Scribd Logo
Upload

Welcome to Scribd!

  • 38 views

    Module 19 Joint Distribution of Random Variables

    Uploaded by

    pankaj kumar
    The document discusses the joint distribution of random variables. It begins by introducing the concept of a random vector, which is a function that maps from a sample space to a multidimensional Euclidean space. This induces a probability space where the joint distribution function is defined. Marginal distributions are defined as the distributions of subsets of the random variables. The key results are that the marginal distribution is obtained by taking the limit of unwanted variables to infinity in the joint distribution, and that the probability of a multidimensional rectangle can be expressed as the sum of the joint distribution evaluated at the vertices.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd

    Module 19 Joint Distribution of Random Variables

    Uploaded by

    pankaj kumar
    38 views20 pages
    The document discusses the joint distribution of random variables. It begins by introducing the concept of a random vector, which is a function that maps from a sample space to a multidimensional Euclidean space. This induces a probability space where the joint distribution function is defined. Marginal distributions are defined as the distributions of subsets of the random variables. The key results are that the marginal distribution is obtained by taking the limit of unwanted variables to infinity in the joint distribution, and that the probability of a multidimensional rectangle can be expressed as the sum of the joint distribution evaluated at the vertices.

    Original Description:

    Original Title

    Module_19_0.pdf

    Copyright

    © © All Rights Reserved

    Available Formats

    PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    The document discusses the joint distribution of random variables. It begins by introducing the concept of a random vector, which is a function that maps from a sample space to a multidimensional Euclidean space. This induces a probability space where the joint distribution function is defined. Marginal distributions are defined as the distributions of subsets of the random variables. The key results are that the marginal distribution is obtained by taking the limit of unwanted variables to infinity in the joint distribution, and that the probability of a multidimensional rectangle can be expressed as the sum of the joint distribution evaluated at the vertices.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    38 views20 pages

    Module 19 Joint Distribution of Random Variables

    Uploaded by

    pankaj kumar
    The document discusses the joint distribution of random variables. It begins by introducing the concept of a random vector, which is a function that maps from a sample space to a multidimensional Euclidean space. This induces a probability space where the joint distribution function is defined. Marginal distributions are defined as the distributions of subsets of the random variables. The key results are that the marginal distribution is obtained by taking the limit of unwanted variables to infinity in the joint distribution, and that the probability of a multidimensional rectangle can be expressed as the sum of the joint distribution evaluated at the vertices.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 20

    Module 19

    Joint Distribution of Random Variables

    () Module 19 Joint Distribution of Random Variables 1 / 19


    (Ω, P(Ω), P): a given probability space;

    In many situations we may be interested in two or more numerical


    characteristics of the sample space simultaneously;

    Example 1:

    E: Casting a red and a white die;


    Ω = {(i, j) : i, j ∈ {1, 2, . . . , 6}} ,
    where, in (i, j) ∈ Ω, i denotes the number of spots on upper face of
    red die and j denotes the number of spots on upper face of white die.

    Define r.v.s X1 : Ω → R and X2 : Ω → R as:

    X1 ((i, j)) = i + j = sum of numbers on upper faces of two dice;


    X2 ((i, j)) = |i − j| = absolute difference of numbers on upper faces
    of two dice.
    () Module 19 Joint Distribution of Random Variables 1 / 19
    We may be interested in studying X1 and X2 simultaneously, i.e., we
    may be interested in studying the function
    X : Ω → R2 ,
    where X = (X1 , X2 )0 , X ((i, j)) = (X1 (i, j), X2 (i, j))0 , (i, j) ∈ Ω.

    Definition 1: A function
    X = (X1 , . . . , Xp )0 : Ω → Rp
    is called a p-dimensional random vector (r.v.); here
    Rp = {x = (x1 , . . . , xp ) : −∞ < xi < ∞, i = 1, . . . , p}
    denotes the p-dimensional Euclidean space.

    For A ⊆ Rp (i.e., A ∈ P(Rp )), define


    X −1 (A) = {ω ∈ Ω : X (ω) ∈ A} .
    () Module 19 Joint Distribution of Random Variables 2 / 19
    Further define the set function PX : P(Rp ) → [0, 1] as

    PX (A) = P X −1 (A)
    

    = P ({ω ∈ Ω : X (ω) ∈ A}) , A ∈ P(Rp ).

    () Module 19 Joint Distribution of Random Variables 3 / 19


    Result 1:

    (Rp , P (Rp ) , PX ) is a probability space, i.e., PX (·) is a probability function


    on P(Rp ).

    Proof: Same as for p = 1

    Definition 2 : The probability space (Rp , P(Rp ), PX ) is called the


    probability space induced by r.v. X (or simply the induced probability
    space).

    X
    Rp , P (Rp ) , PX
    
    (Ω, P(Ω), P) −→

    () Module 19 Joint Distribution of Random Variables 4 / 19


    Notations:

    For A ∈ P (Rp ) , {X ∈ A} ≡ {ω ∈ Ω : X (ω) ∈ A};

    For a = (a1 , . . . , ap ), b = (b1 , . . . , bp ) ∈ Rp

    (a, b] = (a1 , b1 ] × (a2 , b2 ] × · · · × (ap , bp ]


    = {x = (x1 , . . . , Xp ) : ai < xi ≤ bi , i = 1, . . . , p}

    denotes the p-dimensional semi-closed rectangle with vertices

    {z = (z1 , . . . , zp ) ∈ Rp : zi ∈ {ai , bi } , i = 1, . . . , p} ,

    (in all 2p vertices).

