Question

Problem 1.32. Prove that if (X, Y) have pdf f(x, y), then Y has pdf fr(y)-Jf (x, y) dr and the distribution of X, conditional on Y, has condi- tional pdf f(yf(x, y)/fy (y)
0 0
Add a comment Improve this question Transcribed image text
Answer #1

replace x with y to pdf of Y

Theorem 6. Let X and Y be continuously distributed with the joint PDF fx,y(x,y). The marginal PDF of X is given by Remark. To compute the marginal PDF of X, one has to integrate out y for every value of Proof. Let Fx,y denote the joint CDF of X and Y. From (1 Ex(x) lim FX,Y(x,y) = lim x,y (u, )dvdu fx.y(u, v)dvdu Next dr where the result in the last line follows from the fact that da

2)

Theorem Suppose that random variables X andY are independent. Then the conditional distribution of Y given X is the same as the marginal (unconditional) distribution of Y Remark. The result implies that, when X and Y are independent, one cannot improve the description of the behavior of Y by relying on the information in X since the two random variables are fully unrelated. Proof. The result follows immediately from the definition of the conditional PMF or PDF. In the discrete case, let pyjx, pxy,px and py denote the conditional PMF of X, the joint PMF of Y and X, the marginal PMF of X and the marginal PMF of Y respectively. We have px,y (r, y) px(x) Px(r) py(y), = where the second equality follows from independence of X and Y, which implies that the joint PMF is equal to the product of marginal PMFs. In the continuous case, the proof is identical with PMFs replaced by PDFs.

Add a comment
Know the answer?
Add Answer to:
Problem 1.32. Prove that if (X, Y) have pdf f(x, y), then Y has pdf fr(y)-Jf...
Your Answer:

Post as a guest

Your Name:

What's your source?

Earn Coins

Coins can be redeemed for fabulous gifts.

Not the answer you're looking for? Ask your own homework help question. Our experts will answer your question WITHIN MINUTES for Free.
Similar Homework Help Questions
ADVERTISEMENT
Free Homework Help App
Download From Google Play
Scan Your Homework
to Get Instant Free Answers
Need Online Homework Help?
Ask a Question
Get Answers For Free
Most questions answered within 3 hours.
ADVERTISEMENT
ADVERTISEMENT