A Lecture Notes on

Probability & Statistics:

Random Variables

BACHELOR OF TECHNOLOGY

in

Computer Engineering/Information Technology

Prepared By

Dr Mihir Suthar

Mathematics & Humanities Department

Gandhinagar Institute of Technology

10000301 Probability & Statistics
Random Variables
1. Introduction
• The outcomes of random experiments are in general abstract quantities or in other words, most of the time
they are not in any numerical form.
• The outcomes of a random experiment can be expressed in quantitative terms, in particular, by means of
real numbers.
• A function can be defined that takes a definite real value corresponding to each outcome of an experiment.
This gives a rationale for the concept of random variables about which probability statements can be made.
2. Random Variables
• A random variable 𝑋 is a real valued function of the elements of the sample space of a random experiment.
• In other words, a variable which takes the real values, depending on the outcome of a random experiment
is called a random variable.
• For example, when a fair dice is thrown, 𝑆 = {1,2,3,4,5,6}. If 𝑋 is the random variable denoting the square
of the number obtained, 𝑋(1) = 1, 𝑋(2) = 4, 𝑋(3) = 9, 𝑋(4) = 16, 𝑋(5) = 25, 𝑋(6) = 36. Hence, the
random variable 𝑋 can take the values 1,4,9,16,25,36.

2.1 Types of Random variables

There are two types of random variables: (i) Discrete random variables (ii) Continuous random variables.

2.1.1 Discrete random variables:

• A random variable 𝑋 is said to be discrete if it takes either finite or countably infinite values.
For example, Number of children in a family, Number of days of rainfall in a city etc.

2.1.2 Continuous random variables:

• A random variable 𝑋 is said to be continuous if it takes any values in a given interval.

For example, Height of a person in cm, Volume of a gas in cc, Life of an electric bulb in hours etc.
3. Probability Mass Function
• Let 𝑋 be a discrete random variable which takes the values 𝑥1 , 𝑥2 , … , 𝑥𝑛 . The probability of each possible
outcome 𝑥𝑖 is 𝑝𝑖 = 𝑝(𝑥𝑖 ) = 𝑃(𝑋 = 𝑥𝑖 ) for 𝑖 = 1,2, . . . , 𝑛. The number 𝑝(𝑥𝑖 ), 𝑖 = 1,2, … must satisfy the
following conditions:
(i) 𝑝(𝑥𝑖 ) ≥ 0, ∀𝑖 and (ii) ∑𝑛𝑖=1 𝑝(𝑥𝑖 ) = 1
• The function 𝑝(𝑥𝑖 ) is called the probability function or probability mass function of the random variable
𝑋.
• The distribution function 𝐹(𝑥) of the discrete random variable 𝑋 is defined by
𝑥

𝐹(𝑥) = 𝑃(𝑋 ≤ 𝑥) = ∑ 𝑝(𝑥𝑖 ) , where 𝑥 is any integer

𝑖=1
• The function 𝐹(𝑥) is also called the cumulative distribution function.
• The set of pairs {𝑥1 , 𝐹(𝑥)}, 𝑖 = 1,2, .. is called the cumulative probability distribution.
𝑋 𝑥1 𝑥2 …….
𝐹(𝑥) 𝑝(𝑥1 ) 𝑝(𝑥1 ) + 𝑝(𝑥2 ) …….

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Example 1: A fair die is tossed once. If the random variable is getting an even number, find the probability
distribution of 𝑋.

Solution: Here, the fair die is tossed at once. So, 𝑆 = {1,2,3,4,5,6}

Let 𝑋 be the random variable of getting an even number. The random variable can take values 0 and 1.
3 1
𝑃(𝑋 = 0) = 𝑃({1,35}) = 6 = 2

3 1
𝑃(𝑋 = 1) = 𝑃({2,4,6}) = 6 = 2

Thus, the probability distribution of 𝑋is

𝑋=𝑥 0 1
1 1
𝑃(𝑋 = 𝑥)
2 2

Example 2: A random variable 𝑋 has the following probability distribution:

𝑋 0 1 2 3 4 5 6 7
𝑃(𝑋 = 𝑥) 𝑎 4𝑎 3𝑎 7𝑎 8𝑎 10𝑎 6𝑎 9𝑎
(i) Find the value of 𝑎 (ii) Find 𝑃(𝑋 < 3) (iii) Find the smallest value of 𝑚 for which 𝑃(𝑋 ≤ 𝑚) ≥ 0.6.

Solution: Here, 𝑃(𝑋 = 𝑥) is a probability distribution function. So, ∑ 𝑃(𝑋 = 𝑥) = 1

∴ 𝑃(𝑋 = 0) + 𝑃(𝑋 = 1) + 𝑃(𝑋 = 2) + 𝑃(𝑋 = 3) + 𝑃(𝑋 = 4) + 𝑃(𝑋 = 5) + 𝑃(𝑋 = 6) + 𝑃(𝑋 = 7) = 1

1
∴ 𝑎 + 4𝑎 + 3𝑎 + 7𝑎 + 8𝑎 + 10𝑎 + 6𝑎 + 9𝑎 = 1 ⇒ 𝑎 =
48
Thus, the probability distribution function is

𝑋 0 1 2 3 4 5 6 7
1 4 3 7 8 10 6 9
𝑃(𝑋 = 𝑥)
48 48 48 48 48 48 48 48
1 4 3 8 1
(ii) 𝑃(𝑋 < 3) = 𝑃(𝑋 = 0) + 𝑃(𝑋 = 1) + 𝑃(𝑋 = 2) = 48 + 48 + 48 = 48 = 6

(iii) Take 𝑚 = 4, i.e. 𝑃(𝑋 ≤ 4) = 𝑃(𝑋 = 0) + 𝑃(𝑥 = 1) + 𝑃(𝑋 = 2) + 𝑃(𝑋 = 3) + 𝑃(𝑥 = 4) = 0.575

Take 𝑚 = 5, i.e 𝑃(𝑋 ≤ 5)

𝑃(𝑋 ≤ 5) = 𝑃(𝑋 = 0) + 𝑃(𝑥 = 1) + 𝑃(𝑋 = 2) + 𝑃(𝑋 = 3) + 𝑃(𝑥 = 4) + 𝑃(𝑥 = 5) = 0.69

Example 3: From a lot of 10 items containing 3 defectives, a sample of 4 items is drawn at random. Let the
random variable 𝑋 denote the number of defective items in the sample, Find the probability distribution of 𝑋.

