Unit 3 2DRV

2 TWO - DIMENSIONAL RANDOM VARIABLES
Joint distributions - Marginal and conditional distributions - Covariance -

Correlation and Linear regression - Transformation of random variables.
2.1 Introduction
In the previous chapters, we discussed about only one dimensional

random variables. i.e., X(s). But in this chapter, we will extend our
discuss about two or more random variables. i.e., X(s), Y(s), · · · .
Examples:
1. To find the number of heads(X) and number of tails(Y)

simultaneously by tossing coins.
2. To measure the pressure(P) and volume(V) of a water released from

a dam, which gives to a 2 dimensional sample space with outcomes
as (P, V).
Two - Dimensional Random Variable
Let ‘S ’ be a sample space. Let X = x(S ) and Y = y(S ) be two functions

each assigning a real number to each outcome s ∈ S then, (X, Y) is a two
dimensional random variable.
2.2 Joint and marginal distributions
Classification of Joint and Marginal distribtuions
Joint distributions Marginal distributions

X(s) and Y(s) are d.r.v. Joint P.M.F. Marginal P.M.F.
X(s) and Y(s) are c.r.v. Joint P.D.F. Marginal P.D.F.
140 MA6453 Probability and Queueing Theory
2.3 Two - Dimensional Discrete Random Variable
If the possible values of (X, Y) are finite or countably infinite, then (X, Y)
is called as 2 - dimensional discrete
random variable.
It can be represented as Xi , Y j where i = 1, 2, 3, · · · n; j = 1, 2, 3, · · · m.
2.3.1 Joint Probability Mass Function of 2D Discrete random variables
Let X and Y be two dimensional discrete random variable then P(X =

xi , Y = y j ) = P(Xi , Y j ) = Pi j is called joint probability mass function and
satisfy the conditions.

(i)P Xi , Y j ≥ 0, ∀i, j.
Xn X m
(ii) P Xi , Y j = 1
i=1 j=1
2.3.2 Marginal probability mass function of Discrete r.v. X
If the joint probability distribution of 2 - dimensional random variable

(X, Y) is given, then the marginal probability function of X is given by
P(X = Xi ) = P(X = Xi , Y = Y1 ) + P(X = Xi , Y = Y2 ) + · · · + P(X = Xi , Y = Ym )

= Pi1 + Pi2 + Pi3 + · · · + Pim
Xm
= Pi j , (i fixed, j varies)
j=1
P(X = Xi ) = Pi∗
The set {Xi , Pi∗ } is called the marginal distribution of X.
2.3.3 Marginal probability mass function of Discrete r.v. Y
If the joint probability distribution of 2 - dimensional random variable

(X, Y) is given, then the marginal probability function of Y is given by,
P(Y = Y j ) = P(X = X1 , Y = Y j ) + P(X = X2 , Y = Y j ) + P(X = Xn , Y = Y j )

= P1 j + P2 j + P3 j + · · · + Pn j
Xn
= Pi j , (i varies, j fixed)
i=1
P(Y = Y j ) = P∗ j
n o
The set Y j , P∗ j is called the marginal distribution of Y.
Two - Dimensional Random Variables 141
2.3.4 Conditional Probability
Let X and Y be 2-dimensional discrete random variable with probability

mass function P(Xi , Y j ) then conditional probability function of X given Y
is given by
P(X = Xi , Y = Y j )
P(X = Xi /Y = Y j ) =
P(Y = Y j )
Pi j
=
P∗ j
The conditional probability of Y given X is given by
P(X = xi , Y = y j )
P(Y = y j /X = xi ) =
P(X = xi )
Pi j
=
Pi∗
Joint cumulative distribution function of 2D continuous r.v.
For the two-dimensional continuous random variable (X, Y), the

cumulative distribution function is
F(x, y) = P[X ≤ x, Y ≤ y]
XX
= P X = xi , Y = y j
i j
2.3.5 Independence of pairs of 2D Discrete random variables
The two random variable X and Y are said to be independent if
P(xi , y j ) = P(xi ) · P(y j )

i.e, Pi j = Pi∗ · P∗ j
2.3.6 Examples of Joint, Marginal, conditional and Independence of 2D Discrete r.v.
Recall the formulas to do problems on two dimensional discrete random

variables.
m
n P
P xi , y j = 1. [Use it for Checking of JPMF or to find an unknown in JPMF]
P
1.
i=1 j=1
m
2. P(X = xi ) =
P
Pi j [Use it to find MPMF of X]
j=1
n
3. P(Y = Y j ) =
P
Pi j [Use it to find MPMF of Y]
i=1
4. F(x) = P(X ≤ x). [Use it to find CDF of X]

5. F(y) = P(Y ≤ y). [Use it to find CDF of Y]
6. F(x, y) = P(X ≤ x, Y ≤ y). [Use it for JCDF of X and Y]
7. E(X) = xi P (X = xi )
P
[Use it to find Mean or Expectation of X]
i

8. E(Y) = y jP Y = y j
P
[Use it to find Mean of Y]
j

9. E(XY) = xi y j P X = xi , Y = y j
PP
[Use it to find Mean of X and Y]
i j
10. P(xi , y j ) = P(xi ) · P(y j ) [Use it for checking independent of r.v.s X and
Y]
P(X = Xi , Y = Y j )
11. P(X = Xi /Y = Y j ) = [Use it for the conditional
P(Y = Y j )
probability of X given Y]
P(X = xi , Y = y j )
12. P(Y = y j /X = xi ) = [Use it for the conditional
P(X = xi )
probability of Y given X]
Example 2.1. Two coins are tossed. X denotes number of heads

and Y denotes number of tails. Find
(a) Joint p.m.f. (b) Marginal p.m.f. of (X, Y)
(c) P(X ≤ 1, Y = 1) (d) P(Y ≤ 1)
(e) F X (1) (f) FY (2)
(g) F(2, 1) (h) Are X and Y independent?
(i) Conditional probability of (j) Conditional probability of
X given Y = 1 Y given X = 2
Solution : W.K.T. by tossing two coins,

The sample space is S = {HH, HT, T H, T T }, n(S ) = 4.
Given X a discrete r.v. denotes the number of heads which takes the
values 2,1,1,0.
∴ X = {0, 1, 2}
Given Y a discrete r.v. denotes the number of tails which takes the
values 0,1,1,2.
∴ Y = {0, 1, 2}
(a) Joint P.M.F. :
X
0 1 2
0 P(X = 0, Y = 0) = 0 P(X = 1, Y = 0) = 0 P(X = 2, Y = 0) = 1/4
Y 1 P(X = 0, Y = 1) = 0 P(X = 1, Y = 1) = 2/4 P(X = 2, Y = 1) = 0
2 P(X = 0, Y = 2) = 1/4 P(X = 1, Y = 2) = 0 P(X = 2, Y = 2) = 0
(b) Marginal P.M.F. of X & Y :
X Mar. PMF of Y :
0 1 2 PY (y) = P∗ j
0 0 0 1/4 P(Y = 0) = 1/4
Y 1 0 2/4 0 P(Y = 1) = 2/4
2 1/4 0 0P(Y = 2) = 1/4
XX
Mar. PMF of X : P(X = 0) P(X = 1) P(X = 2) P X = xi , Y = y j
∀i ∀j
PX (x) = Pi∗ = 1/4 = 2/4 = 1/4 =1
i.e.,
Marginal P.M.F. of X Marginal P.M.F. of Y
j=2 i=2
1 X 1 X
P(X = 0) = = P X = 0, Y = y j P(Y = 0) = = P (X = xi , Y = 0)
4 j=0 4 i=0
j=2 i=2
2 X 2 X
P(X = 1) = = P X = 1, Y = y j P(Y = 1) = = P (X = xi , Y = 1)
4 j=0 4 i=0
j=2 i=2
1 X 1 X
P(X = 2) = = P X = 2, Y = y j P(Y = 2) = = P (X = xi , Y = 2)
4 j=0 4 i=0
(c) P(X ≤ 1, Y = 1) = P(X = {0, 1}, Y = 1)

= P(X = 0, Y = 1) + P(X = 1, Y = 1)
2 2
=0+ =
4 4
(d) P(Y ≤ 1) = P(Y = {0, 1})

= P(Y = 0) + P(Y = 1)
1 2 3
= + =
4 4 4
(e) F X (1) = F X (X = 1)
= P(X ≤ 1)
= P(X = 0, 1)
= P(X = 0) + P(X = 1)
1 2 3
= + =
4 4 4
(f) FY (2) = FY (Y = 2)
= P(Y ≤ 2)
= P(X = 0, 1, 2)
= P(X = 0) + P(X = 1) + P(X = 2)
1 2 12
= + + =1
4 4 4
(g) F(2, 1) = P(X ≤ 2, Y ≤ 1)

= P(X = 0, 1, 2; Y = 0, 1)
= P(0, 0) + P(0, 1) + P(1, 0) + P(1, 1) + P(2, 0) + P(2, 1)
2 1 3
=0+0+0+ + +0=
4 4 4
(h) Independence or dependence of X and Y:

Independent P X = xi , Y = y j = P (X = xi ) · P Y = y j , ∀i, j.

Not independent P X = xi , Y = y j , P = xi · P Y = y j , for any one i, j.
(X )
For X = 0, Y = 0:
Here P(X = 0, Y = 0) = 0.
1 1
P(X = 0) · P(Y = 0) = ·
4 4
1
=
16
, P(X = 0, Y = 0)
Hence X and Y are not independent.

(i) Conditional probability of X given Y = 1:
P(X = 0/Y = 1) P(X = 1/Y = 1) P(X = 2/Y = 1)
!
2
P(X = 0, Y = 1) 0 P(X = 1, Y = 1) 4 P(X = 2, Y = 1) 0
= ! =0 = ! =1 = ! =0
P(Y = 1) 2 P(Y = 1) 2 P(Y = 1) 2
4 4 4
(j) Conditional probability of Y given X = 2:
P(Y = 0/X = 2) P(Y = 1/X = 2) P(Y = 2/X = 2)
P(Y = 0, X = 2) P(Y = 1, X = 2) P(Y = 2, X = 2)

P(X = 2) P(X = 2) P(X = 2)
(or) (or) (or)
!
1
P(X = 2, Y = 0) 4 P(X = 2, Y = 1) 0 P(X = 2, Y = 2) 0
= ! =1 = ! =0 = ! =0
P(X = 2) 2 P(X = 2) 1 P(X = 2) 1
4 4 4
Example 2.2. A two dimensional random variable (X, Y) has the
joint p.m.f. P(x, y) = k(2x + 3y), x = 0, 1, 2; y = 1, 2, 3. Find
(a) Probability distribution of X + Y.
(b) P(X > Y)
(c) P[Max(X, Y) = 3]
(d) Probability distribution of Z = Min(X, Y).
(e) Conditional probability of X given Y = 3.
Solution : Given 2dimensional discrete r.v. X and Y with joint pmf as
P(x, y) = k(2x + 3y), x = 0, 1, 2; y = 1, 2, 3.
which contains an unknown k.
The joint pmf is
X
0 1 2
1 3k 5k 7k
Y 2 6k 8k 10k
3 9k 11k 13k
To find k,
XX
P(X = x, Y = y) = 1
∀x ∀y
P(0,1)+P(0,2)+P(0,3)+P(1,1)+P(1,2)+P(1,3)+P(2,1)+P(2,2)+P(2,3) = 1
3k + 6k + 9k + 5k + 8k + 11k + 7k + 10k + 13k = 1
72k = 1
1
∴k=
72
X MPMF of Y :
0 1 2 PY (y) = P∗ j
1 3/72 5/72 7/72 P(Y = 1) = 15/72
Y 2 6/72 8/72 10/72 P(Y = 2) = 24/72
3 9/72 11/72 13/72 P(Y = 3) = 33/72
XX
MPMF of X : P(X = 0) P(X = 1) P(X = 2) P X = xi , Y = y j
∀i ∀j
PX (x) = Pi∗ = 18/72 = 24/72 = 30/72 =1
Marginal p.m.f. of X, Y:
Marginal P.M.F. of X Marginal P.M.F. of Y

P(X = 0) = 18/72 P(Y = 1) = 15/72
P(X = 1) = 24/72 P(Y = 2) = 24/72
P(X = 2) = 30/72 P(Y = 3) = 33/72
(a) Prob. dist. of X + Y:

X + Y P(X+Y)
P(X + Y = 1) = P(X = 0, Y = 1)
1 3
=
72
P(X + Y = 2) = P(X = 0, Y = 2) + P(X = 1, Y = 1)
6 5
2 = +
72 72
11
=
72
P(X + Y = 3) = P(X = 0, Y = 3) + P(X = 1, Y = 2) + P(X = 2, Y = 1)
9 8 7
3 = + +
72 72 72
24
=
72
P(X + Y = 1) = P(X = 1, Y = 3) + P(X = 2, Y = 2)
11 10
4 = +
72 72
21
=
72
P(X + y = 5) = P(X = 2, Y = 3)
5 13
=
72
7
(b) P(X > Y) = P(X = 2, Y = 1) =
72
(c) P[Max(X, Y) = 3]:
P[Max(X, Y) = 3] = P(X = 0, Y = 3) + P(X = 1, Y = 3) + P(X = 2, Y = 3)

9 11 13
= + +
72 72 72
33
=
72
(d) P[Z = Min(X, Y)]:

Z = Min(X, Y) P(Z)
P(Z = 0) = P(0, 1) + P(0, 2) + P(0, 3)

3 6 9
0 = + +
72 72 72
18
=
72
P(Z = 1) = P(1, 1) + P(1, 2) + P(1, 3) + P(2, 1)
5 8 11 7
1 = + + +
72 72 72 72
31
=
72
P(Z = 2) = P(2, 2) + P(2, 3)
10 13
2 = +
72 72
23
=
72
(e) Conditional probability of X given Y = 3:
P(X = 0/Y = 3) P(X = 1/Y = 3) P(X = 2/Y = 3)

