ENGR 371: PROBABILITY AND STATISTICS

FOR ENGINEERS
SESSION 2: Continuous Random Variables and Joint
Probability Distributions
 Le Cartier 3410 Peel, Suite B2, Montreal QC, H3A 1H3

Continuous Random Variables and

Probability Distributions
Probability Distributions and Probability Density Functions
Probability density functions are very similar to the probability mass functions, except f(x) is given in the
form of a function due to the continuous random variable. The probability is found by:
𝑋
𝑃(𝑥 < 𝑋) = ∫ 𝑓(𝑥) 𝑑𝑥
−∞

SAMPLE PROBLEM:
Suppose that f(x) = x/8 for 3 < x <5. Determine the following probabilities:

a. 𝑃(𝑋 < 4)
b. 𝑃(𝑋 > 3.5)
c. 𝑃(4 < 𝑋 < 5)
d. 𝑃(𝑋 < 4.5)
e. 𝑃(𝑋 < 3.5 𝑜𝑟 𝑋 > 4.5)

a. b.
4 5
𝑥 𝑥
𝑃(𝑋 < 4) = ∫ 𝑑𝑥 𝑃(𝑋 > 3.5) = ∫ 𝑑𝑥
3 8 3.5 8
2 4 5
𝑥 42 − 32 𝑥2 52 − 3.52
𝑃(𝑋 < 4) = | = 𝑃(𝑋 > 3.5) = | =
16 3 16 16 3.5 16
𝑷(𝑿 < 𝟒) = 𝟎. 𝟒𝟑𝟕𝟓 𝑷(𝑿 > 𝟑. 𝟓) = 𝟎. 𝟕𝟗𝟔𝟗

c. d.
5 4.5
𝑥 𝑥
𝑃(4 < 𝑋 < 5) = ∫ 𝑑𝑥 𝑃(𝑋 < 4.5) = ∫ 𝑑𝑥
4 8 3 8
2 5 4.5
𝑥 52 − 42 𝑥2 4.52 − 32
𝑃(4 < 𝑋 < 5) = | = 𝑃(𝑋 < 4.5) = | =
16 4 16 16 3 16
𝑷(𝟒 < 𝑿 < 𝟓) = 𝟎. 𝟓𝟔𝟐𝟓 𝑷(𝑿 < 𝟒. 𝟓) = 𝟎. 𝟕𝟎𝟑𝟏

e.
3.5 5
𝑥 𝑥
𝑃(𝑋 < 3.5 𝑜𝑟 𝑋 > 4.5) = ∫ 𝑑𝑥 + ∫ 𝑑𝑥
3 8 4.5 8
3.5 5
𝑥2 𝑥2 3.52 − 32 52 − 4.52
𝑃(𝑋 < 3.5 𝑜𝑟 𝑋 > 4.5) = | + | = +
16 3 16 4.5 16 16
𝑷(𝑿 < 𝟑. 𝟓 𝒐𝒓 𝑿 > 𝟒. 𝟓) = 𝟎. 𝟓

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Cumulative Distribution Functions

Similar to the case for discrete random variables. In order to find F(x) from f(x),
∞
𝐹(𝑥) = ∫ 𝑓(𝑥) 𝑑𝑥
−∞

SAMPLE PROBLEM:
Determine the cumulative distribution for the distribution f(x) = x/8 for 3 < x < 5.

∞
𝑥
𝐹(𝑥) = ∫ 𝑑𝑥
−∞ 8
𝑥
𝑥
𝐹(𝑥) = ∫ 𝑑𝑥
3 8
2 𝑥
𝑥 𝑥 2 − 32
𝐹(𝑥) = | =
16 3 16
𝟎 𝒙<𝟑
𝒙𝟐 − 𝟗
𝑭(𝒙) = { 𝟑≤𝒙<𝟓
𝟏𝟔
𝟏 𝟓≥𝒙

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Mean and Variance of a Continuous Random Variable

The mean or expected value is given by:
∞
𝜇 = 𝐸(𝑋) = ∫ 𝑥𝑓(𝑥) 𝑑𝑥
−∞

To find the mean of any function h(X):

∞
𝐸[ℎ(𝑋)] = ∫ ℎ(𝑥)𝑓(𝑥) 𝑑𝑥
−∞

The variance can be found by:

𝑉(𝑋) = 𝜎 2 = 𝐸(𝑋 2 ) − [𝐸(𝑋)]2

SAMPLE PROBLEM:
Suppose f(x) = 1.5x2 for −1 < x < 1. Determine the mean and variance of X.

Mean:
∞
𝐸(𝑥) = ∫ 𝑥𝑓(𝑥) 𝑑𝑥
−∞
1
𝐸(𝑥) = ∫ 𝑥(1.5𝑥 2 ) 𝑑𝑥
−1
1
𝐸(𝑥) = ∫ 1.5𝑥 3 𝑑𝑥 = 0.375𝑥 4 |1−1
−1
𝐸(𝑥) = 0.375𝑥 4 |1−1 = 0.375(14 − (−1)4 )
𝑬(𝒙) = 𝟎

Variance:

𝑉(𝑋) = 𝐸(𝑥 2 ) − [ 𝐸(𝑥)]2

∞
𝐸(𝑥 2 ) = ∫ 𝑥 2 𝑓(𝑥) 𝑑𝑥
−∞
1
𝐸(𝑥 2 ) = ∫ 𝑥 (1.5𝑥 2 ) 𝑑𝑥
2
−1
1
1
𝐸(𝑥 2 ) = ∫ 1.5𝑥 4 𝑑𝑥 = 0.3𝑥 5 |−1
−1
2) 1 𝑉(𝑋) = 0.6 − 02
𝐸(𝑥 = 0.3𝑥 5 |−1 = 5
0.3(1 − (−1)5 ) 𝑽(𝑿) = 𝟎. 𝟔
2)
𝐸(𝑥 = 0.6

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Continuous Uniform Distribution

This is analogous to the discrete form in which all values of x will give the same probability.

