More than one variable
|
|
- Rodger Owen
- 6 years ago
- Views:
Transcription
1 Chapter More than one variable.1 Bivariate discrete distributions Suppose that the r.v. s X and Y are discrete and take on the values x j and y j, j 1, respectively. Then the joint p.d.f. of X and Y, to be denoted by f X,Y, is defined by: f X,Y (x j,y j ) P(X x j,y y j ) and f X,Y (x,y) 0 when (x,y) (x j,y j ) (i.e., at least one of x or y is not equal to x j or y j, respectively). The marginal distribution of X is defined by the probability function P(X x i ) j P(X x i,y y j ). P(Y y j ) i P(X x i,y y j ). Note that P(X x i ) 0 and i P(X x i) 1. The mean and variance of X can be defined in the usual way. The conditional distribution of X given Y y j is defined by the probability function P(X x i Y y j ) P(X x i,y y j ). P(Y y j ) The conditional mean of X given Y y j is defined by E[X Y y j ] i x i P(X Y y j ). and similarly for the variance: V ar[x Y y j ] E(X 2 Y y j ) (E(X Y y j )) 2. Although the E[X Y y j ] depends on the particular values of Y, it turns out that its average does not, and, indeed, is the same as the E[X]. More precisely, it holds: E[E(X Y )] E[X] and E[E(Y X)] E[Y ]. 1
2 CHAPTER. MORE THAN ONE VARIABLE 2 That is, the expectation of the conditional expectation of X is equal to its expectation, and likewise for Y. The covariance of X and Y is defined by where cov[x,y ] E[(X E[X])(Y E[Y ])] E[XY ] E[X]E[Y ] E[XY ] i x i y j P(X x i,y y j ). j The result obtained next provides the range of values of the covariance of two r.v.s; it is also referred to as a version of the CauchySchwarz inequality. Theorem.1 Cauchy Schwarz inequality 1. Consider the r.v.s X and Y with E[X] E[Y ] 0 and V ar[x] V ar[y ] 1. Then always 1 E[XY ] 1, and E[XY ] 1 if and only if P(X Y ) 1, and E[XY ] 1 if and only if P(X Y ) For any r.v.s X and Y with finite expectations and positive variances σx 2 and σy 2, it always holds: σ Xσ Y Cov(X,Y ) σ X σ Y, and Cov(X,Y ) σ X σ Y if and only if P[Y E[Y ]+ σ Y σ X (X E[X])] 1, Cov(X,Y ) σ X σ Y if and only if P[Y E[Y ] σ Y σ X (X EX)] 1. The correlation coefficient between X and Y is defined by ( )( ) corr[x,y ] E[ X E[X] Y E[Y ] σ X σ Y ] Cov[X,Y ] E[XY ] E[X]E[Y ] σ X σ Y σ X σ Y. The correlation always lies between 1 and +1. Example.1 Let X and Y be two r.v.s with finite expectations and equal (finite) variances, and set U X + Y and V X Y. Calculate if r.v.s U and V are correlated. E[UV ] E[(X + Y )(X Y )] E(X 2 Y 2 ) E[X 2 ] E[Y 2 ] E[U]E[V ] [E(X + Y )][E(X Y )] (E[X] + E[Y ])(E[X] E[Y ]) (E[X]) 2 (E[Y ]) 2 Cov(U,V ) E[UV ] E[U]E[V ] (E[X 2 ] E[X] 2 ) (E[Y 2 ] E[Y ] 2 ) V ar(x) V ar(y ) 0 U and V are uncorrelated. For two r.v.s X and Y with finite expectations, and (positive) standard deviations σ X and σ Y, it holds:
3 CHAPTER. MORE THAN ONE VARIABLE 3 and V ar(x + Y ) σ 2 X + σ 2 Y + 2Cov(X,Y ) V ar(x + Y ) σ 2 X + σ 2 Y if X and Y are uncorrelated. Proof V ar(x + Y ) E[(X + Y ) E(X + Y )] 2 E[(X E[X]) + E(Y E[Y ])] 2 E(X E[X]) 2 + E(Y E[Y ]) 2 + 2E[(X E[X])(Y E[Y ])] σ 2 X + σ 2 Y + 2Cov(X,Y ). Random variables X and Y are said to be independent if P(X x i,y y j ) P(X x i )P(Y y j ). If X and Y are independent then Cov[X,Y ] 0. The converse is NOT true. There exist many pairs of random variables with Cov[X,Y ] 0 which are not independent. Example.2 A fair dice is thrown three times. The result of first throw is scored as X 1 1 if the dice shows 5 or and X 1 0 otherwise; X 2 and X 3 are scored likewise for the second and third throws. Let Y 1 X 1 + X 2 and Y 2 X 1 X 3. Show that P(Y 1 0,Y 2 1) 4. Calculate the remaining probabilities in the bivariate distribution of the pair (Y 1,Y 2 ) and display the joint probabilities in an appropriate table. 1. Find the marginal probability distributions of Y 1 and Y Calculate the means and variances of Y 1 and Y Calculate the covariance of Y 1 and Y Find the conditional distribution of Y 1 given Y Find the conditional mean of Y 1 given Y 2 0.
