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You are on page 1of 46

RANDOM VARIABLES

As you know, the synonyms of random variable, is :

chance variable, stochastic variable , and variate.

UNIVARIATE

(single-variable)

RANDOM VARIABLE

(VARIATE)

BIVARIATE

(two-variable)

MULTIVARIATE

(more than two-variable)

associated distribution, and some properties.

When two or more random variables are associated with each

item in a population, the random variables are said to be jointly

distributed .

SWN SCIENCE DEPARTMENT

Definition :

Let be the sample space of a random experiment.

Let X and Y be two r.vs , then the pair (X,Y) is called a

bivariate (two-random variables), if each of X and Y

associates a real number with every element of .

Thus, the bivariate (X,Y) can be considered as a function

that to each point in assigns a point (x,y) in the plane.

The range space of the bivariate (X,Y) is denoted by

and defined by :

discrete r.vs, then (X,Y) is called a discrete

bivariate.

Similarly, if X and Y are each, by themselves,

continuous r.vs , then (X,Y) is called a continuous

bivariate.

If one of X and Y is discrete, while the other is

continuous, then (X,Y) is called a mixed bivariate.

If X and Y are jointly discrete random variables :

1. The joint probability mass function of X and Y is the function;

p(x,y) = P(X=x and Y=y)

2.

from the joint probability mass function as follows :

where the sums are taken over all the possible values of Y and of X

respectively.

3. The joint probability mass functon has the property that :

SWN SCIENCE DEPARTMENT

If X and Y are jointly continuous random variables, with joint

probability density function f(x,y), and a < b , c < d , then :

1.

2.

(i)

(ii)

3.

respectively , by :

Definition :

The joint distribution funtion or the joint cumulative distribution

function (joint CDF) of X and Y , denoted by

, is the

function defined by :

(*)

The event (X x and Y y ) in (*) is equivalent to the event

AB, where A and B are events of , defined by :

DISTRIBUTED RANDOM VARIABLES

Let h (x,y) be any function of x and y.

Then if the random variables X and Y have a joint distributions,

the expected value of h (X,Y) is defined to be:

(*)

provided that one of the double sums or integral in (*) is well defined.

SWN SCIENCE DEPARTMENT

obtained directly from corresponding properties of

integrals and sums.

For any two functions

having

expected values , and any constants a and b,

CONDITIONAL DISTRIBUTIONS

Definition :

Let X and Y be jointly discrete random variables, with joint

probability mass function p(x,y).

Let

denote the marginal probability mass funtion of X

and let x be any number for which

>0.

The conditional probability mass function of Y given X = x is:

10

just like that of the conditional probability mass function, with

mass functions replaced by density functions.

Definition :

Let X and Y be jointly continuous random-variables, with joint

probability density function f(x,y). Let

denote the

marginal probability density function of X and let x be any

number for which

>0.

The conditional probability density function of Y given X= x

is:

11

CONDITIONAL EXPECTATION

Expectation is another term for mean.

A conditional expectation is an expectation, or mean ,

calculated using a conditional probability mass

function or conditional probability density function.

The conditional expectation of Y given X = x is

denoted

E ( Y| X = x) or

.

12

Two random variables are independent if knowledge

regarding one of them does not affect the probabilities of

the other.

We present here a definition of independence of random

variables in terms of their joint probability mass or joint

probability density function.

The notion of independence for random variables is very

much like the notion of independence for events.

13

Definition :

Two random varibales X and Y are independent, provided

that :

1. If X and Y are jointly discrete, the joint probability mass

function is equal to the product of the marginals :

2. If X and Y are jointly continuous, the joint probability

density functions is equal to the product of the marginals :

Intuitively, when two random variables are independent,

knowledge of the value of one of them does not affect the

probability distribution of the other. In other words, the

conditional distribution of Y given X is the same as the

marginal distribution of Y.

SWN SCIENCE DEPARTMENT

14

1. If X and Y are jointly discrete, and x is a value for

which

> 0, then ;

which

> 0 , then ;

15

COVARIANCE

When two random variables are not independent, it is useful to

have a measure of the strength of the relationship between

them.

The population covariance is a measure of a certain type of

relationship known as a linear relationship.