1
𝑓(𝑥) = ,𝑎 ≤ 𝑥 ≤ 𝑏
𝑏−𝑎

𝑎 + 𝑏 2 (𝑏 − 𝑎)2
𝜇= ,𝜎 =
2 12

SAMPLE PROBLEM:
The thickness of a flange on an aircraft component is uniformly distributed between 0.95 and 1.05
millimeters.

a. Determine the cumulative distribution function of flange thickness.

b. Determine the proportion of flanges that exceeds 1.02 millimeters.
c. What thickness is exceeded by 90% of the flanges?
d. Determine the mean and variance of flange thickness.

Given:
a = 0.95
b = 1.05

a. Cumulative Distribution Function

b.
1 1
𝑓(𝑥) = = 𝑃(𝑋 > 1.02) = 1 − 𝑃(𝑋 ≤ 1.02)
𝑏 − 𝑎 1.05 − 0.95 𝑃(𝑋 > 1.02) = 1 − [10(1.02) − 9.5]
𝑓(𝑥) = 10
𝑷(𝑿 > 𝟏. 𝟎𝟐) = 𝟎. 𝟑
𝑥
𝐹(𝑥) = ∫ 10 𝑑𝑥 c.
𝑥
0.95 𝑃(𝑋 > 𝑥) = 0.90
𝐹(𝑥) = 10𝑥|−0.95 = 10(𝑥 + 0.95) 1 − 𝐹(𝑥) = 0.90
𝟎 𝒙 < 𝟎. 𝟗𝟓 𝐹(𝑥) = 0.10
𝑭(𝒙) = {𝟏𝟎𝒙 + 𝟗. 𝟓 𝟎. 𝟗𝟓 ≤ 𝒙 < 𝟏. 𝟎𝟓 10𝑥 − 9.5 = 0.10
𝟏 𝟏. 𝟎𝟓 ≥ 𝒙 𝒙 = 𝟎. 𝟗𝟔

d. Mean and Variance:

𝑎+𝑏 (𝑏 − 𝑎)2
𝐸(𝑋) = 𝑉(𝑋) =
2 12
0.95 + 1.05 (1.05 − 0.95)2
𝐸(𝑋) = 𝑉(𝑋) =
2 12
𝑬(𝑿) = 𝟏. 𝟎𝟎 𝑽(𝑿) = 𝟎. 𝟎𝟎𝟎𝟖𝟑

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Normal Distribution
This is the widely used model for continuous random variables.
𝑥2 −(𝑥−𝜇)2⁄
1
𝑃(𝑥1 ≤ 𝑋 ≤ 𝑥2 ) = ∫ 𝑒 2𝜎 2 𝑑𝑥
√2𝜋𝜎 𝑥1

Standard Normal Distribution

The normal distribution can be standardized by using the following:

𝑋−𝜇
𝑍=
𝜎
𝑧2
𝑃(𝑧1 ≤ 𝑍 ≤ 𝑧2 ) = ∫ 𝑓(𝑧) 𝑑𝑧
𝑧1

The probabilities of for the conditions on Z can be found using the z table.

SAMPLE PROBLEM:
The compressive strength of sample of cement can be modeled by a normal distribution with a mean of
6000 kilograms per square centimeter and a standard deviation of 100 kilograms per square centimeter.

a. What is the probability that a sample’s strength is less than 6250 kg/cm2?
b. What is the probability that a sample’s strength is between 5800 and 5900 kg/cm2?
c. What strength is exceeded by 95% of the samples?

Given:
μ = 6000
σ = 100

a. c.
6250 − 𝜇 𝑥 − 6000
𝑃(𝑋 < 6250) = 𝑃 (𝑍 < ) 𝑃(𝑋 > 𝑥) = 𝑃 (𝑍 > ) = 0.95
𝜎 100
6250 − 6000 𝑥 − 6000
𝑃(𝑋 < 6250) = 𝑃 (𝑍 < ) 𝑃(𝑋 > 𝑥) = 1 − 𝑃 (𝑍 < ) = 0.05
100 100
𝑃(𝑋 < 6250) = 𝑃(𝑍 < 2.5) 𝑥 − 6000
𝑷(𝑿 < 𝟔𝟐𝟓𝟎) = 𝟎. 𝟗𝟗𝟑𝟕𝟗𝟎 −1.64 =
100
𝒙 = 𝟓𝟖𝟑𝟔
b.
5800 − 6000 5900 − 6000
𝑃(5800 < 𝑋 < 5900) = 𝑃 ( <𝑍< )
100 100
𝑃(5800 < 𝑋 < 5900) = 𝑃(−2 < 𝑍 < −1)
𝑃(5800 < 𝑋 < 5900) = 𝑃(𝑍 < −1) − 𝑃(𝑍 < −2)
𝑃(5800 < 𝑋 < 5900) = 0.158655 − 0.022750
𝑷(𝟓𝟖𝟎𝟎 < 𝑿 < 𝟓𝟗𝟎𝟎) = 𝟎. 𝟏𝟑𝟓𝟗𝟎𝟓

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Normal Approximation to the Binomial and Poisson Distribution

If a discrete variable binomial or Poisson distribution have a very large sample size, it may be very
difficult to calculate a given probability. Therefore it would necessary to approximate such a distribution
using a normal approximation.