4 CHAPTER. MORE THAN ONE VARIABLE 4 P(X 1 1) P({5, }) 1, P(X 3 2 1) 1, P(X 3 3) 1 3 For Y 1 to be 0, X 1 and X 2 must be 0. Then Y 2 to be 1, X 3 must be 1. P(Y 1 0,Y 2 1) P(X 1 0)P(X 2 0)P(X 3 1) Y Y Marginal probability distribution of Y 1 : y P(Y 1 y 1 ) Marginal probability distribution of Y 2 : 2. y P(Y 2 y 2 ) E[Y 1 ] E[Y1 2 ] V ar[y 1 ] E[Y 2 1 ] (E[Y 1 ]) ( 2 3 ) E[Y 2 ] E[Y 2 2 ] ( 1) V ar[y 2 ] E[Y 2 2 ] (E[Y 2 ]) Cov[Y 1,Y 2 ] E[Y 1 Y 2 ] E[Y 1 ]E[Y 2 ] E[Y 1 Y 2 ] 1 ( 1)
5 CHAPTER. MORE THAN ONE VARIABLE 5 4. P(Y 1 0 Y 2 0) P(Y 1 0 Y 2 0) P(Y 2 0) P(Y 1 1 Y 2 0) P(Y 1 1 Y 2 0) P(Y 2 0) P(Y 1 2 Y 2 0) P(Y 1 2 Y 2 0) P(Y 2 0) 8 1 8, 1 5. E[Y 1 Y 2 0] Exercises Exercise.1 The random variables X and Y have a joint probability function given by { c(x f(x,y) 2 y + x) x-2,-1,0,1,2 y1,2,3 0 otherwise Determine the value of c. Find P(X > 0) and P(X + Y 0) Find the marginal distributions of X and Y. Find E[X] and V ar[x]. Find E[Y ] and V ar[y ]. Find the conditional distribution of X given Y 1 and E[X Y 1]. Find the probability function for Z X + Y and show that E[Z] E[X] + E[Y ] Find Cov[X,Y ] and show that V ar[z] V ar[x] + V ar[y ] + 2Cov[X,Y ]. Find the correlation between X and Y. Are X and Y independent? Table for the joined probabilities:
6 CHAPTER. MORE THAN ONE VARIABLE X c 0 0 2c c 10c Y 2 c c 0 3c 10c 20c 3 10c 2c 0 4c 14c 30c 18c 3c 0 9c 30c 0c Since the sum of probabilities must add to one, c 1. 0 P(X > 0) 39 0 P(X + Y 0) P(X 2,Y 2) + P(X 1,Y 1) 1 10 Marginal distributions for X: x P(X x) 18/0 3/0 0 9/0 30/0 Marginal distributions for Y : y P(Y y) 10/0 20/0 30/0 E[X] 2 18/0 1 3/ / /0 30/0 1/2 E[X 2 ] ( 2) 2 18/0 + ( 1) 2 3/ / /0 3.4 V ar[x] E[X 2 ] E[X] E[Y ] 1 1/ + 2 1/ /2 14/ 7/3 E[Y 2 ] 1 2 1/ / /2 3/.0 V ar[y ].0 (7/3) 2 5/9 P(X 2 Y 1) 0.2, P(X 1 Y 1) 0, P(X 0 Y 1) 0, P(X 1 Y 1) 0.2, P(X 2 Y 1) 0. E[X Y 1] Z X + Y z P(Z z) ( 2/0 /0 11/0 4/0 9/0 14/0 14/0 E[Z] ) E[X] + E[Y ] 3 0 E[X,Y ] 2 1 2/0 2 2 / / / / / / /0+2 1 / / /0 1 Cov[X,Y ] E[X,Y ] E[X]E[Y ] 1/ E[Z 2 ] 1 84 ( ) 0 0 V ar[z] 84 ( V ar[x] + V ar[y ] + 2Cov[X,Y ] /9 2 1/ corr[x,y ] Cov[X,Y ] 1/ 0.12 V ar[x]v ar[y ] 3. 5/9
7 CHAPTER. MORE THAN ONE VARIABLE 7 X and Y are independent: P(X 1,Y 1) P(X 1)P(Y 1). Exercise.2 The following experiment is carried out. Three fair coins are tossed. Any coins showing heads are removed and the remaining coins are tossed. Let X be the number of heads on the first toss and Y the number of heads on the second toss. Note that if X 3 then Y 0. Find the joint probability function and marginal distributions of X and Y. We have that P(Y y,x x) P(Y y X x)p(x x). Suppose X 0, this has a probability Then Y X 0 has a Binomial distribution with parameters n 3 and p 0.5. Similarly Y X 1 has a Binomial distribution with parameters n 2 and p 0.5. In this way we see we can produce a table of the joint probabilities: X /4 /4 12/4 8/4 /4 Y 1 5/4 12/4 12/4 0 /4 2 3/4 / /4 3 1/ /4 1/8 3/8 3/8 1/8 1 Marginal distribution for X: x P(X x) 1/8 3/8 3/8 1/8 Marginal distribution for Y : y P(Y y) /4 /4 9/4 1/4
Random variables (discrete)
Random variables (discrete) Saad Mneimneh 1 Introducing random variables A random variable is a mapping from the sample space to the real line. We usually denote the random variable by X, and a value that
More informationProperties of Summation Operator