! ! !
9 11 13
P(X = 0, Y = 3) 72 9 P(X = 1, Y = 3) 72 11 P(X = 2, Y = 3) 72 13
= != = != = !=
P(Y = 3) 33 33 P(Y = 3) 33 33 P(Y = 3) 33 33
72 72 72
Example 2.3. Three balls are drawn from a box in random

containing 3 red, 2 white and 4 black. If X denotes number of
white balls drawn and Y denotes number of red balls drawn.
Find joint probability distribution P(X, Y), Marginal distribution
and independence of X and Y.
Solution:
Given that a box contains 3 red, 2 white and 4 black(Total balls=9).
X = denotes the number of white balls

Y = denotes the number of red balls
RX = {0, 1, 2}
RY = {0, 1, 2, 3}
The joint probability distribution P(X, Y) :

Y
0 1 2 3
4C3 3C1 · 4C2 3C2 · 4C1 3C3
0
9C3 9C3 9C3 9C3
2C1 · 4C2 2C1 · 3C1 · 6C1 2C1 · 3C2 0
X 1
9C3 9C3 9C3 9C3
2C2 · 4C1 2C2 · 4C1 0 0
2
9C3 9C3 9C3 9C3
i.e.,
The joint and marginal probability distribution :
Y MPMF of Y
0 1 2 3 PX (x) = Pi∗
4 18 12 1 35
0 P(X = 0) =
84 84 84 84 84
12 24 6 42
X 1 0 P(X = 1) =
84 84 84 84
4 3 7
2 0 0 P(X = 2) =
84 84 84
XX
MPMF of X : P(Y = 0) P(Y = 1) P(Y = 2) P(Y = 3) P(i, j)
∀i ∀j
20 45 18 1
PY (y) = P∗ j = = = = =1
84 84 84 84
Independence of X and Y: Here

4
P(X = 0, Y = 0) = (1)
84
35 20 700
P(X = 0) · P(Y = 0) = · = (2)
84 84 7056
⇒ (1) , (2)

Example 2.4. From the following table for bi-variate distribution
of X, Y, find
(i) P(X ≤ 1) (iv) P(X ≤ 1/Y ≤ 3)

(ii) P(Y ≤ 3) (v) P(Y ≤ 3, X ≤ 1)
(iii) P(X ≤ 1, Y ≤ 3) (vi) P(X + Y ≤ 4)
Y
HH
HH
1 2 3 4 5 6
X H
HH
H
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
Solution: Here X and Y are discrete random variables.

The joint and marginal pmf table of X and Y is
HH
Y Mar. PMF of X
HH
1 2 3 4 5 6
X Pi∗ = P (X = xi )
H
HH
H
1 2 2 3 1
0 0 0
32 32 32 32 4
1 1 1 1 1 1 5
1
16 16 8 8 8 8 8
1 1 1 1 2 1
2 0
32 32 64 64 64 8
Mar. PMF of Y 3 3 11 13 3 1
HH
H 1
HH
P∗ j = P Y = y j 32 32 64 64 16 4 1 H
H
H
(i) P(X ≤ 1) = P(X = 0) + P(X = 1)

1 5
= +
4 8
7
=
8
(ii) P(Y ≤ 3) = P(Y = 1) + P(Y = 3) + P(Y = 3)

3 3 11
= + +
32 32 64
23
=
64
(iii) P(X ≤ 1, Y ≤ 3) = P(0, 1) + P(0, 2) + P(0, 3) + P(1, 1) + P(1, 2) + P(1, 3)

9
=
32
P(X ≤ 1, Y ≤ 3)
(iv) P(X ≤ 1/Y ≤ 3) = (1)
P(Y ≤ 3)
9/32
=
P(Y = 1) + P(Y = 2) + P(Y = 3)
9/32 18
= =
23/64 23
P(Y ≤ 3, X ≤ 1)
(v) P(Y ≤ 3/X ≤ 1) =
P(X ≤ 1)
9/32 9 8 9
= = × =
7/8 32 7 28
(vi) P(X + Y ≤ 4)
X+Y P(X + Y)
1 0
2 0 + 1/16 = 1/16
3 1/32 + 1/16 + 1/32 = 4/32
4 1/8 + 2/32 + 1/32 = 7/32
P(X + Y ≤ 4) = P(0, 1) + P(0, 2) + P(0, 3) + P(0, 4) + P(1, 1) + P(1, 2)

+ P(1, 3) + P(2, 1) + P(2, 2)
1 2 1 1 1 1 1 13
=0+0+ + + + + + + =
32 32 16 16 8 32 32 32
Example 2.5. From the following joint distribution X, Y. Find
Marginal distribution of X and Y.
X
HH
HH
0 1 2
Y H
HH
H
3 9 3
0
28 28 28
3 3
1 0
14 14
1
2 0 0
28
Solution:
X
HH
HH
0 1 2 P(Y = y j )
Y H
HH
H
3 9 3 15
0
28 28 28 28
3 3 12
1 0
14 14 28
1 1
2 0 0
28 28
10 15 3
P(X = xi ) 1
28 28 28
Marginal distribution of X.
X 0 1 2
10 15 3
P(X = xi )
28 28 28
Marginal distribution of Y.
Y 0 1 2
15 12 1
P(Y = y j )
28 28 28
Example 2.6. Find the marginal distribution of X and Y and also

P(X ≤ 1, Y ≤ 1), P(X ≤ 1), P(Y ≤ 1). Check whether X and Y are
independent. The joint probability mass function of X and Y is
Y
H
HH
H 0 1 2
X HH
H
H
0 0.10 0.04 0.02

1 0.08 0.20 0.06
2 0.06 0.14 0.30
Solution: Here X and Y are discrete random variables.

The joint and marginal pmf of X and Y is
Y
HH
HH
0 1 2 P(X = xi )
X H
HH
H
0 0.10 0.04 0.02 0.16

1 0.08 0.20 0.06 0.34
2 0.06 0.14 0.30 0.50
P(Y = y j ) 0.24 0.38 0.38 1
X 0 1 2
P(X = xi ) 0.16 0.34 0.30
Marginal distribution of Y.
Y 0 1 2
P(Y = y j ) 0.24 0.38 0.38
P(X ≤ 1, Y ≤ 1) = P(0, 0) + P(0, 1) + P(1, 0) + P(1, 1)

= 0.10 + 0.04 + 0.08 + 0.20
= 0.42
P(X ≤ 1) = P(X = 0, 1)
= P(X = 0) + P(X = 1) = 0.16 + 0.34
= 0.50
P(Y ≤ 1) = P(Y = 0, 1)
= P(Y = 0) + P(Y = 1) = 0.24 + 0.38
= 0.62
W.K.T., if X and Y are independent, P(xi , yi ) = P(xi ).P(y j ), ∀i, j.

For X = 1, Y = 0.
P(X = 1, Y = 0) = 0.08 (1)

P(X = 1) = 0.34
P(Y = 0) = 0.24
P(X = 1) · P(Y = 0) = (0.34) · (0.24) = 0.0816 (2)
From (1) and (2), X and Y are not independent.

Example 2.7. Let X and Y have the following joint probability
distribution.
X
HH
H
HH 2 4
Y H
H
H
1 0.10 0.15
3 0.20 0.30
5 0.10 0.15
Show that x and y are independent.

Solution:
X
HH
HH
2 4 P(Y = y j )
Y H
HH
H
1 0.10 0.15 0.25
3 0.20 0.30 0.5
5 0.10 0.15 0.25
P(X = xi ) 0.40 0.60 1
Here Pi j = P∗ j Pi∗ , ∀i, j

Hence X and Y are independent.
Example 2.8. X and Y are two random variables having the joint
1
pmf of (X, Y) is P (x, y) = (x + 2y), where X and Y assumes the
27
integer values 0,1 and 2. Find the marginal probability
distribution of X.
1
Solution: Given f (x, y) = (x + 2y) ; x = 0, 1, 2; y = 0, 1, 2.
27
Here X and Y are discrete random variables.
The joint and marginal pmf of X and Y is

X P Y = yj
0 1 2
0 0 1/27 2/27 3/27
Y 1 2/27 3/27 4/27 9/27
2 4/27 5/27 6/27 15/27
P (X = xi ) 6/27 9/27 12/27 1
X 0 1 2
P(X = xi ) 6/27 9/27 12/27
2.4 Two - Dimensional Continuous Random Variable
2.4.1 Joint Probability Distribution of 2D Continuous random variables
If X and Y are continuous Random Variables then f (x, y) is called Joint

probability density function which satisfies
(i) f (x, y) ≥ 0.
Z∞ Z∞
(ii) f (x, y) dx dy = 1.
−∞ −∞
2.4.2 Marginal Probability Density Function of 2D Continuous random variables

R∞
The Marginal probability density function of X is f (x) = f (x, y)dy.
−∞
R∞
The Marginal probability density function of Y is f (y) = f (x, y)dx.
−∞
2.4.3 Conditional Probability of 2D Continuous random variables

f (x, y)
The condition probability of X given Y is f (x/y) = .
f (y)
f (x, y)
The condition probability of Y given X is f (y/x) = .
f (x)
Joint cumulative distribution function of 2D continuous r.v.
For the two-dimensional continuous random variable (X, Y), the

cumulative distribution function is
F(x, y) = P[X ≤ x, Y ≤ y]
Zy Zx
= f (x, y) dx dy
−∞ −∞
2.4.4 Independence of of 2D Continuous random variables
If X and Y are independent, then

f (x, y) = f (x). f (y).
2.4.5 Examples of Joint, Marginal, conditional and independence of 2D Continuous r.v.
Z Z
1. f (x, y) dx dy = 1.[Use it for Checking JPDF or to find an unknown in JPDF]
RX RY
R∞
2. f (x) = f (x, y) dy. [Use it to find MPDF of X]
−∞
R∞
3. f (y) = f (x, y) dx. [Use it to find MPDF of Y]
−∞
Rx
4. F(x) = f (x) dx. [Use it to find CDF of X]
−∞
Rx
5. F(y) = f (x) dx. [Use it to find CDF of Y]
−∞
Rb
6. P(a < X < b) = f (x) dx [Use it to find Probability of X]
a
Rd
7. P(c < Y < d) = f (y) dy [Use it to find Probability of Y]
c
Rd Rb
8. P(a < X < b, c < Y < d) = f (x, y) dx dy [Use it to find joint
c a
Probability of X and Y]
Z
9. E (X r ) = xr f (x) dx. [Use it for rth moment of X]
RX
Z
10. E (Y ) =
r
yr f (y) dy. [Use it for rth moment of Y]
RY

11. Var(X) = E X 2 − [E(X)]2 . [Use it for Variance of X]

12. Var(Y) = E Y 2 − [E(Y)]2 . [Use it for Variance of Y]
f (x, y)
13. f (x/y) = [Use it for the condition probability of X given Y]
f (y)
f (x, y)
14. f (y/x) = [Use it for the condition probability of Y given X]
f (x)
Example 2.9. The bivariant random variable X and Y has the p.d.f.
f (x, y) = Kx2 (8 − y) , x < y < 2x, 0 ≤ x ≤ 2. Find
(a) K (b) f (x) (c) f (y) ! (d) f (x/y)
1 3
(e) f (y/x) (f) f (y/x = 1) (g) P ≤X≤
4 4
Solution: Given joint pdf of X and Y is f (x, y) = K x2 (8 − y), x < y < 2x, 0 ≤
x < 2. (1)
Z∞ Z∞
W.K.T., f (x, y)dxdy = 1

∵ f (x, y) han an unknown K

−∞ −∞
Z2 Z2x
K x2 (8 − y) dy dx = 1 [∵ y is a function of x]
0 x
Z2 !2x
y2
K 2
x 8y − dx = 1
2 x
0
Z2
4x2 x2
" ! !#
K x2 16x − − 8x − dx = 1
2 2
0
Z2 2
!
x
K x2 16x − 2x2 − 8x + dx = 1
2
0
Z2 !
−3 4
K x + 8x3 dx = 1
2
0
#2
3 x5 x4
"
K − +8 =1
25 4 0
" ! #
3 32 8
K − + (16) = 1
2 5 4
" #
−48
K + 32 = 1
5
!
112
K =1
5
5
∴K=
112
5 2
∴ (1) ⇒ f (x, y) = x (8 − y) , x < y < 2x, 0 ≤ x ≤ 2. (2)
112
(b) f (x) :
Z∞
f (x) = f (x, y)dy
−∞
Z2x Z2x
5 2 5 2
= x (8 − y) dy = x (8 − y) dy
112 112
x x
(∵ integration w.r.t. y, so treat remaining as constant)
!2x
5 2 y2
= x 8y −
112 2 x
4x2 x2
" ! !#
5 2
= x 16x − − 8x −
112 2 2
4x2
" #
5 2
= x 8x − 3
112 2
5 h i
= 16x − 3x , 0 < x < 2
3 4
224
(b) In Region R1 , f (y) :
Z∞
f (y) = f (x, y)dx
−∞
Zy
5 2
= x (8 − y) dx
112 Y Y = 2X
y
2 1
5
[Refer region R1 ] (2, 4)
4 X=Y
Zy
5
= (8 − y) x2 dx 3 R2
112
y (2, 2)
2 R1
2
" 3 #y
5 x 1
= (8 − y)
112 3 y X
0 1 2 3 0
4
" 3 !2
y3
!#
5 y
= (8 − y) −
112 3 24
" 3#
5 7y
= (8 − y)
112 24
5 3
= y (8 − y) , 0 < y < 2
384
In Region R2 , f (y) :
Z∞
f (y) = f (x, y)dx
−∞
Z2
5 2
= x (8 − y) dx [Refer region R2 ]
112
y
2
Z2
5
= (8 − y) x2 dx
112
y
2
" 3 #2
5 x
= (8 − y)
112 3 y
" !2
y3
!#
5 8
= (8 − y) −
112 3 24
5 h i
= (8 − y) 64 − y3 , 2 < y < 4
112
(d) f (x/y) :
f (x, y)
f (x/y) =
f (y)
5 h 2
 i
 2


 8x − x y



 112 , in R1
5 3



y (8 − y)



= 384


 5 h 2 2
i
8x − x y



112

, in R2






 5 3



 (8 − y) 64 − y
112
(e) f (y/x) :
f (x, y)
f (y/x) =
f (x)
5 h 2 i
8x − x2 y
= 112
5
16x3 − 3x4

224
h i
2 8x2 − x2 y
=
16x3 − 3x4

(f) f (y/x = 1) :
f (x = 1, y)
f (y/x = 1) =
f (x = 1)
5
8−y
= 112
5
(16 − 3)
224
2
=

8−y
13
!
1 3
(g) P ≤ X ≤ :
4 4
! Z3/4
1 3
P ≤X≤ = f (x)dx
4 4
1/4
Z3/4
5 3
= 16x − 3x4 dx
224
1/4
!3/4
5 3
= 4x4 − x5
224 5 1/4
= 0.0247366769
Example 2.10. The joint PDF of random variables X and Y is given

by f (x, y) = Kxye−(x +y ) ,x > 0, y > 0. Find the value of K. Prove that X
2 2
and Y are independent.