𝑋 + 𝑘 − 𝑛𝑝 𝑋+𝑘−𝜆
𝑍= ,𝑍 =
√𝑛𝑝𝑞 √𝜆

The value for k is dependent on the continuity correction, which can be found by:

 P(X ≤ x) → k = 0.5
 P(X < x) → k = −0.5
 P(X ≥ x) → k = −0.5
 P(X > x) → k = 0.5

SAMPLE PROBLEM:
There were 49.7 million people with some type of long-lasting condition or disability living in the United
States in 2000. This represented 19.3 percent of the majority of civilians aged five and over
(http://factfinder.census.gov). A sample of 1000 persons is selected at random.

a. Approximate the probability that more than 200 persons in the sample have a disability.
b. Approximate the probability that between 180 and 300 people in the sample have a disability.
Given:
p = 0.193
n = 1000

a.
𝑋 + 𝑘 − 𝑛𝑝
𝑃(𝑋 > 200) = 𝑃 (𝑍 > )
√𝑛𝑝𝑞
200 + 0.5 − 1000(0.193)
𝑃(𝑋 > 200) = 1 − 𝑃 (𝑍 ≤ )
√1000(0.193)(1 − 0.193)
𝑃(𝑋 > 200) = 1 − 𝑃(𝑍 ≤ 0.6)
𝑃(𝑋 > 200) = 1 − 0.725747
𝑷(𝑿 > 𝟐𝟎𝟎) = 𝟎. 𝟐𝟕𝟒𝟐𝟓𝟑

b.
𝑃(180 < 𝑋 < 300) = 𝑃(𝑋 < 300) − 𝑃(𝑋 ≤ 180)
300 − 0.5 − 1000(0.193) 180 + 0.5 − 1000(0.193)
𝑃(180 < 𝑋 < 300) = 𝑃 (𝑍 < ) − 𝑃 (𝑋 ≤ )
√1000(0.193)(1 − 0.193) √1000(0.193)(1 − 0.193)
𝑃(180 < 𝑋 < 300) = 𝑃(𝑍 < 8.53) − 𝑃(𝑋 ≤ −1.00)
𝑃(180 < 𝑋 < 300) = 1 − 0.158655
𝑷(𝟏𝟖𝟎 < 𝑿 < 𝟑𝟎𝟎) = 𝟎. 𝟖𝟒𝟏𝟑𝟒𝟓

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 Le Cartier 3410 Peel, Suite B2, Montreal QC, H3A 1H3

SAMPLE PROBLEM:
Suppose that the number of asbestos particles in a sample of 1 squared centimeter of dust is a Poisson
random variable with a mean of 1000. What is the probability that 10 squared centimeters of dust
contains more than 10,000 particles?

Given:
λ = 1000/1 cm2 = 10000/10 cm2

𝑋+𝑘−𝜆
𝑃(𝑋 > 10000) = 𝑃 (𝑍 > )
√𝜆
10000 − 0.5 − 10000
𝑃(𝑋 > 10000) = 1 − 𝑃 (𝑍 ≤ )
√10000
𝑃(𝑋 > 10000) = 1 − 𝑃(𝑍 ≤ 0)
𝑃(𝑋 > 10000) = 1 − 0.5
𝑷(𝑿 > 𝟏𝟎𝟎𝟎𝟎) = 𝟎. 𝟓

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Exponential Distribution
The probability that an event will occur within time t.

1 −𝛽𝑥
𝑓(𝑥) = 𝑒
𝛽

There are two important properties for this type of distribution:

1. Memoryless property in which the probability does not care of what happened previously done.
2. Relates to the Poisson distribution, in which:

1
𝜆=
𝛽

SAMPLE PROBLEM:
The time between arrivals of taxis at a busy intersection is exponentially distributed with a mean of 10
minutes.

a. What is the probability that you wait longer than one hour for a taxi?
b. Suppose you have already been waiting for one hour for a taxi. What is the probability that one
arrives within the next 10 minutes?
c. Determine x such that the probability that you wait more than x minutes is 0.10.
d. What is the probability that the taxi will arrive in less than 1 hour, given that you waited for 20
minutes?

Given:
β = 10 minutes

a. c.
∞ ∞
1 −𝛽𝑥 1 −𝑥
𝑃(𝑋 > 60) = ∫ 𝑒 𝑑𝑥 𝑃(𝑋 > 𝑥) = ∫ 𝑒 10 𝑑𝑥
−∞ 𝛽 𝑥 10
∞
1 −𝑥 𝑥 ∞
−
𝑃(𝑋 > 60) = ∫ 𝑒 10 𝑑𝑥 −𝑒 10 | = 0.10
60 10
𝑥
𝑥
𝑥 ∞ 60 −
0 + 𝑒 10 =0.10
𝑃(𝑋 > 60) = −𝑒 −10 | = 0 + 𝑒 −10
60 𝒙 = 𝟐𝟑. 𝟎𝟑 𝒎𝒊𝒏𝒖𝒕𝒆𝒔
𝟎. 𝟎𝟎𝟐𝟓𝑷(𝑿 > 𝟔𝟎) = 𝟎. 𝟎𝟎𝟐𝟓

b. d.
10 40
1 −𝑥 1 −𝑥
𝑃(𝑋 < 10) = ∫ 𝑒 10 𝑑𝑥 𝑃(𝑋 < 60|𝑋 > 20) = 𝑃(𝑋 < 40) = ∫ 𝑒 10 𝑑𝑥
0 10 0 10
𝑥 10 10 𝑥 40 40
𝑃(𝑋 < 10) = −
−𝑒 10 | = −𝑒 −
10 +1 𝑃(𝑋 < 60|𝑋 > 20) = −𝑒 −10 | = −𝑒 −10 + 1
0 0
𝑷(𝑿 < 𝟏𝟎) = 𝟎. 𝟔𝟑𝟐𝟏 𝑷(𝑿 < 𝟔𝟎|𝑿 > 𝟐𝟎) = 𝟎. 𝟗𝟖𝟏𝟕

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Joint Probability Distributions

Discrete Random Variables:
𝑓𝑋𝑌 (𝑥, 𝑦) = 𝑃(𝑋 = 𝑥, 𝑌 = 𝑦)

Marginal Probability Distribution

The marginal probability distribution is the probability mass function for only one variable.