Econ 325 Section 003/004 Notes on Variance, Covariance, and Summation Operator By Hiro Kasahara Properties of Summation Operator For a sequence of the values {x 1, x 2,..., x n, we write the sum of x 1,
More informationRandom Variables. Saravanan Vijayakumaran Department of Electrical Engineering Indian Institute of Technology Bombay
1 / 13 Random Variables Saravanan Vijayakumaran sarva@ee.iitb.ac.in Department of Electrical Engineering Indian Institute of Technology Bombay August 8, 2013 2 / 13 Random Variable Definition A real-valued
More informationChapter 4 continued. Chapter 4 sections
Chapter 4 sections Chapter 4 continued 4.1 Expectation 4.2 Properties of Expectations 4.3 Variance 4.4 Moments 4.5 The Mean and the Median 4.6 Covariance and Correlation 4.7 Conditional Expectation SKIP:
More informationContinuous Random Variables
1 / 24 Continuous Random Variables Saravanan Vijayakumaran sarva@ee.iitb.ac.in Department of Electrical Engineering Indian Institute of Technology Bombay February 27, 2013 2 / 24 Continuous Random Variables
More informationStatistics for Economists Lectures 6 & 7. Asrat Temesgen Stockholm University
Statistics for Economists Lectures 6 & 7 Asrat Temesgen Stockholm University 1 Chapter 4- Bivariate Distributions 41 Distributions of two random variables Definition 41-1: Let X and Y be two random variables
More informationMATHEMATICS 154, SPRING 2009 PROBABILITY THEORY Outline #11 (Tail-Sum Theorem, Conditional distribution and expectation)
MATHEMATICS 154, SPRING 2009 PROBABILITY THEORY Outline #11 (Tail-Sum Theorem, Conditional distribution and expectation) Last modified: March 7, 2009 Reference: PRP, Sections 3.6 and 3.7. 1. Tail-Sum Theorem
More informationf X, Y (x, y)dx (x), where f(x,y) is the joint pdf of X and Y. (x) dx
INDEPENDENCE, COVARIANCE AND CORRELATION Independence: Intuitive idea of "Y is independent of X": The distribution of Y doesn't depend on the value of X. In terms of the conditional pdf's: "f(y x doesn't
More informationUCSD ECE153 Handout #34 Prof. Young-Han Kim Tuesday, May 27, Solutions to Homework Set #6 (Prepared by TA Fatemeh Arbabjolfaei)
UCSD ECE53 Handout #34 Prof Young-Han Kim Tuesday, May 7, 04 Solutions to Homework Set #6 (Prepared by TA Fatemeh Arbabjolfaei) Linear estimator Consider a channel with the observation Y XZ, where the
More information01 Probability Theory and Statistics Review
NAVARCH/EECS 568, ROB 530 - Winter 2018 01 Probability Theory and Statistics Review Maani Ghaffari January 08, 2018 Last Time: Bayes Filters Given: Stream of observations z 1:t and action data u 1:t Sensor/measurement
More information18.440: Lecture 26 Conditional expectation
18.440: Lecture 26 Conditional expectation Scott Sheffield MIT 1 Outline Conditional probability distributions Conditional expectation Interpretation and examples 2 Outline Conditional probability distributions
More informationEECS 126 Probability and Random Processes University of California, Berkeley: Spring 2015 Abhay Parekh February 17, 2015.
EECS 126 Probability and Random Processes University of California, Berkeley: Spring 2015 Abhay Parekh February 17, 2015 Midterm Exam Last name First name SID Rules. You have 80 mins (5:10pm - 6:30pm)
More informationBivariate Distributions
Bivariate Distributions EGR 260 R. Van Til Industrial & Systems Engineering Dept. Copyright 2013. Robert P. Van Til. All rights reserved. 1 What s It All About? Many random processes produce Examples.»
