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Lecture 23

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Definition 4.2.1 Let (X, Y ) be a discrete bivariate random vector with joint pmf f (x, y) and

marginal pmfs fX (x) and fY (y). For any x such that P (X = x) = fX (x) > 0, the conditional

pmf of Y given that X = x is the function of y denoted by f (y|x) and defined by

f (x, y)

f (y|x) = P (Y = y|X = x) = .

fX (x)

For any y such that P (Y = y) = fY (y) > 0, the conditional pmf of X given that Y = y is

the function of x denoted by f (x|y) and defined by

f (x, y)

f (x|y) = P (X = x|Y = y) = .

fY (y)

It is easy to verify that f (y|x) and f (x|y) are indeed distributions. First, f (y|x) ≥ 0 for

every y since f (x, y) ≥ 0 and fX (x) > 0. Second,

P

X y f (x, y) fX (x)

f (y|x) = = = 1.

y

fX (x) fX (x)

Define the joint pmf of (X, Y ) by

2 3 4 4

f (0, 10) = f (0, 20) = , f (1, 10) = f (1, 30) = , f (1, 20) = , f (2, 30) = .

18 18 18 18

fY |X (10|0) = = = .

fX (0) f (0, 10) + f (0, 20) 2

Definition 4.2.3

Let (X, Y ) be a continuous bivariate random vector with joint pdf f (x, y) and marginal pdfs

fX (x) and fY (y). For any x such that fX (x) > 0, the conditional pdf of Y given that X = x

is the function of y denoted by f (y|x) and defined by

f (x, y)

f (y|x) = .

fX (x)

1

For any y such that fY (y) > 0, the conditional pdf of X given that Y = y is the function of

x denoted by f (x|y) and defined by

f (x, y)

f (x|y) = .

fy (y)

If g(Y ) is a function of Y , then the conditional expected value of g(Y ) given that X = x is

denoted by E(g(Y )|x) and is given by

X Z ∞

E(g(Y )|x) = g(y)f (y|x) and E(g(Y )|x) = g(y)f (y|x)dy

y −∞

Let the continuous random vector (X, Y ) have joint pdf

The marginal of X is

Z ∞ Z ∞

fX (x) = f (x, y)dy = e−y dy = e6−x.

−∞ x

e−y

f (x, y) e−x = e

−(y−x)

, if y > x,

f (y|x) = =

fX (x)

−x0

e

= 0, if y ≤ x

Z ∞

E(Y |X = x) = ye−(y−x) dy = 1 + x.

x

Z ∞ Z ∞

2 −(y−x)

= y e dy − ( ye−(y−x) )2

x x

=1

2

In all the previous examples, the conditional distribution of Y given X = x was different

for different values of x. In some situations, the knowledge that X = x does not give us

any more information about Y than we already had. This important relationship between

X and Y is called independence.

Definition 4.2.5 Let (X, Y ) be a bivariate random vector with joint pdf or pmf f (x, y) and

marginal pdfs or pmfs fX (x) and fY (y). Then X and Y are called independent random

variables if, for EVERY x ∈ R and y ∈ mR,

f (y|x) = = = fY (y)

fX (x) fX (x)

Lemma 4.2.7 Let (X, Y ) be a bivariate random vector with joint pdf or pmf f (x, y). Then

X and Y are independent random variables if and only if there exist functions g(x) and h(y)

such that, for every x ∈ R and y ∈ R,

f (x, y) = g(x)h(y).

Proof: The “only if” part is proved by defining g(x) = fX (x) and h(y) = fY (y). To proved

the “if” part for continuous random variables, suppose that f (x, y) = g(x)h(y). Define

Z ∞ Z ∞

g(x)dx = c and h(y)dy = d,

−∞ −∞

Z ∞ Z ∞

cd = ( g(x)dx)( h(y)dy)

−∞ −∞

Z ∞Z ∞

= g(x)h(y)dxdy

−∞ −∞

Z ∞Z ∞

= f (x, y)dxdy = 1

−∞ −∞

3

Furthermore, the marginal pdfs are given by

Z ∞

fX (x) = g(x)h(y)dy = g(x)d

−∞

and Z ∞

fY (y) = g(x)h(y)dx = h(y)c.

−∞

Thus, we have

f (x, y) = g(x)h(y) = g(x)h(y)cd = fX (x)fY (y),

showing that X and Y are independent. Replacing integrals with sums proves the lemma

for discrete random vectors. ¤

1

Consider the joint pdf f (x, y) = 384

x2 y 2 e−y−(x/2) , x > 0 and y > 0. If we define

x2 e−x/2 x>0

g(x) =

0 x≤0

and

y 4 e−y /384 y > 0

h(y) =

0 y≤0

then f (x, y) = g(x)h(y) for all x ∈ R and all y ∈ R. By Lemma 4.2.7, we conclude that X

and Y are independent random variables.

events {X ∈ A} and {Y ∈ B} are independent events.

(b) Let g(x) be a function only of x and h(y) be a function only of y. Then

4

Proof: For continuous random variables, part (b) is proved by noting that

Z ∞Z ∞

E(g(X)h(Y )) = g(x)h(y)f (x, y)dxdy

−∞ −∞

Z ∞Z ∞

= g(x)h(y)fX (x)fY (y)dxdy

−∞ −∞

Z ∞ Z ∞

=( g(x)fX (x)dx)( h(y)fY (y)dy)

−∞ −∞

= (Eg(X))(Eh(Y )).

The result for discrete random variables is proved bt replacing integrals by sums.

Part (a) can be proved similarly. Let g(x) be the indicator function of the set A. let h(y)

be the indicator function of the set B. Note that g(x)h(y) is the indicator function of the

set C ∈ R2 defined by C = {(x, y) : x ∈ A, y ∈ B}. Also note that for an indicator function

such as g(x), Eg(X) = P (X ∈ A). Thus,

P (X ∈ A, Y ∈ B) = P ((X, Y ) ∈ C) = E(g(X)h(Y ))

Let X and Y be independent exponential(1) random variables. So

Theorem 4.2.12 Let X and Y be independent random variables with moment generating

functions MX (t) and MY (t). Then the moment generating function of the random variable

Z = X + Y is given by

MZ (t) = MX (t)MY (t).

5

Proof:

MZ (t) = Eet(X+Y ) = (EetX )(EetY ) = MX (t)MY (t).

Theorem 4.2.14 Let X ∼ N (µ, σ 2 ) and Y ∼ N (γ, τ 2 ) be independent normal random vari-

ables. Then the random variable Z = X + Y has a N (µ + γ, σ 2 + τ 2 ) distribution.

Hence, Z ∼ N (µ + γ, σ 2 + τ 2 ). ¤

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