    () Module 19 Joint Distribution of Random Variables 5 / 19


    ∆p ≡ ∆p ((a, b])
    = {z = (z1 , . . . , zp ) ∈ Rp : zi ∈ {ai , bi } , i = 1, . . . , p}
    = set of all vertices of p-dimensional rectangle (a, b]
    [p
    = ∆k,p ((a, b]),
    k=0

    where

    ∆k,p ≡ ∆k,p ((a, b])


    = {z = (z 1 , . . . , z p ) ∈ ∆p : k of zi s are aj s}, k = 0, 1, . . . , p.

    () Module 19 Joint Distribution of Random Variables 6 / 19


    Example 2:

    p=2

    ∆2 = {(b1 , b2 ), (a1 , b2 ), (b1 , a2 ), (a1 , a2 )}

    ∆0,2 = {(b1 , b2 )}

    ∆1,2 = {(a1 , b2 ), (b1 , a2 )}

    ∆2,2 = {(a1 , a2 )}

    () Module 19 Joint Distribution of Random Variables 7 / 19


    Notation :

    For a = (a1 , . . . , ap ), b = (b1 , . . . , bp ) ∈ Rp

    (−∞, a] = {z ∈ Rp : zi ≤ ai , i = 1, . . . , p}

    (a, ∞) = {z ∈ Rp : zi > ai , i = 1, . . . , p}

    (a, b) = {z ∈ Rp : ai < zi < bi , i = 1, . . . , p}

    [a, b], [a, b), (−∞, a) and [a, ∞) are defined similarly.

    a ≤ b means ai ≤ bi , i = 1, . . . , p.

    a < b means ai ≤ bi , i = 1, . . . , p, with aj < bj , for some


    j ∈ {1, . . . , p}.
    () Module 19 Joint Distribution of Random Variables 8 / 19
    Definition 3:

    Let X = (X1 , . . . , Xp )0 be a p-dimensional r.v.

    (a) The joint distribution function (d.f.) of X is the function


    FX : Rp → R defined by

    FX (x) = PX ((−∞, x])


    = P(X −1 ((−∞, x]))
    = P({ω ∈ Ω : X (ω) ≤ x})
    = P({ω ∈ Ω : Xi (ω) ≤ xi , i = 1, . . . , p}), x ∈ Rp .

    (b) The joint d.f. of any subset of r.v.s {X1 , . . . , Xp } is called a marginal
    d.f. of FX (·).

    () Module 19 Joint Distribution of Random Variables 9 / 19


    Example 3:

    Let X = (X1 , X2 , X3 , X4 )0 be a r.v. with d.f. FX (·). Then

    FX1 (.) : d.f. of X1 ;


    Fx2 ,x4 (.) : joint d.f. of (X2 , X4 )0
    Fx1 ,x3 ,x4 (·) : joint d.f. of (X1 , X3 , X4 )0

    are marginal d.f.s of X = (X1 , X2 , X3 , X4 )0 .

    () Module 19 Joint Distribution of Random Variables 10 / 19


    Result 2:
    Let X = (X1 , . . . , Xp )0 be a r.v. with joint d.f. FX1 ,...,Xp (·). Then the
    marginal d.f. of (X1 , . . . , Xp−1 ) is

    FX1 ,...,Xp−1 (x1 , . . . , xp−1 ) = lim FX1 ,...,Xp−1 ,Xp (x1 , . . . , xp−1 , t),
    t→∞
    (x1 , . . . , xp−1 ) ∈ Rp−1 .

    Proof: Let (x1 , . . . , xp−1 ) ∈ Rp−1 be fixed. Then

    FX1 ,...,Xp−1 (x1 , . . . , xp−1 ) = P ({X1 ≤ x1 , . . . , Xp−1 ≤ xp−1 })


    = P ({X1 ≤ x1 , . . . , Xp−1 ≤ xp−1 , Xp < ∞})
    ∞
    !
    [
    = P {X1 ≤ x1 , . . . , Xp−1 ≤ xp−1 , Xp ≤ t}
    t=1
    = lim P ({X1 ≤ x1 , . . . , Xp−1 ≤ xp−1 , Xp ≤ t})
    t→∞
    = lim FX1 ,...,Xp−1 ,Xp (x1 , . . . , xp−1 , t).
    t→∞

    () Module 19 Joint Distribution of Random Variables 11 / 19


    Remark 1:
    The above result suggests that to get a marginal d.f. take (in limit) the
    arguments of unwanted variables in the joint d.f. to ∞.

    Result 3: Let X = (X1 , . . . , Xp )’ be a p-dimensional r.v. with joint d.f.