Solution: Here,

Total number of items = 10

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10000301 Probability & Statistics
Number of good items = 7

Number of defective items = 3

The random variable 𝑋 can take the value 0, 1, 2 or 3

So,
7𝐶 1
𝑃(𝑋 = 0) = 𝑃(no defective) = 10 4 = 6
𝐶4

3𝐶1 .7𝐶3 1
𝑃(𝑋 = 1) = 𝑃(One defective and three good items) = =2
10𝐶4

3𝐶2 .7𝐶2 3
𝑃(𝑋 = 2) = 𝑃(two defective and two good items) = = 10
10𝐶4

3𝐶3 .7𝐶1 1
𝑃(𝑋 = 3) = 𝑃(three defective and one good items) = = 30
10𝐶4

Hence, the probability distribution of the random variable is

𝑋 0 1 2 3
1 1 3 1
𝑃(𝑋 = 𝑥)
6 2 10 30
Exercise:

(1) A random variable 𝑋 has the following probability distribution:

𝑋 1 2 3 4 5 6 7
𝑃(𝑋 = 𝑥) 𝑘 2𝑘 3𝑘 𝑘2 𝑘2 + 𝑘 2𝑘 2 4𝑘 2
Find (i) 𝑘 (ii) 𝑃(𝑋 < 5) (iii) 𝑃(𝑋 > 5) (iv) 𝑃(0 ≤ 𝑋 ≤ 5)
1 49 3 29
Ans. (i) 8 (ii) 64 (iii) 32 (iv) 32

(2) A random variable 𝑋 has the following probability distribution:

𝑋 -2 -1 0 1 2 3
𝑃(𝑋 = 𝑥) 0.1 𝑘 0.2 2𝑘 0.3 𝑘
Find (i) 𝑘 (ii) 𝑃(𝑋 ≤ 1) (iii) 𝑃(−2 ≤ 𝑋 ≤ 1)

Ans. (i) 0.1 (ii) 0.6 (iii) 0.3

(3) If 3 cars are selected from a lot of 6 cars containing 2 defective cars, find the probability distribution of
the number of defective cars.

Ans. 𝑋 0 1 2
1 3 2
𝑃(𝑋 = 𝑥)
5 5 5

(4) Five defective bolts are accidentally mixed with 20 good ones. Find the probability distribution of the
number of defective bolts, if four bolts are drawn at random from this lot.

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10000301 Probability & Statistics

Ans.
𝑋 0 1 2 3 4
969 1140 380 40 1
𝑃(𝑋 = 𝑥)
2530 2530 2530 2530 2530

4. Probability Density Function

• Let 𝑋 be a continuous random variable such that the probability of the variable 𝑋 falling in the small
1 1 1 1
interval 𝑥 − 2 𝑑𝑥 to 𝑥 + 2 𝑑𝑥 is 𝑓(𝑥)𝑑𝑥. i.e. 𝑃 (𝑥 − 2 𝑑𝑥 ≤ 𝑋 ≤ 𝑥 + 2 𝑑𝑥) = 𝑓(𝑥)𝑑𝑥.

The function 𝑓(𝑥) is called the probability density function of the random variable 𝑋 and the continuous
curve 𝑦 = 𝑓(𝑥) is called the probability curve.

Properties:

(1) 𝑓(𝑥) ≥ 0, −∞ < 𝑥 < ∞

∞
(2) ∫−∞ 𝑓(𝑥)𝑑𝑥 = 1

𝑏
(3) 𝑃(𝑎 < 𝑥 < 𝑏) = ∫𝑎 𝑓(𝑥)𝑑𝑥

5. Continuous distribution function

• If 𝑋 is a continuous random variable having the probability density function 𝑓(𝑥) then the function
𝑥

𝐹(𝑥) = 𝑃(𝑋 ≤ 𝑥) = ∫ 𝑓(𝑥)𝑑𝑥 , −∞ < 𝑥 < ∞

−∞

is called the distribution function or cumulative distributive function of the random variable 𝑋.

Properties:

(1) 𝐹(−∞) = 0

(2) 𝐹(∞) = 1

(3) 0 ≤ 𝐹(𝑋) ≤ 1, −∞ < 𝑥 < ∞

(4) 𝑃(𝑎 < 𝑋 < 𝑏) = 𝐹(𝑏) − 𝐹(𝑎)

𝑑
(5) 𝐹 ′ (𝑥) = 𝑑𝑥 𝐹(𝑥) = 𝑓(𝑥), 𝑓(𝑥) ≥ 0

𝑘𝑥 2 ; 0 < 𝑥 < 3
Example 1: Find the constant 𝑘 such that the function 𝑓(𝑥) = { is a probability density
0 ; 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
function and compute (i) 𝑃(1 < 𝑋 < 2) (ii) 𝑃(𝑋 < 2) (iii) 𝑃(𝑋 ≥ 2)

Solution: Here, the function 𝑓(𝑥) is a probability density function.

