4.2 Conditional Distributions and Independence
Definition 4.2.1 Let (X, Y ) be a discrete bivariate random vector with joint pmf f (x, y) and marginal pmfs fX(x) and fY(y). For any x such that P (X = x) = fX(x) > 0, the conditional pmf of Y given that X = x is the function of y denoted by f (y|x) and defined by
f (y|x) = P (Y = y|X = x) = f (x, y) fX(x).
For any y such that P (Y = y) = fY(y) > 0, the conditional pmf of X given that Y = y is the function of x denoted by f (x|y) and defined by
f (x|y) = P (X = x|Y = y) = f (x, y) fY(y) .
It is easy to verify that f (y|x) and f (x|y) are indeed distributions. First, f (y|x) ≥ 0 for every y since f (x, y) ≥ 0 and fX(x) > 0. Second,
X
y
f (y|x) = P
yf (x, y)
fX(x) = fX(x) fX(x) = 1.
Example 4.2.2 (Calculating conditional probabilities) Define the joint pmf of (X, Y ) by
f (0, 10) = f (0, 20) = 2
18, f (1, 10) = f (1, 30) = 3
18, f (1, 20) = 4
18, f (2, 30) = 4 18. The conditional probability
fY |X(10|0) = f (0, 10)
fX(0) = f (0, 10)
f (0, 10) + f (0, 20) = 1 2.
Definition 4.2.3
Let (X, Y ) be a continuous bivariate random vector with joint pdf f (x, y) and marginal pdfs fX(x) and fY(y). For any x such that fX(x) > 0, the conditional pdf of Y given that X = x is the function of y denoted by f (y|x) and defined by
f (x, y)
For any y such that fY(y) > 0, the conditional pdf of X given that Y = y is the function of x denoted by f (x|y) and defined by
f (x|y) = f (x, y) fy(y) .
If g(Y ) is a function of Y , then the conditional expected value of g(Y ) given that X = x is denoted by E(g(Y )|x) and is given by
E(g(Y )|x) =X
y
g(y)f (y|x) and E(g(Y )|x) = Z ∞
−∞
g(y)f (y|x)dy
in the discrete and continuous cases, respectively.
Example 4.2.4 (Calculating conditional pdfs)
Let the continuous random vector (X, Y ) have joint pdf f (x, y) = e−y, 0 < x < y < ∞.
The marginal of X is
fX(x) = Z ∞
−∞
f (x, y)dy = Z ∞
x
e−ydy = e6−x.
Thus, marginally, X has an exponential distribution. The conditional distribution of Y is
f (y|x) = f (x, y) fX(x) =
e−y
e−x = e−(y−x), if y > x,
0
e−x = 0, if y ≤ x The mean of the conditional distribution is
E(Y |X = x) = Z ∞
x
ye−(y−x)dy = 1 + x.
The variance of the conditional distribution is
Var (Y |x) = E(Y2|x) − (E(Y |x))2
= Z ∞
x
y2e−(y−x)dy − ( Z ∞
x
ye−(y−x))2
= 1
In all the previous examples, the conditional distribution of Y given X = x was different for different values of x. In some situations, the knowledge that X = x does not give us any more information about Y than we already had. This important relationship between X and Y is called independence.
Definition 4.2.5 Let (X, Y ) be a bivariate random vector with joint pdf or pmf f (x, y) and marginal pdfs or pmfs fX(x) and fY(y). Then X and Y are called independent random variables if, for EVERY x ∈ R and y ∈ mR,
f (x, y) = fX(x)fY(y).
If X and Y are independent, the conditional pdf of Y given X = x is f (y|x) = f (x, y)
fX(x) = fX(x)fY(y)
fX(x) = fY(y) regardless of the value of x.
Lemma 4.2.7 Let (X, Y ) be a bivariate random vector with joint pdf or pmf f (x, y). Then X and Y are independent random variables if and only if there exist functions g(x) and h(y) such that, for every x ∈ R and y ∈ R,
f (x, y) = g(x)h(y).