Solution: Here X and Y are c.r.v with jpdf with unknown K.
Z∞ Z∞
W.K.T, f (x, y)dxdy = 1
−∞ −∞
∞
Z Z∞
K xye−(x +y ) dxdy = 1
2 2
 ∞0 0  ∞ 
Z  Z 
−x2 −y2 
K  xe dx  ye dy = 1 (1)
  
  
0 0
R∞ 2
Consider the integral I = xe−x dx
0
Let x2 = t
when x = 0, t = 0
2xdx = dt
when x → ∞, t → ∞
xdx = dt/2
∴ The integral becomes

Z∞ Z∞
2 dt
I= xe−x dx = e−t
2
0 0
" #∞
1 e−t
=
2 −1 0
" #
1 1 h i
= 0− ∵ e = 0, e = 1
−∞ 0
2 −1
Z∞
2 1
I= xe−x dx = (2)
2
0
Z∞
2 1
Similarly, ye−y dy = (3)
2
0
From (2) and (3),

! !
1 1
(1) ⇒ K =1
2 2
K=4
∴ f (x, y) = 4xye−( x +y ) , x > 0, y > 0
2 2
Marginal probability density function of X is

Z∞
f (x) = f (x, y)dy
−∞
Z∞
4xye−(x +y ) dy
2 2
=
0
Z∞
2 2
= 4xe−x ye−y dy
0
!
2 1
= 4xe−x [∵ by (3)]
2
2
f (x) = 2xe−x , x > 0
Marginal probability density function of Y is.

Z∞
f (y) = f (x, y)dx
−∞
Z∞
4xye−(x +y ) dx
2 2
=
0
Z∞
2 2
= 4ye−y xe−x dx
0
!
−y2 1
= 4ye [∵ by (2)]
2
Independent of X and Y:
2
f (y) = 2ye−y , y > 0
2 2

f (x). f (y) = 2xe−x 2ye−y
= 4xye−( x +y )
2 2
f (x). f (y) = f (x, y)
Hence X and Y are independent.
Example 2.11.  Let X and Y be two random variables with joint

8
 xy , 1 < x < y < 2



pdf f (x, y) = 
 k
0 , otherwise


(i) Compute the k value.
(ii) Find the Marginal values.
(iii) Are X and Y independent?
Solution: Here X and Y are c.r.v. with jpdf with unknown k.

(i) To find k
Z∞ Z∞
W.K.T., f (x, y)dxdy = 1
−∞ −∞
Z2 Zx
8xy
= dydx = 1
k
1 2
Z2 !2
8 xy2
= dx = 1
k 2 x
1
Z2
x3
!
8
= 2x − dx = 1
k 2
1
#2
8 2x2 x4
"
= − =1
k 2 8 1
" #
8 1 1
= (4 − ) − (1 − ) = 1
k 8 8
9
=1
k
k=9

8
 xy , 1 < x < y < 2


∴ f (x, y) = 

9
 0 , otherwise


(ii) To find marginal values of X and Y
Marginal density of X Marginal density of Y

Z∞ Z∞
f (x) = f (x, y)dy f (y) = f (x, y)dx
−∞ −∞
Z2 Zy
8xy 8xy
= dy = dx
9 9
x 1
" #2 !y
8x y2 8y x2
= =
9 2 x 9 2 1
8y y2 1
!
8x 4 x2
" #
= − = −
9 2 2 9 2 2
4x 4y 2
f (y) = y − 1 ,1 < y < 2

f (x) = 4 − x2 , 1 < x < 2
9 9
(iii) Independent of X and Y
Here, f (x). f (y) , f (x, y)
Example 2.12. The joint pdf of a 2 - dimensional Random Variable
x2
(X, Y) is given by f (x, y) = xy2 + , 0 ≤ x ≤ 2, 0 ≤ y ≤ 1. Compute
8
(i) P(X > 1)
(ii) P(Y < 1/2)
(iii) P(X > 1, Y < 1/2)
(iv) P(X < Y)
(v) P(X + Y ≤ 1)
Solution: Here X and Y are c.r.v with jpdf

x2
f (x, y) = xy + , 0 ≤ x ≤ 2, 0 ≤ y ≤ 1
2
8
Z1 Z2
(i) P(X > 1) = f (x, y)dxdy
0 1
Z1 Z2
x2
= (xy2 + )dxdy
8
0 1
Z1
x 2 y2 x 3 2
= ( + )1 dy
2 24
0
Z1 " 2
#
1 y 1
= (2y2 + ) − ( + ) dy
3 2 24
0
Z1 !
3 2 7
= y + dy
2 24
0
#1
3 y3
" !
7
= + y
2 3 24 0
1 7
= +
2 24
19
P(X > 1) =
24
Z1/2Z2
(ii) P(Y < 1/2) = f (x, y)dxdy
0 0
Z1/2Z2
x2
!
= xy +
2
dxdy
8
0 0
Z1/2
x 2 y2 x 3
!
= + dy
2 24
0
Z1/2 !
1
= 2y + dy 2
3
0
" 3 #1/2
2y 1
= + y
3 3 0
" #
1 1
= +
12 6
3
=
12
1
P(Y < 1/2) =
4
Z1/2Z2
(iii) P(X > 1, Y < 1/2) = f (x, y)dxdy
0 1
Z1/2Z2
x2
= (xy2 + )dxdy
8
0 1
Z1/2 !2
x 2 y2 x 3
= + dy
2 24 1
0
Z1/2"
y2
! !#
1 1
= 2y + −
2
+ dy
3 2 24
0
Z1/2!
3 2 7
= y + dy
2 24
0
! #1/2
3 y3
" !
7
= + y
2 3 24 0
" ! ! #
3 1 7
= + −0
2 24 48
3 7
= +
48 48
5
P(X > 1, Y < 1/2) =
24
Z1 Zy
(iv) P(X < Y) = f (x, y)dxdy
0 0
Z1 Zy "
x2
!#
= xy2 + dxdy
8
0 0
Z1 !y
x2 y2 x3
= + dy
2 24 0
0
Z1
y4 y3
!
= + dy
2 24
0
" 5 #1
y y4
= +
10 96 0
1 1
= +
10 96
53
=
480
53
P(X < Y) =
480
(v) P(X + Y ≤ 1) = P(X < 1 − Y)

Z1 Z1−y
= f (x, y)dxdy
0 0
Z Z1−y
1
x2
!!
= xy +
2
dxdy
8
0 0
Z1 !1−y
x 2 y2 x 3
= + dy
2 24 0
0
Z1 "
(1 − y)2 2 (1 − y)3
#
= y + dy
2 24
0
y + y4 − 2y3 1 − 3y + 3y2 − y3
Z " 2 ! !#
= + dy
2 24
!1 !1
1 y3 y5 2y4 1 3y2 3y3 y4
= + − + y− + −
2 3 5 4 0 24 2 3 4 0
! !
1 1 1 2 1 3 1
= + − + 1− +1−
2 3 5 4 24 2 4
13
P(X + Y ≤ 1) =
480
1
Example 2.13. If the joint pdf of X and Y is given by f (x, y) = (6 −
8
x − y), 0 < x < 2, 2 < y < 4. Find
(a) P(X < 1, Y < 3) (b) P(X + Y < 3) (c) P(X + Y > 3)
(d) P(X < 1/Y < 3) (e) f (x/y = 1)
Solution: Here X and Y are c.r.v. with jpdf

1
f (x, y) = (6 − x − y), 0 < x < 2, 2 < y < 4
8
.
(a) P(X < 1 ∩ Y < 3) = P(X < 1, Y < 3)
Z3 Z1 Z3 " #1
1 1 x2
= (6 − x − y)dxdy = 6x − − xy dy
8 8 2 0
2 0 2
Z3 #3
y y2
" # " " ! !#
1 1 1 1 36 − 3 − 9 24 − 2 − 4
= 6 − − y dy = 6y − − = −
8 2 8 2 2 2 8 2 2
2
1 1 1 3
= [36 − 3 − 9 − 24 + 2 + 4] = [42 − 36] = ×6=
16 16 16 8
(b) P(X + Y < 3)

Z3 Z3−y
1
= (6 − x − y) dx dy
8
2 0
Z3 #3−y
x2
"
1
= 6x − − xy dy
8 2 0
2
Z3 " Y
(3 − y)2
#
1
= 6(6 − y) − − y(3 − y) dy
8 2
2
Z3 " y=2
(3 − y)2
#
1
= 18 − 6y − − 3y − y2 dy
8 2
2
Z3 " X
(3 − y)2
#
1 O
= 18 − 9y + y −
2
dy
8 2 x+y=3
2
#3
y2 y3 (3 − y)3
"
1
= 18y − 9 + +
8 2 3 6 2
" #
1 9 27 − 8 0 − 1
= 18(3 − 2) − (9 − 4) + +
8 2 3 6
" #
1 162 − 135 − 16 − 1
=
8 6
5
=
24
(c) P(X + Y > 3) :

P(X + Y > 3) = 1 − P(X + Y < 3)
5
=1−
24
19
=
24
(d) P(X < 1/Y < 3) :
P(X < 1, Y < 3)
P(X < 1/Y < 3) = (2)
P(Y < 3)
Z3
where, P(Y < 3) = f (y)dy (3)
2
Z∞
Now, f (y) = f (x, y)dx
−∞
Z2
1
= (6 − x − y)dx
8
0
Z2
1
= (6 − x − y)dx
8
0
!2
1 x2
= 6x − − xy
8 2 0
1
=

(12 − 2 − 2y) − ((0 − 0 − 0))
8
1
=

10 − 2y
8
1
=

5−y
4
Z3
1
∴ (3) ⇒ P(Y < 3) =

5 − y dy
4
2
#3
y2
"
1
= 5y −
4 2 2
" ! #
1 9
= 15 − − (10 − 2)
4 2
" #
1 9
= 7−
4 2
" #
1 5
=
4 2
5
=
8
P(X < 1, Y < 3) 3/8 3
∴ (2) ⇒ P(X < 1/Y < 3) = = = [∵ by (a) and (3)]
P(Y < 3) 5/8 5
(e) f (x/y = 1) :
" #
f (x, y)
f (x/y = 1) =
f (y) y=1
1 
 (6 − x − y) 
=  8
 

 1 
(5 − y) 
4 y=1
" #
1 5−x
=
2 4
5−x
=
8
Example 2.14. Given joint p.d.f. f (x, y) = 2, 0 < y < x < 1. Find
(a) Marginal p.d.f. of X (b) Marginal p.d.f. of Y
(c) Cond. prob. of X given Y (d) Cond. prob. of Y given X
(e) Are X and Y independent?
Solution : Given joint p.d.f. f (x, y) = 2, 0 < y < x < 1. (1)
(a) Marginal p.d.f. of X

Z∞
f (x) = f (x, y)dy Y
−∞
Zy=x x=y
= 2dy (∵ by (1))
y=0 y=2
= 2[y]y=x
y=0 X
= 2[(x) − (0)] O
∴ f (x) = 2x, 0 < x < 1
(use extreme limits)
(b) Marginal p.d.f. of Y
Z∞
f (y) = f (x, y)dx
−∞
Zx=1
= 2dy (∵ by (1))
x=y
h i x=1
=2 x
x=y
= 2[(1) − (y)]
∴ f (y) = 2(1 − y), 0 < y < 1 (use extreme limits)
(c) Conditional probability of X given Y

f (x, y)
f (x/y) =
f (y)
2
= (∵ by (1) and (b))
2(1 − y)
1
∴ f (x/y) = ,0 < y < 1
1−y
(d) Conditional probability of Y given X
f (x, y)
f (y/x) =
f (x)
2
= (∵ by (1) and (a))
2x
1
∴ f (x/y) = , 0 < y < 1
x
(e) Are X and Y independent?
If X and Y are independent, then f (x, y) = f (x) · f (y)
If X and Y are not independent, then f (x, y) , f (x) · f (y)
Here f (x, y) = 2 (∵ by (1))

f (x) · f (y) = 2x · 2(1 − y)
= 4x(1 − y)
, f (x, y)
∴ X and Y are not independent.
Example 2.15. A gun is aimed at a certain point (origin of

coordinate system), because of the random factors, the actual hit
point can be any point (x, y)in a circle of radius R about the
origin. Assume that the joint density function of X and Y is
c, x + y2 ≤ R2
( 2
constant in this circle and given by f (x, y) = .
0, otherwise
 r x 2
 2


