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Conditional Distributions For Continuous Random Variables: Example

This document discusses conditional distributions for continuous random variables. It defines the conditional probability density function, conditional mean, and conditional variance for continuous random variables X and Y. An example is provided to illustrate calculating these quantities given a joint probability density function.

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49 views

Conditional Distributions For Continuous Random Variables: Example

This document discusses conditional distributions for continuous random variables. It defines the conditional probability density function, conditional mean, and conditional variance for continuous random variables X and Y. An example is provided to illustrate calculating these quantities given a joint probability density function.

Uploaded by

wallace120
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 4

12/11/2014

https://onlinecourses.science.psu.edu/stat414/print/book/export/html/117

PublishedonSTAT414/STAT415(https://onlinecourses.science.psu.edu/stat414)
Home>ConditionalDistributionsforContinuousRandomVariables

ConditionalDistributionsforContinuous
RandomVariables
Thusfar,allofourdefinitionsandexamplesconcerneddiscreterandomvariables,butthe
definitionsandexamplescanbeeasilymodifiedforcontinuousrandomvariables.That's
whatwe'lldonow!

Definition.SupposeXandYarecontinuousrandomvariableswithjointprobabilitydensity
functionf(x,y)andmarginalprobabilitydensityfunctionsfX(x)andfY(y),respectively.Then,
theconditionalprobabilitydensityfunctionofYgivenX=xisdefinedas:
f (x, y)
h(y|x) =
f X (x)

providedfX(x)>0.TheconditionalmeanofYgivenX=xisdefinedas:
E(Y |x) =

yh(y|x)dy

TheconditionalvarianceofYgivenX=xisdefinedas:
2

V ar(Y |x) = E{[Y E(Y |x)] |x} =

[y E(Y |x)] h(y|x)dy

or,alternatively,usingtheusualshortcut:
V ar(Y |x) = E[Y

|x] [E(Y |x)]

h(y|x)dy]

2
Y |x

Althoughtheconditionalp.d.f.,mean,andvarianceofX,giventhatY=y,isnotgiven,their
definitionsfollowdirectlyfromthoseabovewiththenecessarymodifications.Let'stakealook
atanexampleinvolvingcontinuousrandomvariables.

Example
SupposethecontinuousrandomvariablesXandYhavethefollowingjointprobabilitydensity
function:

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f (x, y) =

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3

f (x, y) =
2

forx2y1and0<x<1.WhatistheconditionaldistributionofYgivenX=x?

Solution.Wecanusetheformula:
f (x, y)
h(y|x) =
f

(x)

tofindtheconditionalp.d.f.ofYgivenX.But,todoso,weclearlyhaveto
findfX(x),themarginalp.d.f.ofXfirst.Recallthatwecandothatbyintegratingthe
jointp.d.f.f(x,y)overS2,thesupportofY.Here'swhatthejointsupportSlookslike:

So,webasicallyhaveaplane,shapedlikethesupport,floatingataconstant3/2
unitsabovethexyplane.TofindfX(x)then,wehavetointegrate:
3
f (x, y) =
2

overthesupportx2y1.Thatis:
f

(x) =

S2

f (x, y)dy =

1
x

y=1

3
3/2dy = [

y]
2

=
y=x

(1 x )
2

for0<x<1.Now,wecanusethejointp.d.ff(x,y)thatweweregivenandthe
marginalp.d.f.fX(x)thatwejustcalculatedtogettheconditionalp.d.f.ofYgivenX
=x:
3

f (x, y)
h(y|x) =

=
f

(x)

2
3
2

=
2

(1 x )

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0 < x < 1,

y 1

(1 x )

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Thatis,givenx,thecontinuousrandomvariableYisuniformontheinterval(x2,1).
Forexample,ifx=,thentheconditionalp.d.f.ofYis:
1

h(y|1/4) =
1 (1/4)

16
=
15

(15/16)

for1/16y1.And,ifx=,thentheconditionalp.d.f.ofYis:
1
h(y|1/2) =
1 (1/2)

1
2

4
=
3

1 (1/4)

for1/4y1.

WhatistheconditionalmeanofYgivenX=x?

Solution.WecanfindtheconditionalmeanofYgivenX=xjustbyusingthe
definitioninthecontinuouscase.Thatis:

NotethatgiventhattheconditionaldistributionofYgivenX=xistheuniform
distributionontheinterval(x2,1),weshouldn'tbesurprisedthattheexpectedvalue
looksliketheexpectedvalueofauniformrandomvariable!
Let'stakethecasewherex=1/2.Wepreviouslyshowedthattheconditional
distributionofYgivenX=is
1
h(y|1/2) =
1 (1/2)

1
2

4
=
3

1 (1/4)

for1/4y1.Now,weknowthattheconditionalmeanofYgivenX=is:
1 + (1/2)

1
E(Y |

) =
2

https://onlinecourses.science.psu.edu/stat414/print/book/export/html/117

1 + (1/4)
=

5
=

3/4

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Ifwethinkagainoftheexpectedvalueasthefulcrumatwhichtheprobabilitymassis
balanced,ourresultsheremakeperfectsense:

2014ThePennsylvaniaStateUniversity.Allrightsreserved.
SourceURL:https://onlinecourses.science.psu.edu/stat414/node/117

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