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

𝑦 𝑥

𝜇𝑋 = 𝐸(𝑋) = ∑ 𝑥𝑓𝑋 (𝑥) 𝜇𝑌 = 𝐸(𝑌) = ∑ 𝑦𝑓𝑌 (𝑦)

𝑥 𝑦
𝜎𝑋2 = 𝐸(𝑋 2 ) − [𝐸(𝑋)]2 𝜎𝑌2 = 𝐸(𝑌 2 ) − [𝐸(𝑌)]2

Conditional Probability Distribution

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

𝜇𝑌|𝑋 = 𝐸(𝑌|𝑋) = ∑ 𝑦𝑓𝑌|𝑋 (𝑦)

𝑦

2 2
𝜎𝑌|𝑋 = ∑ 𝑦 2 𝑓𝑌|𝑋 (𝑦) − 𝜇𝑌|𝑋
𝑦

Method of Solving:

1. Create a table with X and Y and all possible outcomes with its respective probabilities. Include a
row and column for the total values.
2. Mark the relevant boxes depending on the probability.
3. Add up all the probabilities of the marked boxes.

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SAMPLE PROBLEM:
Determine the value of c that makes the function f(x, y) = c(x + y) a joint probability mass function over
the nine points with x = 1, 2, 3 and y = 1, 2, 3. Determine the following:

a. 𝑃(𝑋 = 1, 𝑌 < 4)
b. 𝑃(𝑋 = 1)
c. 𝑃(𝑌 = 2)
d. 𝑃(𝑋 < 2, 𝑌 < 2)
e. 𝐸(𝑋), 𝐸(𝑌), 𝑉(𝑋), and 𝑉(𝑌)
f. Marginal probability distribution of the random variable X
g. Conditional probability distribution of Y given that X = 1
h. Conditional probability distribution of X given that Y = 2
i. 𝐸(𝑌|𝑋 = 1)
j. Are X and Y independent?

Given:
f(x, y) = c(x + y)

Y Y
1 2 3 Total 1 2 3 Total
X X
1 2c 3c 4c 9c 36𝑐 = 1 1 2/36 3/36 4/36 9/36
𝟏
2 3c 4c 5c 12c 𝒄= 2 3/36 4/36 5/36 12/36
𝟑𝟔

3 4c 5c 6c 15c 3 4/36 536 636 15/36

Total 9c 12c 15c 36c Total 9/36 12/36 15/36 1

a. c.
2 3 4 12
𝑃(𝑋 = 1, 𝑌 < 4) = + + 𝑃(𝑌 = 2) =
36 36 36 36
𝟏 𝟏
𝑷(𝑿 = 𝟏, 𝒀 < 𝟒) = 𝑷(𝒀 = 𝟐) =
𝟒 𝟑

b. d.
9 2
𝑃(𝑋 = 1) = 𝑃(𝑋 < 2, 𝑌 < 2) =
36 36
𝟏 𝟏
𝑷(𝑿 = 𝟏) = 𝑷(𝑿 < 𝟐, 𝒀 < 𝟐) =
𝟒 𝟏𝟖

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Y
1 2 3 Total e.
X
1 2/36 3/36 4/36 9/36 X 1 2 3
fX(x) 9/36 12/36 15/36
2 3/36 4/36 5/36 12/36
Y 1 2 3
3 4/36 536 636 15/36 fY(y) 9/36 12/36 15/36

Total 9/36 12/36 15/36 1

𝐸(𝑋 2 ) = ∑ 𝑋 2 𝑓𝑋 (𝑥)
𝐸(𝑋) = ∑ 𝑥𝑓𝑋 (𝑥)
9 12 15
9 12 15 𝐸(𝑋 2 ) = 12 ( ) + 22 ( ) + 32 ( )
𝐸(𝑋) = 1 ( ) + 2( ) + 3( ) 36 36 36
36 36 36 16
𝑬(𝑿) = 𝟐. 𝟏𝟔𝟕 2)
𝐸(𝑋 =
3
Similarly,
𝑉(𝑋) = 𝐸(𝑋 2 ) − [𝐸(𝑋)]2
𝑬(𝒀) = 𝟐. 𝟏𝟔𝟕 16
𝑉(𝑋) = − 2.1672
3
𝑽(𝑿) = 𝟎. 𝟔𝟑𝟕

Similarly,
𝑽(𝒀) = 𝟎. 𝟔𝟑𝟕

f.