, −R ≤ X ≤ R

(a) Find c (b) show that f (x) = 
 1−
 πR R
0 , otherwise



Solution : Given that the joint density function of X and Y is constant in
this circle and given by
c , x2 + y2 ≤ R2
(
f (x, y) = (1)
0 , otherwise
(a) Value of c :
Z∞ Z∞
W.K.T. f (x, y)dxdy = 1 (∵ f (x, y) contains an unknown)
−∞ −∞
Z Z
cdx = 1
πR2 c = 1
1
∴c=
πR2

1
, x2 + y2 ≤ R2


∴ (1) ⇒ f (x, y) = 

πR 2 (2)

0 , otherwise



(b) Proof of f (x) :
Z∞
f (x) = f (x, y)dy
−∞
√
ZR2 −x2
1
= dy
√
πR2
− R2 −x2
√
ZR2 −x2
2
= dy (∵ constant fn. which is an even function)
πR2
0
2 h √ 2 i
= 2 R − x2 − (0)
πR r
 x 2 

 1 − 
2  R 

= 2 
πR 

R 
 
r x 2
2
= 1− , −R ≤ X ≤ R.
πR R
Example 2.16. Define joint probability distribution function of

two random variables X and Y and state its properties.
Solution: Joint probability density function of two random variables X
and Y :
We define the probability of the joint event X = x, Y = y, which is a
function of the numbers x and y, by a joint probability distribution
function and denote it by the symbol F XY (x, y). Hence
F XY (x, y) = p {X ≤ x, Y ≤ y}
Properties of the joint distribution :
(i) F X,Y (−∞, y) = F X,Y (x, −∞) = F X,Y (−∞, −∞) = 0
(ii) F X,Y (∞, ∞) = 1
(iii) 0 ≤ F X,Y (x, y) ≤ 1
(iv) F X,Y (x, y) is a non-decreasing function of x and y.
(v) F X,Y (x, ∞) = F X (x) and F X,Y (∞, y) = FY (y)
(vi) P(a < X < b, c < Y < d) = F X,Y (b, d) + F X,Y (a, c) − F X,Y (a, d) − F X,Y (b, c)
(vii) P(a < X < b, Y ≤ y) = F(b, y) − F(a, y)
(viii) P(X ≤ x, c < Y < d) = F(x, d) − F(x, c)

∂2 ∂2
(ix) At points of continuity : f (x, y) = [F(x, y)] or [F(x, y)]
∂x∂y ∂y∂x
For a given function to be valid joint distribution function of two
dimensional r.v.s X and Y, it must satisfy the properties (i),(ii) and (vi).
Example 2.17. The joint probability density function of a

k(x + y), 0 < x < 2, 0 < y < 2
(
bivariate r.v. (X, Y) is f XY (x, y) = . Find
0, otherwise
k.
Solution: By the property of joint p.d.f. we have
"
f (x, y) dxdy = 1
R
Z2 Z2
k (x + y) dxdy = 1
0 0
Z2 " # x=2
x2
k + xy dy = 1
2 x=0
0
Z2
2 + 2y dy = 1

k
0
1
k=
8
Example 2.18. The joint p.d.f. of 2 random variables X and Y is
f (x, y) = cx(x − y), 0 < x < 2, −x < y < x. Find c.
Solution: By the property of jpdf, we have
Z∞ Z∞
f (x, y)dxdy = 1
−∞ −∞
Z2 Zx
cx (x − y) dydx = 1
0 −x
1
c=
8
Example 2.19. Find k if the joint probability density function of
a bivariate random variable (X, Y) is given by
k (1 − x) (1 − y) , 0 < x, y < 1
(
f (x, y)
0, otherwise
Solution: By the property of joint p.d.f. we have
"
f (x, y) dxdy = 1
R
Z1 Z1
k (1 − x) (1 − y) dxdy = 1
0 0
Z2 # x=1
x2 x2 y
"
k x − − xy + dy = 1
2 2 x=0
0
Z1 " #
1 y
k − y + dy = 1
2 2
0
k=4
Example ( 2.20. If X and Y have joint p.d.f.
x + y, 0 < x < 1, 0 < y < 1
f (x, y) = . Check whether X and Y are
0, otherwise
independent.
Solution: If X and Y are independent then f (x, y) = f (x) · f (y)
The marginal density function of X is
R∞ R1 1
f (x) = f (x, y)dy = (x + y)dy = x +
−∞ 0 2
The marginal density function of Y is
R∞ R1 1
f (y) = f (x, y)dx = (x + y)dx = y +
−∞ 0 2
! !
1 1
∴ f (x) f (y) = x + y+
2 2
, x + y = f (x, y)
i.e., f (x) · f (y) , f (x, y)

1 − λe−λ(x+y) , if x > 0, y > 0
(
Example 2.21. For λ > 0, let F (x, y) = .
0, otherwise
Check whether F can be the joint probability distribution
function of two random variables X and Y.
Solution:
1 − λe−λ(x+y) , if x > 0, y > 0
(
F(x, y) =
0, otherwise
∂ λe , if x > 0, y > 0
( 2 −λ(x+y)
F (x, y) =
∂y 0, otherwise
∂2 −λ3 e−λ(x+y) , if x > 0, y > 0
(
F y) =
(x,
∂x∂y 0, otherwise
∂2
Since F (x, y) < 0, F is not a joint probability distribution function.
∂x∂y
Example 2.22. Find the marginal density function of X and Y if
f (x, y) = 2 (2x + 5y) /5, 0 ≤ x ≤ 1, 0 ≤ y ≤ 1.
Solution: The marginal density function of X is given by
R∞ R1 2 4x + 5
fX (x) = f (x) = f (x, y)dy = (2x + 5y)dy = .
−∞ 0 5 5
The marginal density function of Y is given by
R∞ R1 2 2 + 10y
fY (y) = f (y) = f (x, y)dx = (2x + 5y)dx =
−∞ 0 5 5
Example 2.23. Can the joint distributions of two random
variables X and Y be got if their marginal distributions are
known?
Solution: We know that fXY (x, y) = fX (x) fY (y)
Two joint distributed random variables X and Y are statistically
independent of each other, if and only if the joint probability density
function is equals the product of the two marginal probability density
functions.
2.5 Expectation involving two or more random variables
Recall the concept of Expectation of one and two dimensional random

variable
xi P (xi ) , if X is a discrete random variable

 P




 ∀i
 Z∞

E(X) = X = 





 x f (x) dx, if X is a continuous random variable


−∞
yi P (yi ) , if Y is a discrete random variable
 P




 ∀i
 Z∞

E(Y) = Y = 

y f (y) dy, if Y is a continuous random variable







−∞
xy P (x, y) , if X and Y are discrete r.variables
 PP




 ∀x ∀y
 Z∞ Z∞

E(XY) = 

xyf (x, y)dxdy, if X and Y are continuous r.variables







−∞ −∞
2.5.1 Examples of Expectation involving two or more discrete r.v.s
Example 2.24. Let X and Y have the following joint probability

distribution
X
H
HH
H 2 4
Y HH
HH
1 0.10 0.15
3 0.20 0.30
5 0.10 0.15
(a) Find E(X), E(Y) and E(XY).
(b) Find E(X − 2Y).

(c) Show that X and Y are independent.
Solution: Marginal distribution of the above given joint distribution is
X
H
PY (y) = P∗ j
HH
H 2 4
Y HH
HH
1 0.10 0.15 0.25
3 0.20 0.30 0.50
5 0.10 0.15 0.25
PX (x) = Pi∗ 0.40 0.60 1
X
(a) E(X) = xi P (X = xi )
i
= 2(0.40) + 4(0.60)
= 0.8 + 2.4
= 3.2
X
E(Y) = y jP Y = y j
j
= 1(0.25) + 3(0.50) + 5(0.25)

= 0.25 + 1.5 + 1.25
=3
XX
E(XY) = xi y j P X = xi , Y = y j
j j
= (2)(1)(0.10)+(2)(3)(0.20)+(2)(5)(0.10)
+(4)(1)(0.15)+(4)(3)(0.30)+(4)(5)(0.15)
= 9.6
(b) E(X − 2Y) = E(X) − 2E(Y) [∵ by the property of expectation]

= 3.2 − 2(3)
= −2.8
(c) If X and Y are to be independent, we have prove
Pi j = Pi∗ × P∗ j , ∀i, j
Now, P21 = 0.10, P2∗ = 0.40, P∗1 = 0.25

∴ P21 = P2∗ × P∗1
Similarly,
P23 = P2∗ × P∗3
P25 = P2∗ × P∗5
P41 = P4∗ × P∗1
P43 = P4∗ × P∗3
P45 = P4∗ × P∗5
∴ X and Y are independent.
2.5.2 Examples of Expectation involving two or more continuous r.v.s
Example 2.25. Let ( X and Y be random variables with joint density

4xy, 0 ≤ x ≤ 1, 0 ≤ y ≤ 1
function f XY (x, y) = . Find E(XY).
0, otherwise
Solution: Z Z ∞ ∞
E [XY] = xy f (x, y)dxdy
Z−∞ −∞
1Z 1
= xy (4xy) dxdy
0 0
Z 1Z 1
=4 x2 y2 dxdy
0 0
4
=
9
Example 2.26. Two random variable X and Y have joint
xy
, 0 < x < 4, 1 < y < 5



probability density function f (x, y) = 

 96 .
0, otherwise


Find E[XY].
Solution: Z Z ∞ ∞
E [XY] = xy f (x, y)dxdy
Z−∞ −∞
5Z 4 xy
= dxdyxy
1 96
0
"Z 4 # "Z 5 #
1
= 2
x dx 2
y dy
96 0 1
" 3 #4 " 3 #5
1 x y
=
96 3 0 3 1
" #" #
1 64 − 0 125 − 1
=
96 3 3
248
=
27
2.6 Co - Variance
Let X and Y be two dimensional random variables then the co-variance

between X and Y is given by
nh ih io
Cov(X, Y) = E X − E(X) Y − E(Y)
Note:
nh ih io h i
E X − E(X) Y − E(Y) = E XY − XE(Y) − Y E(X) + E(X)E(Y)
= E(XY) − E(X)E(Y) − E(Y)E(X) + E(X)E(Y)
= E(XY) − E[X] · E[Y].
Properties :
1. Cov(X, Y) = E[XY] − E[X] · E[Y].
h i2
2. Cov(X, X) = E[XX] − E[X] · E[X] = E X 2 − E(X) .
3. Cov(X + a, Y + b) = Cov(X, Y). (1)
Proof:
LHS of (1) = E[(X+a)(Y +b)]−E[X+a] × E[Y +b]

= E[XY +bX+aY +ab]− (E[X]+a)(E[Y]+b)
= E[XY]+bE[X]+aE[Y]+ab−E[X]E[Y]−bE[X]−aE[Y]−ab
= Cov(X, Y)
= RHS of (1)
4. Cov(aX, bY) = abCov(X, Y).

5. If X and Y are independent, Cov(x, y) = 0.
6. Var(X + Y) = Var(X) + Var(Y) + 2Cov(X, Y).
7. Var(X − Y) = Var(X) + Var(Y) − 2Cov(X, Y).
2.7 Correlation
The two variables vary such that the change in one variable affects the
change in another variable. Then the variables are said to be correlated.
Correlation analysis is a statistical tool used to measure the degree of
relationship between any two variables.
Types of Correlation :
Positive Correlation : If the increase in one variable results in
corresponding increase in the other (or) decrease in one variable results

in corresponding decrease in other. This is called positive or direct
correlation.
Eg:
Best learning and Best marks.
Height and weight of a person.
The more time you spend running on a treadmill, the more calories you
will burn.
Negative Correlation : If the increase in one variable results in
corresponding decrease in other (or) decrease in one variable results in
corresponding increase in other is called negative or inverse correlation.
Eg:
More production and less price of a commodity.
Alcohol consumption and driving ability.
The more vitamins one takes, the less likely one is to have a deficiency.
Simple and Multiple Correlation : If only two variables are
considered for correlation analysis then it is called simple correlation.
Eg: The relation between rainfall(1) and yield(2) of crops.
If more than two variables are considered for correlation analysis then
it is called multiple correlation.
Eg: The relation between rainfall(1), usage of fertilizer(2) and yield(3)
of crops.
Linear or Non-linear correlation : The correlation between two
variables is said to be linear if for a unit change in one variable there is
a constant corresponding change in another.
The correlation between two variables is said to be non-linear if the
amount of change in one variable does not bear a constant rate to the
amount of change in the other.
Karl Pearson’s Co-efficient of Correlation :
The coefficient of correlation between two random variables X and Y is
denoted by r(X, Y) or rXY or ρXY and is defined by
Cov(X, Y)
r(X, Y) = , σ x , 0σy , 0
σ x σy
Note:
Cov(X, Y)
r(X, Y) =
σ x σy
E(XY) − E(X)E(Y)
= p p
E X 2 − [E(X)]2 E Y 2 − [E(Y)]2

If X and Y are discrete random variables, then

P P P
XY X Y
−
r(X, Y) = s n n n (or)
s
P 2 P !2 P 2 P !2
X X Y Y
− −
n n n n
1P
XY − X Y
= r n
r
1 P 2 2 1 P 2 2
X − X Y − Y
n n
If X and Y are continuous random variables, then
R∞ R∞
"∞ #" ∞ #
R R
xy f (x, y) dx dy − x f (x) dx y f (y) dy
−∞ −∞ −∞ −∞
r(X, Y) = s #2 s #2
R∞ R∞ R∞ R∞
" "
x2 f (x) dx − x f (x) dx y2 f (y) dy − y f (y) dy
−∞ −∞ −∞ −∞
Properties :
1. r lies between −1and1 i.e, −1 ≤ r ≤ 1.
2. If X and Y are independent, then r(X, Y) = 0
3. If r(X, Y) = 0, then X and Y are uncorrelated.
4. Correlation co-efficient is independent of change of origin and scale.
Note:
1. If r(x, Y) = 0, then no correlation between X and Y.
2. r(x, Y) > 0, then +ve correlation between X and Y.
3. r(x, Y) < 0, then −ve correlation between X and Y.
2.7.1 Examples of Covariance and Correlation of 2D Discrete r.v.
Example 2.27. Find the correlation between the random

variables X and Y for the given data.
X 9 8 7 6 5 4 3 2 1
Y 15 16 14 13 11 12 10 8 9
Solution: Here X and Y are discrete r.v.

