Multivariable Distributions

Discrete

Joint Probability Mass Function

For two discrete random variables X and Y, the joint probability of the events A=(X=x) and B=(Y=y) is

P(X=x,Y=y)=P(X=x and Y=y)=P(A∩B)

The function of the joint probability is called the joint probability mass function

f(x)=P(X=x,Y=y)

If and only if:

  1. f(x,y)≥0, ∀x,y
  2. ∑x∑yf(x,y)=1
P((X,Y)∈A)=∑(x,y)∑∈AfX,Y(x,y)

If the random variables X and Y are independent, the joint pmf is the product of the two Marginal Distributions

P(X=x,Y=y)=P(X=x)P(Y=y)=fX(x)fY(y)

Joint Cumulative Distribution

If X and Y are discrete random variables and f(x,y) is the joint PMF of X and Y

F(x,y)=P(X≤x,Y≤y)=∑s≤x∑t≤yf(s,t)     for x,y∈R

Continuous

Joint Probability Density

A bivariate function f(x,y) of continuous random variable X and Y

P[(X,Y)∈A]=∫A∫fX,Y(x,y)dxdy

It can serve as a joint PDF of a pair of continuous random variables X and Y if it satisfies

  1. f(x,y)≥0, for−∞<x<∞
  2. ∫−∞∞∫−∞∞fX,Y(x,y)dxdy=1

*Joint Cumulative Distribution

If X and Y are continuous random variables, the function

F(X,Y)=P(X≤x,Y≤y)=∫−∞y∫−∞xf(s,t)dsdt   x,y∈(−∞,∞)

where f(s,t) is the joint pdf of X and Y at (s,t) is called the joint cumulative distribution of X and Y

Similar to the single-variable functions,

f(x,y)=∂2∂x∂yF(x,y)