X 1 2 3
fX(x) 9/36 12/36 15/36

g. h.
𝑃(𝑋 = 1, 𝑌) 𝑃(𝑋, 𝑌 = 2)
𝑃(𝑌|𝑋 = 1) = 𝑃(𝑋|𝑌 = 2) =
𝑃(𝑋 = 1) 𝑃(𝑌 = 2)
𝑃(𝑋 = 1, 𝑌) 𝑃(𝑋, 𝑌 = 2)
𝑃(𝑌|𝑋 = 1) = 𝑃(𝑋|𝑌 = 2) =
9/36 12/36

Y 1 2 3 X 1 2 3
P(Y|X = 1) 2/9 1/3 4/9 P(X|Y = 2) 1/4 1/3 5/12

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i.
Y 1 2 3
P(Y|X = 1) 2/9 1/3 4/9

𝐸(𝑌|𝑋 = 1) = ∑ 𝑦𝑃(𝑌|𝑋 = 1)
2 1 4
𝐸(𝑌|𝑋 = 1) = 1 ( ) + 2 ( ) + 3 ( )
9 3 9
𝟐𝟎
𝑬(𝒀|𝑿 = 𝟏) =
𝟗

j.
𝑓𝑋𝑌 (𝑥, 𝑦) = 𝑓𝑋 (𝑥)𝑓𝑌 (𝑦)

Y
1 2 3
X
1 1/16

Since the first entry doesn’t give the same value

as the original table, X and Y are NOT
INDEPENDENT.

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Continuous Random Variables

𝑃((𝑋, 𝑌) ∈ 𝐴) = ∬ 𝑓𝑋𝑌 (𝑥, 𝑦) 𝑑𝑥𝑑𝑦

𝐴

Marginal Probability Distribution

Similar to that for discrete random variables, except it becomes the probability density function for one
variable.

𝑓𝑋 (𝑥) = ∫ 𝑓𝑋𝑌 (𝑥, 𝑦) 𝑑𝑦 𝑓𝑌 (𝑦) = ∫ 𝑓𝑋𝑌 (𝑥, 𝑦) 𝑑𝑦

𝑦 𝑥

𝜇𝑋 = ∫ 𝑥𝑓𝑋 (𝑥) 𝑑𝑦 𝜇𝑌 = ∫ 𝑦𝑓𝑌 (𝑦) 𝑑𝑦

𝑥 𝑦
𝜎𝑋2 = 𝐸(𝑋 2 ) − [𝐸(𝑋)]2 𝜎𝑌2 = 𝐸(𝑌 2 ) − [𝐸(𝑌)]2

Conditional Probability Distribution

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

𝜇𝑌|𝑋 = 𝐸(𝑌|𝑋) = ∫ 𝑦𝑓𝑌|𝑋 (𝑦)𝑑𝑦

𝑦

2 2
𝜎𝑌|𝑋 = ∫ 𝑦 2 𝑓𝑌|𝑋 (𝑦)𝑑𝑦 − 𝜇𝑌|𝑋
𝑦

Independence
𝑓(𝑥, 𝑦) = 𝑓(𝑥)𝑓(𝑦)

Method of Solving:

1. Sketch the boundaries for integration based on the boundaries for x and y.
2. Set up the boundaries of integration based on the inequalities.
3. Integrate.

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SAMPLE PROBLEM:
Determine the value of c that makes the function f(x, y) = cxy a joint density function over the range 0 <
x < 3 and 0 < y < x. Determine the following:

a. 𝑃(𝑋 < 1, 𝑌 < 2)

b. 𝑃(1 < 𝑋 < 2)
c. 𝑃(𝑌 > 1)
d. 𝐸(𝑋)
e. 𝐸(𝑌)
f. Marginal probability distribution of X
g. Conditional probability distribution of Y given X = 1
h. 𝐸(𝑌|𝑋 = 1)
i. 𝑃(𝑌 > 2|𝑋 = 1)
j. Conditional probability distribution of X given Y = 2

Given: 3 𝑥
y ∫ ∫ 𝑐𝑥𝑦 𝑑𝑦 𝑑𝑥 = 1
f(x, y) = cxy
0 0
3 𝑥
𝑦2
0<x<3 y=x 𝑐 ∫ 𝑥 | 𝑑𝑥 = 1
0 2 0
y<x 3 3
1 𝑥
𝑐∫ 𝑑𝑥 = 1
0 2
x 𝑥4
3

1 2 3 𝑐 | =1
8 0
34
𝑐 =1
8
𝟖
𝒄=
𝟖𝟏
a. b.
8 1 𝑥 8 2 𝑥
𝑃(𝑋 < 1, 𝑌 < 2) = ∫ ∫ 𝑥𝑦 𝑑𝑦 𝑑𝑥 𝑃(1 < 𝑋 < 2) = ∫ ∫ 𝑥𝑦 𝑑𝑦 𝑑𝑥
81 0 0 81 1 0
𝑥
8 1 𝑦2
𝑥 8 2 𝑦2
𝑃(𝑋 < 1, 𝑌 < 2) = ∫ 𝑥 | 𝑑𝑥 𝑃(𝑋 < 1, 𝑌 < 2) = ∫ 𝑥 | 𝑑𝑥
81 0 2 0 81 1 2 0
2
4 1 4
𝑃(𝑋 < 1, 𝑌 < 2) = ∫ 𝑥 3 𝑑𝑥 𝑃(𝑋 < 1, 𝑌 < 2) = ∫ 𝑥 3 𝑑𝑥
81 0 81 1
2
4 𝑥4
1 4 𝑥4
𝑃(𝑋 < 1, 𝑌 < 2) = | 𝑃(𝑋 < 1, 𝑌 < 2) = |
81 4 0 81 4 1
𝟏 1 4
𝑷(𝑿 < 𝟏, 𝒀 < 𝟐) = 𝑃(𝑋 < 1, 𝑌 < 2) = (2 − 1)
𝟖𝟏 81
𝟓
𝑷(𝑿 < 𝟏, 𝒀 < 𝟐) =
𝟐𝟕