W.K.T., the correlation coefficient is
Cov(X, Y)
r(X, Y) =
σ x σy
1P
XY − X Y
= r n (1)
r
1P 2 2 1P 2 2
X − X Y − Y
n n
P P
X Y
where X = and Y = .
n n
For this, we have find X, Y, XY, X 2 , Y 2 and the corresponding
P P P P P
table is
S.No. X Y XY X2 Y2
1 9 15 135 81 225
2 8 16 128 64 256
3 7 14 98 49 196
4 6 13 78 36 169
5 5 11 55 25 121
6 4 12 48 16 144
7 3 10 30 9 100
8 2 8 16 4 64
9 1 9 9 1 81
X = 45 Y = 108 XY = 597 X 2 = 285 Y 2 = 1356
P P P P P
Total
n=9
1X
X= X
n
1
= (45)
9
=5
1X
Y= Y
n
1
= (108)
9
= 12
1X
Cov(X, Y) = XY − X Y
n
1
= (597) − (5)(12)
9
= 6.3333
r
1 X 2 2
σx = X − X
r n
1
= (285) − 25
√ 9
= 6.6
= 2.582
r
1 X 2 2
σy = Y − Y
r n
1
= (1356) − 144
√ 9
= 6.6
= 2.582
Cov(X, Y)
∴ (1) ⇒ r(x, y) =
σ x σy
6.3333
=
(2.582)(2.582)
r(X, Y) = 0.9499
Example 2.28. Find the correlation co-efficient for the following

heights(inches) for the father and sons.
X 65 66 67 67 68 69 70 72
Y 67 68 65 68 72 72 69 71
Solution:
X Y XY X2 Y2
65 67 4355 4225 4489
66 68 4488 4356 4624
67 65 4355 4489 4225
67 68 4556 4489 4624
68 72 4896 4624 5184
69 72 4968 4761 5184
70 69 4830 4900 4761
72 71 5112 5184 5041
X = 544 Y = 552 XY = 37560 X = 37028 Y = 38132
P P P P 2 P 2
1
X= × 544 = 68
8
552
Y= = 69
8
1X 1
Cov(X, Y) = XY − XY = 37560 − 4692 = 3
nr 8
1
σx = × 37028 − 4624 = 2.1213
r 8
1
σy = × 38132 − 4761 = 2.3452
8
Correlation Coefficient is
Cov(X, Y) 3
r(X, Y) = = = 0.6030
σ x σy (2.1213)(2.3452)
(or)
X Y U = X − 70 V = Y − 72 UV U2 V2
65 67 -5 -5 25 25 25
66 68 -4 -4 16 16 16
67 65 -3 -7 21 9 49
67 68 -3 -4 12 9 16
68 72 -2 0 0 4 0
69 72 -1 0 0 1 0
70 69 0 -3 0 0 9
72 71 2 -1 -2 4 1
U = −16 V = −24 UV = 72 U 2 = 68 V 2 = 116
P P P P P
1X 1
U= U = (−16) = −2
n 8
1 X 1
V= V = (−24) = −3
n 8
1 X
Cov(U, V) = UV − U V
n
1
= (72) − (−2)(−3)
8
∴ Cov(U, V) = 3
r
1X 2
σu = U − (u)2
n
r
1
= (68) − (−2)2
8
σu = 2.1213
r
1X 2
σv = V − (v)2
r n
1
= (116) − (−3)2
8
σv = 2.3452
∴Correlation Coefficient is
Cov(U, V) 3
r(X, Y) = r(U, V) = =
σu σv (2.1213)(2.3452)
= 0.6030
Example 2.29. The joint probability mass function of X and Y is
Y
H
HH
HH −1 1
X HH
H
0 1/8 3/8
1 2/8 2/8
Find the correlation co-efficient of X and Y.
Solution:
Y
H
P(X = xi )
HH
H −1 1
X HH
HH
0 1/8 3/8 1/2

1 2/8 2/8 1/2
P(Y = y j ) 3/8 5/8 1
The Marginal pmf of X is
X 0 1
P(x) 1/2 1/2
The Marginal pmf of Y is
Y -1 1
P(y) 3/8 5/8
X
E[X] = xP(x)
! !
1 1
=0 +1
2 2
1
=
2
X
E[X ] =
2
x2 P(x)
! !
1 1
= 02 + (1)2
2 2
1
=
2
X
E[Y] = yP(y)
= (−1) (3/8) + 1 (5/8)
1
=
4
X
E[Y ] =
2
y2 P(y)
= (−1)2 (3/8) + (1)2 (5/8)
=1
XX
E[XY] = xyp(x, y)
= x0 y0 p(x0 , y0 ) + x0 y1 p(x0 , y1 ) + x1 y0 p(x1 , y0 ) + x1 y1 p(x1 , y1 )
= 0(−1) (1/8) + 0(1) (3/8) + 1(−1) (2/8) + (1)(1) (2/8)
=0
Cov(X, Y) = EXY − E[X]E[Y]
! !
1 1
=0−
2 4
−1
Cov(X, Y) =
8
σ x = Var[X]
2
= E[X 2 ] − (E[X])2
!2
1 1
= −
2 2
1
σ2x =
4
1
σx =
2
σy = Var[Y]
2
= E[Y 2 ] − (E[Y])2
!2
1
=1−
4
15
σ2y =
16
√
15
σy =
4
Correlation co-efficient is
Cov(x, y)
r(X, Y) =
σ x σy
−1/8
= √ 
1  15 
 
2 4
r(X, Y) = −0.2582
Note: Here X and Y are negatively correlated.

Example 2.30. Two random variables X and Y are related as Y =
4X + 9. Find the correlation coefficient between X and Y.
Solution:
Given the relation between X and Y is
Y = 4X + 9 (1)
W.K.T., the correlation coefficient is

Cov(x, y)
r(X, Y) =
σ x σy
E(XY) − E(X)E(Y)
= (2)
σ x σy
For this, we have to find the following
E(Y) = E(4X + 9)
= 4E(X) + 9
E(XY) = E[X(4X + 9)]
= E[4X 2 + 9X]
= 4E[X 2 ] + 9E[X]
Cov(X, Y) = E[XY] − E[X] · E[Y]
= 4E[X 2 ] + 9E[X] − E[X](4E[X] + 9)
= 4E[X 2 ] + 9E[X] − 4(E[X])2 − 9E[X]
= 4[E[X 2 ] − (E[X])2 ]
Cov(X, Y) = 4σ2x
σ2Y = Var[Y] = Var[4X + 9] (by the property of variance)
= 42 Var[X]
= 16Var[X]
σ2y = 16σ2x
σy = 4σ x
Cov(x, y) 4σ2x
r(X, Y) = =
σ x σy σ x 4σ x
r(X, Y) = 1
which is positive and maximum correlation.

Example 2.31. If the independent random variables X and Y
have the variances 36 and 16 respectively. Find the correlation
coefficient between X + Y and X − Y.
Solution: Given X and Y are independent, which implies
E(XY) = E(X)E(Y) (1)
Given Var(X) = 36
Var(Y) = 16
Let U = X + Y
Let V = X − Y
W.K.T., the correlation coefficient between U and Y is

Cov(U, V)
r(U, V) =
σU σV
E(UV) − E(U)E(V)
= (2)
σU σV
Cov(U, V) = E(UV) − E(U)E(V)

= E[(X + Y)(X − Y)] − E[(X + Y)]E[(X − Y)]
h i
= E X 2 − Y 2 − [E(X) + E(Y)][E(X) − E(Y)]
h i h i
= E X 2 − E Y 2 − [E(X)]2 + E(X)E(Y) − E(Y)E(X) + [E(Y)]2
h i h i
= E X 2 − [E(X)]2 − E Y 2 − [E(Y)]2
= Var(X) − Var(Y)
= 36 − 16
Cov(U, V) = 20

σU = E U 2 − [E(U)]2
2
h i
= E (X + Y) − [E(X + Y)]
2 2
h i
= E X 2 + Y 2 + 2XY − [E(X) + E(Y)]2

= E X 2 + E Y 2 + 2E(XY) − [E(X)]2 − [E(Y)]2 − 2E(X)E(Y)
h i h i
= E(X 2 ) − [E(X)]2 + E(Y 2 ) − [E(Y)]2
= Var(X) + Var(Y)
= 36 + 12
σ2U = 52
√
σU = 52

σ2V = E V 2 − [E(V)]2
h i
= E (X − Y)2 − [E(X − Y)]2
h i
= E X 2 − Y 2 + 2XY − [E(X) + E(Y)]2

= E X 2 + E Y 2 − 2E(XY) − [E(X)]2 − [E(Y)]2 + 2E(X)E(Y)
h i h i
= E(X 2 ) − [E(X)]2 + E Y 2 − [E(Y)]2
(Since X and Y are independent E(XY) = E(X)E(Y))
= Var(X) + Var(Y)
= 36 + 16
σ2V = 52
√
σV = 52
Correlation co-efficient,
Cov(U, V) 20
r(U, V) = = √ √
σu σv 52 52
r(X + Y, X − Y) = 0.3846
Example 2.32. Let (X, Y & Z) be the uncorrelated random variable

with zero mean and standard deviations 5,12 & 9 respectively. If
U = X + Y, V = Y + Z, find the correlation coefficient between U and
V.
Solution: Given X, Y and Z are random random variables with mean is
zero. i.e.,
E(X) = 0
E(Y) = 0
E(Z) = 0
Given standard deviations of X, Y and Z are 5,12 and 9 i.e.,
σX = 0 (1)
σY = 0
σZ = 0
Given X and Y are uncorrelated, i.e.,
r(X, Y) = 0
Cov(X, Y) = 0
E(XY) − E(X)E(Y) = 0
E(XY) − (0)(0) = 0
∴ E(XY) = 0
Similarly
E(YZ) = 0
E(ZX) = 0
Now,

(1) ⇒ σ2X =E X − [E(X)]2 = 25
2

E X 2 − [0]2 = 25

∴ E X 2 = 25

Similarly, E Y 2 = 144

E Z 2 = 81
Now
Cov(U, V) = E(UV) − E(U)E(V)

= E[(X + Y)(Y + Z)] − E(X + Y)E(Y + Z)
h i
= E XY + XZ + Y 2 + YZ − [E(X) + E(Y)][E(Y) + E(Z)]

= E(XY) + E(XZ) + E Y 2 + E(YZ) − E(X)E(Y)
− E(X)E(Z) − [E(Y)]2 − E(Y)E(Z)
= 0 + 0 + 144 + 0 − (0)(0) − (0)(0) − 0 − (0)(0)
Cov(U, V) = 144

σ2U = E U 2 − [E(U)]2
h i
= E (X + Y)2 − [E(X + Y)]2
h i
= E X 2 + Y 2 + 2XY − [E(X) + E(Y)]2

= E X 2 + E Y 2 + 2E(XY) − [E(X)]2 − [E(Y)]2 − 2E(X)E(X)
= 25 + 144 + 2(0) − 02 − 02 − 2(0)(0)
= 25 + 144
∴ σ2U = 169
σU = 13

σ2V = E V 2 − [E(V)]2
h i
= E (Y + Z) − [E(Y + Z)]2
2

= E X + 2YZ + Z − [E(Y) + E(Z)]2
2 2
h i
= E Y + E Z 2 + 2E(YZ) − [E(Y)]2 − [E(Z)]2 − 2E(Y)E(Z)
2
= 144 + 81 + 2(0) − 02 − 02 − 2(0)(0)

= 144 + 81
∴ σ2V = 225
σV = 15
∴ Correlation co-efficient is
Cov(U, V) 144
r(U, V) = =
σU σV (13)(15)
r(U, V) = 0.7385
Example 2.33. Let (X, Y) be a two dimensional random variable.
Define covariance of (X, Y). If X and Y are independent, what will
be the covariance of (X, Y).
Solution: Cov(X, Y) = E[[X − E(X)][Y − E(Y)]]
= E(XY) − E(X)E(Y)
If X and Y are independent, then Cov(X, Y) = 0.
Example 2.34. If Y = −2x + 3, find the Cov(X, Y).
Solution: Given Y = −2x + 3.
W.K.T., Cov(X, Y) = E(XY) − E(X)E(Y)
= E[x(−2x + 3)] − E(x)E(−2x + 3)

= E −2x2 + 3x − E(x)[−2E(x) + 3]

= −2E x2 + 3E(x) + 2[E(x)]2 − 3E(x)

= −2E x2 + 2[E(x)]2
h i
= −2 E x2 − [E(x)]2
= −2Var(x)
Example 2.35. Prove that the correlation coefficient ρ xy takes

value in the range −1 to 1.
Solution: Let X and Y be two random variables with variances σ2x , σ2y
respectively.
We know that variance of any random variable ≥ 0.
!
X Y
∴ Var + ≥0
σX σY
! ! !
X Y X Y
Var + Var + 2Cov , ≥0 [∵ by variance property]
σX σY σX σY
∵ Var (aX) = a2 Var (X) ,
( )
Var (X) Var (Y) 2
+ + Cov (X, Y) ≥ 0
σ2X σ2Y σ X σY Cov (aX, b) = abCov (X, Y)
2
1+1+ Cov (X, Y) ≥ 0
σ X σY
2 + 2ρXY ≥ 0
1 + ρXY ≥ 0
ρXY ≥ −1
!
X Y
Similarly, Var − ≥0
σX σY
2 − 2ρXY ≥ 0
1 − ρXY ≥ 0
ρXY ≤ 1
Thus ρXY ≥ −1 and

