Joint Distributions, Independence

Covariance and Correlation

18.05 Spring 2014

X\Y 1 2 3 4 5 6
1 1/36 1/36 1/36 1/36 1/36 1/36
2 1/36 1/36 1/36 1/36 1/36 1/36
3 1/36 1/36 1/36 1/36 1/36 1/36
4 1/36 1/36 1/36 1/36 1/36 1/36
5 1/36 1/36 1/36 1/36 1/36 1/36
6 1/36 1/36 1/36 1/36 1/36 1/36

January 1, 2017 1 / 28
Joint Distributions
X and Y are jointly distributed random variables.
Discrete: Probability mass function (pmf):

p(xi , yj )

Continuous: probability density function (pdf):

f (x, y )

Both: cumulative distribution function (cdf):

F (x, y ) = P(X ≤ x, Y ≤ y )

January 1, 2017 2 / 28
Discrete joint pmf: example 1

Roll two dice: X = # on first die, Y = # on second die

X takes values in 1, 2, . . . , 6, Y takes values in 1, 2, . . . , 6

Joint probability table:

X\Y 1 2 3 4 5 6
1 1/36 1/36 1/36 1/36 1/36 1/36
2 1/36 1/36 1/36 1/36 1/36 1/36
3 1/36 1/36 1/36 1/36 1/36 1/36
4 1/36 1/36 1/36 1/36 1/36 1/36
5 1/36 1/36 1/36 1/36 1/36 1/36
6 1/36 1/36 1/36 1/36 1/36 1/36

pmf: p(i, j) = 1/36 for any i and j between 1 and 6.

January 1, 2017 3 / 28
Discrete joint pmf: example 2

Roll two dice: X = # on first die, T = total on both dice

X\T 2 3 4 5 6 7 8 9 10 11 12
1 1/36 1/36 1/36 1/36 1/36 1/36 0 0 0 0 0
2 0 1/36 1/36 1/36 1/36 1/36 1/36 0 0 0 0
3 0 0 1/36 1/36 1/36 1/36 1/36 1/36 0 0 0
4 0 0 0 1/36 1/36 1/36 1/36 1/36 1/36 0 0
5 0 0 0 0 1/36 1/36 1/36 1/36 1/36 1/36 0
6 0 0 0 0 0 1/36 1/36 1/36 1/36 1/36 1/36

January 1, 2017 4 / 28
Continuous joint distributions
X takes values in [a, b], Y takes values in [c, d]
(X , Y ) takes values in [a, b] × [c, d].
Joint probability density function (pdf) f (x, y )
f (x, y ) dx dy is the probability of being in the small square.
y
d
Prob. = f (x, y) dx dy

dy

dx

x
a b
January 1, 2017 5 / 28
Properties of the joint pmf and pdf
Discrete case: probability mass function (pmf)
1. 0 ≤ p(xi , yj ) ≤ 1
2. Total probability is 1.
n m
m m
p(xi , yj ) = 1
i=1 j=1

Continuous case: probability density function (pdf)

1. 0 ≤ f (x, y )
2. Total probability is 1.
� d � b
f (x, y ) dx dy = 1
c a

Note: f (x, y ) can be greater than 1: it is a density not a probability.

January 1, 2017 6 / 28
Example: discrete events
Roll two dice: X = # on first die, Y = # on second die.

Consider the event: A = ‘Y − X ≥ 2’

Describe the event A and find its probability.

answer: We can describe A as a set of (X , Y ) pairs:

A = {(1, 3), (1, 4), (1, 5), (1, 6), (2, 4), (2, 5), (2, 6), (3, 5), (3, 6), (4, 6)}.

Or we can visualize it by shading the table:

X\Y 1 2 3 4 5 6
1 1/36 1/36 1/36 1/36 1/36 1/36
2 1/36 1/36 1/36 1/36 1/36 1/36
3 1/36 1/36 1/36 1/36 1/36 1/36
4 1/36 1/36 1/36 1/36 1/36 1/36
5 1/36 1/36 1/36 1/36 1/36 1/36
6 1/36 1/36 1/36 1/36 1/36 1/36

P(A) = sum of probabilities in shaded cells = 10/36.

January 1, 2017 7 / 28
Example: continuous events
Suppose (X , Y ) takes values in [0, 1] × [0, 1].

Uniform density f (x, y ) = 1.

