Marginal Probability Distributions (Discrete)

Marginal Probability Distribution: the individual probability

distribution of a random variable computed from a joint
distribution.






Problems
1. Three balls are drawn at random without replacement from a box
containing 2 white, 3 red and 4 black balls. If X denotes the number
of white balls drawn and Y denotes the number of red balls drawn,
find the joint probability distribution of (X,Y).
2. For the bivariate probability distribution of (X,Y) given below, find
P(X1), P(Y3), P(X1,Y3), P(X1/Y3), P(Y3/X1) and P(X+Y4).




3. The joint probability mass function of (X,Y) is given by
p(x,y)=k(2x+3y), x=0,1,2;y=1,2,3. Find all the marginal and
conditional probability distributions. Also find the probability
distribution of X + Y.

Y
X
1 2 3 4 5 6
0 0 0 1/32 2/32 2/32 3/32
1 1/16 1/16 1/8 1/8 1/8 1/8
2 1/32 1/32 1/64 1/64 0 2/64
Continuous Joint Distributions


A joint probability density function for the continuous
random variables X and Y, denotes as f
XY
(x,y), satisfies the
following properties:


Continuous Joint Distributions (Example 1)
? ) Pr( ) 2 (
? ) 1 (
. 0
, 1
) , (
2 2
= >
=

s s
=
Y X
c
otherwise
y x f or y cx
y x f
XY
Calculating probabilities from a joint p.d.f.
.
20
3
4
21
) Pr(
.
4
21
,
21
4
) , (
1
0
2
1
1
1
2
2
2
= = >
= = =
} }
} } } }

dydx y x Y X
c c dxdy y cx dxdy y x f
x
x
x
XY
4.The joint pdf of a two dimensional RV (X,Y) is given by f(x,y)= xy
2
+
(x
2
/8), 0x 2, 0 y 1. Compute P(X>1), P(Y<1/2). P(X>1/Y<1/2),
P(Y<1/2/X>1), P(X<Y) and P(X+Y1).
Ans: 19/24, , 5/24, 5/6, 5/19, 58/480, 13/480.
Similar to joint discrete random variables, we can find the
marginal probability distributions of X and Y from the joint
probability distribution.






Compute f
X
(x) and f
Y
(y) in Example

Marginal Probability Distributions(Continuous, Example)
.
2
7
4
21
) , ( ) (
). 1 (
8
21
4
21
) , ( ) (
2
5
2
4 2
1
2
2
y dx y x dx y x f y f
x x dy y x dy y x f x f
y
y
XY Y
x
XY X
= = =
= = =
} }
} }

Independence
In some random experiments, knowledge of the values of X
does not change any of the probabilities associated with the
values for Y.

If two random variables, X and Y are independent, then
. and all for , ) ( ) ( ) , (
ly. respective Y, and X of range in the B and
A sets any for ), Pr( ) Pr( ) Pr(
y x y f x f y x f
B Y A X B Y and A X
Y X XY
=
e e = e e
Covariance
The covariance between two RVs X and Y is

Properties:







). ( ) ( ) ( ))] ( ))( ( [( ) , ( Y E X E XY E Y E Y X E X E y x Cov = =
). , ( ) , ( ) , (
) , ( ) , (
) , ( ) , ( ), , ( ) , (
) ( ) , ( , 0 ) , (
Z Y bCov Z X aCov Z bY aX Cov
Y X Cov b Y a X Cov
Y X abCov bY aX Cov X Y Cov Y X Cov
X Var X X Cov a X Cov
+ = +
= + +
= =
= =
Covariance



Example
Covariance


Example (Cont.)
Covariance


Example (Cont.)
Zero Covariance and Independence
However, in general, if Cov(X,Y)=0, X and Y may not be independent.
Example 10: X is uniformly distributed on [-1,1], Y=X
2
. Then,




Cov(X,Y)= 0, but X determines Y, i.e., X and Y are not independent.
If X and Y are independent, then Cov(X,Y)=0.
. 0 ] [ ] [ ] [ ) , ( So,
. 0
2
1
] [ ] [ , 0
2
1
] [
1
1
3 3
1
1
= =
= = = = =
} }

Y E X E XY E Y X Cov
dx x X E XY E xdx X E
. 0 ) , ( ., . , ] [ ] [ ) ( ) (
) ( ) ( ) , ( ] [
), ( ) ( ) , (
= = =
= =
=
} }
} } } }

Y X Cov e i Y E X E dy y yf dx x xf
dxdy y f x xyf dxdy y x xyf XY E
y f x f y x f
Y X
Y X XY
Y X XY