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So,
∞

∫ 𝑓(𝑥)𝑑𝑥 = 1
−∞

0 3 ∞

⇒ ∫ 𝑓(𝑥)𝑑𝑥 + ∫ 𝑓(𝑥)𝑑𝑥 + ∫ 𝑓(𝑥)𝑑𝑥 = 1

−∞ 0 3

3 3
2
𝑥3 1
⇒ ∫ 𝑘𝑥 𝑑𝑥 = 1 ⇒ 𝑘 [ ] = 1 ⇒ 𝑘 =
3 0 9
0

Thus, the probability density function is

1 2
𝑓(𝑥) = {9 𝑥 ; 0<𝑥<3
0 ; 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
2
21 1 𝑥3 7
(i) 𝑃(1 < 𝑋 < 2) = ∫1 9 𝑥 2 𝑑𝑥 = 9 [ 3 ] = 27
1

2 0 2 21 8
(ii) 𝑃(𝑋 < 2) = ∫−∞ 𝑓(𝑥)𝑑𝑥 = ∫−∞ 𝑓(𝑥)𝑑𝑥 + ∫0 𝑓(𝑥)𝑑𝑥 = ∫0 9 𝑥 2 𝑑𝑥 = 27

8 19
(iii) 𝑃(𝑋 ≥ 2) = 1 − 𝑃(𝑋 < 2) = 1 − 27 = 27

Example 2: The length of time (in minutes) that a certain lady speaks on the telephone is found to be a random
𝑥
−
phenomenon, with a probability function specified by the function 𝑓(𝑥) = {𝐴𝑒 5 ; 𝑥≥0
0 ; 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

(i) Find the value of 𝐴 that makes 𝑓(𝑥) a probability density function. (ii) What is the probability that the number
of minutes that she will take over the phone is more than 10 minutes?

Solution:

(i) For the probability density function

∞

∫ 𝑓(𝑥)𝑑𝑥 = 1
−∞

0 ∞

⇒ ∫ 𝑓(𝑥)𝑑𝑥 + ∫ 𝑓(𝑥)𝑑𝑥 = 1
−∞ 0

∞ 𝑥 ∞
−
𝑥 𝑒 5 1
⇒0+∫ 𝐴𝑒 −5 𝑑𝑥 = 1 ⇒ 𝐴[ ] =1⇒𝐴=
1 5
0 −
5 0

Thus, the probability density function is

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10000301 Probability & Statistics
1 −𝑥
𝑓(𝑥) = {5 𝑒 ; 𝑥≥0
5

0 ; 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

(ii)

∞ 𝑥 ∞
1 𝑥 1 𝑒 −5 1
𝑃(𝑋 > 10) = ∫ 𝑒 −5 𝑑𝑥 = [ ] = 𝑒2
5 5 −1
10 5 10

Exercise:

(1) Verify whether the following functions are probability density functions:
2 𝑥
(i) 𝑓(𝑥) = 𝑘𝑒 −𝑘𝑥 , 𝑥 ≥ 0, 𝑘 > 0 (ii) 𝑓(𝑥) = 9 𝑥 (2 − 2) , 0 ≤ 𝑥 ≤ 3 Ans. (i) Yes (ii) Yes

(2) Find the value of 𝑘 if the following are probability density functions:
𝑥2
2 1
(i) 𝑓(𝑥) = 𝑘𝑥𝑒 −4𝑥 , 0 ≤ 𝑥 ≤ ∞ (ii) 𝑓(𝑥) = 𝑘𝑥𝑒 − 4 , 0 ≤ 𝑥 ≤ ∞ Ans. (i) 8 (ii) 2

(3) Find the value of 𝑘 such that 𝑓(𝑥) is a probability density function. Also, find 𝑃(𝑋 ≤ 1.5)

𝑘𝑥 ; 0≤𝑥≤1
1 1
𝑓(𝑥) = { 𝑘 ; 1≤𝑥≤2 Ans. 𝑘 = 2 , 𝑃(𝑋 ≤ 1.5) = 2
𝑘(3 − 𝑥) ; 2≤𝑥≤3

𝑘(𝑥 2 − 1) ; −1 ≤ 𝑥 ≤ 3
(4) If a random variable has the probability density function 𝑓(𝑥) = {
0 ; 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
1 5 3 19
Find (i) the value of 𝑘 (ii) 𝑃 (2 ≤ 𝑋 ≤ 2) Ans. (i) 28 (ii) 56

0 ; 𝑥<2
1
(5) Is the function defined by 𝑓(𝑥) = {18 (2𝑥 + 3) ; 2 ≤ 𝑥 ≤ 4 a probability density function? Find the
0 ; 𝑥>4
4
probability that a variate having 𝑓(𝑥) as density function will fall in the interval 2 ≤ 𝑋 ≤ 3. Ans. Yes, 9

6. Two – Dimensional Discrete Random Variables

• In one dimensional random variable, the outcome of any experiment had only one characteristic.
• In many situations, the outcome of a random experiment depends on two or more characteristics e.g. both
voltage and current are measured in certain experiment.
• Let 𝑋 and 𝑌 be two random variables defined on the same sample space 𝑆, then the function 𝑓(𝑋, 𝑌) that
assigns a point in 𝑅 2 is called a two-dimensional random variable.

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• When (𝑋, 𝑌) is a two dimensional discrete random variable, the possible value of (𝑋, 𝑌) is represented as
(𝑥𝑖 , 𝑦𝑗 ), 𝑖 = 1,2, … , 𝑚, .. , 𝑗 = 1,2, … . . , 𝑛, …

6.1 Joint probability mass function

• If (𝑋, 𝑌) is a two – dimensional discrete random variable, then the joint discrete function of 𝑋, 𝑌 , also
called the joint probability mass function of 𝑋, 𝑌 , denoted by 𝑃𝑋𝑌 (𝑥𝑖 , 𝑦𝑗 ) is defined by
𝑃𝑋𝑌 (𝑥𝑖 , 𝑦𝑗 ) = 𝑃(𝑋 = 𝑥𝑖 , 𝑌 = 𝑦𝑗 ) for a value of (𝑥𝑖 , 𝑦𝑗 ) of (𝑋, 𝑌)
• The joint probability mass function is satisfied the following conditions
(i) 𝑃𝑋𝑌 (𝑥𝑖 , 𝑦𝑗 ) ≥ 0 ∀𝑖, 𝑗
(ii) ∑𝑛𝑗=1 ∑𝑚 𝑖=1 𝑃𝑋𝑌 (𝑥𝑖 , 𝑦𝑗 ) = 1