ρXY ≤ 1
Hence −1 = ρXY = 1.
i.e., correlation coefficient always lies between −1 and +1.
Example 2.36. If X and Y are random variables such that Y =
aX + b where a and b are real constants, show that the correlation
coefficient r(X, Y) between them has magnitude one.
Solution: Given : Y = aX + b
cov (X, Y)
r (X, Y) =
σ x σy
E[XY] − E[X]E[Y]
=
σ x σy
E[X(aX + b)] − E(X)E(aX + b)
=
σσ
x y
E aX 2 + bX − E(X)[aE(X) + b]
=
σ x σy

aE X 2 + bE(X) − a[E(X)]2 − bE(X)
=
h σX σi Y
a E X − [E(X)]2
2
=
σ X σY
aσ2X
=
σ X σY
aσY
= (1)
σY
σ2Y = E Y 2 − [E(Y)]2
h i
= E (aX + b) − [E (aX + b)]2
2
h i
= E a X + 2abX + b − [aE(X) + b]2
2 2 2
h i n o
= a2 E X 2 + 2abE [X] + b2 − [aE [X]]2 + b2 + 2abE [X]
h i
= a2 E X 2 + 2abE [X] + b2 − a2 [E [X]]2 − b2 − 2abE [X]
h i
= a2 E X 2 − a2 [E [X]]2
n h i o
= a2 E X 2 − [E [X]]2
= a2 σ2x
∴ σY = ±aσX
aσX
∴ (1) ⇒ r (X, Y) =
±aσX
= ±1
⇒ |r (X, Y)| = 1
Hence the correlation coefficient has magnitude one.
2.7.2 Examples of Covariance and Correlation of 2D Continuous r.v.
1
Example 2.37. If jpdf of X and Y is f (X, Y) = (6 − x − y), 0 ≤ x ≤ 2, 2 ≤
8
y ≤ 4. Find the correlation between X and Y.
Solution: Here X and Y are continuous random variables with jpdf
1
f (X, Y) = (6 − x − y), 0 ≤ x ≤ 2, 2 ≤ y ≤ 4.
8
W.K.T., the correlation coefficient between X and Y is
Cov(X, Y) E(XY) − E(X)E(Y)

r(X, Y) = = p
σ x σy
p
E X 2 − [E(X)]2 E Y 2 − [E(Y)]2

R∞ R∞ R∞ R∞
" #" #
xy f (x, y) dx dy − x f (x) dx y f (y) dy
−∞ −∞ −∞ −∞
= s #2 s #2
R∞ R∞ R∞ R∞
" "
x2 f (x) dx − x f (x) dx y2 f (y) dy − y f (y) dy
−∞ −∞ −∞ −∞
Marginal pdf of X
Z∞ Marginal pdf of Y
f (x) = f (x, y)dy Z∞
−∞ f (y) = f (x, y)dx
Z4 −∞
1
= (6 − x − y)dy 1
Z2
8 = (6 − x − y)dx
2 8
#4
y2
"
1 0
= 6y − xy − 1
"
x2
#2
8 2 2 = 6x − xy −
1 8 2 0
= [(24 − 4x − 8) − (12 − 2x − 2)] 1
8 = [12 − 2 − 2y]
1 8
= [−2x + 6] 1
8 ∴ f (y) = [5 − y], 2 ≤ y ≤ 4
1 4
∴ f (x) = [3 − x], 0 ≤ x ≤ 2
4
Expectation of X Expectation of Y
Z∞ Z∞
E[X] = x f (x)dx E[Y] = y f (y)dy
−∞ −∞
Z2 Z4
1 1
= x (3 − x)dx = y (5 − y)dy
4 4
0 2
Z2 Z4
1 1
= (3x − x2 )dx = (5y − y2 )dy
4 4
0 2
3 2
2
#4
1 5y2 y3
" # "
1 3x x
= − = −
4 2 3 0 4 2 3 2
" # " ! !#
1 8 1 64 8
= 6− = 40 − − 10 −
4 3 4 3 3
5 17
∴ E[X] = E[Y] =
6 6
Z4 Z2
E[XY] = xy f (x, y)dxdy
2 0
Z4 Z2
1
= xy (6 − x − y)dxdy
8
2 0
Z4 Z2
1
= (6xy − x2 y − xy2 )dxdy
8
2 0
Z4  " #2
2
" 3 #2 " 2 #2 
1  x x 2 x

=
 
6y − y − y dy
 
8 2 0 3 0 2 0


 

2
Z4 ! 
2 4
! 2 4
! 3 4
!
1 8 1 y 8 y y
= 12y − y − 2y2 dy = 12

 
− −2 
8 3 8 2 2 3 2 2 3 2
"2 #
1 8 56 1 112
= 72 − × 6 − 2 × = [72 − 16 − ]
8 3 3 8 3
E[XY] = 7/3
∴ Cov(X, Y) = E[X, Y] − E[X].E[Y]

! !
7 5 17
= −
3 6 6
−1
=
36
Z∞
Z∞
E[Y 2 ] = y2 f (y)dy
E[X 2 ] = x2 f (x)dx
−∞
−∞
Z4
Z2 1
1 = (5y2 − y3 )dy
= (3x2 − x3 )dx 4
4 2
0 #4
1 5y3 y4
"
4 2
=
" #
1 3 x −
= x − 4 3 4 2
4 4 0 " ! !#
1 320 40
1
= [8 − 4] = − 64 − −4
4 4 3 3
E[X 2 ] = 1 25
=
3
σ2X = Var[X] = E[X 2 ] − (E[X])2 σ2Y = Var[Y] = E[Y 2 ] − (E[Y])2

!2 !2
5 25 17
=1− = −
6 3 6
11 11
σ2X = σ2Y =
36
√ 36
√
11 11
∴ σX = σY =
6 6
Cov(X, Y)
r(X, Y) =
σ X σY
−1/36
= r r
11 11
36 36
−1
=
11
r(X, Y) = −0.09091
Example 2.38. The two random variables X, Y has the following

JPDF f (x, y) = 2 − x − y, 0 ≤ x ≤ 1 and 0 ≤ y ≤ 1. Find the correlation
co-efficient of X and Y.
Solution:
Z∞ Z∞
f (x) = f (x, y)dy f (y) = f (x, y)dx
−∞ −∞
Z1 Z1
= (2 − x − y)dy = (2 − x − y)dx
0 0
#1 #1
y2
"
x2
"
= 2y − xy − = 2x − − yx
2 2
" # 0 0
1 1
= 2−x− =2− −y
2 2
3 3
f (x) = − x, 0 ≤ x ≤ 1 f (y) = − y, 0 ≤ y ≤ 1
2 2
Z∞ Z∞
−∞ −∞
Z1 ! Z1 !
3 3
= x − x dx = y − y dy
2 2
0 0
Z1 ! " 2 3 1
# Z1 ! " 2 3 1
#
3 3 x x 3 3 y y
= x − x2 dx = − = y − y2 dy = −
2 22 3 0 2 22 3 0
0 0
3 1 9−4 3 1 9−4
= − = =− =
4 3 12 4 3 12
5 5
E[X] = E[Y] =
12 12
Z1 Z1 Z1 Z1
E[XY] = xy f (x, y)dxdy = xy(2 − x − y)dxdy
0 0 0 0
Z1 Z1
= 2 2
2xy − x y − xy dxdy
0 0
Z1 " 2 #1
x x3 x2 2
= 2 y − y − y dy
2 3 2 0
0
Z1 "
y y2
#
= y− − dy
3 2
0
" 2 #1
2y y3
= −
32 6 0
1 1
= −
3 6
1
∴ E[XY] =
6
Cov[X, Y] = E[XY] − E[X] · E[Y]

" #" #
1 5 5
= −
6 12 12
1 25
= −
6 144
−1
Cov[X, Y] =
144
h i Z∞ h i Z
∞
E X2 = x2 f (x)dx E Y2 = y2 f (y)dy
−∞ −∞
Z1 ! Z1 !
3 3
= x2 − x dx = y2 − y dy
2 2
0 0
Z1 ! Z1 !
3 2 3 2
= x − x3 dx = y − y3 dy
2 2
0 0
" 2 #1 #1
x3
" 2
y3
! !
3x 3 1 1 3y 3 1 1
= − = − = − = −
22 3 0 2 3 4 22 3 0 2 3 4
1 1
= =
4 4

!2 !2
1 5 1 5
= − = −
4 12 4 12
1 25 1 25
= − = −
4 144 4 144
36 − 25 36 − 25
= =
144 144
11 11
= =
144
√ 144
√
11 11
σX = σY =
12 12
Cov(x, y)
r(X, Y) =
σ x σy
−1
= √ 144 r
11 11
12 12
r(x, y) = −0.0909
Rank Correlation
If X and Y are random variables, then

6 di2
P
r(X, Y) = 1 − where di = xi − yi
n(n2 − 1)
known as Spearman’s Rank correlation co-efficient.
Note: hP i
6 di + C.F.
2
For repeated Ranks r(X, Y) = 1 − ,
n(n2 − 1)
X mi m2i − 1
where C.F. is the correction factor = where mi is the number
∀i
12
of times an item is repeated in X and Y series.
Example 2.39. Find the rank correlation co-efficient from the
following data.
Rank of X 1 2 3 4 5 6 7
Rank of Y 4 3 1 2 6 5 7
Solution: Here ranks are not repeated in X and Y.
X Y di = xi − yi di2
1 4 −3 9
2 3 −1 1
3 1 2 4
4 2 2 4
5 6 −1 1
6 5 1 1
7 7 0 0
di = 20
P 2
Here n = 7
∴ Rank correlation co-efficient for non repeated ranks is
6 di2
P
r(X, Y) = 1 −
n(n2 − 1)
6(20)
=1−
7(72 − 1)
120
=1−
7(48)
r(X, Y) = 0.6429
Example 2.40. A sample of 12 fathers and their eldest sons have

the following data about their height in inches.
Father’s 65 63 67 64 68 62 70 66 68 67 69 71
Son’s 68 66 68 65 69 66 68 65 71 67 68 70
Calculate the rank correlation coefficient.

Solution: Here ranks are repeated in X and Y.
X Y Rank of X Rank of Y di = Rank of X−Rank of Y di2

65 68 9 5.5 3.5 12.25
63 66 11 9.5 1.5 2.25
67 68 6.5 5.5 1 1
64 65 10 11.5 −1.5 2.25
68 69 4.5 3 1.5 2.25
62 66 12 9.5 2.5 6.25
70 68 2 5.5 −3.5 12.25
66 65 8 11.5 −3.5 12.25
68 71 4.5 1 3.5 12.25
67 67 6.5 8 −1.5 2.25
69 68 3 5.5 −2.5 6.25
71 70 1 2 −1 1
di = 72.5
P 2
In X series 68 is repeated 2 times, 67 for 2 times.

Let m1 = 2, m2 = 2.
In Y series 68 is repeated 4 times, 66 for 2 times, 65 for 2 times.
Let m3 = 4, m4 = 2, m5 = 2.

i=5 m m2 − 1
X i i
C.F. =
i=1
12
2(22 − 1) 2(22 − 1) 4(42 − 1) 2(22 − 1) 2(22 − 1)
C.F. = + + + +
12 12 12 12 12
= 0.5 + 0.5 + 5 + 0.5 + 0.5
∴ C.F. = 7
Here n = 12.
∴Rank correlation co-efficient for repeated ranks is
P
6 di2 + C.F.
r(X, Y) = 1 −
n(n2 − 1)
6(72.5 + 7)
=1−
12(122 − 1)
477
r(X, Y) = 1 −
1716
∴ r(X, Y) = 0.7221
2.8 Regression
Regression Lines :
Regression Line of Y on X is
y − y = byx (x − x)
where byx = Regression coefficient of y on x
Cov (X, Y) Cov (X, Y)
= =
Var (X) σ2x
σy
=r
σPx P P
n xy − ( x) ( y)
= · · · direct method
n x2 − ( x)2
P P
Regression Line of X on Y is
x − x = b xy (y − y)
where b xy = Regression coefficient of x on y
Cov (X, Y) Cov (X, Y)
= =
Var (Y) σ2y
σx
=r
σy
P P P
n xy − ( x) ( y)
= · · · direct method
n y2 − ( y)2
P P
Properties of Regression Lines

(i) Regression lines intersect at point (x, y)
(ii) Angle between regression lines :
2  σ σ 
 ! 
1 − r x y
Acute angle, θ = tan−1 

 
 
|r| σ x + σy
2 2 
σ σ
 2 ! 
r − 1 x y
Obtuse angle, θ0 = tan−1 

 

 
σ2x + σ2y

|r|
If r = 0 ⇒ The regression lines are perpendicular

If r = ±1 ⇒ The regression lines are parallel(or coincide)
Properties of Regression Coefficients
(i) bxy , byx
(ii) bxy and byx have same sign and if one of them is greater than 1
(numerically), then the other is less than one (numerically).
(iii) r2 = b xy byxp
i.e., r = ± b xy byx and r has the same sign as that of b xy and byx .
(iv) Regression coefficients are independent of change but not of scale and
x−a y−b
if u = , v= , then
h k
h k
b xy = buv and byx = bvu
k h
2.8.1 Regression curves of the means
1. The regression curve of X on Y is
X = E[X / Y = y]
2. The regression curve of Y on X is
Y = E[Y / X = x]
2.8.2 Examples of Regression curve lines of discrete r.v.s
Example 2.41. The following table gives age X in years if cars and
annual maintenance cost Y(in 100 Rs.)
X 1 3 5 7 9
Y 15 18 21 23 22
Find
(a) regression equations
(b) correlation coefficient
(c) Estimate the maintenance cost for a 4 year old car.
Solution :
(a) W.K.T. regression equations, i.e.,
Regression equation of Y on X is
(y − y) = byx (x − x) (1)
Regression equation of X on Y is
(x − x) = b xy (y − y) (2)
where
byx = Regression coeff. of y on x b xy = Regression coeff. of x on y