More informationExpectation of Random Variables
1 / 19 Expectation of Random Variables Saravanan Vijayakumaran sarva@ee.iitb.ac.in Department of Electrical Engineering Indian Institute of Technology Bombay February 13, 2015 2 / 19 Expectation of Discrete
More informationRandom Variables. Random variables. A numerically valued map X of an outcome ω from a sample space Ω to the real line R
In probabilistic models, a random variable is a variable whose possible values are numerical outcomes of a random phenomenon. As a function or a map, it maps from an element (or an outcome) of a sample
More informationReview of Probability. CS1538: Introduction to Simulations
Review of Probability CS1538: Introduction to Simulations Probability and Statistics in Simulation Why do we need probability and statistics in simulation? Needed to validate the simulation model Needed
More information6.041/6.431 Fall 2010 Quiz 2 Solutions
6.04/6.43: Probabilistic Systems Analysis (Fall 200) 6.04/6.43 Fall 200 Quiz 2 Solutions Problem. (80 points) In this problem: (i) X is a (continuous) uniform random variable on [0, 4]. (ii) Y is an exponential
More informationJoint Distribution of Two or More Random Variables
Joint Distribution of Two or More Random Variables Sometimes more than one measurement in the form of random variable is taken on each member of the sample space. In cases like this there will be a few
More information2 (Statistics) Random variables
2 (Statistics) Random variables References: DeGroot and Schervish, chapters 3, 4 and 5; Stirzaker, chapters 4, 5 and 6 We will now study the main tools use for modeling experiments with unknown outcomes
More informationBivariate Paired Numerical Data
Bivariate Paired Numerical Data Pearson s correlation, Spearman s ρ and Kendall s τ, tests of independence University of California, San Diego Instructor: Ery Arias-Castro http://math.ucsd.edu/~eariasca/teaching.html
More informationSTOR Lecture 16. Properties of Expectation - I
STOR 435.001 Lecture 16 Properties of Expectation - I Jan Hannig UNC Chapel Hill 1 / 22 Motivation Recall we found joint distributions to be pretty complicated objects. Need various tools from combinatorics
More informationSTAT 430/510 Probability Lecture 7: Random Variable and Expectation
STAT 430/510 Probability Lecture 7: Random Variable and Expectation Pengyuan (Penelope) Wang June 2, 2011 Review Properties of Probability Conditional Probability The Law of Total Probability Bayes Formula
More informationUCSD ECE153 Handout #27 Prof. Young-Han Kim Tuesday, May 6, Solutions to Homework Set #5 (Prepared by TA Fatemeh Arbabjolfaei)
UCSD ECE53 Handout #7 Prof. Young-Han Kim Tuesday, May 6, 4 Solutions to Homework Set #5 (Prepared by TA Fatemeh Arbabjolfaei). Neural net. Let Y = X + Z, where the signal X U[,] and noise Z N(,) are independent.
More informationMath 510 midterm 3 answers
Math 51 midterm 3 answers Problem 1 (1 pts) Suppose X and Y are independent exponential random variables both with parameter λ 1. Find the probability that Y < 7X. P (Y < 7X) 7x 7x f(x, y) dy dx e x e
More informationP (x). all other X j =x j. If X is a continuous random vector (see p.172), then the marginal distributions of X i are: f(x)dx 1 dx n
JOINT DENSITIES - RANDOM VECTORS - REVIEW Joint densities describe probability distributions of a random vector X: an n-dimensional vector of random variables, ie, X = (X 1,, X n ), where all X is are
More informationMultivariate probability distributions and linear regression
Multivariate probability distributions and linear regression Patrik Hoyer 1 Contents: Random variable, probability distribution Joint distribution Marginal distribution Conditional distribution Independence,
More information1 Probability theory. 2 Random variables and probability theory.
Probability theory Here we summarize some of the probability theory we need. If this is totally unfamiliar to you, you should look at one of the sources given in the readings. In essence, for the major
More informationLecture 22: Variance and Covariance
EE5110 : Probability Foundations for Electrical Engineers July-November 2015 Lecture 22: Variance and Covariance Lecturer: Dr. Krishna Jagannathan Scribes: R.Ravi Kiran In this lecture we will introduce
More informationRandom Variables. Cumulative Distribution Function (CDF) Amappingthattransformstheeventstotherealline.
Random Variables Amappingthattransformstheeventstotherealline. Example 1. Toss a fair coin. Define a random variable X where X is 1 if head appears and X is if tail appears. P (X =)=1/2 P (X =1)=1/2 Example
More informationLecture 13 (Part 2): Deviation from mean: Markov s inequality, variance and its properties, Chebyshev s inequality
Lecture 13 (Part 2): Deviation from mean: Markov s inequality, variance and its properties, Chebyshev s inequality Discrete Structures II (Summer 2018) Rutgers University Instructor: Abhishek Bhrushundi
More information5 CORRELATION. Expectation of the Binomial Distribution I The Binomial distribution can be defined as: P(X = r) = p r q n r where p + q = 1 and 0 r n
5 CORRELATION The covariance of two random variables gives some measure of their independence. A second way of assessing the measure of independence will be discussed shortly but first the expectation
More informationM378K In-Class Assignment #1
The following problems are a review of M6K. M7K In-Class Assignment # Problem.. Complete the definition of mutual exclusivity of events below: Events A, B Ω are said to be mutually exclusive if A B =.