6.1.1 Cumulative distributive function

• If (𝑋, 𝑌) is a two-dimensional discrete random variable, then 𝐹𝑋𝑌 (𝑥, 𝑦) = 𝑃(𝑋 ≤ 𝑥, 𝑌 ≤ 𝑦) is called the
cumulative distribution function (cdf) of (𝑋, 𝑌) and is defined by
𝑛 𝑚

𝐹𝑋𝑌 (𝑥, 𝑦) = ∑ ∑ 𝑃𝑋𝑌 (𝑥𝑖 , 𝑦𝑗 ) = ∑∑𝑃𝑖𝑗

𝑗=1 𝑖=1

6.1.2 Marginal probability function (Marginal probability mass function)

• Let (𝑋, 𝑌) be a two-dimensional discrete random variable which takes up countable number of values
(𝑥𝑖 , 𝑦𝑗 ). The marginal probability mass function of 𝑋 is given by

𝑃𝑋 (𝑥𝑖 ) = 𝑃(𝑋 = 𝑥𝑖 )
= 𝑃(𝑋 = 𝑥𝑖 , 𝑌 = 𝑦1 ) + 𝑃(𝑋 = 𝑥𝑖 , 𝑌 = 𝑦2 ) + ⋯ . +𝑃(𝑋 = 𝑥𝑖 , 𝑌 = 𝑦𝑚 )
= 𝑃𝑖1 + 𝑃𝑖2 + ⋯ + 𝑃𝑖𝑚
= ∑𝑚 𝑚
𝑗=1 𝑃𝑖𝑗 = ∑𝑗=1 𝑃(𝑥𝑖 , 𝑦𝑗 ) for 𝑥𝑖 variable
i.e.

𝑚 𝑚

𝑃𝑋 (𝑥𝑖 ) = 𝑃(𝑋 = 𝑥𝑖 ) = ∑ 𝑃𝑖𝑗 = ∑ 𝑃(𝑥𝑖 , 𝑦𝑗 )

𝑗=1 𝑗=1

Similarly, the marginal probability mass function of 𝑌 is given by

𝑛 𝑛

𝑃𝑌 (𝑦𝑗 ) = 𝑃(𝑌 = 𝑦𝑗 ) = ∑ 𝑃𝑖𝑗 = ∑ 𝑃(𝑥𝑖 , 𝑦𝑗 )

𝑖=1 𝑖=1

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6.1.3 Conditional probability function (Conditional probability mass function)

• Let (𝑋, 𝑌) be a two-dimensional discrete random variable, the conditional probability mass function of 𝑋
given 𝑌 = 𝑦 , denoted by 𝑃𝑋/𝑌 (𝑥/𝑦) is defined as
𝑃(𝑋 = 𝑥, 𝑌 = 𝑦)
𝑃𝑋/𝑌 = 𝑃(𝑋 = 𝑥/𝑌 = 𝑦) = , 𝑃(𝑌 = 𝑦) ≠ 0
𝑃(𝑌 = 𝑦)
• The conditional probability mass function of 𝑌 given 𝑋 = 𝑥, denoted by 𝑃𝑌/𝑋 (𝑦/𝑥) is defined as

𝑃(𝑋 = 𝑥, 𝑌 = 𝑦)
𝑃𝑌/𝑋 = 𝑃(𝑌 = 𝑦/𝑋 = 𝑥) = , 𝑃(𝑋 = 𝑥) ≠ 0
𝑃(𝑌 = 𝑦)

• The necessary and sufficient condition for the discrete random variables 𝑋 and 𝑌 to be independent is
𝑃(𝑋 = 𝑥𝑖 , 𝑌 = 𝑦𝑗 ) = 𝑃(𝑋 = 𝑥𝑖 )𝑃(𝑌 = 𝑦𝑗 ) ∀(𝑥𝑖 , 𝑦𝑗 ) of (𝑋, 𝑌)

Example 1: From the following table for bivariate distribution of (𝑋, 𝑌), find (i) 𝑃(𝑋 ≤ 1) (ii) 𝑃(𝑌 ≤ 3)

(iii) 𝑃(𝑋 ≤ 1, 𝑌 ≤ 3) (iv) 𝑃(𝑋 ≤ 1/𝑌 ≤ 3) (v) 𝑃(𝑋 + 𝑌 ≤ 4)

𝑌 1 2 3 4 5 6
𝑋
0 0 0 1 2 2 3
32 32 32 32
1 1 1 1 1 1 1
16 16 8 8 8 8

2 1 1 1 1 0 2
32 32 64 64 64

Solution: Here, the marginal distribution is

𝑌 1 2 3 4 5 6 𝑃𝑋 (𝑥)
𝑋
0 0 0 1 2 2 3 8
32 32 32 32 32
1 1 1 1 1 1 1 10
16 16 8 8 8 8 16

2 1 1 1 1 0 2 8
32 32 64 64 64 64
3 3 11 13 6 16
𝑃𝑌 (𝑦) ∑𝑃𝑋 (𝑥) = 1
32 32 64 64 32 64
∑𝑃𝑌 (𝑦) = 1
8 10 7
(i) 𝑃(𝑋 ≤ 1) = 𝑃(𝑋 = 0) + 𝑃(𝑋 = 1) = 32 + 16 = 8

3 3 11 23
(ii) 𝑃(𝑌 ≤ 3) = 𝑃(𝑌 = 1) + 𝑃(𝑌 = 2) + 𝑃(𝑌 = 3) = 32 + 32 + 64 = 64

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

+ 𝑃(𝑋 = 1, 𝑌 = 2) + 𝑃(𝑋 = 1, 𝑌 = 3)

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1 1 1 1 9
= 0 + 0 + 32 + 16 + 16 + 8 = 32

