is fix x and integrate f(x,y) w.r.t y

Similarly the marginal prob density of Y is

∞
h( y ) = f ( x, y )dx
−∞

The conditional prob density of Y for a given x is

f ( x, y )
h( y | x ) = (Defined only for those x for which g(x) ≠ 0)
g (x )

The conditional prob density of X for a given y is

f ( x, y )
g (x | y ) = (defined only for those y for which h( y ) ≠ 0)
h( y )

90
Independence

We say X,Y are independent if and only if f ( x, y ) = g ( x )h( y )

which is the same as saying g ( x | y ) = g ( x ) or h( y | x ) = h( y ).

Example 20

Consider the density of (X,Y) as given in example 19.

The marginal density of x

4
1
= g (x ) = (6 − x − y )dy
y =2
8

4
1 y2
(6 − x ) y −
8 2 2

1
= [2(6 − x ) − 6] 0 < x < 2
8
and = 0 elsewhere

We verify this is a valid density.

1
g (x ) = (6 − 2 x ) ≥ 0 for 0 < x < 2
8

2 2
1
Secondly g ( x )dx = (6 − 2 x )dx
0
8 0

=
1
8
[6x − x 2 ]
2
0 =
1
8
[12 − 4] = 1

The marginal density of Y is

2
1
h( y ) (6 − x − y )dx
x =0
8

2
1 x2 1
= (6 − y )x − = [2(6 − y ) − 2]
8 2 x =0
8

91
 1
(10 − 2 y ) or < y < 4
= 8
0 elsewhere

4
Again h( y ) ≥ 0 and h( y )dy
2

[ ]
4
1
= (10 − 2 y )dy = 1 10 y − y 2 4
2 =
1
[20 − 12] = 1
82 8 8

The conditional density of Y for X = 1

1
f ( x, y ) 8
(6 − 1y ) 1
is h( y | 1) = = = (5 − y ), 2 < y < 4
g (1) 1
(6 − 2) 4
8

And 0 elsewhere

Again this is a valid density as h( y | 1) ≥ 0

4 4
1
And h( y | 1)dy = (5 − y )dy
2 4 2

4
1 (5 − y )
2
1 9 1
= − = − =1
4 2 2
4 2 2

P( X < 1, Y < 3)
P ( x < 1 | Y < 3) =
P (Y < 3)

3
Now Nr =
8

3 3
1
Dr = P(Y < 3) = h( y )dy = (10 − 2 y )dy
2
82
3

(5 − y )dy = 1 − (5 − y )
3 2
1 1 9 4 5
= = − =
42 4 2 2
4 2 2 8

92
The conditional density of Y for X = 1

1
f (1, y ) 8
(6 − 1y ) 1
Is h( y | 1) = = = (5 − y ) 2 < y < 4
g (1) 1
(6 − 2) 4
8
And 0 elsewhere

4 4
1
Again this is a valid density as h( y | 1) ≥ 0 and h( y | 1)dy = (5 − y )dy
2 4 2

1 (5 − y )
2 4
1 9 1
= − = − =1
4 2 2
4 2 2

P ( x < 1, y < 3)
P ( X < 1 | Y < 3) =
P (Y < 3)

3
Now Numerator =
8

3 3
1
Denominator = P (Y < 3) = h( y )dy = (10 − 2 y )dy
2
8 2

(5 − y )dy = 1 − (5 − y )
2 3
3
1 1 9 4 5
= = − =
4 2
4 2 2
4 2 2 8

3
3
Hence P ( X < 1, Y < 3) = 8 =
5 5
8

The Cumulative Distribution Function

Let f ( x, y ) be the joint density of (X,Y). We define the cumulative distribution function
as
F ( x, y ) = P ( X ≤ x , Y ≤ y )
x y

= f (u , v )dvdu.
− ∞ −∞

93
Example 21 (See Exercise 5.77 on page 180)

The joint prob density of X and Y is given by

f ( x, y ) =
6
5
(x + y ) 2
0 < x < 1, 0 < y < 1
0 elsewhere

Find the cumulative distribution function F(x,y)

Solution

Case (i) x<0

x y

F ( x, y ) = f (u , v )dvdu
−∞ −∞

= 0 as f (u , v ) = 0 for
any u , v < 0

Case (ii) y < 0.

Again F ( x, y ) = 0 whatever be x.