More informationProblem Set #5. Econ 103. Solution: By the complement rule p(0) = 1 p q. q, 1 x 0 < 0 1 p, 0 x 0 < 1. Solution: E[X] = 1 q + 0 (1 p q) + p 1 = p q
Problem Set #5 Econ 103 Part I Problems from the Textbook Chapter 4: 1, 3, 5, 7, 9, 11, 13, 15, 25, 27, 29 Chapter 5: 1, 3, 5, 9, 11, 13, 17 Part II Additional Problems 1. Suppose X is a random variable
More informationHomework 5 Solutions
126/DCP126 Probability, Fall 214 Instructor: Prof. Wen-Guey Tzeng Homework 5 Solutions 5-Jan-215 1. Let the joint probability mass function of discrete random variables X and Y be given by { c(x + y) ifx
More information5 Operations on Multiple Random Variables
EE360 Random Signal analysis Chapter 5: Operations on Multiple Random Variables 5 Operations on Multiple Random Variables Expected value of a function of r.v. s Two r.v. s: ḡ = E[g(X, Y )] = g(x, y)f X,Y
More informationconditional cdf, conditional pdf, total probability theorem?
6 Multiple Random Variables 6.0 INTRODUCTION scalar vs. random variable cdf, pdf transformation of a random variable conditional cdf, conditional pdf, total probability theorem expectation of a random
More informationUC Berkeley Department of Electrical Engineering and Computer Science. EE 126: Probablity and Random Processes. Problem Set 8 Fall 2007
UC Berkeley Department of Electrical Engineering and Computer Science EE 6: Probablity and Random Processes Problem Set 8 Fall 007 Issued: Thursday, October 5, 007 Due: Friday, November, 007 Reading: Bertsekas
More informationAppendix A : Introduction to Probability and stochastic processes
A-1 Mathematical methods in communication July 5th, 2009 Appendix A : Introduction to Probability and stochastic processes Lecturer: Haim Permuter Scribe: Shai Shapira and Uri Livnat The probability of
More informationECE 450 Homework #3. 1. Given the joint density function f XY (x,y) = 0.5 1<x<2, 2<y< <x<4, 2<y<3 0 else
ECE 450 Homework #3 0. Consider the random variables X and Y, whose values are a function of the number showing when a single die is tossed, as show below: Exp. Outcome 1 3 4 5 6 X 3 3 4 4 Y 0 1 3 4 5
More informationRandom Variables and Expectations
Inside ECOOMICS Random Variables Introduction to Econometrics Random Variables and Expectations A random variable has an outcome that is determined by an experiment and takes on a numerical value. A procedure
More informationNotes 12 Autumn 2005
MAS 08 Probability I Notes Autumn 005 Conditional random variables Remember that the conditional probability of event A given event B is P(A B) P(A B)/P(B). Suppose that X is a discrete random variable.
More informationProbability Theory and Statistics. Peter Jochumzen
Probability Theory and Statistics Peter Jochumzen April 18, 2016 Contents 1 Probability Theory And Statistics 3 1.1 Experiment, Outcome and Event................................ 3 1.2 Probability............................................
More informationHomework 4 Solution, due July 23
Homework 4 Solution, due July 23 Random Variables Problem 1. Let X be the random number on a die: from 1 to. (i) What is the distribution of X? (ii) Calculate EX. (iii) Calculate EX 2. (iv) Calculate Var
More informationSolutions to Homework Set #6 (Prepared by Lele Wang)
Solutions to Homework Set #6 (Prepared by Lele Wang) Gaussian random vector Given a Gaussian random vector X N (µ, Σ), where µ ( 5 ) T and 0 Σ 4 0 0 0 9 (a) Find the pdfs of i X, ii X + X 3, iii X + X
More informationMATH Notebook 4 Fall 2018/2019
MATH442601 2 Notebook 4 Fall 2018/2019 prepared by Professor Jenny Baglivo c Copyright 2004-2019 by Jenny A. Baglivo. All Rights Reserved. 4 MATH442601 2 Notebook 4 3 4.1 Expected Value of a Random Variable............................