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y c.
8 3 𝑥
𝑃(𝑌 > 1) = ∫ ∫ 𝑥𝑦 𝑑𝑦 𝑑𝑥
81 1 1
y=x 𝑥
8 3 𝑦2
𝑃(𝑌 > 1) = ∫ 𝑥 | 𝑑𝑥
1 81 1 2 1
3
4
x 𝑃(𝑌 > 1) = ∫ 𝑥 3 − 𝑥 𝑑𝑥
81 1
3 3
4 𝑥4 𝑥2
𝑃(𝑌 > 1) = ( − )|
81 4 2 1
4 3 − 1 32 − 1
4
𝑃(𝑌 > 1) = ( − )
81 4 2
𝑷(𝒀 > 𝟏) = 𝟎. 𝟕𝟗𝟎𝟏

d.
𝑥 3

𝑓𝑋 (𝑥) = ∫ 𝑓𝑋𝑌 (𝑥, 𝑦) 𝑑𝑦 𝐸(𝑋) = ∫ 𝑥𝑓𝑋 (𝑥) 𝑑𝑥

0 0
𝑥 3
8 4
𝑓𝑋 (𝑥) = ∫ 𝑥𝑦 𝑑𝑦 𝐸(𝑋) = ∫ 𝑥(𝑥 3 ) 𝑑𝑦
81 81
0 0
4 3
𝑓𝑋 (𝑥) = 𝑥𝑦 2 |0𝑥 4
81 𝐸(𝑋) = ∫ 𝑥 4 𝑑𝑦
4 3 81
𝑓𝑋 (𝑥) = 𝑥 0
81 4 𝑥5
3
𝐸(𝑋) = |
81 5 0
4 35
𝐸(𝑋) =
81 5
𝑬(𝑿) = 𝟐. 𝟒
e.
3 3

𝑓𝑌 (𝑦) = ∫ 𝑓𝑋𝑌 (𝑥, 𝑦) 𝑑𝑥 𝐸(𝑌) = ∫ 𝑦𝑓𝑌 (𝑦) 𝑑𝑦

𝑦 0
3 3
8 4
𝑓𝑌 (𝑦) = ∫ 𝑥𝑦 𝑑𝑥 𝐸(𝑌) = ∫ 𝑦(9𝑦 − 𝑦 3 ) 𝑑𝑦
81 81
𝑦 0
3
4 4
𝑓𝑌 (𝑦) = 𝑦𝑥 2 |3𝑦 𝐸(𝑌) = ∫ 9𝑦 2 − 𝑦 4 𝑑𝑦
81 81
4 0
𝑓𝑌 (𝑦) = 𝑦(9 − 𝑦 2 ) 3
81 4 9𝑦 3 𝑦 5
4 𝐸(𝑌) = ( − )|
𝑓𝑌 (𝑦) = (9𝑦 − 𝑦 3 ) 81 3 5 0
81 3
4 9(3) 35
𝐸(𝑌) = ( − )
81 3 5
𝑬(𝒀) = 𝟏. 𝟔

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y f.
𝟒 𝟑
𝒇𝑿 (𝒙) = 𝒙 ,𝟎 < 𝒙 < 𝟑
𝟖𝟏
y=x
g.
1
𝑓𝑋𝑌 (1, 𝑦)
𝑓𝑌|𝑋=1 (𝑦) =
x 𝑓𝑋 (1)
1 3 8
(1)𝑦
𝑓𝑌|𝑋=1 (𝑦) = 81
4
(1)3
81
𝒇𝒀|𝑿=𝟏 (𝒚) = 𝟐𝒚, 𝟎 < 𝒚 < 𝟏

h. i.
1
𝑷(𝒀 > 𝟐|𝑿 = 𝟏) = 𝟎
𝐸(𝑌|𝑋 = 1) = ∫ 𝑦𝑓𝑌|𝑋=1 (𝑦) 𝑑𝑦
0
1 Impossible since y < x.
𝐸(𝑌|𝑋 = 1) = ∫ 𝑦(2𝑦) 𝑑𝑦
0
1
𝐸(𝑌|𝑋 = 1) = ∫ 2𝑦 2 𝑑𝑦
0
2
𝐸(𝑌|𝑋 = 1) = 𝑦 3 |10
3
𝟐
𝑬(𝒀|𝑿 = 𝟏) =
𝟑

j.
𝑓𝑋𝑌 (𝑥, 2)
𝑓𝑋|𝑌=2 (𝑥) =
𝑓𝑌 (2)
8
𝑓𝑋|𝑌=2 (𝑥) = 81 𝑥(2)
4 3
81 (9(2) − 2 )
𝒇𝑿|𝒀=𝟐 (𝒙) = 𝟎. 𝟒

j.
𝑓𝑋𝑌 (𝑥, 2)
𝑓𝑋|𝑌=2 (𝑥) =
𝑓𝑌 (2)
8
𝑓𝑋|𝑌=2 (𝑥) = 81 𝑥(2)
4 3
81 (9(2) − 2 )
𝒇𝑿|𝒀=𝟐 (𝒙) = 𝟎. 𝟒

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Covariance
𝜎𝑋𝑌 = 𝐸(𝑋𝑌) − 𝐸(𝑋)𝐸(𝑌)

Correlation
𝜎𝑋𝑌
𝜌𝑋𝑌 =
𝜎𝑋 𝜎𝑌

SAMPLE PROBLEM:
Determine the covariance and correlation for the following joint probability distribution:

Given:

