PR PROB OBABILITY ABILITY AND AND ST STATISTICS TISTICS Week 8 - - PowerPoint PPT Presentation

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PR PROB OBABILITY ABILITY AND AND ST STATISTICS TISTICS Week 8 - - PowerPoint PPT Presentation

SPRING 2020 CE 311S : CE 311S : PR PROB OBABILITY ABILITY AND AND ST STATISTICS TISTICS Week 8 Class 2 03/11/2020 PRIYADARSHAN PATIL Teaching Assistant, The University of Texas at Austin Administrative stuff Online assignment 4 is


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PRIYADARSHAN PATIL Teaching Assistant, The University of Texas at Austin

SPRING 2020

CE 311S : CE 311S : PR PROB OBABILITY ABILITY AND AND ST STATISTICS TISTICS

Week 8 – Class 2 03/11/2020

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SLIDE 2

Administrative stuff

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Online assignment 4 is due tomorrow

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Spring break

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SLIDE 3

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Jointly distributed random variables

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Multiple discrete random variables

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Multiple continuous random variables

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Covariance and correlation

Agenda

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SLIDE 4

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By the end of this class, you should be able to:

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Understand a joint PMF (PDF) and CDF

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Calculate marginal PMF (PDF)

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Calculate expected values for the RV and functions of the RV

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Compute covariance and correlation coefficient

Learning goals

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SLIDE 5

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Random variables are often linked with each other

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Examples: Years in college and Credits completed, Years of work experience and salary, Auto and Renters insurance

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We are interested in understanding how random variables behave when studied together

Introduction to joint random variables

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SLIDE 6

Example: Insurance

  • Some customers purchase both auto and

homeowner's insurance from the same company.

  • Let X and Y represent the deductibles of

the auto and homeowners' policies for a randomly selected customer. X and Y follow the joint PMF shown in the table:

50 150 0.25 0.06 0.15 100 0.07 0.15 0.04 200 0.14 0.05 0.09 Y X

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SLIDE 7

⚫

In general, PMF 𝑄

𝑌𝑍 𝑦, 𝑧 is the probability of 𝑌 = 𝑦 and 𝑍 = 𝑧

⚫

For a valid PMF, 𝑄

𝑌𝑍 𝑦, 𝑧 ≥ 0 ∀ (𝑦, 𝑧) 𝑏𝑜𝑒 σ𝑌 σ𝑍 𝑄 𝑌𝑍 𝑦, 𝑧 = 1

⚫

The marginal PMF of X provides us the distribution of X when we aren’t concerned with Y 𝑸𝒀 𝒚 = ෍

𝒛∈𝑺𝒁

𝑸𝒀𝒁 (𝒚, 𝒛)

Joint random variables

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SLIDE 8

Things to note:

  • Sum of all entries equals 1
  • Each value is non-negative
  • Sum of all values in the first row is

P(X=0) when not considering Y

  • Applies to all rows and columns
  • Joint CDF is written as:

𝐺

𝑌𝑍 𝑦, 𝑧 = 𝑄(𝑌 ≤ 𝑦 ∩ 𝑍 ≤ 𝑧) 50 150 Sum 0.25 0.06 0.15 0.46 100 0.07 0.15 0.04 0.26 200 0.14 0.05 0.09 0.28 Sum 0.46 0.26 0.28 1

Y X

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SLIDE 9

Example: Insurance

  • Calculate the marginal PMFs of X and Y
  • 𝑄

𝑌 0 = 0.46

  • 𝑄

𝑌 100 = 0.26

  • 𝑄

𝑌 200 = 0.28

  • 𝑄

𝑍 0 = 0.46

  • 𝑄

𝑍 50 = 0.26

  • 𝑄

𝑍 150 = 0.28 50 150 Sum 0.25 0.06 0.15 0.46 100 0.07 0.15 0.04 0.26 200 0.14 0.05 0.09 0.28 Sum 0.46 0.26 0.28 1

Y X

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SLIDE 10

Independence

  • Two RVs are independent if

𝑄

𝑌𝑍 𝑦, 𝑧 = 𝑄 𝑌 𝑦 𝑄 𝑍 𝑧 𝑔𝑝𝑠 𝑏𝑚𝑚 𝑦, 𝑧

  • Are X and Y independent?

50 150 Sum 0.25 0.06 0.15 0.46 100 0.07 0.15 0.04 0.26 200 0.14 0.05 0.09 0.28 Sum 0.46 0.26 0.28 1

Y X

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SLIDE 11

Expected value

  • The expected value of any function

ℎ𝑌𝑍 is σ𝑌 σ𝑍 ℎ 𝑦, 𝑧 𝑄

𝑌𝑍(𝑦, 𝑧)

  • What is the expected value of the total

deductible (X+Y)?