More informationSolutions to Homework Set #5 (Prepared by Lele Wang) MSE = E [ (sgn(x) g(y)) 2],, where f X (x) = 1 2 2π e. e (x y)2 2 dx 2π
Solutions to Homework Set #5 (Prepared by Lele Wang). Neural net. Let Y X + Z, where the signal X U[,] and noise Z N(,) are independent. (a) Find the function g(y) that minimizes MSE E [ (sgn(x) g(y))
More informationRaquel Prado. Name: Department of Applied Mathematics and Statistics AMS-131. Spring 2010
Raquel Prado Name: Department of Applied Mathematics and Statistics AMS-131. Spring 2010 Final Exam (Type B) The midterm is closed-book, you are only allowed to use one page of notes and a calculator.
More informationNotes for Math 324, Part 19
48 Notes for Math 324, Part 9 Chapter 9 Multivariate distributions, covariance Often, we need to consider several random variables at the same time. We have a sample space S and r.v. s X, Y,..., which
More informationLecture 25: Review. Statistics 104. April 23, Colin Rundel
Lecture 25: Review Statistics 104 Colin Rundel April 23, 2012 Joint CDF F (x, y) = P [X x, Y y] = P [(X, Y ) lies south-west of the point (x, y)] Y (x,y) X Statistics 104 (Colin Rundel) Lecture 25 April
More informationBivariate distributions
Bivariate distributions 3 th October 017 lecture based on Hogg Tanis Zimmerman: Probability and Statistical Inference (9th ed.) Bivariate Distributions of the Discrete Type The Correlation Coefficient
More informationFinal Examination Solutions (Total: 100 points)
Final Examination Solutions (Total: points) There are 4 problems, each problem with multiple parts, each worth 5 points. Make sure you answer all questions. Your answer should be as clear and readable
More informationProbability Review. Chao Lan
Probability Review Chao Lan Let s start with a single random variable Random Experiment A random experiment has three elements 1. sample space Ω: set of all possible outcomes e.g.,ω={1,2,3,4,5,6} 2. event
More information1 Random Variable: Topics
Note: Handouts DO NOT replace the book. In most cases, they only provide a guideline on topics and an intuitive feel. 1 Random Variable: Topics Chap 2, 2.1-2.4 and Chap 3, 3.1-3.3 What is a random variable?
More informationLecture 2: Repetition of probability theory and statistics
Algorithms for Uncertainty Quantification SS8, IN2345 Tobias Neckel Scientific Computing in Computer Science TUM Lecture 2: Repetition of probability theory and statistics Concept of Building Block: Prerequisites:
More information1 Basic continuous random variable problems
Name M362K Final Here are problems concerning material from Chapters 5 and 6. To review the other chapters, look over previous practice sheets for the two exams, previous quizzes, previous homeworks and
More information3. General Random Variables Part IV: Mul8ple Random Variables. ECE 302 Fall 2009 TR 3 4:15pm Purdue University, School of ECE Prof.
3. General Random Variables Part IV: Mul8ple Random Variables ECE 302 Fall 2009 TR 3 4:15pm Purdue University, School of ECE Prof. Ilya Pollak Joint PDF of two con8nuous r.v. s PDF of continuous r.v.'s
More informationECE Homework Set 3
ECE 450 1 Homework Set 3 0. Consider the random variables X and Y, whose values are a function of the number showing when a single die is tossed, as show below: Exp. Outcome 1 3 4 5 6 X 3 3 4 4 Y 0 1 3
More informationMA 575 Linear Models: Cedric E. Ginestet, Boston University Revision: Probability and Linear Algebra Week 1, Lecture 2
MA 575 Linear Models: Cedric E Ginestet, Boston University Revision: Probability and Linear Algebra Week 1, Lecture 2 1 Revision: Probability Theory 11 Random Variables A real-valued random variable is
More information2. Variance and Covariance: We will now derive some classic properties of variance and covariance. Assume real-valued random variables X and Y.
CS450 Final Review Problems Fall 08 Solutions or worked answers provided Problems -6 are based on the midterm review Identical problems are marked recap] Please consult previous recitations and textbook
More informationBayesian statistics, simulation and software
Module 1: Course intro and probability brush-up Department of Mathematical Sciences Aalborg University 1/22 Bayesian Statistics, Simulations and Software Course outline Course consists of 12 half-days
More informationFinal Review: Problem Solving Strategies for Stat 430
Final Review: Problem Solving Strategies for Stat 430 Hyunseung Kang December 14, 011 This document covers the material from the last 1/3 of the class. It s not comprehensive nor is it complete (because
More informationHomework 9 (due November 24, 2009)
Homework 9 (due November 4, 9) Problem. The join probability density function of X and Y is given by: ( f(x, y) = c x + xy ) < x
More informationPCMI Introduction to Random Matrix Theory Handout # REVIEW OF PROBABILITY THEORY. Chapter 1 - Events and Their Probabilities
PCMI 207 - Introduction to Random Matrix Theory Handout #2 06.27.207 REVIEW OF PROBABILITY THEORY Chapter - Events and Their Probabilities.. Events as Sets Definition (σ-field). A collection F of subsets
More informationUC Berkeley Department of Electrical Engineering and Computer Science. EE 126: Probablity and Random Processes. Problem Set 9 Fall 2007
UC Berkeley Department of Electrical Engineering and Computer Science EE 26: Probablity and Random Processes Problem Set 9 Fall 2007 Issued: Thursday, November, 2007 Due: Friday, November 9, 2007 Reading:
More informationLet X and Y denote two random variables. The joint distribution of these random
EE385 Class Notes 9/7/0 John Stensby Chapter 3: Multiple Random Variables Let X and Y denote two random variables. The joint distribution of these random variables is defined as F XY(x,y) = [X x,y y] P.
