Joint Distribution

Suppose X & Y have the following joint distribution

Y
X

-3
0.1
0.3
0.4

1
3

Sum

2
0.2
0.1
0.3

Sum
4
0.2
0.1
0.3

0.5
0.5

Find Cov(X,Y) - XY and Correlation between X & Y - XY

E(X) = X = 1*0.5 + 3*0.5 = 2
E(Y) = Y = -3*0.4 + 2*0.3 + 4*0.3 = 0.6
E(XY) =

x y
i

* h( xi yi )

=(1)(-3)(0.1) + (1)(2)(0.2) + (1)(4)(0.2)

3)(-3)(0.3) + (3)(2)(0.1) + (3)(4)(0.1)
=0
Thus cov(X,Y) = E(XY) E(X)E(Y) = -1.2
Computation of V(X) = X 2 =
E(X2) = (12)(0.5) + (32)(0.5) = 5
V(X) = E(X2) [E(X)]2 = 5 22 = 1
E(Y2) = 9.6
V(Y) = 9.6 0.62 = 9.6
Cov ( X , Y )

=
XY =
V ( X ) * V (Y )

Cov ( X , Y )

X Y

= -0.4
Thus X and Y are not independent.

Moment of a RV

Let Y be a RV with distribution of f.

The rth moment (Mr) of Y is defined as
Mr = E(Yr).
Thus
mean of Y = E(Y) = M1 = first moment
V(Y) = E(Y2) [E(Y)]2 = M2 (M1)2
Find the first five moment of Y if Y has the following distribution.
yi
-2
1
2
F(yi)
1/2
1/4
1/4
xi f ( xi ) = 0
M1 =
i
2
M2 = x i f ( x i ) =4.5
i

..
..
5
M5 = x i f ( xi ) =45
i

Moment generating function

The moment generating function is defined as the expected value of etY.

MGF: MY(t) = E(ety)

Discrete and Continuous Distributions

Binomial, Normal, Poisson, Exponential distributions

Binomial Distribution
In statistics the binomial distribution describes the
possible number of times that a particular event will
occur in a sequence of observations out of two possible
events. The two events are generally success and
failure.
Eg. (a) The engineer is interested number of non
defective items in a sample of 100 lot.
(b) The doctor studies the number of survivors vs
deaths after treatment for a sample of 200 patients
(c ) A teacher may interest how many heads occurs
when by throwing 100 coins
Eg. Six fair coins are tossed. Let Y= no of heads occur
The p(X=0) = (1-1/2)6 = C (1/2)0(1-1/2)6
P(Y=1) = C (1/2)1(1-1/2)5
6
0

6
1

6
C
2 (1/2)2(1-1/2)4
P(Y=2) =

Y=i
0
1
2
3
4
5
6

P(Y=i)
C (1/2)0(1-1/2)6
C (1/2)1(1-1/2)5
C (1/2)2(1-1/2)4
C (1/2)3(1-1/2)3
C (1/2)4(1-1/2)2
C (1/2)5(1-1/2)1
C (1/2)6(1-1/2)0
6
0

6
1

6
2

6
3

6
4

6
5
6
6

Thus the binomial distribution is the discrete

probability distribution of the number of successes
in a sequence of n independent (yes/no) trials.
If p = probability of success of an experiment then

P(Y = r) = C (p)r(1-p)n-r
n
r

P = Probability of success and n = number of trials

Binomial Distribution

The conditions for a binomial distributions are

The experiment consists of n identical trials

Each trial has only one of the two possible mutually exclusive outcomes,
success or a failure.
The probability of each outcome does not change from trial to trial

Probability distribution (mass) function

In general, if the random variable Y follows the binomial distribution with parameters n and
p,
we write Y ~ B(n, p).
n

The probability of getting exactly k successes is given by Ck (p)k(1-p)n-k , k=0,1,2,.,

n. This is known as probability mass function (or probability distribution function).
1. A family has 6 children. Find the probability that there are (a) 3 boys and 3 girls and (b)
fewer boys than girls. The probability that any child being a boy = .
P(3 boys) = 6C3 (1/2)3* (1-1/2)3 = 5/16
P( no boys = 1 boy + 2boys) = 11/32

2. A multiple choice test has four possible answers to each of 16 questions. A student guesses
the answer to each question, i.e., the probability of getting a correct answer on any given
question is 0.25. What is probability that at least 14 questions be correct?
P(Y>14) = P(Y=14) + p(Y=15) + p(Y=16)
The questions are answered independently if the student's answer to a question in no way
influences his/her answer to another question.