Proof: The “only if” part is proved by defining g(x) = fX(x) and h(y) = fY(y). To proved the “if” part for continuous random variables, suppose that f (x, y) = g(x)h(y). Define
Z ∞
−∞
g(x)dx = c and
Z ∞
−∞
h(y)dy = d,
where the constants c and d satisfy cd = (
Z ∞
−∞
g(x)dx)(
Z ∞
−∞
h(y)dy)
= Z ∞
−∞
Z ∞
−∞
g(x)h(y)dxdy
Z Z
Furthermore, the marginal pdfs are given by fX(x) =
Z ∞
−∞
g(x)h(y)dy = g(x)d
and
fY(y) = Z ∞
−∞
g(x)h(y)dx = h(y)c.
Thus, we have
f (x, y) = g(x)h(y) = g(x)h(y)cd = fX(x)fY(y),
showing that X and Y are independent. Replacing integrals with sums proves the lemma for discrete random vectors. ¤
Example 4.2.8 (Checking independence)
Consider the joint pdf f (x, y) = 3841 x2y2e−y−(x/2), x > 0 and y > 0. If we define
g(x) =
x2e−x/2 x > 0
0 x ≤ 0
and
h(y) =
y4e−y/384 y > 0
0 y ≤ 0
then f (x, y) = g(x)h(y) for all x ∈ R and all y ∈ R. By Lemma 4.2.7, we conclude that X and Y are independent random variables.
Theorem 4.2.10 Let X and Y be independent random variables.
(a) For any A ⊂ R and B ⊂ R, P (X ∈ A, Y ∈ B) = P (X ∈ A)P (Y ∈ B); that is, the events {X ∈ A} and {Y ∈ B} are independent events.
(b) Let g(x) be a function only of x and h(y) be a function only of y. Then E(g(X)h(Y )) = (Eg(X))(Eh(Y )).
Proof: For continuous random variables, part (b) is proved by noting that E(g(X)h(Y )) =
Z ∞
−∞
Z ∞
−∞
g(x)h(y)f (x, y)dxdy
= Z ∞
−∞
Z ∞
−∞
g(x)h(y)fX(x)fY(y)dxdy
= ( Z ∞
−∞
g(x)fX(x)dx)(
Z ∞
−∞
h(y)fY(y)dy)
= (Eg(X))(Eh(Y )).
The result for discrete random variables is proved bt replacing integrals by sums.
Part (a) can be proved similarly. Let g(x) be the indicator function of the set A. let h(y) be the indicator function of the set B. Note that g(x)h(y) is the indicator function of the set C ∈ R2 defined by C = {(x, y) : x ∈ A, y ∈ B}. Also note that for an indicator function such as g(x), Eg(X) = P (X ∈ A). Thus,
P (X ∈ A, Y ∈ B) = P ((X, Y ) ∈ C) = E(g(X)h(Y ))
= (Eg(X))(Eh(Y )) = P (X ∈ A)P (Y ∈ B).
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Example 4.2.11 (Expectations of independent variables)
Let X and Y be independent exponential(1) random variables. So
P (X ≥ 4, Y ≤ 3) = P (X ≥ 4)P (Y ≤ 3) = e−4(1 − e−3)/
Letting g(x) = x2 and h(y) = y, we have
E(X2Y ) = E(X2)E(Y ) = (2)(1) = 2.
Theorem 4.2.12 Let X and Y be independent random variables with moment generating functions MX(t) and MY(t). Then the moment generating function of the random variable Z = X + Y is given by
MZ(t) = MX(t)MY(t).
Proof:
MZ(t) = Eet(X+Y ) = (EetX)(EetY) = MX(t)MY(t).
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Theorem 4.2.14 Let X ∼ N(µ, σ2) and Y ∼ N(γ, τ2) be independent normal random vari- ables. Then the random variable Z = X + Y has a N(µ + γ, σ2+ τ2) distribution.
Proof: Using Theorem 4.2.12, we have
MZ(t) = MX(t)MY(t) = exp{(µ + γ)t + (σ2+ τ2)t2/2}.
Hence, Z ∼ N(µ + γ, σ2+ τ2). ¤