9
𝑃(𝑋≤1,𝑌<+3) 32 18
(iv) 𝑃(𝑋 ≤ 1/𝑌 ≤ 3) = = 23 = 23
𝑃(𝑌≤3)
64

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

+ 𝑃(𝑋 = 1, 𝑌 = 1) + 𝑃(𝑋 = 1, 𝑌 = 2) + 𝑃(𝑋 = 1, 𝑌 = 3) + 𝑃(𝑋 = 2, 𝑌 = 1)

+ 𝑃(𝑋 = 2, 𝑌 = 2)
1 2 1 1 1 1 1 13
= 0 + 0 + 32 + 32 + 16 + 16 + 8 + 32 + 32 = 32

Example 2: Given is the joint distribution of 𝑋 and 𝑌

𝑌 0 1 2
𝑋
0 0.02 0.08 0.1

1 0.05 0.2 0.25

2 0.03 0.12 0.15

Find (i) marginal distributions (ii) the conditional distributions of 𝑋 given 𝑌 = 0

Solution:

The marginal distribution is

𝑌 0 1 2 𝑃𝑋 (𝑥)
𝑋
0 0.02 0.08 0.10 0.20

1 0.05 0.20 0.25 0.50

2 0.03 0.12 0.15 0.30

𝑃𝑌 (𝑦) 0.10 0.40 0.50 ∑𝑃𝑋 (𝑥) = 1

∑𝑃𝑌 (𝑦) = 1
Now, the marginal distributions of random variable 𝑋are

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

= 0.02 + 0.08 + 0.10 = 0.20

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

= 0.05 + 0.20 + 0.25 = 0.50

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10000301 Probability & Statistics
𝑃(𝑋 = 2) = 𝑃(𝑋 = 2, 𝑌 = 0) + 𝑃(𝑋 = 2, 𝑌 = 1) + 𝑃(𝑋 = 2, 𝑌 = 2)

= 0.03 + 0.12 + 0.15 = 0.30

Now, the marginal distributions of random variable 𝑌 are

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

= 0.02 + 0.05 + 0.03 = 0.10

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

= 0.08 + 0.20 + 0.12 = 0.40

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

= 0.10 + 0.25 + 0.15 = 0.50

The conditional distributions of 𝑋 for 𝑌 = 0

𝑃(𝑋 = 0, 𝑌 = 0) 0.02
𝑃(𝑋 = 0/𝑌 = 0) = = = 0.2
𝑃(𝑌 = 0) 0.10

𝑃(𝑋 = 1, 𝑌 = 0) 0.05
𝑃(𝑋 = 1/𝑌 = 0) = = = 0.5
𝑃(𝑌 = 0) 0.10

𝑃(𝑋 = 2, 𝑌 = 0) 0.03
𝑃(𝑋 = 2/𝑌 = 0) = = = 0.3
𝑃(𝑌 = 0) 0.10

Exercise:

(1) For the joint probability distribution of two random variables 𝑋 and 𝑌 given below:

𝑌 1 2 3 4
𝑋
1 4 3 2 1
36 36 36 36
2 1 3 3 2
36 36 36 36

3 5 1 1 1
36 36 36 36

4 1 2 1 5
36 36 36 36

Find (i) marginal distributions of 𝑋 and 𝑌 (ii) Conditional distributions of 𝑋 given the value of 𝑌 = 1 and that of
𝑌 given the value of 𝑋 = 2.

Ans. (i)

𝑋=𝑥 1 2 3 4
10 9 8 9
𝑃(𝑋 = 𝑥)
36 36 36 36
𝑌=𝑥 1 2 3 4
11 9 7 9
𝑃(𝑌 = 𝑦)
36 36 36 36

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(ii)

𝑋=𝑥 1 2 3 4
4 1 5 1
𝑃(𝑋 = 𝑥/𝑌 = 1)
11 11 11 11

𝑌=𝑦 1 2 3 4
1 1 1 2
𝑃(𝑌 = 𝑦/𝑋 = 2)
9 3 3 9

(2) Let 𝑋 and 𝑌 have the following joint probability distribution:

𝑌 0 1
𝑋
0 0.1 0.15
1 0.2 0.3
2 0.1 0.15

Show that 𝑋 and 𝑌 are independent.

(3) The joint probability distribution of 𝑋 and 𝑌 is given below:

𝑌 1 2 3
𝑋
2 1 1 1
8 24 12
1 1
4 0
4 4

6 1 1 1
8 24 12

4 3
Find 𝑃(𝑋 < 4), 𝑃(𝑌 > 1), 𝑃 (𝑋 < 𝑌 > 1) , 𝑃(2 ≤ 𝑋 ≤ 5, 𝑌 > 1), 𝑃 (𝑌 = 𝑋 = 2) , 𝑃(𝑋 + 𝑌 ≤ 7)

1 1 1 3 1 19
Ans. 4 , 2 , 4 , 8 , 6 , 24

7. Two – Dimensional Continuous Random Variables

• A two-dimensional random variable is said to be continuous if it takes all the values in a specified region
𝑅 in the 𝑥𝑦- plane.

7.1 Joint probability density function

• If (𝑋, 𝑌) is a two – dimensional random variable such that

𝑑𝑥 𝑑𝑥 𝑑𝑦 𝑑𝑦
𝑃 (𝑥 − ≤𝑋≤𝑥+ , 𝑦− ≤ 𝑌 ≤ 𝑦 + ) = 𝑓(𝑥, 𝑦)𝑑𝑥𝑑𝑦
2 2 2 2
Then 𝑓(𝑥, 𝑦) is called the joint probability density function of (𝑥, 𝑦)

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10000301 Probability & Statistics
• Properties:

(1) 𝑓(𝑥, 𝑦) ≥ 0 ∀𝑥, 𝑦

∞ ∞
(2) ∫−∞ ∫−∞ 𝑓(𝑥, 𝑦)𝑑𝑥𝑑𝑦 = 1

𝑑 𝑏
(3) 𝑃(𝑎 ≤ 𝑋 ≤ 𝑏, 𝑐 ≤ 𝑌 ≤ 𝑑) = ∫𝑐 ∫𝑎 𝑓(𝑥, 𝑦)𝑑𝑥𝑑𝑦

7.2 Cumulative Distribution Function

𝑦 𝑥
• If (𝑋, 𝑌) is a two dimensional continuous random variable, then 𝐹𝑋𝑌 (𝑥, 𝑦) = ∫−∞ ∫−∞ 𝑓(𝑥, 𝑦)𝑑𝑥𝑑𝑦 is
called the cumulative distribution function (cdf) of (𝑋, 𝑌).