3. It was identified that 1% of all TVs made by Singer Company in 2006 are
defective. If six of these TVs are randomly selected from across a town and tested,
what is the probability that exactly three of them are defective?

Binomial Probability Distribution Table

(n = 6)
---------------------------------------------------------------------------------------Probability
X.....0.1......
..0.2....
.0.3...
..0.4.... .0.5.....0.6.....0.7.....0.8.....0.9
-------------------------------------------------------------------------------------0.....0.531............0.118....................................................
1.....0.354............0.303....................................................
2.....0.098............0.324....................................................
3.....0.0165............0.185....................................................
4.....0.001............0.060....................................................
5.....0.000............0.010....................................................
6.....0.000............0.001....................................................
--------------------------------------------------------------------------------------

Properties of Binomial Distribution

Mean = np
Variance = npq = np(1-p)
SD = np(1 p)

Proof
n

k =0

k =0

n!
p k (1 p ) n k
k =0 r!( n rk )!

P(Y = k ) = nCr p k (1 p)n k = 1 =

n

Mean Y = E(Y) = k *
k =0
n

= k *
k =0

n!
p k (1 p ) n k
k!(n k )!
n( n 1)!
p k (1 p ) n k
k ( k 1)!( n k )!
n(n 1)!

k * k (k 1)!(n k )!( p * p

k 1

)(1 p) n k (k=0 equals to zero)

k =1

( n 1)!
p k 1 (1 p ) n k
= np
k =1 ( k 1)!( n k )!
n

Let m = n - 1 and s = k 1
m

= np

(m1)!

( s)!(m s)! p

s 1

(1 p ) m s

s =0

= np*1
= np

V(X) Home exercise / Assignment

Note:
If X ~ B(n,p) and Y ~ B(m,p) and X & Y are independent then X+Y is also a binominal
distribution with (n+m, p) parameters.
Prove E(mean) & V(mean)
Normal Distribution
The normal distribution, is known as the Gaussian distribution, is an important family of
continuous probability distributions, applicable in many fields. Each member of the family

may be defined by two parameters, namely mean ("average", ) and variance ("variability",
2), respectively.

PDF of the Normal dist. Is: fX(x) =

1
2 2

exp[

( x ) 2
]
2 2

Y ~ N(, 2 ).
The normal distribution also arises in many areas of statistics. The normal distribution is the
most widely used family of distributions in statistics and many statistical tests are based on
the assumption of normality. In probability theory, normal distributions arise as the limiting
distributions of several continuous and discrete families of distributions.

Standard normal distribution

As a consequence of Property 1, it is possible to relate all normal random variables to the
standard normal.
If X ~ N(,2), then Z =

is a standard normal DIRTRIBUTION. Z ~ N(0,1). An

important consequence is that the cdf of a general normal distribution is therefore

Conversely, if Z is a standard normal distribution, Z ~ N(0,1), then
X = Z +
is a normal random variable with mean and variance 2.

P( -1

+1 ) = 68.2

P( -2

+2 ) = 95.4

P( -3

+3 ) = 99.2

The standard normal distribution has been tabulated (usually in the form of value of the
cumulative distribution function ). (see distributed document)

If X is a rV with standard normal distribution . Find

(a) P(X=Z 1.2) =

1 .2

x2

1 2
e dx = 0.8849
2
x2

1 2
e dx
2

1 .2

= 0.5 + 0.3859 = 0.8849

x2

1 2
e dx
2

(b) P(x 1.13) =

1.13

x2

1 2
e dx
2

1.13

=1-

x2

1 2
e dx = 1 0.9082 = 0.0918
2

(2) Let T be the temperature in May & distributed normally with mean 68 and SD 6. Find the
Prob. That the temperature is between 70 & 80
T ~ N (68, 62)

P( 70 T 80 )
= P(

70 68 T - 68 80 68

)
6
6
6

=P(0.33 Z 2)
= P(Z 2) P(Z 0.33)
2

x2

1
e 2 dx 2

0.33

x2

1
e 2 dx
2

= 0.9772 0.6293 = 0.3479

(3) The radius of nails in a sample of 800 is normally distributed with men 66 mm and
standard deviation 5 mm. Find the number of nails with radius between 65 and 70 mm.

Let R be the RV of the radius of nails

P(65 R 70 ) = P(

65 66
5

70 66
5

= P (-0.20 Z 0.80)

Normal approximation

If n is large enough, the skew of the distribution is not too great, and in such situation if Y
distributed B(n, p) then it is approximated that Y distribute normally with mean np, npq

Properties of Normal dis