    FX (·). Then, for any p-dimensional rectangle (a, b] (a, b ∈ Rp , a < b),
    P ({X ∈ (a, b]}) = P ({ai < Xi ≤ bi , i = 1, . . . , p})
    Xp X
    = (−1)k FX (z).
    k=0 z∈∆k,p ((a,b])

    Proof: For p = 2
    P ({a1 < X1 ≤ b1 , a2 < X2 ≤ b2 }) = P ({X1 ≤ b1 , a2 < X2 ≤ b2 })
    −P ({X1 ≤ a1 , a2 < X2 ≤ b2 })
    P ({X1 ≤ b1 , a2 < X2 ≤ b2 }) = P ({X1 ≤ b1 , X2 ≤ b2 , })
    −P ({X1 ≤ b1 , X2 ≤ a2 , })
    () Module 19 Joint Distribution of Random Variables 12 / 19
    = FX1 ,X2 (b1 , b2 ) − FX1 ,X2 (b1 , a2 )
    P ({X1 ≤ a1 , a2 < X2 ≤ b2 }) = P ({X1 ≤ a1 , X2 ≤ b2 , })
    −P ({X1 ≤ a1 , X2 ≤ a2 , })
    = FX1 ,X2 (a1 , b2 ) − FX1 ,X2 (a1 , a2 ).

    Therefore

    P ({X ∈ (a, b]}) = F X1 ,X2 (b1 , b2 ) − [FX1 ,X2 (a1 , b2 ) + FX1 ,X2 (b1 , a2 )]
    +FX1 ,X2 (a1 , a2 )
    2
    X X
    = (−1)k FX1 ,X2 (z1 , z2 ).
    k=0 z∈∆k,2 ((a,b])

    Thus the result holds for p = 2. Suppose, for any probability function,
    result holds for some p = m.

    () Module 19 Joint Distribution of Random Variables 13 / 19


    Let
    Y = (X1 , . . . , Xm , Xm+1 ) = (X , Xm+1 ) , a0 = (a1 , . . . , am ), b0 =
    (b1 , . . . , bm ), a = (a1 , . . . , am , am+1 ) and b = (b1 , . . . , bm , bm+1 ). Then
     
    P ({Y ∈ (a, b]}) = P X ∈ (a0 , b0 ], Xm+1 ∈ (am+1 , bm+1 ]
      
    = P X ∈ a0 , b0 | {Xm+1 ∈ (am+1 , bm+1 ]} ×
    P ({Xm+1 ∈ (am+1 , bm+1 ]}) .
    Using the result for p = m (for conditional probability function) we have
      
    P X ∈ a0 , b0 | {Xm+1 ∈ (am+1 , bm+1 ]}
    Xm X
    = (−1)k P ({X ≤ z}| {Xm+1 ∈ (am+1 , bm+1 ]}) .
    k=0 z∈∆k,m ((a0 ,b0 ])

    Thus
    P ({Y ∈ (a, b]})
    m
    X X
    = (−1)k P({X ≤ z, am+1 < Xm+1 ≤ bm+1 })
    k=0 z∈∆k,m ((a0 ,b0 ])

    () Module 19 Joint Distribution of Random Variables 14 / 19


    m
    X X
    = (−1)k [P({X ≤ z, Xm+1 ≤ bm+1 })
    k=0 z∈∆k,m ((a0 ,b0 ])

    −P(X ≤ z, Xm+1 ≤ am+1 )]


    m+1
    X X
    = (−1)k P({Xi ≤ zi , i = 1, . . . , m + 1})
    k=0 z∈∆k,m+1 ((a,b])
    m+1
    X X
    = (−1)k (−1)k FX (z).
    k=0 z∈∆k,m+1 ((a,b])

    () Module 19 Joint Distribution of Random Variables 15 / 19


    Take Home Problems

    1. Let X = (X1 , X2 ) be a r.v. having the joint d.f.

    xy 2 ,


     if 0 ≤ x < 1, 0 ≤ y < 1
    x, if 0 ≤ x < 1, y ≥ 1



    (x,y )
    F x1 ,x2 = y 2, if x ≥ 1, 0 ≤ y < 1 .
    1, if x ≥ 1, y ≥ 1




    0, otherwise

    Find the marginal d.f.s of X1 and X2 .

    () Module 19 Joint Distribution of Random Variables 16 / 19


    2. Consider the function G : R2 → R defined by

     x, if 0 ≤ x < 1, y ≥ 1
     2

    y , if x ≥ 1, 0 ≤ y < 1
    G (x, y ) = .

     1, if x ≥ 1, y ≥ 1
    0, otherwise

    Verify whether or not


    2
    X X
    (−1)k FX (z1 , z2 ) ≥ 0,
    k=0 z∈∆k,2 (a,b]

    holds for all rectangles (a, b], where


    a1 ∈ [0, 1), a2 ∈ [0, 1), b1 ∈ [1, ∞) and b2 ∈ [1, ∞).

    () Module 19 Joint Distribution of Random Variables 17 / 19


    Abstract of Next Module

    We will derive various properties of joint distribution function

    () Module 19 Joint Distribution of Random Variables 18 / 19


    Thank you for your patience

    () Module 19 Joint Distribution of Random Variables 19 / 19

    You might also like