Visualize the event ‘X > Y ’ and find its probability.

answer:
y
1

‘X > Y ’

x
1

The event takes up half the square. Since the density is uniform this
is half the probability. That is, P(X > Y ) = 0.5
January 1, 2017 8 / 28
Cumulative distribution function

Z y Z x
F (x, y ) = P(X ≤ x, Y ≤ y ) = f (u, v ) du dv .
c a

∂2F
f (x, y ) = (x, y ).
∂x∂y
Properties
1. F (x, y ) is non-decreasing. That is, as x or y increases F (x, y )
increases or remains constant.
2. F (x, y ) = 0 at the lower left of its range.
If the lower left is (−∞, −∞) then this means

lim F (x, y ) = 0.
(x,y )→(−∞,−∞)

3. F (x, y ) = 1 at the upper right of its range.

January 1, 2017 9 / 28
Marginal pmf and pdf
Roll two dice: X = # on first die, T = total on both dice.
The marginal pmf of X is found by summing the rows. The marginal
pmf of T is found by summing the columns

X\T 2 3 4 5 6 7 8 9 10 11 12 p(xi )
1 1/36 1/36 1/36 1/36 1/36 1/36 0 0 0 0 0 1/6
2 0 1/36 1/36 1/36 1/36 1/36 1/36 0 0 0 0 1/6
3 0 0 1/36 1/36 1/36 1/36 1/36 1/36 0 0 0 1/6
4 0 0 0 1/36 1/36 1/36 1/36 1/36 1/36 0 0 1/6
5 0 0 0 0 1/36 1/36 1/36 1/36 1/36 1/36 0 1/6
6 0 0 0 0 0 1/36 1/36 1/36 1/36 1/36 1/36 1/6
p(tj ) 1/36 2/36 3/36 4/36 5/36 6/36 5/36 4/36 3/36 2/36 1/36 1

For continuous distributions the marginal pdf fX (x) is found by

integrating out the y . Likewise for fY (y ).
January 1, 2017 10 / 28
Board question

Suppose X and Y are random variables and

(X , Y ) takes values in [0, 1] × [0, 1].
3 2
the pdf is (x + y 2 ).
2
1 Show f (x, y ) is a valid pdf.
2 Visualize the event A = ‘X > 0.3 and Y > 0.5’. Find its
probability.
3 Find the cdf F (x, y ).
4 Find the marginal pdf fX (x). Use this to find P(X < 0.5).
5 Use the cdf F (x, y ) to find the marginal cdf FX (x) and
P(X < 0.5).
6 See next slide

January 1, 2017 11 / 28
Board question continued

6. (New scenario) From the following table compute F (3.5, 4).

X\Y 1 2 3 4 5 6
1 1/36 1/36 1/36 1/36 1/36 1/36
2 1/36 1/36 1/36 1/36 1/36 1/36
3 1/36 1/36 1/36 1/36 1/36 1/36
4 1/36 1/36 1/36 1/36 1/36 1/36
5 1/36 1/36 1/36 1/36 1/36 1/36
6 1/36 1/36 1/36 1/36 1/36 1/36

January 1, 2017 12 / 28
Independence

Events A and B are independent if

P(A ∩ B) = P(A)P(B).

Random variables X and Y are independent if

F (x, y ) = FX (x)FY (y ).

Discrete random variables X and Y are independent if

p(xi , yj ) = pX (xi )pY (yj ).

Continuous random variables X and Y are independent if

f (x, y ) = fX (x)fY (y ).

January 1, 2017 13 / 28
Concept question: independence I

Roll two dice: X = value on first, Y = value on second

X\Y 1 2 3 4 5 6 p(xi )
1 1/36 1/36 1/36 1/36 1/36 1/36 1/6
2 1/36 1/36 1/36 1/36 1/36 1/36 1/6
3 1/36 1/36 1/36 1/36 1/36 1/36 1/6
4 1/36 1/36 1/36 1/36 1/36 1/36 1/6
5 1/36 1/36 1/36 1/36 1/36 1/36 1/6
6 1/36 1/36 1/36 1/36 1/36 1/36 1/6
p(yj ) 1/6 1/6 1/6 1/6 1/6 1/6 1

Are X and Y independent? 1. Yes 2. No

January 1, 2017 14 / 28
Concept question: independence II

Roll two dice: X = value on first, T = sum

X\T 2 3 4 5 6 7 8 9 10 11 12 p(xi )
1 1/36 1/36 1/36 1/36 1/36 1/36 0 0 0 0 0 1/6
2 0 1/36 1/36 1/36 1/36 1/36 1/36 0 0 0 0 1/6
3 0 0 1/36 1/36 1/36 1/36 1/36 1/36 0 0 0 1/6
4 0 0 0 1/36 1/36 1/36 1/36 1/36 1/36 0 0 1/6
5 0 0 0 0 1/36 1/36 1/36 1/36 1/36 1/36 0 1/6
6 0 0 0 0 0 1/36 1/36 1/36 1/36 1/36 1/36 1/6
p(yj ) 1/36 2/36 3/36 4/36 5/36 6/36 5/36 4/36 3/36 2/36 1/36 1

Are X and Y independent? 1. Yes 2. No

January 1, 2017 15 / 28
Concept Question

Among the following pdf’s which are�Zindependent?

