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Random Vectors
A set of 2 or more random variables constitutes a random vector. For example, a random
⎡X ⎤
vector with two components, X = ⎢ 1 ⎥ , is a function from the sample space of an
⎣X 2 ⎦
experiment to the (x1, x2) plane.
• Characterization
PX (x ) = PX 1 , X 2 (x 1 , x 2 ) = P[( X 1 = x 1 ) ∩ (X 2 = x 2 )]
= ∑ ∑P
u1 ≤x1 u 2 ≤x 2
X1 , X 2 (u 1 , u 2
)
• Marginal Distribution
• Characterization
⎡X ⎤
• Joint Probability Density Function (JPDF) of X = ⎢ 1 ⎥
, f X1 ,X 2 ( x 1 , x 2 ) :
⎣X 2 ⎦
This function is defined such that:
∂ 2 FX 1 , X 2
( x 1 , x 2
)
f X 1 , X 2
( x 1 , x 2 ) =
∂x 1∂x 2
x 1
x2
FX 1 , X 2
( x 1 , x 2 ) = ∫ ∫−∞ −∞
f X 1 , X 2 ( u 1 , u 2 )du 1 du 2
• Marginal distribution of X1
dFX 1 (x 1 ) ∂ FX 1 , X 2 ( x 1 , ∞ )
• PDF: f X 1 (x 1
) = =
dx 1 ∂x 1
∂ ⎛ x1
⎜ ∫− ∞ du 1 ∫− ∞ f X 1 , X 2 ( u 1 , u 2
)du 2 ⎞⎟
∞
=
∂x 1 ⎝ ⎠
∞
= ∫ −∞
f X 1 , X 2 ( x 1 , u 2 )du 2
f X 1 , X 2 ( x 1 , x 2
)
f ( X 1 |X 2 = x 2 ) (x 1 ) =
f X 2 (x 2
)
∝ f X1 ,X 2 ( x 1 , x 2 ) , for f X 2 (x 2 ) ≠ 0
• Conditional Distribution
∝ PX1
,X 2 ( x 1 , x 2
)
(X in cars/30 sec. interval) and traffic recorded by some imperfect traffic counter (Y)
FX1 ,X 2 ( x 1 , x 2 ) = FX1 (x 1 ) . FX 2 (x 2 )
PX1 ,X 2 ( x 1 , x 2 ) = PX1 (x 1 ) . PX 2 (x 2 )
or:
P(X1|X 2 = x 2 ) (x 1 ) = PX1 (x 1 )