We will usually drop the term population , and refer simply

to the covariance.

Definition : Let X and Y be random variables with means

and .

The covariance of X and Y is :

An alternate formula is :

SWN SCIENCE DEPARTMENT

16

CORRELATION

We will denote the correlation between random variable X and Y by

correlation between X and Y, one first computes the covariance, and then

dividing by the product of the standard deviations of X and Y.

It can be proved that the correlation is always between, -1 and 1.

Definition : Let X and Y be jointly distributed random

variables with standard deviations

and

.

The correlation between X and Y is denoted

by:

and is given

17

When Cov (X,Y) =

= 0 , there is no linear relationship

between X and Y.

In this case we say that X and Y are uncorrelated.

Note that if Cov (X,Y) = 0 , then it is always the case that

and vice versa.

= 0,

always uncorrelated, since there is no relationship, linear or

otherwise , between them.

It is mathematically possible to construct random variables that are

uncorrelated but not independent.

This phenomenon is rarely seen in practice, or rarely occurs in

practice.

SWN SCIENCE DEPARTMENT

18

EXERSICES

1. Consider a random experiment of tossing a fair coin

twice. Let (X,Y) be a bivariate r.v , where X is the

number of heads that occurs in the two tosses and Y is

the number of tails that occurs in the two tosses.

(a) What is the range of X ?

(b) What is the range of Y?

(c) Find and sketch the range

of (X,Y)

(d) Find P(X = 2 , Y = 0) , P(X = 0 , Y = 2) and

P (X =1 , Y =1)

19

Solution :

Dari yang diketahui, yaitu RE : menguncalkan SMUL

sebanyak dua kali, diperoleh = {HH, HT, TH, TT}

(a) = {0,1,2} kenapa ?

(b) = {0,1,2}

(c) Ingat definisi

maka,

(d)

P(X = 2 , Y = 0) = P(HH) =

P(X = 0 , Y = 2) = P(TT) =

P (X =1 , Y =1) = P(HT,TH) =

SWN SCIENCE DEPARTMENT

20

Consider a bivariate r.v (X,Y).

Let X = 0 or 1 according to whether the first die

shows an even number or an odd number of dots.

Similarly, let Y = 0 or 1 according to the second die.

(a) Find the range

of (X,Y)

(b) Find the joint pmfs of (X,Y)

21

Solution :

(a) = {(0,0) , (0,1) , (1,0) , (1,1)} , jelaskan!

(b) Karena X dan Y saling bebas (independent), maka :

P(X = 0) = P(X = 1) =

P(Y = 0) = P (Y = 1) =

Dengan demikian,

22

three balls from an urn containing two red , three

white and four blue balls.

Let (X,Y) be a bivariate r.v , where X and Y denote,

respectively, the number of red and white balls chosen.

(a) Find the range of (X,Y)

(b) Find the joint pmfs of (X,Y)

(c) Find the marginal pmfs of X and Y.

(d) Are X and Y independent?

23

Solution :

(a) Dari skenario soal ; vr X menyatakan banyaknya terambilnya

bola warna merah, dan vr Y menyatakan banyaknya terambilnya

bola warna putih.

Banyaknya bola warna merah ada 2 dan banyaknya bola warna

putih ada 3.

Dengan demikian ;

= { (0,0), (0,1), (0,2), (0,3), (1,0), (1,1), (1,2), (2,0), (2,1)}

(b) joint pmfs / pmf bersama dari (X,Y) :

24

Tabel p(x,y)

x

y

0

4

4

1 12/8 24/8 6/84 0

4

4

(c)2 Marginal

4/84 pmfs

3/84 dari

0 X dan

0 Y dapat dihitung dari tabel diatas,

diperoleh :

(d) Karena

, maka

X dan Y tidakSWN

independent.

SCIENCE DEPARTMENT

25

(b) Are X and Y uncorrelated?

26

Solution :

(a) Dari data yang diketahui, buat tabel :

Tabel p(x,y)

x

0

1

2

y

0

1

0

1/3

1/3 0

0

1/3

Marginal pmf :

Ambil,

Dengan demikian, X dan Y tidak independent

SWN SCIENCE DEPARTMENT

27

28

of X and Y, is given by :

p(0,0) = 0,4 , p(0,1) = 0,2 , p(1,0) = 0,1 , p(1,1) =

0,3

Calculate the conditional probability mass function of

X, given that Y =1.

