Bivariate Distribution

Table of contents
  1. Joint Mass Function
  2. Joint Densitity Function
  3. Marginal Mass Function
  4. Marginal Density Function
  5. Independence
    1. With Density Functions?

Joint Mass Function

Let $X$ and $Y$ be two discrete random variables.

  • Discrete case: joint mass function

$$ p_{X,Y}(x,y) = P(X=x, Y=y) $$


Joint Densitity Function

Let $X$ and $Y$ be two continuous random variables.

  • Continuous case: joint density function

$$ f_{X,Y}(x,y) $$

Remember, unlike mass functions, density functions are not probabilities.


Marginal Mass Function

If $X$ and $Y$ are joint distributions with joint function $p_{X,Y}(x,y)$,

  • Discrete case: marginal mass function

$$ p_X(x) = P(X=x) = \sum_{y} p_{X,Y}(x,y) $$


Marginal Density Function

If $X$ and $Y$ are joint distributions with joint density function $f_{X,Y}(x,y)$,

  • Continuous case: marginal density function

$$ f_X(x) = \int f_{X,Y}(x,y) dy $$


Independence

Let $X$ and $Y$ be two random variables.

$X$ and $Y$ are independent if:

$$ P(X=x, Y=y) = P(X=x)P(Y=y) $$

With Density Functions?

Even though density functions are not probabilities, if and only if the following holds for continuous random variables:

$$ f_{X,Y}(x,y) = f_X(x)f_Y(y) $$

then $X$ and $Y$ are independent.

Furthermore

Furthermore, if we can factorize a joint density function $f_{X,Y}(x,y)$ into,

\[f_{X,Y}(x,y) = g(x)h(y)\]

where $g(x)$ and $h(y)$ are not necessarily density functions, then $X$ and $Y$ are independent.