Y
3 4 5 6 Total
X
X 1 2 4
1 1/8 1/4 0 0 3/8
fX(x) 3/8 1/2 1/8
2 0 0 1/2 0 1/2
Y 3 4 5 6
fY(y) 1/8 1/4 1/2 1/8
4 0 0 0 1/8 1/8

Total 1/8 1/4 1/2 1/8 1

𝐸(𝑋) = ∑ 𝑥𝑓𝑋 (𝑥) 𝐸(𝑌) = ∑ 𝑦𝑓𝑌 (𝑦)

3 1 1 1 1 1 1
𝐸(𝑋) = 1 ( ) + 2 ( ) + 4 ( ) 𝐸(𝑌) = 3 ( ) + 4 ( ) + 5 ( ) + 6 ( )
8 2 8 8 4 2 8
𝐸(𝑋) = 1.875 𝐸(𝑌) = 4.625

𝐸(𝑋𝑌) = ∑ ∑ 𝑥𝑦𝑓𝑋𝑌 (𝑥, 𝑦) Covariance:

1 1 1 1
𝐸(𝑋𝑌) = 1(3) ( ) + 1(4) ( ) + 2(5) ( ) + 4(6) ( ) 𝜎𝑋𝑌 = 𝐸(𝑋𝑌) − 𝐸(𝑋)𝐸(𝑌)
8 4 2 8 𝜎𝑋𝑌 = 9.375 − 1.875(4.625)
𝐸(𝑋𝑌) = 9.375
𝝈𝑿𝒀 = 𝟎. 𝟕𝟎𝟑𝟏𝟐𝟓

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𝐸(𝑋 2 ) = ∑ 𝑥 2 𝑓𝑋 (𝑥) 𝐸(𝑌 2 ) = ∑ 𝑦 2 𝑓𝑌 (𝑦)

3 1 1 1 1 1 1
𝐸(𝑋 2 ) = 12 ( ) + 22 ( ) + 42 ( ) 𝐸(𝑌 2 ) = 32 ( ) + 42 ( ) + 52 ( ) + 62 ( )
8 2 8 8 4 2 8
𝐸(𝑋 2 ) = 4.375 𝐸(𝑌 2 ) = 22.125

𝑉(𝑋) = 𝐸(𝑋 2 ) − [𝐸(𝑋)]2 𝑉(𝑌) = 𝐸(𝑌 2 ) − [𝐸(𝑌)]2

𝑉(𝑋) = 4.375 − 1.8752 𝑉(𝑋) = 22.125 − 4.6252
𝑉(𝑋) = 0.8594 𝑉(𝑋) = 0.7344

Correlation:

𝜎𝑋𝑌
𝜌𝑋𝑌 =
𝜎𝑋 𝜎𝑌
0.703125
𝜌𝑋𝑌 =
√0.8594√0.7344
𝝆𝑿𝒀 = 𝟎. 𝟖𝟖𝟓𝟎

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SAMPLE PROBLEM:
Determine the value for c and the covariance and correlation for the joint probability density function
fXY(x, y) = cxy over the range 0 < x < 3 and 0 < y < x.

y 3 𝑥 3
∫ ∫ 𝑐𝑥𝑦 𝑑𝑦 𝑑𝑥 = 1
0 0
𝐸(𝑋) = ∫ 𝑥𝑓𝑋 (𝑥) 𝑑𝑥
3 2 𝑥
𝑦 0
3
y=x 𝑐∫ 𝑥 | 𝑑𝑥 = 1
0 2 0 4
3 3
𝐸(𝑋) = ∫ 𝑥(𝑥 3 ) 𝑑𝑦
𝑥 81
𝑐∫ 𝑑𝑥 = 1 0
3
x 0 2 4
3
𝑥4 𝐸(𝑋) = ∫ 𝑥 4 𝑑𝑦
3 𝑐 | =1 81
8 0 0
3
34 4 𝑥5
𝑐 =1 𝐸(𝑋) = |
8 81 5 0
8 4 35
𝑐= 𝐸(𝑋) =
81 81 5
𝐸(𝑋) = 2.4
3 3 𝑥
𝐸(𝑌) = ∫ 𝑦𝑓𝑌 (𝑦) 𝑑𝑦 𝐸(𝑋𝑌) = ∫ ∫ 𝑥𝑦𝑓𝑋𝑌 (𝑥, 𝑦) 𝑑𝑦 𝑑𝑥
0 0
0
3 8 3 𝑥 2 2
4 𝐸(𝑋𝑌) = ∫ ∫ 𝑥 𝑦 𝑑𝑦 𝑑𝑥
𝐸(𝑌) = ∫ 𝑦(9𝑦 − 𝑦 3 ) 𝑑𝑦 81 0 0
𝑥
81 8 3 2 𝑦3
0 𝐸(𝑋𝑌) = ∫ 𝑥 | 𝑑𝑥
3 81 0 3 0
4
𝐸(𝑌) = ∫ 9𝑦 2 − 𝑦 4 𝑑𝑦 8 3 2 𝑦3
𝑥
81 𝐸(𝑋𝑌) = ∫ 𝑥 | 𝑑𝑥
0 81 0 3 0
3
4 9𝑦 3 𝑦 5 3
𝐸(𝑌) = ( − )| 8
81 3 5 0 𝐸(𝑋𝑌) = ∫ 𝑥 5 𝑑𝑥
243 0
3
4 9(3) 35 3
𝐸(𝑌) = ( − ) 8 𝑥6
81 3 5 𝐸(𝑋𝑌) = |
243 6 0
𝐸(𝑌) = 1.6
8 36
𝐸(𝑋𝑌) =
243 6
𝐸(𝑋𝑌) = 4