�Z (Each of the
ranges is a rectangle chosen so that f (x, y ) dx dy = 1.)

(i) f (x, y ) = 4x 2 y 3 .
(ii) f (x, y ) = 12 (x 3 y + xy 3 ).
(iii) f (x, y ) = 6e
−3x−2y

Put a 1 for independent and a 0 for not-independent.

(a) 111 (b) 110 (c) 101 (d) 100

(e) 011 (f) 010 (g) 001 (h) 000

January 1, 2017 16 / 28
Covariance

Measures the degree to which two random variables vary together,

e.g. height and weight of people.

X , Y random variables with means µX and µY

Cov(X , Y ) = E ((X − µX )(Y − µY )).

January 1, 2017 17 / 28
Properties of covariance

Properties
1. Cov(aX + b, cY + d) = acCov(X , Y ) for constants a, b, c, d.
2. Cov(X1 + X2 , Y ) = Cov(X1 , Y ) + Cov(X2 , Y ).
3. Cov(X , X ) = Var(X )
4. Cov(X , Y ) = E (XY ) − µX µY .
5. If X and Y are independent then Cov(X , Y ) = 0.
6. Warning: The converse is not true, if covariance is 0 the variables
might not be independent.

January 1, 2017 18 / 28
Concept question

Suppose we have the following joint probability table.

Y \X -1 0 1 p(yj )
0 0 1/2 0 1/2
1 1/4 0 1/4 1/2
p(xi ) 1/4 1/2 1/4 1

At your table work out the covariance Cov(X , Y ).

Because the covariance is 0 we know that X and Y are independent

1. True 2. False

Key point: covariance measures the linear relationship between X and

Y . It can completely miss a quadratic or higher order relationship.

January 1, 2017 19 / 28
Board question: computing covariance

Flip a fair coin 12 times.

Let X = number of heads in the first 7 flips

Let Y = number of heads on the last 7 flips.

Compute Cov(X , Y ),

January 1, 2017 20 / 28
Correlation

Like covariance, but removes scale.

The correlation coefficient between X and Y is defined by

Cov(X , Y )
Cor(X , Y ) = ρ = .
σX σY
Properties:
1. ρ is the covariance of the standardized versions of X
and Y .
2. ρ is dimensionless (it’s a ratio).
3. −1 ≤ ρ ≤ 1. ρ = 1 if and only if Y = aX + b with
a > 0 and ρ = −1 if and only if Y = aX + b with a < 0.

January 1, 2017 21 / 28
Real-life correlations

Over time, amount of Ice cream consumption is

correlated with number of pool drownings.

In 1685 (and today) being a student is the most

dangerous profession.

In 90% of bar fights ending in a death the person who

started the fight died.
Hormone replacement therapy (HRT) is correlated

with a lower rate of coronary heart disease (CHD).

January 1, 2017 22 / 28
Correlation is not causation

Edward Tufte: ”Empirically observed covariation is a

necessary but not sufficient condition for causality.”

January 1, 2017 23 / 28
Overlapping sums of uniform random variables

We made two random variables X and Y from overlapping sums of

uniform random variables

For example:

X = X1 + X2 + X3 + X4 + X5
Y = X3 + X4 + X5 + X6 + X7

These are sums of 5 of the Xi with 3 in common.

If we sum r of the Xi with s in common we name it (r , s).

Below are a series of scatterplots produced using R.

January 1, 2017 24 / 28
Scatter plots
(1, 0) cor=0.00, sample_cor=−0.07 (2, 1) cor=0.50, sample_cor=0.48

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0.0 0.2 0.4 0.6 0.8 1.0 0.0 0.5 1.0 1.5 2.0
x x

(5, 1) cor=0.20, sample_cor=0.21 (10, 8) cor=0.80, sample_cor=0.81

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x x
January 1, 2017 25 / 28
Concept question

Toss a fair coin 2n + 1 times. Let X be the number of

heads on the first n + 1 tosses and Y the number on the
last n + 1 tosses.

If n = 1000 then Cov(X , Y ) is:

(a) 0 (b) 1/4 (c) 1/2 (d) 1

(e) More than 1 (f) tiny but not 0

January 1, 2017 26 / 28
Board question

Toss a fair coin 2n + 1 times. Let X be the number of

heads on the first n + 1 tosses and Y the number on the
last n + 1 tosses.

Compute Cov(X , Y ) and Cor(X , Y ).

January 1, 2017 27 / 28
MIT OpenCourseWare
https://ocw.mit.edu

18.05 Introduction to Probability and Statistics

Spring 2014

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