Case (iii)
(0 < x < 1, 0 < y < 1)
y

F ( x, y ) = f (u , v )dvdu
−∞

x y

= 6
5
(u + v )dvdu (as f (u, v ) = 0 for u < 0 or v < 0)
2

u =0 v = 0

x y
6 v3
= uv + du
5 u =0 3 0

x
6 y3 6 x 2 y xy 3
= uy + du = + .
5 u =0 3 5 2 3

94
Case (iv) 0 < x < 1, y ≥ 1

x y

F ( x, y ) = f (u , v ) dv du
−∞ −∞

x 1
=
6
5
(
u + v 2 dv du)
u =0 v = 0

x
6 1 6 x2 x
= u + du = +
5 u =0 3 5 2 3

Case (v) x ≥ 1, 0 < y < 1

as in case (iii) we can show

6 y y3
F ( x, y ) = +
5 2 3

Case (v) x ≥ 1, y ≥ 1

x y 1 1
F ( x, y ) = f (u , v )dv du =
6
5
( )
u + v 2 dvdu
−∞ − ∞ u =0 v = 0

1
6 1 6 1 1
= u + du = + =1
5 u −0 3 5 2 3

(Did you anticipate this?)

Hence

P(0.2 < X < 0.5, 0.4 < Y < 0.6)

= F (0.5,0.6 )

− F (0.2,0.6 ) − F (0.5, 0.4 )

+ F (0.2,0.4 ) (Why ?)

95
 6 (.5) (0.6 ) (0.5)(0.6 ) (0.2 ) (0.6 ) (0.2 )(0.6 )
2 3 2 3
= + − −
5 2 3 2 3

−
(0.5) (0.4 ) (0.5)(0.4 ) (0.2 ) (0.4 ) (0.2 )(0.4 )
2
−
3
+
2
+
3

2 3 2 3

(0.5)2 × 1 + (0.5) (0.6)3 − (0.4)3 − (0.2)2 × .1 − (0.2) (0.6) − (0.4)

( )
2
6
=
5 3 3

=
6
5
[[ ] [
(0.5 )2 − (0.2 )2 × 0.1 + (0.1) (0 .6 )3 − (0.4 )3 ]]

=
6
5
[
× 0 .1 (0 .5 ) − (0 .2 ) + (0 .6 ) − (0 .4 )
2 2 3 3
]
6
= × 0 .1 × [0 .362 ]
5

= 0 .04344

Example 22

The joint density of X and Y is

f ( x, y ) =
6
5 (x + y )2
0 < x < 1, 0 < y < 1
0 elsewhere

(a) Find the conditional prob density g (x | y)

1
(b) Find g x |
2
1
(c) Find the mean of the conditional density of X given that Y =
2

Solution

f ( x, y )
g (x | y ) = where h( y ) is the marginal density of y.
h( y )

96
Thus

1 1
h( y ) = f ( x, y )dx = 6
5 (x + y )dx
2

x =0 x =0

6 1
= + y 2 0 < y < 1.
5 2

Hence

g (x | y ) =
6
5
(x + y ) = x + y
2 2
, 0 < x < 1.
6
5
( +y ) +y
1
2
2 1
2
2

(and 0 elsewhere )

1 x+ 1 4 1
∴g x | = 1 14 = x+ , 0 < x <1
2 2
+4 3 4

Hence

1
E x| y=
2

1
1
= x g x| dx
0 2

1
4 1
= × x + dx
0 3 4

1
4 x3 x2 4 1 1 11
= + = + =
3 3 8 0
3 3 8 8

97
Example 23

(X,Y) has a joint density which is uniform on the rhombus find

(a) Marginal density of X.

(b) Marginal density of Y
1
(c) The conditional density of Y given X =
2

Solution

(X,Y) has uniform density on the rhombus means

1
f (x , y ) =
Area of the r hom bus

1
= over the r hom bus
2

and 0 elsewhere

(a) Marginal Density of X

Case (i) 0<x<1

1− x
1
f (x ) = dy = (1 − x )
y = x −1
2

Case (ii) –1<x<0

1+ x
1
f (x ) = dy = 1 + x
y = −1− x
2

Thus

1 + x −1 < x < 0
g (x ) = 1 − x 0 < x <1
0 elsewhere

(b) By symmetry marginal density of Y is

98
 1+ y −1 < y < 0
h( y ) = 1 − y 0 < y <1
0 elsewhere

1 1 1
(c) for x = , y ranges from − to
2 2 2

1
Thus conditional density of Y for X = is
2

f (x , 12 ) 1 − 12 < y < 12
h (y | 12 ) = =
f ( 12 ) 0 elsewhere

1 2 2
for x = Y rangs from − to
3 3 3

1
3 2 2
2
= − <y<
∴ h (y | 1
3
)= 2
4 3 3
3
0 elsewhere

99