7.3 Marginal Probability Function

• Let (𝑋, 𝑌) be a two- dimensional continuous random variable which assumes all the values in a specified
region 𝑅 in the 𝑥𝑦 −plane. Then the marginal probability density function of 𝑋 is
∞

𝑓𝑋 (𝑥) = ∫ 𝑓(𝑥, 𝑦)𝑑𝑦

−∞
• The marginal probability density function of 𝑌 is
∞

𝑓𝑌 (𝑦) = ∫ 𝑓(𝑥, 𝑦)𝑑𝑥

−∞

7.4 Conditional Probability Function

• Let (𝑋, 𝑌) be a two- dimensional continuous random variable. Then the conditional continuous density
function of 𝑋 given 𝑌 = 𝑦, denoted by
𝑓(𝑥, 𝑦)
𝑓(𝑥/𝑦) =
𝑓𝑌 (𝑦)
• The conditional probability density function of 𝑌 given 𝑋 = 𝑥, denoted by 𝑓(𝑦/𝑥) is defined as
𝑓(𝑥, 𝑦)
𝑓(𝑦/𝑥) =
𝑓𝑋 (𝑥)
• A necessary and sufficient condition for the continuous random variable 𝑋 and 𝑌 to be independent is

𝑓(𝑥, 𝑦) = 𝑓𝑋 (𝑥)𝑓𝑌 (𝑦)

𝐴𝑒 −(2𝑥+𝑦) ; 𝑥, 𝑦 ≥ 0
Example 1: Two random variables 𝑋 and 𝑌 have the joint pdf 𝑓(𝑥, 𝑦) = {
0 ; 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

Find (i) 𝐴 (ii) matrginal pdf of 𝑋 and 𝑌 (iii) 𝑓(𝑦/𝑥)

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Solution: Since, 𝑓(𝑥, 𝑦) is a pdf.

(i)
∞ ∞

∫ ∫ 𝑓(𝑥, 𝑦)𝑑𝑥𝑑𝑦 = 1
−∞ −∞

∞ ∞

∴ ∫ ∫ 𝐴𝑒 −(2𝑥+𝑦) 𝑑𝑥𝑑𝑦 = 1
0 0

∞ ∞

∴ 𝐴 ∫ [∫ 𝑒 −2𝑥 𝑑𝑥] 𝑒 −𝑦 𝑑𝑦 = 1
0 0

∞ ∞
𝑒 −2𝑥
∴ 𝐴∫ [ ] 𝑒 −𝑦 𝑑𝑦 = 1
−2 0
0

∞
𝐴
∴ − ∫ (−1)𝑒 −𝑦 𝑑𝑦 = 1
2
0

∞
𝐴
∴ ∫ 𝑒 −𝑦 𝑑𝑦 = 1 ⇒ 𝐴 = 2
2
0

2𝑒 −(2𝑥+𝑦) ; 𝑥, 𝑦 ≥ 0
Thus, the joint pdf is 𝑓(𝑥, 𝑦) = {
0 ; 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

(ii) The marginal pdf of 𝑋 is

∞ ∞

𝑓𝑋 (𝑥) = ∫ 𝑓(𝑥, 𝑦)𝑑𝑦 = ∫ 2𝑒 −(2𝑥+𝑦) 𝑑𝑦 = 2𝑒 −2𝑥 , 𝑥 ≥ 0

−∞ 0

Now, the marginal pdf of 𝑌 is

∞ ∞

𝑓𝑌 (𝑥) = ∫ 𝑓(𝑥, 𝑦)𝑑𝑥 = ∫ 2𝑒 −(2𝑥+𝑦) 𝑑𝑥 = 𝑒 −𝑦 , 𝑦 ≥ 0

−∞ 0

(iii)

𝑓(𝑥, 𝑦) 2𝑒 −(2𝑥+𝑦)
𝑓(𝑦/𝑥) = = = 𝑒 −𝑦 , 𝑦 ≥ 0
𝑓𝑋 (𝑥) 2𝑒 −2𝑥

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Example 2: The joint pdf of a two- dimensional random variable (𝑋, 𝑌) is given by
8
𝑥𝑦 ; 1 ≤ 𝑦 ≤ 2, 1 ≤ 𝑥 ≤ 𝑦
𝑓𝑋𝑌 (𝑥, 𝑦) = {9 . Find the marginal density function of 𝑋 and 𝑌.
0 ; 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

Solution:

In the figure, Δ𝐴𝐵𝐶 is the region of the integration.

(i) In Δ𝐴𝐵𝐶, along vertical strip 𝑃𝑄, limits of 𝑦 is 𝑦 = 𝑥 to 𝑦 = 2

So, Marginal density function of 𝑋 is

∞ 28 4
𝑓𝑋 (𝑥) = ∫−∞ 𝑓(𝑥, 𝑦)𝑑𝑦 = ∫𝑥 9 𝑥𝑦𝑑𝑦 = 9 𝑥(4 − 𝑥 2 ), 1 ≤ 𝑥 ≤ 2

(ii) In Δ𝐴𝐵𝐶, along horizontal strip 𝑆𝑇 , limits of 𝑥is 𝑥 = 1 to 𝑥 =

𝑦

So, Marginal density function of 𝑌 is

∞ 𝑦8 4
𝑓𝑌 (𝑦) = ∫−∞ 𝑓(𝑥, 𝑦)𝑑𝑥 = ∫1 9 𝑥𝑦𝑑𝑥 = 9 𝑦(𝑦 2 − 1), 1 ≤ 𝑦 ≤ 2

1
Example 3: The joint pdf of (𝑋, 𝑌) is given by 𝑓(𝑥, 𝑦) = 4 𝑒 −|𝑥|−|𝑦| , −∞ < 𝑥 < ∞, −∞ < 𝑦 < ∞

(i) Are 𝑋 and 𝑌 independent? (ii) Find the probability that 𝑋 ≤ 1 and 𝑌 < 0 .

