Multivariate Random Function
Definition
Suppose X X X and Y Y Y are r . v r.v r.v defined on the sample space S S S,
- Joint
C
D
F
CDF
CDF of
X
X
X and
Y
Y
Y:
F ( x , y ) = P ( X ≤ x , Y ≤ y ⏟ i n t e r s e c t i o n o f 2 e v e n t s ) ∀ ( x , y ) ∈ R 2 F(x,y)=P(\underbrace{X\le x,Y\le y}_{intersection\space of\space 2\space events})\forall(x,y)\in\R^2 F(x,y)=P(intersection of 2 events X≤x,Y≤y)∀(x,y)∈R2 - Marginal
P
D
F
PDF
PDF of
X
X
X and
Y
Y
Y: (holds for both discrete and continuous
r
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v
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r.v.
r.v.)
F 1 ( x ) / F x ( x ) = lim y → ∞ F ( x , y ) = P ( X ≤ x ) , ∀ x ∈ R F_1(x)/F_x(x)= \lim\limits_{y\rarr \infty}F(x,y)=P(X\le x),\forall x\in \R F1(x)/Fx(x)=y→∞limF(x,y)=P(X≤x),∀x∈R
F 2 ( y ) / F y ( y ) = lim x → ∞ F ( x , y ) = P ( Y ≤ y ) , ∀ y ∈ R F_2(y)/F_y(y)= \lim\limits_{x\rarr \infty}F(x,y)=P(Y\le y),\forall y\in \R F2(y)/Fy(y)=x→∞limF(x,y)=P(Y≤y),∀y∈R- For discrete
r
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v
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r.v.
r.v.,
- f x ( x ) = P ( X = x ) = ∑ a l l y f ( x , y ) ∀ x ∈ R f_x(x)=P(X=x)=\displaystyle\sum_{all\space y}f(x,y)\forall x\in\R fx(x)=P(X=x)=all y∑f(x,y)∀x∈R
- f y ( y ) = P ( Y = y ) = ∑ a l l x f ( x , y ) ∀ y ∈ R f_y(y)=P(Y=y)=\displaystyle\sum_{all\space x}f(x,y)\forall y\in\R fy(y)=P(Y=y)=all x∑f(x,y)∀y∈R
- For continuous
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v
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r.v.
r.v.,
- f x ( x ) = ∫ − ∞ ∞ f ( x , y ) d y ∀ x ∈ R f_x(x)=\int_{-\infty}^{\infty}f(x,y)dy\forall x\in\R fx(x)=∫−∞∞f(x,y)dy∀x∈R
- f y ( y ) = ∫ − ∞ ∞ f ( x , y ) d x ∀ y ∈ R f_y(y)=\int_{-\infty}^{\infty}f(x,y)dx\forall y\in\R fy(y)=∫−∞∞f(x,y)dx∀y∈R
- For discrete
r
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v
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r.v.
r.v.,