29

Solution :

(a) Dari yang diketahui , buat tabel p(x,y) .

x

0

1

0

0,4

0,1

0,5

y

1

0,2

0,3

0,5

0,6

0,4

1

Yang ditanyakan :

30

(b) Find the marginal probability density functions of

X and Y.

31

Solution :

(a) Gunakan sifat dari joint pdf :

32

33

where k is a constant.

(a) Find the value of k

(b) Find the marginal probability pmfs of X and Y.

(c) Are X and Y independent?

34

Solution :

(a)

35

jika ya berarti X dan Y independent.

Jika

36

below. Let (X,Y) be a bivariate r.v , where X is the input to

the channel and Y is the output of the channel.

Let P(X=0) = 0,5 , P(Y=1| X=0) = 0,1 and

P(Y=0 | X=1) = 0,2

(a) Find the joint pmfs of (X,Y)

(b) Find the marginal pmfs of X and Y.

(c) Are X and Y independent?

0

P(Y=0| X=0)

0

Y

X

1

P(Y=0| X=1)

P(Y=1| X=0)

P(Y=1| X=1)

SWN SCIENCE DEPARTMENT

37

Solution :

(a) P(Y=1| X=0) + P(Y=0| X=0) =1

maka P(Y=0| X=0) =0,9

P(X=1) + P(X=0) =1

P(X=1) =1-0,5 = 0,5

Demikian juga

P(Y=1| X=1) =0,8

Mengingat : P(AB) = P(B) . P(A |B) = P(A) . P(B |A)

Maka :

P(X=0, Y=0) = P(Y=0 |X=0) . P(X=0) = 0,9 (0,5) = 0,45

P(X=0, Y=1) = P(Y=1 |X=0) . P(X=0) = 0,1 (0,5) = 0,05

P(X=1, Y=0) = P(Y=0 |X=1) . P(X=1) = 0,2 (0,5) = 0,10

P(X=1, Y=1) = P(Y=1 |X=1) . P(X=1) = 0,8 (0,5) = 0,40

Jadi, joint pmf dari (X,Y) adalah :

p(0,0) = 0,45 , p(0,1) = 0,05

p(1,0) =SWN

0,10

, p(1,1) = 0,40

SCIENCE DEPARTMENT

38

x

y

0

1

0

0,45

0,05

0,50

1

0,10

0,40

0,50

0,55

0,45

1

(b) Marginal pmf dari X adalah :

Marginal pmf dari Y adalah :

(c) Periksa, apakah :

, ternyata

0,45 0,50 (0,55)

Jadi X dan Y tidak independent.

SWN SCIENCE DEPARTMENT

39

(a) Find the mean and the variance of X

(b) Find the mean and the variance of Y

(c) Find the covariance of X and Y

(d) Find the correlation coefficient of X and Y

40

Solution :

(a)

(b)

41

(c)

= 0.0.(0,45) + 0.1.(0,05) + 1.0.(0,1) + 1.1.(0,4)

= 0,4

Jadi, Cov (X,Y) = 0,4 (0,5) (0,45) = 0,175

(d)

42

times.

Coin A is fair ; but coin B is not fair, with P(H) = and

P(T) =

.

Consider a bivariate r.v. (X,Y) , where X denotes the

number of heads resulting from coin A and Y denotes the

number of heads resulting from coin B.

(a) Find the range of (X,Y)

(b) Find the joint pmfs of (X,Y)

(c) Find P(X=Y) , P(X>Y) and P (X+Y 4)

43

Solution :

(a) Seperti pada soal 1;

Jadi,

(b) Jelas bahwa X dan Y saling bebas/independent,

Untuk variabel random X :

, dengan

cara yang sama ,

SWN SCIENCE DEPARTMENT

44

Karena X dan Y independent, maka :

Joint pmf dari (X,Y) ditabelkan sbb :

p(x,y)

x

0

y

2

0

1

2

3

SWN SCIENCE DEPARTMENT

45

(c)

46

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