Solution: Here, |𝑥| = −𝑥, −∞ < 𝑥 ≤ 0 and |𝑥| = 𝑥, 0 ≤ 𝑥 < ∞

Similarly, |𝑦| = −𝑦, −∞ < 𝑦 ≤ 0 and |𝑦| = 𝑦, 0 ≤ 𝑦 < ∞

So,

1 −|𝑥|−|𝑦|
𝑒
4
1 𝑥+𝑦
𝑓(𝑥, 𝑦) = 𝑒 ; −∞ < 𝑥 ≤ 0, −∞ < 𝑦 ≤ 0
4
1 −𝑥−𝑦
{ 4𝑒 ; 0 ≤ 𝑥 < ∞, 0 ≤ 𝑦 < ∞

∞
(i) 𝑓𝑋 (𝑥) = ∫−∞ 𝑓(𝑥, 𝑦)𝑑𝑦
∞ 1
= ∫−∞ 4 𝑒 −|𝑥|−|𝑦| 𝑑𝑦

1 ∞
= 𝑒 −|𝑥| ∫−∞ 𝑒 −|𝑦| 𝑑𝑦
4

1 0 ∞
= 4 𝑒 −|𝑥| [∫−∞ 𝑒 𝑦 𝑑𝑦 + ∫0 𝑒 −𝑦 𝑑𝑦]

1
= 4 𝑒 −|𝑥| [1 + 1]

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1 −|𝑥|
= 2𝑒 , −∞ < 𝑥 < ∞

Similar way,
∞
𝑓𝑌 (𝑦) = ∫−∞ 𝑓(𝑥, 𝑦)𝑑𝑥
∞ 1
= ∫−∞ 4 𝑒 −|𝑥|−|𝑦| 𝑑𝑥

1 ∞
= 4 𝑒 −|𝑦| ∫−∞ 𝑒 −|𝑥| 𝑑𝑥

1 0 ∞
= 4 𝑒 −|𝑦| [∫−∞ 𝑒 𝑥 𝑑𝑥 + ∫0 𝑒 −𝑥 𝑑𝑥]

1
= 4 𝑒 −|𝑦| [1 + 1]

1
= 2 𝑒 −|𝑦| , −∞ < 𝑥 < ∞

1 1 1
Now, 𝑓𝑋 (𝑥). 𝑓𝑌 (𝑦) = 2 𝑒 −|𝑥| . 2 𝑒 −|𝑦| = 4 𝑒 −|𝑥|−|𝑦| = 𝑓(𝑥, 𝑦), −∞ < 𝑥 < ∞, −∞ < 𝑦 < ∞

Hence, 𝑋 and 𝑌 are independent.

0 1
(ii) 𝑃(𝑋 ≤ 1, 𝑌 < 0) = ∫−∞ ∫−∞ 𝑓(𝑥, 𝑦)𝑑𝑥𝑑𝑦

0 1 1
= ∫−∞ ∫−∞ 4 𝑒 −|𝑥|−|𝑦| 𝑑𝑥𝑑𝑦

1 0 0 1
= 4 ∫−∞ 𝑒 −|𝑦| [∫0 𝑒 𝑥 𝑑𝑥 + ∫0 𝑒 −𝑥 𝑑𝑥] 𝑑𝑦

1 0
= 4 ∫−∞ 𝑒 −|𝑦| [1 − 𝑒 −1 + 1]𝑑𝑦

1 0
= 4 (2 − 𝑒 −1 ) ∫−∞ 𝑒 𝑦 𝑑𝑦

1
= 4 (2 − 𝑒 −1 )

Example 3: The joint pdf of a two-dimensional random variable (𝑋, 𝑌)is given by
1
𝑓(𝑥, 𝑦) = 8 (6 − 𝑥 − 𝑦), 0 < 𝑥 < 2, 2 < 𝑦 < 4 . Find (i) 𝑃(𝑋 < 1, 𝑌 < 3) (ii) 𝑃(𝑋 < 1/ 𝑌 < 3)

Solution:
3 1
(i) 𝑃(𝑋 < 1, 𝑌 < 3) = ∫2 ∫0 𝑓(𝑥, 𝑦)𝑑𝑥𝑑𝑦

3 11
= ∫2 ∫0 8 (6 − 𝑥 − 𝑦)𝑑𝑥𝑑𝑦

1 3 1
= 8 ∫2 (6 − 2 − 𝑦) 𝑑𝑦

1 3 11
= 8 ∫2 ( 2 − 𝑦) 𝑑𝑦
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3
1 11 𝑦2
= [ 𝑦− ]
8 2 2 2

3
=8

𝑃(𝑋<1,𝑌<3)
(ii) 𝑃(𝑋 < 1/ 𝑌 < 3) = 𝑃(𝑌<3)

3 2
𝑃(𝑌 < 3) = ∫2 ∫0 𝑓(𝑥, 𝑦)𝑑𝑥𝑑𝑦

3 21
= ∫2 ∫0 8 (6 − 𝑥 − 𝑦)𝑑𝑥𝑑𝑦

1 3
= 8 ∫2 (10 − 2𝑦)𝑑𝑦

1
= 8 [10𝑦 − 𝑦 2 ]32

5
=8

So,
3
𝑃(𝑋<1,𝑌<3) ( ) 3
8
𝑃(𝑋 < 1/ 𝑌 < 3) = = 5 =5
𝑃(𝑌<3) ( )
8

Example 4: The joint pdf of a two- dimensional random variable (𝑋, 𝑌) is given by
𝑥2
𝑥𝑦 2 + ; 0 < 𝑥 < 2, 0 < 𝑦 < 1
𝑓𝑋𝑌 (𝑥, 𝑦) = { 8 . Find (i) 𝑃(𝑋 < 𝑌) (ii) 𝑃(𝑋 + 𝑌 ≤ 1)
0 ; 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

