Joint (Multivariate) Distributions

Joint Probability Function: f ( x, y ) Pr( X x, Y y )

f ( x ) Pr( X x ) f ( x, y )
all y
Marginal Functions: (similar for y)
f ( x ) Pr( X x ) f ( x, y )dy
y

f x , y ( x, y )
Conditional Probability: f X ( x Y y )
f y ( y)
b d

Joint Continuous Probability: Pr( a X b, c y d ) f ( x, y )dydx

a c

Moments:

E[ g ( x, y )] g ( x, y ) f
all x , y
X ,Y ( x, y ) or

E[ g ( x, y )] g ( x, y ) f
x y
X ,Y ( x, y )dydx

E[ X ] x x f
all x , y
X ,Y ( x, y ) or E[ X ] x x f X ,Y ( x, y )dydx
x y

2 var( x ) (x )
all x , y
2
f X ,Y ( x, y ) or

2 var( x) (x )
2
f X ,Y ( x, y )dydx
x y

E[ X Y ] E[ X ] E[Y ]
E[ XY ] E[ X ] E[Y ] - If X and Y are independent
var( X Y ) var( X ) var(Y )

Joint MGF

M X ,Y ( s, t ) E e sX tY
If X and Y are independent and Z = X + Y
M Z (t ) M X (t ) M Y (t )

Conditional Expectation (Expected value of X given event F has occurred)

E[ X F ] xf ( x F )
x
E[ X F ] xf ( x F )
x

Conditional Variance

var( X F ) E X 2 F E[ X F ] or
2

var( X F ) E X E[ X F ] F
2

var(Y ) E var Y X var E Y X

Double Expectation
E[Y ] E E[Y X ]
Covariance
cov( X , Y ) E[ XY ] E[ X ]E[Y ] or cov( X , Y ) E ( X E[ X ])(Y E[Y ])
If X and Y are independent cov(X,Y)=0

cov(aX bY , Z ) a cov( X , Z ) b cov(Y , Z )

var(aX bY ) a 2 var( X ) b 2 var(Y ) 2ab cov( X , Y )

Also var(aX bY ) cov(aX bY , aX bY )

Correlation Coefficient
cov( X , Y )

x y

Bivariate Normal Distribution Properties

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