More informationDeviations from the Mean
Deviations from the Mean The Markov inequality for non-negative RVs Variance Definition The Bienaymé Inequality For independent RVs The Chebyeshev Inequality Markov s Inequality For any non-negative random
More informationAlgorithms for Uncertainty Quantification
Algorithms for Uncertainty Quantification Tobias Neckel, Ionuț-Gabriel Farcaș Lehrstuhl Informatik V Summer Semester 2017 Lecture 2: Repetition of probability theory and statistics Example: coin flip Example
More information180B Lecture Notes, W2011
Bruce K. Driver 180B Lecture Notes, W2011 January 11, 2011 File:180Lec.tex Contents Part 180B Notes 0 Course Notation List......................................................................................................................
More informationIntroduction to Computational Finance and Financial Econometrics Probability Review - Part 2
You can t see this text! Introduction to Computational Finance and Financial Econometrics Probability Review - Part 2 Eric Zivot Spring 2015 Eric Zivot (Copyright 2015) Probability Review - Part 2 1 /
More informationJoint probability distributions: Discrete Variables. Two Discrete Random Variables. Example 1. Example 1
Joint probability distributions: Discrete Variables Two Discrete Random Variables Probability mass function (pmf) of a single discrete random variable X specifies how much probability mass is placed on
More informationHW1 (due 10/6/05): (from textbook) 1.2.3, 1.2.9, , , (extra credit) A fashionable country club has 100 members, 30 of whom are
HW1 (due 10/6/05): (from textbook) 1.2.3, 1.2.9, 1.2.11, 1.2.12, 1.2.16 (extra credit) A fashionable country club has 100 members, 30 of whom are lawyers. Rumor has it that 25 of the club members are liars
More informationStatistical Methods in Particle Physics
Statistical Methods in Particle Physics Lecture 3 October 29, 2012 Silvia Masciocchi, GSI Darmstadt s.masciocchi@gsi.de Winter Semester 2012 / 13 Outline Reminder: Probability density function Cumulative
More informationTom Salisbury
MATH 2030 3.00MW Elementary Probability Course Notes Part V: Independence of Random Variables, Law of Large Numbers, Central Limit Theorem, Poisson distribution Geometric & Exponential distributions Tom
More informationCommunication Theory II
Communication Theory II Lecture 5: Review on Probability Theory Ahmed Elnakib, PhD Assistant Professor, Mansoura University, Egypt Febraury 22 th, 2015 1 Lecture Outlines o Review on probability theory
More information18.440: Lecture 28 Lectures Review
18.440: Lecture 28 Lectures 17-27 Review Scott Sheffield MIT 1 Outline Continuous random variables Problems motivated by coin tossing Random variable properties 2 Outline Continuous random variables Problems
More informationEcon 371 Problem Set #1 Answer Sheet
Econ 371 Problem Set #1 Answer Sheet 2.1 In this question, you are asked to consider the random variable Y, which denotes the number of heads that occur when two coins are tossed. a. The first part of
More informationMultivariate Random Variable
Multivariate Random Variable Author: Author: Andrés Hincapié and Linyi Cao This Version: August 7, 2016 Multivariate Random Variable 3 Now we consider models with more than one r.v. These are called multivariate
More informationOutline Properties of Covariance Quantifying Dependence Models for Joint Distributions Lab 4. Week 8 Jointly Distributed Random Variables Part II
Week 8 Jointly Distributed Random Variables Part II Week 8 Objectives 1 The connection between the covariance of two variables and the nature of their dependence is given. 2 Pearson s correlation coefficient
More informationLecture Notes 5 Convergence and Limit Theorems. Convergence with Probability 1. Convergence in Mean Square. Convergence in Probability, WLLN
Lecture Notes 5 Convergence and Limit Theorems Motivation Convergence with Probability Convergence in Mean Square Convergence in Probability, WLLN Convergence in Distribution, CLT EE 278: Convergence and
More information1 Presessional Probability
1 Presessional Probability Probability theory is essential for the development of mathematical models in finance, because of the randomness nature of price fluctuations in the markets. This presessional
More informationChapter 4 Multiple Random Variables
Review for the previous lecture Theorems and Examples: How to obtain the pmf (pdf) of U = g ( X Y 1 ) and V = g ( X Y) Chapter 4 Multiple Random Variables Chapter 43 Bivariate Transformations Continuous
More informationENGG2430A-Homework 2
ENGG3A-Homework Due on Feb 9th,. Independence vs correlation a For each of the following cases, compute the marginal pmfs from the joint pmfs. Explain whether the random variables X and Y are independent,
More informationLecture 4 : Random variable and expectation
Lecture 4 : Random variable and expectation Study Objectives: to learn the concept of 1. Random variable (rv), including discrete rv and continuous rv; and the distribution functions (pmf, pdf and cdf).