Covariance:

𝜎𝑋𝑌 = 𝐸(𝑋𝑌) − 𝐸(𝑋)𝐸(𝑌)

𝜎𝑋𝑌 = 4 − 2.4(1.6)
𝝈𝑿𝒀 = 𝟎. 𝟏𝟔

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3 3

𝐸(𝑋 2 ) = ∫ 𝑥 2 𝑓𝑋 (𝑥) 𝑑𝑥 𝐸(𝑌 2 ) = ∫ 𝑦 2 𝑓𝑌 (𝑦) 𝑑𝑦

0 0
3 3
4 4
𝐸(𝑋 2 ) = ∫ 𝑥 2 (𝑥 3 ) 𝑑𝑦 𝐸(𝑌 2 ) = ∫ 𝑦 2 (9𝑦 − 𝑦 3 ) 𝑑𝑦
81 81
0 0
3 3
4 4
𝐸(𝑋 2 ) = ∫ 𝑥 5 𝑑𝑦 𝐸(𝑌 2 ) = ∫ 9𝑦 3 − 𝑦 5 𝑑𝑦
81 81
0 0
6 3 3
2
4 𝑥 2
4 9𝑦 4 𝑦 6
𝐸(𝑋 ) = | 𝐸(𝑌 ) = ( − )|
81 6 0 81 4 6 0
4 36 4 9(3) 4
36
𝐸(𝑋 2 ) = 𝐸(𝑌 2 ) = ( − )
81 6 81 4 6
𝐸(𝑋 2 ) = 6 𝐸(𝑌 2 ) = 3

𝑉(𝑋) = 𝐸(𝑋 2 ) − [𝐸(𝑋)]2 𝑉(𝑌) = 𝐸(𝑌 2 ) − [𝐸(𝑌)]2

𝑉(𝑋) = 6 − 2.42 𝑉(𝑋) = 3 − 1.62
𝑉(𝑋) = 0.24 𝑉(𝑋) = 0.44

Correlation:

𝜎𝑋𝑌
𝜌𝑋𝑌 =
𝜎𝑋 𝜎𝑌
0.16
𝜌𝑋𝑌 =
√0.24√0.44
𝝆𝑿𝒀 = 𝟎. 𝟒𝟗𝟐𝟒

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Common Joint Distributions

Multinomial Probability Distribution

For a binomial distribution with multiple discrete random variables, this is referred to as the
MULTINOMIAL DISTRIBUTION, which is defined as:

𝑛! 𝑥 𝑥 𝑥
𝑃(𝑋1 = 𝑥1 , 𝑋2 = 𝑥2 , … , 𝑋𝑘 = 𝑥𝑘 ) = 𝑝 1 𝑝 2 … 𝑝𝑘 𝑘
𝑥1 ! 𝑥2 ! … 𝑥𝑘 ! 1 2

The mean and variance are defined as:

𝐸(𝑋𝑖 ) = 𝑛𝑝𝑖

𝑉(𝑋𝑖 ) = 𝑛𝑝𝑖 (1 − 𝑝𝑖 )

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SAMPLE PROBLEM:
Four electronic ovens that were dropped during shipment are inspected and classified as containing
either a major, a minor, or no defect. In the past, 60% of dropped ovens had a major defect, 30% had a
minor defect, and 10% had no defect. Assume that the defects on the four ovens occur independently.

a) Is the probability distribution of the count of ovens in each category multinomial? Why or why
not?
b) What is the probability that, of the four dropped ovens, two have a major defect and two have a
minor defect?
c) What is the probability that no oven has a defect?

Determine the following:

d) The joint probability mass function of the number of ovens with a major defect and the number
with a minor defect
e) The expected number of ovens with a major defect
f) The expected number of ovens with a minor defect
g) The conditional probability that two ovens have major defects given that two ovens have minor
defects
h) The conditional probability that three ovens have major defects given that two ovens have
minor defects
i) The conditional probability distribution of the number of ovens with major defects given that
two ovens have minor defects
j) The conditional mean of the number of ovens with major defects given that two ovens have
minor defects.

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Linear Functions of Random Variables

If a given function Y becomes a function of a set of random variables, ie:

𝑌 = 𝑐1 𝑋1 + 𝑐2 𝑋2 +

The mean can be found by:

𝐸(𝑌) = 𝐸(𝑐1 𝑋1 ) + 𝐸(𝑐2 𝑋2 )

𝐸(𝑌) = 𝑐1 𝐸(𝑋1 ) + 𝑐2 𝐸(𝑋2 )

The variance can be found by:

𝑉(𝑌) = 𝑉(𝑐1 𝑋1 ) + 𝑉(𝑐2 𝑋2 ) + 2cov(𝑐1 𝑋1 , 𝑐2 𝑋2 )

𝑉(𝑌) = 𝑐12 𝑉(𝑋1 ) + 𝑐22 𝑉(𝑋2 ) + 2𝑐1 𝑐2 cov(𝑋1 , 𝑋2 )

Note that for more than two variables, the equation for variance must include all possible combinations
of variables. Also note that the mean of a constant is the value of the constant and the variance of a
constant is zero.

SAMPLE PROBLEM:
Making handcrafted pottery generally takes two major steps: wheel throwing and firing. The time of
wheel throwing and the time of firing are normally distributed random variables with means of 40 min
and 60 min and standard deviations of 2 min and 3 min, respectively.

a) What is the probability that a piece of pottery will be finished within 95 min?
b) What is the probability that it will take longer than 110 min?

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