Professional Documents
Culture Documents
p(x, y)dxdy = 1.
For any two events A and B we have
P(X A, Y B) =
A
p(x, y)dxdy.
In particular, if A is the closed interval [a, b] and B is the closed interval [c, d]
then
P(a X b, c Y d) =
d
c
b
a
p(x, y)dxdy.
The function p(x, y) is called the joint probability density function of
X and Y. If X and Y are discrete random variables then we call p(x, y) the
joint probability mass function. In this case, all the integrals above are
replaced by innite double sums.
2
Example 28.2
Let p(x, y) = x + y on the unit square 0 x 1 and 0 y 1 and 0
elsewhere. Verify that p(x, y) is a joint density function.
Solution.
To show that p is a joint probability density function we must show that
p(x, y) 0 for all x and y and
(x +y))dxdy =
1
0
1
0
(x +y)dxdy
=
1
0
x
2
2
+xy
1
0
dy =
1
0
1
2
+y
dy
=
1
2
y +
1
2
y
2
1
0
= 1
Example 28.3
A supermarket has two express lines. Let X and Y denote the number of
customers in the rst and second line at any given time. The joint probability
function of X and Y, p(x, y), is summarized by the following table
X\Y 0 1 2 3 p
X
(.)
0 0.1 0.2 0 0 0.3
1 0.2 0.25 0.05 0 0.5
2 0 0.05 0.05 0.025 0.125
3 0 0 0.025 0.05 0.075
p
Y
(.) 0.3 0.5 0.125 0.075 1
(a) Verify that p(x, y) is a joint probability mass function.
(b) Find the probability that more than two customers are in line.
(c) Find P(|X Y | = 1), the probability that X and Y dier by exactly 1.
Solution.
(a) From the table we see that the sum of all the entries is 1.
(b) p(0, 3) + p(1, 2) + p(1, 3) + p(2, 1) + p(2, 2) + p(2, 3) + p(3, 0) + p(3, 1) +
p(3, 2) +p(3, 3) = 0.25.
(c) P(|X Y | = 1) = p(0, 1) +p(1, 0) +p(1, 2) +p(2, 1) +p(2, 3) +p(3, 2) =
0.55.
3
Example 28.4
Let X and Y be continuous random variables with joint pdf
p(x, y) =
1
4
1 x, y 1
0 Otherwise.
Determine P(X
2
+Y
2
< 1).
Solution.
P(X
2
+Y
2
< 1) =
2
0
1
0
1
4
rdrd =
4
Example 28.5
An insurance company insures a large number of drivers. Let X be the
random variable representing the companys losses under collision insurance,
and let Y represent the companys losses under liability insurance. X and Y
have joint density function
p(x, y) =
2x+2y
4
0 < x < 1, 0 < y < 2
0 otherwise.
What is the probability that the total loss is greater than 1 ?
Solution.
We want to nd P(X +Y > 1). The region representing X +Y > 1 is shown
in red.
Therefore
P(X +Y > 1) =
1
0
2
1x
2x + 2 y
4
dydx =
1
0
1
2
xy +
1
2
y
y
2
8
2
1x
dx
=
1
0
5
8
x
2
+
3
4
x +
1
8
dx =
5
24
x
3
+
3
8
x
2
+
1
8
x
1
0
=
17
24
4