50 150 Sum 0.25 0.06 0.15 0.46 100 0.07 0.15 0.04 0.26 200 0.14 0.05 0.09 0.28 Sum 0.46 0.26 0.28 1

Y X

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Expected value

  • Create two tables, one with 𝑄

𝑌𝑍 𝑦, 𝑧

and one with ℎ(𝑦, 𝑧) values

  • Take the product of corresponding

values and add

  • 𝐹[ℎ(𝑦, 𝑧)] = 0∗0.25 + 50∗0.06+…
  • 𝐹[ℎ(𝑦, 𝑧)] = 137

50 150 0.25 0.06 0.15 100 0.07 0.15 0.04 200 0.14 0.05 0.09

Y X

50 150 50 150 100 100 150 250 200 200 250 350

Y X

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Expected value

  • Two ways to calculate 𝐹[𝑌] 𝑏𝑜𝑒 𝐹[𝑍]:
  • Take the product of corresponding

values and add.

  • Solve it using the marginal PMF
  • 𝐹[𝑌] = 82 𝑏𝑜𝑒 𝐹[𝑍] = 55

50 150 0.25 0.06 0.15 100 0.07 0.15 0.04 200 0.14 0.05 0.09

Y X

50 150 100 100 100 100 200 200 200 200

Y X

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SLIDE 14

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All the concepts we studied apply to continuous distributions

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Similar changes as applied to single random variables

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Mass changes to density, summation to integration, etc.

Joint continuous random variables

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SLIDE 15

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The joint density function 𝑔

𝑌𝑍 𝑦, 𝑧 is valid if 𝑔 𝑌𝑍 𝑦, 𝑧 ≥ 0 ∀𝑦, 𝑧

and if ׬

−∞ ∞ ׬ −∞ ∞ 𝑔 𝑌𝑍 𝑦, 𝑧 𝑒𝑧 𝑒𝑦 = 1

⚫

The marginal density functions are:

𝑔

𝑌 𝑦 = ׬ −∞ ∞ 𝑔 𝑌𝑍 𝑦, 𝑧 𝑒𝑧 and f𝑍 y = ׬

−∞ ∞ 𝑔 𝑌𝑍 𝑦, 𝑧 𝑒𝑦

Joint continuous random variables

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SLIDE 16

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X and Y are independent if 𝑔

𝑌𝑍 𝑦, 𝑧 = 𝑔 𝑌 𝑦 𝑔 𝑍 𝑧 ∀𝑦, 𝑧

⚫

𝐹 ℎ 𝑌, 𝑍 = ׬

−∞ ∞ ׬ −∞ ∞ ℎ𝑌𝑍 𝑦, 𝑧 𝑔 𝑌𝑍 𝑦, 𝑧 𝑒𝑧 𝑒𝑦

Joint continuous random variables

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A test column you built for your materials class can either fail via the rebars rusting, or by the concrete flaking off.

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Let X be the years before the rebars rust to failure, and Y be the years before the concrete flakes off.

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The joint pdf is: 𝑔

𝑌𝑍 𝑦, 𝑧 = 𝑑𝑓−𝑦𝑓−2𝑧 for 𝑦 ≥ 0, 𝑧 ≥ 0

Example: Column lifetime

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𝑔

𝑌𝑍 𝑦, 𝑧 = 2𝑓−𝑦𝑓−2𝑧 for 𝑦 ≥ 0, 𝑧 ≥ 0

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What is the marginal distribution of X? This is the pdf for years till rebar rusting

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What is the marginal distribution of Y? This is the pdf for years till concrete flaking

Example: Column lifetime

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SLIDE 19

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𝑔

𝑌𝑍 𝑦, 𝑧 = 2𝑓−𝑦𝑓−2𝑧 for 𝑦 ≥ 0, 𝑧 ≥ 0

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X and Y are independent if 𝑔

𝑌𝑍 𝑦, 𝑧 = 𝑔 𝑌 𝑦 𝑔 𝑍 𝑧 ∀𝑦, 𝑧

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Are X and Y independent?

Example: Column lifetime

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𝑔

𝑌𝑍 𝑦, 𝑧 = 2𝑓−𝑦𝑓−2𝑧 for 𝑦 ≥ 0, 𝑧 ≥ 0

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What is the expected time till the rebars rust to failure?

Example: Column lifetime

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When two RVs are not independent, we require a measure of how dependent they are.