Solution:
1 𝑦
(i) 𝑃(𝑋 < 𝑌) = ∫0 ∫0 𝑓(𝑥, 𝑦)𝑑𝑥𝑑𝑦

1 𝑦 𝑥2
= ∫0 ∫0 (𝑥𝑦 2 + ) 𝑑𝑥𝑑𝑦
8

𝑦
1 𝑥2𝑦2 𝑥3
= ∫0 [ + 24] 𝑑𝑦
2 0

𝑦
1 𝑦4 𝑦3
= ∫0 [ 2 + 24] 𝑑𝑦
0

1
𝑦5 𝑦4 53
= [10 + 96 ] = 480
0

1 1−𝑦
(ii) 𝑃(𝑋 + 𝑌 ≤ 1) = ∫0 ∫0 𝑓(𝑥, 𝑦)𝑑𝑥𝑑𝑦

1 1−𝑦 𝑥2
= ∫0 ∫0 (𝑥𝑦 2 + ) 𝑑𝑥𝑑𝑦
8

1−𝑦
1 𝑥2𝑦2 𝑥3
= ∫0 [ + 24] 𝑑𝑦
2 0

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10000301 Probability & Statistics
1 (1−𝑦)2 𝑦 2 (1−𝑦)3
= ∫0 ( 2 + ) 𝑑𝑦
24

1 1 1
= ∫0 (2 (𝑦 2 − 2𝑦 3 + 𝑦 4 ) + 24 (1 − 𝑦)3 ) 𝑑𝑦

1
1 𝑦3 𝑦4 𝑦5 1 (1−𝑦)4
= [2 ( 3 − + ) + 24 ]
2 5 −4 0

13
= 480

Exercise:

(1) The joint pdf of a two – dimensional random variable (𝑋, 𝑌) is given by

2 ; 0 < 𝑥 < 1,0 < 𝑦 < 1

𝑓(𝑥, 𝑦) = { . Find the marginal density function and conditional density function.
0 ; 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

2𝑥 ; 0<𝑥<1 2(1 − 𝑦) ; 0 < 𝑦 < 1

Ans. (i) 𝑓(𝑥) = { and 𝑓(𝑦) = {
0 ; 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒 0 ; 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
1 1
(ii) 𝑓(𝑦 / 𝑥) = 𝑥 , 0 < 𝑥 < 1 and 𝑓(𝑥/ 𝑦) = 1−𝑦 , 0 < 𝑦 < 1

(2) The joint pdf of (𝑋, 𝑌) is given by 𝑓(𝑥, 𝑦) = 𝑘(𝑥 3 𝑦 + 𝑥𝑦 3 ), 0 ≤ 𝑥 ≤ 2, 0 ≤ 𝑦 ≤ 2.

Find (i) 𝑘 (ii) 𝑓𝑋 (𝑥), 𝑓𝑌 (𝑦) (iii) 𝑓(𝑦/𝑥) , 𝑓(𝑥/𝑦)

1 1 1
Ans. (i) 𝑘 = 16 (ii) 𝑓𝑋 (𝑥) = 8 (𝑥 3 + 2𝑥), 0 ≤ 𝑥 ≤ 2, 𝑓𝑌 (𝑦) = 8 (𝑦 3 + 2𝑦), 0 ≤ 𝑦 ≤ 2

𝑦(𝑥 2 +𝑦 2 ) 𝑥(𝑥 2 +𝑦 2 )
(iii) 𝑓(𝑦/𝑥) = , 0 ≤ 𝑦 ≤ 2 ; 𝑓(𝑥/𝑦)= ,0 ≤ 𝑥 ≤ 2
2(𝑥 2 +2) 2(𝑦 2 +2)

1
(3𝑥 2 + 𝑥𝑦) ; 0 < 𝑥 ≤ 1, 0 < 𝑦 ≤ 2
(3) The joint pdf of (𝑋, 𝑌) is given by 𝑓(𝑥, 𝑦) = {3 .
0 ; 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
65
Find 𝑃(𝑋 + 𝑌 ≥ 1). Ans. 72

𝑥𝑦
(4) The joint pdf of (𝑋, 𝑌) is given by 𝑓(𝑥, 𝑦) = 𝑥 2 + , 0 < 𝑥 < 1, 0 < 𝑦 < 2.
3

1 1 1 5 7 5
Find (i) 𝑃 (𝑋 > 2) (ii) 𝑃(𝑌 < 𝑋) (iii) 𝑃(𝑌 < 2 / 𝑋 < 2) Ans. (i) 6 (ii) 24 (iii) 32

(5) The joint pdf of (𝑋, 𝑌) is given by 𝑓(𝑥, 𝑦) = 𝐴𝑒 −|𝑥|−2|𝑦| . Show that 𝑋 and 𝑌 are independent.

©Gandhinagar Institute of Technology Page | 17

10000301 Probability & Statistics

References:

[1] P.G. Hoel, S.C. Port and C. J. Stone, Introduction to Probability Theory, Universal Book Stall
[2] S. Ross. A First Course in Probability, 6th Ed., Pearson Education India.
[3] W. Feller, An Introduction to Probability Theory and its Applications, Vol.1, Wiley.
[4] D.C. Montogomery and G.C. Runger, Applied Statistics and Probability for Engineers, Wiley
[5] J.L.Devore, Probability and Statistics for Engineering and Sciences, Cengage Learning.
[6] R. R. Singh and M. Bhatt, Probability and Statistics, Mc Graw Hill

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