More informationCME 106: Review Probability theory
: Probability theory Sven Schmit April 3, 2015 1 Overview In the first half of the course, we covered topics from probability theory. The difference between statistics and probability theory is the following:
More informationLecture 2: Review of Probability
Lecture 2: Review of Probability Zheng Tian Contents 1 Random Variables and Probability Distributions 2 1.1 Defining probabilities and random variables..................... 2 1.2 Probability distributions................................
More informationLecture 11. Probability Theory: an Overveiw
Math 408 - Mathematical Statistics Lecture 11. Probability Theory: an Overveiw February 11, 2013 Konstantin Zuev (USC) Math 408, Lecture 11 February 11, 2013 1 / 24 The starting point in developing the
More informationMultiple Random Variables
Multiple Random Variables This Version: July 30, 2015 Multiple Random Variables 2 Now we consider models with more than one r.v. These are called multivariate models For instance: height and weight An
More information1 Random variables and distributions
Random variables and distributions In this chapter we consider real valued functions, called random variables, defined on the sample space. X : S R X The set of possible values of X is denoted by the set
More informationJointly Distributed Random Variables
Jointly Distributed Random Variables CE 311S What if there is more than one random variable we are interested in? How should you invest the extra money from your summer internship? To simplify matters,
More informationJoint Gaussian Graphical Model Review Series I
Joint Gaussian Graphical Model Review Series I Probability Foundations Beilun Wang Advisor: Yanjun Qi 1 Department of Computer Science, University of Virginia http://jointggm.org/ June 23rd, 2017 Beilun
More informationCovariance and Correlation Class 7, Jeremy Orloff and Jonathan Bloom
1 Learning Goals Covariance and Correlation Class 7, 18.05 Jerem Orloff and Jonathan Bloom 1. Understand the meaning of covariance and correlation. 2. Be able to compute the covariance and correlation
More informationConditional distributions (discrete case)
Conditional distributions (discrete case) The basic idea behind conditional distributions is simple: Suppose (XY) is a jointly-distributed random vector with a discrete joint distribution. Then we can
More informationDiscrete Probability Refresher
ECE 1502 Information Theory Discrete Probability Refresher F. R. Kschischang Dept. of Electrical and Computer Engineering University of Toronto January 13, 1999 revised January 11, 2006 Probability theory
More informationChapter 5 Class Notes
Chapter 5 Class Notes Sections 5.1 and 5.2 It is quite common to measure several variables (some of which may be correlated) and to examine the corresponding joint probability distribution One example
More information2. Suppose (X, Y ) is a pair of random variables uniformly distributed over the triangle with vertices (0, 0), (2, 0), (2, 1).
Name M362K Final Exam Instructions: Show all of your work. You do not have to simplify your answers. No calculators allowed. There is a table of formulae on the last page. 1. Suppose X 1,..., X 1 are independent
More information3 Multiple Discrete Random Variables
3 Multiple Discrete Random Variables 3.1 Joint densities Suppose we have a probability space (Ω, F,P) and now we have two discrete random variables X and Y on it. They have probability mass functions f
More informationMath Spring Practice for the final Exam.
Math 4 - Spring 8 - Practice for the final Exam.. Let X, Y, Z be three independnet random variables uniformly distributed on [, ]. Let W := X + Y. Compute P(W t) for t. Honors: Compute the CDF function
More informationMATH 38061/MATH48061/MATH68061: MULTIVARIATE STATISTICS Solutions to Problems on Random Vectors and Random Sampling. 1+ x2 +y 2 ) (n+2)/2
MATH 3806/MATH4806/MATH6806: MULTIVARIATE STATISTICS Solutions to Problems on Rom Vectors Rom Sampling Let X Y have the joint pdf: fx,y) + x +y ) n+)/ π n for < x < < y < this is particular case of the
More informationExpectation, inequalities and laws of large numbers
Chapter 3 Expectation, inequalities and laws of large numbers 3. Expectation and Variance Indicator random variable Let us suppose that the event A partitions the sample space S, i.e. A A S. The indicator
More informationHomework 10 (due December 2, 2009)
Homework (due December, 9) Problem. Let X and Y be independent binomial random variables with parameters (n, p) and (n, p) respectively. Prove that X + Y is a binomial random variable with parameters (n
More information