Cov (X, Y) Cov (X, Y) Cov (X, Y) Cov (X, Y)
= = = =
Var (X) σ2x Var (Y) σ2y
σy σx
=r =r
σPx P P σy
n xy − ( x) ( y)
P P P
n xy − ( x) ( y)
= =
n x2 − ( x)2 n y2 − ( y)2
P P P P
X X X X X
Now, find the values of x, y, x, y, xy, x2 , y2 by the table :
# X Y XY X2 Y2
1 1 15 15 1 225
2 3 18 54 9 324
3 5 21 105 25 441
4 7 23 161 49 529
5 9 22 198 81 484
X = 25 Y = 99 XY = 533 X = 165 Y = 2003
P P P P 2 P 2
n=5
5(533) − (25)(99)
P
x 99
x= = = 19.8 byx = = 0.95
Pn 5 5(165) − (25)2
y 25 5(533) − (25)(99)
y= = =5 b xy = = 0.8878
n 5 5(2003) − (99)2
∴ Regression equation of Y on X is from (1) is
(y − 19.8) = 0.95(x − 5) ⇒ y = 0.95x + 15.05 (3)
∴ Regression equation of X on Y is from (2) is
(x − 5) = 0.8878(y − 19.8) ⇒ x = 0.8878y − 12.5784 (4)
(b) Correlation Coefficient r :
q
r = ± byx · b xy
√
= ± 0.8878 × 0.95
∴ r = ±0.9183
(c) Cost(Y) for 4 year old(X) car :
i.e., we have to use regression equation of Y on X. i.e.,
∴ (3) ⇒ y = 0.95x + 15.05
= 0.95(4) + 15.05
∴ y = 18.85
i.e., The cost for 4 year old car is Rs.1885.
Example 2.42. The two lines of regression are
8x − 10y + 66 = 0
40x − 18y − 214 = 0
Find
(a) mean values of X and Y (b) r (X, Y)
Solution : Given
8x − 10y + 66 = 0 (1)
40x − 18y − 214 = 0 (2)
(a) Since both the lines of regression pass through the point (x, y), where
(x) and (y) are mean values of x and y, which satisfies the two given
lines of regression.
Find the mean value point x, y by solving equations (1) and (2) : i.e.,
8x − 10y = −66 (3)

40x − 18y = 214 (4)
On solving,
x = 13
y = 17
(b) r(x, y) :
(1) ⇒ 8x − 10y + 66 = 0 (1) ⇒ 8x − 10y + 66 = 0
⇒ 8x = 10y − 66 ⇒ 10y = 8x + 666
10 66 8 66
⇒ x= y− ⇒y= x+
8 8 10 10
10 8
∴ b xy = ∴ byx =
8 10
(2) ⇒ 40x − 18y − 214 = 0 (2) ⇒ 40x − 18y − 214 = 0
⇒ 40x − 214 = 18y ⇒ 40x = 18y + 214
40 214 18 214
⇒y= y− ⇒ x= y+
18 18 40 40
40 18
∴ byx = ∴ b xy =
18q 40q
∴ r = ± b xy · byx ∴ r = ± b xy · byx
r r
10 40 18 8
r=± · r=± ·
8 18 40 10
r = ±2.777 r = ±0.6
W.K.T. 0 ≤ r ≤ 1.
∴ r = ±0.6
Example 2.43. The two regression lines are 4x − 5y + 33 = 0 and

20x − 9y = 107. Find the means of x and y. Also find the value of r.
Solution : Given
4x − 5y + 33 = 0 (A)
20x − 9y = 107 (B)
Since both the lines of regression passes through the mean values
x and y, the point (x, y) must satisfy the two given regression lines.
4x − 5y = −33 (1)
20x − 9y = 107 (2)
By simplifying (1) and (2),
x = 13, y = 17
Choose equation (A) is the equation of the line of regression of y on x.

4 33 4
(A) ⇒ 5y = 4x + 33 ⇒ y = x + ⇒ byx =
5 5 5
Choose equation (B) is the equation of the line of regression of x on y.
9 107 9
(B) ⇒ 20x = 9y + 107 ⇒ x = y+ ⇒ b xy =
20 20 20
We know that
r2 = b xy b xy
9 4
=
20 5
9
=
25
3
r = = 0.6
5
Example 2.44. If y = 2x − 3 and y = 5x + 7 are the two regression
lines, find the mean values of x and y. Find the correlation
coefficient between x and y. Find an estimate of x when y = 1.
10 29 √
Solution : {Mean values x = − , y = − , r = 2/5, for y = 1, x = −6/5}
3 3
2.8.3 Examples of Regression curve lines of continuous r.v.s
Example 2.45. The joint pdf of X and Y is given by

x + y
, 0 ≤ x ≤ 1, 0 ≤ x ≤ 2



f (x, y) = 

 3 . Find
0, otherwise


1. The correlation coefficient.
2. The two lines of regression.
3. The two regression curves for means.
Solution :
(i)
Z∞ Z∞
f (x) = f (x, y)dy f (y) = f (x, y)dx
−∞ −∞
Z2 Z1
1 1
= (x + y)dy = (x + y)dy
3 3
0 0
#1
2 2 1 x2
" # "
1 y = + xy
= xy + 3 2
3 2 0 " # 0
1 1 1
= [2x + 2] = +y
3 3 2
2 1
f (x) = [x + 1], 0 ≤ x ≤ 1 f (y) = [1 + 2y], 0 ≤ y ≤ 2
3 6
Z∞ Z∞
−∞ −∞
Z1 Z2
2 1
= (x + 1) dx
x = (1 + 2y) dy
y
3 6
0 0
#1 #2
2 x3 x2 1 y2 y3
" "
= + = +2
3 3 2 0 6 2 3
" # " # 0
2 1 1 10 1 16
= + = = 2+
3 3 2 18 6 3
5 11
E[X] = E[Y] =
9 9
Z∞ Z∞ Z∞ Z∞
E[XY] = xy f (x, y)dxdy (or) xy f (x, y)dydx
−∞ −∞ −∞ −∞
Z1 Z2 Z1 Z2
1 1
= xy (x + y)dydx = x2 y + xy2 dydx
3 3
0 0 0 0
Z1 #2
x2 y2 xy3
"
1
= + dx
3 2 3 0
0
Z1 " #
18
=
2x2 + x dx
33
0
#1
1 2 3 8 x2
"
= x +
3 3 32 0
" # " #
1 2 4 1 6
= + =
3 3 3 3 3
2
∴ E[XY] =
3
" #" #
2 5 11 2 55
Cov[X, Y] = E[XY] − E[X] · E[Y] = − = −
3 9 9 3 81
−1
Cov[X, Y] =
81
Z∞ ∞
h i h i Z
E X2 = x2 f (x)dx E Y2 = y2 f (y)dy
−∞ −∞
Z1 Z1
2 1
= x2 (x + 1) dx = y2 (1 + 2y) dy
3 6
0 0
Z1 Z1
2 1
= x3 + x2 dx = y2 + 2y3 dy
3 6
0 0
3 1
#2
2 x4 x 1 y3 y4
" # "
= + = +2
3 4 3 0 6 3 4
" ! # " ! 0 #
2 1 1 1 8
= + − (0 + 0) = + 8 − (0 + 0)
3 4 3 6 3
7 16
= =
18 9

!2 !2
7 5 16 11
= − = −
18 9 9 9
7 25 16 121
= − = −
18
r 81 r 81
9
13 23
σX = σY =
162 81
Cov(x, y)
r(X, Y) =
σ x σy
1
−
= √ 81
13162
r
23
81
r
2
r(x, y) = −
299
(ii) The lines of regression are
The line of regression of X on Y is The line of regression of Y on X is
rσX rσY
X − E(X) = [Y − E(Y)] Y − E(Y) = [X − E(X)]
σY σX
r r
r 13 r 23
" # " #
5 2 162 11 11 2 81 5
X− =− × r Y− Y− =− × r X−
9 299 23 9 9 299 13 9
" # 81 " # 162
5 1 11 11 2 5
X− =− Y− Y− =− X−
9 23 9 9 13 9
1 14 2 17
X=− Y+ Y =− X+
23 23 13 13
(iii) The two regression curves for means

W.K.T.
f (x, y) (x + y)/3
The conditional probability of X on Y is f (x/y) = =
f (y) (1 + 2y)/6
2(x + y)
=
1 + 2y
f (x, y) (x + y)/3
The conditional probability of Y on X is f (y/x) = =
f (x) 2(x + 1)/3
x+y
=
2(1 + x)
The regression curve of X on Y is The regression curve of Y on X is
X = E[X / Y = y] Y = E[Y / X = x]
Z1 Z2
= x f (x/y) dx = y f (y/x) dy
0 0
Z1 Z2
2(x + y) x+y
= x dx = y dy
1 + 2y 2(1 + x)
0 0
Z1 Z2
2 1
= x + xy dx
2
= xy + y 2
dy
1 + 2y 2(1 + x)
0 0
3 2
#1 #2
xy2 y3
" "
2 x x 1
= + y = +
1 + 2y 3 2 0 2(1 + x) 2 3 0
" # " ! #
2 1 y 1 8
= + = 2x + − (0 + 0)
1 + 2y 3 2 2(1 + x) 3
2+y 3x + 4
" #
2
= ∴y=
1 + 2y 6 3(1 + x)
2 + 3y
∴x=
3(1 + 2y)
2.9 Transformation of random variables:
Y(X = 0) V(U = 0)
31 v = f2 (x, y)
(x, y) v (u, v)
2
1
u = f1 (x, y)
U(V = 0)
0 1 2 30 X(Y = 0) u
XY − plane U V − plane
f (x, y) = Joint pdf of X&Y g(u, v) = Joint pdf of U&V
= fXY (x, y) = gUV (u, v)
f (x) = Marginal pdf of X g(u) = Marginal pdf of U
Z∞ Z∞
= f (x, y)dy = g(u, v)dv
−∞ −∞
= fX (x) = gU (u)
f (y) = Marginal pdf of Y g(v) = Marginal pdf of V
Z∞ Z∞
= f (x, y)dx = g(u, v)du
−∞ −∞
= fY (y) = gV (v)
Let U = f1 (x, y) and V = f2 (x, y)
Find x and y in terms of u and v
∂x ∂x



 ∂u ∂v
, =






 f (x, y) |J| J ∂y ∂y

∂u ∂v





Define g(u, v) = 

 (or)
∂u ∂u





1 ∂x ∂y


, =
 0
f (x, y) J


 ∂v ∂v

|J 0 |




∂x ∂y


Find Range of space of u and v
Z∞
P.D.F. of U = g(u) = g(u, v)dv
−∞
Z∞
P.D.F. of V = g(v) = g(u, v)du
−∞
(a) Joint probability density function of transformed r.v.s:

Consider a two dimensional random variable (X, Y) having joint
probability density function fXY (x, y). Now let (U, V) be another two
dimensional random variable where the r.v.s U and V are defined as:
U = f1 (x, y) and V = f2 (x, y). Also let the inverse be given by
x = g1 (u, v) , y = g2 (u, v) which are continuous and posses continuous
partial derivatives. Then, the joint p.d.f. of the transformed r.v.s
(U, V) is given by fUV (u, v) = fXY (x, y) |J| where |J| is the modulus of
Jacobian J of (x, y) with respect to (u, v) which is given by
∂x ∂x

∂ (x, y) ∂u ∂v xu xv

J= = =
∂ (u, v) ∂y ∂y yu yv

∂u ∂v
Note : On obtaining the joint p.d.f. fUV (u, v) we can find the marginal
p.d.f.s of U and V as
R∞
fU (u) = f (u) = fUV (u, v) dv
−∞
R∞
fV (v) = f (v) = fUV (u, v) du
−∞
(b) Theorem : If X and Y are independent continuous r.v.s then the p.d.f.
of U = X + Y is given by
R∞
f (u) = fX (v) fY (u − v) dv
−∞
(c) Working rule for finding fUV (u, v) given the j.p.d.f. fXY (x, y) as in
following steps:
(i) Find out the joint p.d.f. of (X, Y) if not already given.
(ii) Consider the new random variables, u = f1 (x, y) , v = f2 (x, y) and
rearrange them to express x and y in terms of u and v to get x =
g1 (u, v) , y = g2 (u, v).
∂x ∂x

∂ (x, y)

∂u ∂v xu xv
(iii) Find the Jacobian J = = ∂y ∂y = and hence
∂ (u, v) yu yv
∂u ∂v
the value of |J|
(iv) Find the j.p.d.f. fUV (u, v) using the formula: fUV (u, v) = fXY (x, y) |J|
and express it in terms of u and v.
(v) Obtain the range space of U and V by considering the range

spaces of X and Y and the relation U = f1 (x, y) and V = f2 (x, y).
(vi) Write down the expression for fUV (u, v).
(vii) If required, find out the expression for marginal p.d.f.s of U and
V as
R∞
fU (u) = f (u) = fUV (u, v) dv
−∞
R∞
fV (v) = f (v) = fUV (u, v) du
−∞
2.9.1 Examples of Transformation of random variables
Example 2.46. If X and Y are continuous random variables and

U = X + Y. Find p.d.f. of U.
Solution : Given U = X + Y. (1)
Let us define a new variable Let us define a new variable
V=X (2) V=Y (4)
(2) ⇒ x = v (2) ⇒ y = v
(1) ⇒ u = x + y (1) ⇒ u = x + y
i.e., u = v + y [∵ by (2)] i.e., u = x + v [∵ by (4)]
∴y=u−v ∴ x=u−v
g(u, v) = f (x, y) |J| (3) g(u, v) = f (x, y) |J| (5)

