Chapte 3 Multivariate Random Variables 多元随机变量3章多元随机变量多元随机变量.pptVIP

Chapter 3 Multivariate Random Variables The Joint cdf for Two random variables Continuous joint distributions and density functions * * 1.n-dimensional variables n random variables X1，X2，...,Xn compose a n-dimensional vector (X1,X2,...,Xn), and the vector is named n-dimensional variables or random vector. 2. Joint distribution of random vector Define function F(x1,x2,…xn)= P(X1≤x1,X2 ≤ x2,...,Xn ≤ xn) the joint distribution function of random vector (X1,X2,...,Xn). 3.1 Two-Dimensional Random Variables Definition 3.1-P53 Let (X, Y) be 2-dimensional random variables. Define F(x,y)=P{X?x, Y?y} the bivariate cdf of (X, Y) . Geometric interpretation：the value of F( x, y) assume the probability that the random points belong to area in dark For (x1, y1), (x2, y2)?R2, (x1 x2， y1y2 ), then P{x1X? x2， y1Y?y2 } ＝F(x2, y2)－F(x1, y2)－ F (x2, y1)＋F (x1, y1). (x1, y1) (x2, y2) (x2, y1) (x1, y2) Suppose that the joint cdf of (X,Y) is F(x,y), find the probability that (X,Y) stands in area G . Answer Joint distribution F(x, y) has the following characteristics: (1) For all (x, y) ?R2 , 0? F(x, y) ? 1, (2) Monotonically increment for any fixed y ?R, x1x2 yields F(x1, y) ? F(x2 , y)； for any fixed x ?R, y1y2 yields F(x, y1) ? F(x , y2). (3) right continuous for x?R, y?R, (4) for all (x1, y1), (x2, y2)?R2, (x1 x2， y1y2 ), F(x2, y2)－F(x1, y2)－ F (x2, y1)＋F (x1, y1)?0. Conversely, any real-valued function satisfied the aforementioned 4 characteristics must be a joint distribution function of 2-dimensional variables. Example 1. Let the joint distribution of (X,Y) is Find the value of A，B，C。 Find P{0X2,0Y3} Answer Discrete joint distribution If both x and y are discrete random variable, then,(X, Y) take values in (xi, yj), (i, j＝1, 2, … ), it is said that X and Y have a discrete joint distribution . Definition 3.2-P54 The joint distribution is defined to be a function such that for any