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Covariance of RVs X and Y is defined as 𝐷𝑝𝑤 𝑌, 𝑍 = 𝐹 𝑌 − 𝐹[𝑌 ]𝐹[𝑍 − 𝐹[𝑍]]

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Equivalently, 𝐷𝑝𝑤 𝑌, 𝑍 = 𝐹 𝑌𝑍 − 𝐹 𝑌 𝐹[𝑍]

Covariance and correlation

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Recall, 𝐹 𝑌 = 82 and 𝐹 𝑍 = 55

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𝐹[𝑌𝑍] = 4550

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𝐷𝑝𝑤 𝑌, 𝑍 = 4550 − 82 ∗ 55 = 40

Covariance

50 150 0.25 0.06 0.15 100 0.07 0.15 0.04 200 0.14 0.05 0.09

Y X

50 150 100 5000 15000 200 10000 30000

Y X

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Interpretation

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If covariance is positive, when X is above average, Y usually is too; and when X is below average, Y usually is too.

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If covariance is negative, when X is above average, Y is usually below average, and vice versa.

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If X and Y are independent, their covariance is zero. (The converse is not true).

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The magnitude does not mean much (depends on units of X and Y)

Covariance

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SLIDE 24

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To gain more insight from the magnitude, we define the correlation coefficient as follows: 𝜍𝑌𝑍 = 𝐷𝑝𝑤 𝑌, 𝑍 𝜏𝑌𝜏𝑍

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The correlation coefficient is always between −1, +1

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It quantifies the strength of the linear relationship between X and Y

Correlation

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SLIDE 25

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If 𝜍𝑌𝑍 = 1, then 𝑍 = 𝑏𝑌 + 𝑐 for some 𝑏 > 0

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If 𝜍𝑌𝑍 = −1, then 𝑍 = 𝑏𝑌 + 𝑐 for some 𝑏 < 0

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If 𝜍𝑌𝑍 = 0, there is no linear relationship between X and Y

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If 𝜍𝑌𝑍=0, it does not imply that X and Y are independent

Correlation

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SLIDE 26

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𝐷𝑝𝑤 𝑌, 𝑌 = 𝑊𝑏𝑠 𝑌

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If 𝑌 and 𝑍 are independent, 𝐷𝑝𝑤 𝑌, 𝑍 = 0

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𝐷𝑝𝑤 𝑌, 𝑍 = 𝐷𝑝𝑤 𝑍, 𝑌

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𝐷𝑝𝑤 𝑏𝑌, 𝑍 = 𝑏𝐷𝑝𝑤 𝑌, 𝑍

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𝐷𝑝𝑤 𝑌 + 𝑑, 𝑍 = 𝐷𝑝𝑤 𝑌, 𝑍

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𝐷𝑝𝑤(𝑌 + 𝑍, 𝑎) = 𝐷𝑝𝑤(𝑌, 𝑎) + 𝐷𝑝𝑤(𝑍, 𝑎)

Covariance - properties

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SLIDE 27

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𝐷𝑝𝑤 σ𝑗=1

𝑛 𝑏𝑗𝑌𝑗 , σ𝑘=1 𝑜

𝑐

𝑘𝑍 𝑘 = σ𝑗=1 𝑛 σ𝑘=1 𝑜

𝑏𝑗𝑐

𝑘𝐷𝑝𝑤(𝑌𝑗, 𝑍 𝑘)

⚫

𝑊𝑏𝑠 𝑏𝑌 + 𝑐𝑍 = 𝑏2𝑊𝑏𝑠 𝑦 + 𝑐2𝑊𝑏𝑠 𝑍 + 2𝑏𝑐𝐷𝑝𝑤(𝑌, 𝑍)

Covariance – special formulae

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SLIDE 28

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𝐷𝑝𝑤 𝑌1 + 2𝑌2, 3𝑍

1 + 4𝑍 2 = 3𝐷𝑝𝑤 𝑌1, 𝑍 1 + 6𝐷𝑝𝑤 𝑌2, 𝑍 1 +

4𝐷𝑝𝑤 𝑌1, 𝑍

2 + 8𝐷𝑝𝑤(𝑌2, 𝑍 2)

⚫

Let 𝑌 and 𝑍 be independent standard normal random

  • variables. What is 𝐷𝑝𝑤(1 + 𝑌 + 𝑌𝑍2, 1 + 𝑌)

Covariance - examples

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SLIDE 29

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Joint discrete (continuous) random variables have a joint PMF (PDF) and CDF

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Marginal distributions for each of the RVs can be calculated by summing (integrating) across the other random variable

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Expected values for functions of joint random variables are like expected values for single random variables

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Covariance and correlation coefficient are measures for determining the linear relation between two RVs

Summary

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SLIDE 30

Any Questions?

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Thank you for attending

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Have a fun (and safe) spring break