0 1 1 −1
where J = = −1 where J = =1
1 −1 0 1
∴ |J| = |−1| = 1 ∴ |J| = |1| = 1
∴ (3) ⇒ g(u, v) = f (v, u − v) · 1 ∴ (3) ⇒ g(u, v) = f (u − v, v) · 1
Z∞ Z∞
∴ g(u) = g(u, v)dv ∴ g(u) = g(u, v)dv
−∞ −∞
Z∞ Z∞
= f (v, u − v)dv = f (u − v.v)dv
−∞ −∞
Find range space of u and v.
Example 2.47. Joint p.d.f. of X&Y is given by f (x, y) = e−(x+y) , x >
X+Y
0, y > 0. Find p.d.f. of .
2
Solution : Given Joint p.d.f. of X&Y is given by
f (x, y) = e−(x+y) , x > 0, y > 0. (1)
X+Y
Let U = . (2)
2
Define a new variable V = X. (3)
(3) ⇒ v = x ⇒∴ x = v (4)
x+y
∴ (2) ⇒ u =
2
⇒ 2u = v + y ⇒∴ y = 2u − v (5)
Now, joint pdf of (U, V) :

g(u, v) = f (x, y) |J| (6)

0 1
where J = = −2 ⇒ |J| = |−2| = 2
2 −1
∴ g(u, v) = e−(x+y) · 2
= 2e−(v+2u−v)
g(u, v) = 2e−2u
To find range space of u and v:
x>0 y>0
2u − v > 0
v>0 2u > v
i.e., v < 2u
∴ 0 < v < 2u
Z∞
∴ Pdf of U is g(u) = g(u, v)dv V(U = 0)
−∞ v = 2u
Z∞
= 2e−2u dv
−∞
Z2u 0 < v < 2u
= 2e −2u
du
0
U(V = 0)
= 2e−2u · 2u
= 4ue−2u , u > 0
Example 2.48. If X and Y are independent exponential random

variates with parameter 1. Find p.d.f. of U = X − Y.
Solution : Given X and Y are independent exponential random variates

with parameter 1. i.e.,
X ∼ Exp. Dist. (α = 1) Y ∼ Exp. Dist. (α = 1)
Pdf of X : f (x) = αe−αx , x > 0 Pdf of Y : f (y) = αe−αy , y > 0
= e−x , x ≥ 0 = e−y , y ≥ 0
∴ Joint p.d.f. of X&Y is given by
f (x, y) = f (x) · f (y) (∵ X and Y are independent)
= e−x · e−y
= e−(x+y) , x > 0, y > 0. (1)
Given U = X − Y. (2)
(3) ⇒ v = x ⇒∴ x = v (4)
∴ (2) ⇒ u = x − y
⇒ u = v − y ⇒∴ y = v − u (5)
g(u, v) = f (x, y) |J| (6)

0 1
where J = = 1 ⇒ |J| = |1| = 1
−1 1
∴ g(u, v) = e−[x+y] · 1
= e−[v+v−u]
g(u, v) = eu · e−2v
x≥0 y≥0
v−u≥0
To find range space of u and v: v ≥ 0
v≥u
∴u≤0<v
V(U = 0)
u=v
R1 R2
v≥u v>0
U(V = 0)
Z∞
∴ Pdf of U is g(u) = g(u, v)dv (7)
−∞
In R1 In R2
Z∞ Z∞
∴ (7) ⇒ g(u) = eu e−2v dv ∴ (7) ⇒ g(u) = eu e−2v dv
"0 −2v #∞ "u −2v #∞
e e
= eu = eu
−2 0 −2 u
e−2u
" # " #
1
= e (0) −
u
= e (0) −
u
−2 −2
u −u
e e
= ,u < 0 = ,u ≥ 0
2 2
 eu
 2 ,u < 0



∴ The required pdf of U : g(u) = 

e−u
,u ≥ 0




2
Example 2.49. If X and Y are independent uniform random

variates on [0, 1]. Find p.d.f. of U = XY.
Solution : Given X and Y are independent uniform random variates
defined on [0, 1]. i.e.,
X ∼ Uni. Dist.(a = 0, b = 1) Y ∼ Uni. Dist.(a = 0, b = 1)

Pdf of X : Pdf of Y :
1 1
f (x) = = 1, x > 0 f (y) = = 1, y > 0
1−0 1−0

=1·1
= 1, x > 0, y > 0. (1)
Given U = XY. (2)

Define a new variable V = Y. (3)
(3) ⇒ v = y ⇒∴ y = v (4)
∴ (2) ⇒ u = xy
u
⇒ u = xv ⇒∴ x = (5)
v
g(u, v) = f (x, y) |J| (6)

1 −u
where J = v v2 = −2 ⇒ |J| = |−2| = 2
0 1
1
∴ g(u, v) = 1 ·
v
1
=
v
0<x<1 0<y<1
u
0< <1
To find range space of u and v: v 0<v<1
0<u<v
∴0<u<v<1
V(U = 0)
u=v
Z∞
v=1
∴ Pdf of U is g(u) = g(u, v)dv v=1
−∞
Z1
1 v=u
= dv U(V = 0)
v
Zu
= [log v]1u
= [(log 1) − (log u)]
= − log u, u > 0
Example 2.50. If X and Y are independent uniform random
X
variates on [0, 1]. Find p.d.f. of U = .
Y
Solution : Given X and Y are independent uniform random variates
defined on [0, 1]. i.e.,
X ∼ Uni. Dist. (a = 0, b = 1) Y ∼ Uni. Dist. (a = 0, b = 1)

1 1
Pdf of X : f (x) = = 1, x > 0 Pdf of Y : f (y) = = 1, y > 0
1−0 1−0

=1·1
= 1, x > 0, y > 0. (1)
X
Given U = . (2)
Y
(3) ⇒ v = X ⇒∴ x = v (4)
x
∴ (2) ⇒ u =
y
v v
⇒ u = ⇒∴ y = (5)
y u
g(u, v) = f (x, y) |J| (6)

0 1 −v
−v v
where J = −v 1 = 2 ⇒ |J| = 2 = 2
u u u
u2 u
v
∴ g(u, v) = 1 · 2
u
v
= 2
u
0<y<1 0<x<1
v
0< <1
To find range space of u and v: 0 < v < 1 u
0<v<u
∴0<v<u<1
Z∞
∴ Pdf of U is g(u) = g(u, v)dv
−∞ V(U = 0)
Z1 u=v
1
= dv
v v=1
Zu
= [log v]1u R1 R2
U(V = 0)
= [(log 1) − (log u)]
= − log u, u > 0
Example 2.51. If X and Y are independent random √ variables with
mean ‘0’ and variance σ . Find p.d.f. of R = X + Y , φ = tan
2 2 2 −1 Y
X
.
Solution : Given X and Y are independent random variables with mean
‘0’ and variance σ2 . i.e.,

X ∼ Nor. Dist. µ = 0, σ 1
Y ∼ Nor. Dist. µ = 0, σ 1
1 x−µ 2
1 y − µ 2
1 − 1 −
f (x) = √ e 2 σ ; f (y) = √ e 2 σ ;
σ 2π σ 2π
−∞ < x < ∞ −∞ < y < ∞
x−µ y−µ
z= ; −∞ < µ < ∞ z= ; −∞ < µ < ∞
σ σ
σ>0 σ>0
Joint pdf of X and Y :
 !2   !2 
 1 y − 0   1 y − 0 
 1 −   1 −
σ σ

f (x, y) = f (x) · f (y) =  √ e
 2  ·  √ e
  2 
 σ 2π   σ 2π
  


1 x +y
2 2
1 −
= 2
e 2 σ2 ; −∞ < x, y < ∞ (1)
2πσ
Given
√
R= X2 + Y 2 (2)
Y
φ = tan−1 (3)
X
(2) ⇒ a circle of radius R and argument φ.

Since the given transformations R and φ are in polar form of (x, y). So
define
x = R cos φ (3)
y = R sin φ (4)
g(R, φ) = f (x, y) |J| (6)

∂x ∂x

∂R ∂φ cos φ sin φ

where J = ∂y ∂y = = R cos2 φ + R sin2 φ = R ⇒ |J| = R
−R sin φ R cos φ
∂R ∂φ
∴ g(R, φ) = f (x, y) · |J|

1 x +y
2 2
1 −
= 2
e 2 σ2 ·R
2πσ
2
1 R
R −
= 2
e 2 σ2 (∵ by(1))
2πσ
−∞ < x, y < ∞
To find range space of R and φ:
0 ≤ φ ≤ 2π and 0 ≤ R < ∞
V(U = 0)
R=0 R→∞
U(V = 0)
0 ≤ φ ≤ 2π
∴ Pdf of R is : ∴ Pdf of φ is :
Z∞
g(φ) = g(R, φ)dR
−∞

2
Z∞ Z∞ 1 R
R −
g(R) = g(R, φ)dφ = e 2 σ2 dR
2πσ2
−∞ 0

2 2
Z2π 1 R Z∞ 1 R
R − R −
= e 2 σ2 dφ = Re 2 σ2 dR
2 2πσ 2
2πσ
0 0
R2

2 2RdR
1 R Take t = ⇒ dt =
R − 2σ2 2σ2
= 2
e 2 σ2 [φ]2π
0 Z∞
2πσ 1
∴ g(φ) = σ2 e−t dt

2
1 R 2πσ 2
R − " −t0 #∞
= e 2 σ2 [2π]
2
2πσ 1 e
2 =
1 R 2π −1 0
R − 1 h −∞ 0 i
∴ g(R) = 2 e 2 σ2 =− e − e
σ 2π
1
= − [(0) − (1)]
2π
1
∴ g(φ) = , 0 ≤ φ ≤ 2π
2π

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2 TWO - DIMENSIONAL RANDOM VARIABLES

Joint distributions - Marginal and conditional distributions - Covariance -

In the previous chapters, we discussed about only one dimensional

1. To find the number of heads(X) and number of tails(Y)

2. To measure the pressure(P) and volume(V) of a water released from

Two - Dimensional Random Variable

Let ‘S ’ be a sample space. Let X = x(S ) and Y = y(S ) be two functions

2.2 Joint and marginal distributions

Classification of Joint and Marginal distribtuions

Joint distributions Marginal distributions

2.3 Two - Dimensional Discrete Random Variable

2.3.1 Joint Probability Mass Function of 2D Discrete random variables

Let X and Y be two dimensional discrete random variable then P(X =

2.3.2 Marginal probability mass function of Discrete r.v. X

If the joint probability distribution of 2 - dimensional random variable

P(X = Xi ) = P(X = Xi , Y = Y1 ) + P(X = Xi , Y = Y2 ) + · · · + P(X = Xi , Y = Ym )

The set {Xi , Pi∗ } is called the marginal distribution of X.

2.3.3 Marginal probability mass function of Discrete r.v. Y

If the joint probability distribution of 2 - dimensional random variable

P(Y = Y j ) = P(X = X1 , Y = Y j ) + P(X = X2 , Y = Y j ) + P(X = Xn , Y = Y j )

2.3.4 Conditional Probability

Let X and Y be 2-dimensional discrete random variable with probability

The conditional probability of Y given X is given by

Joint cumulative distribution function of 2D continuous r.v.

For the two-dimensional continuous random variable (X, Y), the

2.3.5 Independence of pairs of 2D Discrete random variables

The two random variable X and Y are said to be independent if

P(xi , y j ) = P(xi ) · P(y j )

2.3.6 Examples of Joint, Marginal, conditional and Independence of 2D Discrete r.v.

Recall the formulas to do problems on two dimensional discrete random

4. F(x) = P(X ≤ x). [Use it to find CDF of X]

Example 2.1. Two coins are tossed. X denotes number of heads

Solution : W.K.T. by tossing two coins,

PX (x) = Pi∗ = 1/4 = 2/4 = 1/4 =1

(c) P(X ≤ 1, Y = 1) = P(X = {0, 1}, Y = 1)

(d) P(Y ≤ 1) = P(Y = {0, 1})

(g) F(2, 1) = P(X ≤ 2, Y ≤ 1)

Hence X and Y are not independent.

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

PX (x) = Pi∗ = 18/72 = 24/72 = 30/72 =1

Marginal P.M.F. of X Marginal P.M.F. of Y

(a) Prob. dist. of X + Y:

P[Max(X, Y) = 3] = P(X = 0, Y = 3) + P(X = 1, Y = 3) + P(X = 2, Y = 3)

(d) P[Z = Min(X, Y)]:

P(Z = 0) = P(0, 1) + P(0, 2) + P(0, 3)

(e) Conditional probability of X given Y = 3:

P(X = 0/Y = 3) P(X = 1/Y = 3) P(X = 2/Y = 3)

Example 2.3. Three balls are drawn from a box in random

Given that a box contains 3 red, 2 white and 4 black(Total balls=9).

X = denotes the number of white balls

The joint probability distribution P(X, Y) :

Independence of X and Y: Here

Hence X and Y are not independent.

(i) P(X ≤ 1) (iv) P(X ≤ 1/Y ≤ 3)

0 0 0 1/32 2/32 2/32 3/32

Solution: Here X and Y are discrete random variables.

(i) P(X ≤ 1) = P(X = 0) + P(X = 1)

(ii) P(Y ≤ 3) = P(Y = 1) + P(Y = 3) + P(Y = 3)

(iii) P(X ≤ 1, Y ≤ 3) = P(0, 1) + P(0, 2) + P(0, 3) + P(1, 1) + P(1, 2) + P(1, 3)

P(X + Y ≤ 4) = P(0, 1) + P(0, 2) + P(0, 3) + P(0, 4) + P(1, 1) + P(1, 2)