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fX,Y (x, y) dy
fX (u) du =
1
x
1
We call fX (x) the marginal density (function) for X (or just marginal or just density) and
FX (x) the (marginal) distribution function for X. Similar formul hold for fY (y) and FY (y).
Definition. The random variables X and Y are independent if and only if
FX,Y (x, y) = FX (x) FY (y).
i.e., i fX,Y (x, y) = fX (x) fY (y) in the continuous case.
Exercise. Write down the definition of the marginal mass function and the marginal distribution function in the discrete case.
Example (Chapter 1, Exercise 1.2). Suppose that
X
0
(X, Y ) =
Y
denotes the coordinates of a dart thrown uniformly at random at a circular dart board. To
be specific, suppose that the circle is centred at the origin and has radius 1. We can describe
the random vector (X, Y )0 by its density function
(
1/, if x2 + y 2 1,
fX,Y (x, y) =
0,
otherwise.
Suppose that (X, Y )0 is a point uniformly distributed in the unit disk so that
(
1/, if x2 + y 2 1,
fX,Y (x, y) =
0,
otherwise.
Determine the distribution of X.
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x2
Solution. By definition,
x2
fX,Y (x, y) dy
1
p
1 x2
p
1 x2
easy step!
1
dy watch limits!
fX (x) =
2p
1
x2 ,
1 x 1.
fY (y) =
2p
1
y2,
1 y 1.
Similarly,
x2 and
x2 .
EX)(Y
Corr(X, Y ) = X,Y = p
EY ) = E(XY )
Cov(X, Y )
Var(X) Var(Y )
(EX)(EY ), and
Note that = X,Y is a scale-invariant real number with 1 1. Also note that in the
continuous case,
ZZ
E(XY ) =
xyfX,Y (x, y) dx dy.
R2
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In order to show that X and Y are uncorrelated, we need to show that Cov(X, Y ) = E(XY )
(EX)(EY ) = 0. Since fX,Y (x, y) = 1/ for x2 + y 2 1, we have
ZZ
1
E(XY ) =
xy dx dy.
{x2 +y 2 1}
0 0
4 0
{x2 +y 2 1}
Furthermore, we find
Z 1
2p
E(X) =
x
1
x2
dx = 0 and E(Y ) =
1
1
2p
1
y 2 dy = 0
recognizing that the integral of an odd function over a symmetric interval is 0. (Or, one can
compute the integrals via first-year calculus substitutions.)
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