307_outline_101508

# 307_outline_101508 - Lecture Oct 15 SORRY THAT CLASS WAS...

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Unformatted text preview: Lecture Oct 15 SORRY THAT CLASS WAS CANCELED TODAY. HERE ARE THE TWO KEY POINTS TO COVER. TOPIC I: A special joint distribution: the bivariate normal. X,Y have the bivariate normal distribution if their joint density is f X ,Y ( x, y ) = 1 2πσ X σ Y 2 ⎛ ⎡⎛ x − μ ⎞ 2 ⎛ x − μ X ⎞⎛ y − μY ⎞ ⎛ y − μY ⎞ ⎤ ⎞ 1 X ⎜− ⎢⎜ exp ⎟ − 2⎜ ⎟⎜ ⎟+⎜ ⎟ ⎥⎟ 2 ⎜ 2 (1 − ρ 2 ) ⎢⎝ σ X ⎠ σ X ⎠⎝ σ Y ⎠ ⎝ σ Y ⎠ ⎥ ⎟ 1− ρ ⎝ ⎣ ⎦⎠ ⎝ Idea is: X,Y each normal, and they are correlated (there is a dependence). Sketch density. Will look into correlation later. ρ IS THE CORRELATION. X,Y ARE INDEPENDENT IFF RHO = 0. Fact: X,Y bivariate normal ⇒ X normal, Y normal ∞ Pf: Find the marginals. Want to show −∞ ∫ ⎛ 1 ⎛ x − μ ⎞2 ⎞ X ⎟ exp ⎜ − ⎜ f X ,Y ( x, y ) dy = ⎜ 2⎝ σX ⎟ ⎟ 2πσ X ⎠⎠ ⎝ 1 Idea: Perhaps we can factor f X ,Y ( x, y ) = f X ( x ) g ( x, y ) and then see that as a function of y, g is a normal density so integrates to 1. Clue: We see that the standard deviation of g will be σ Y 1 − ρ 2 . So let’s go: f X ,Y ( x, y ) fX ( x) = 1 2πσ Y 1 − ρ 2 exp ( −Q ) , where ⎡⎛ x − μ ⎞ 2 ⎛ x − μ X ⎞⎛ y − μY 1 X ⎢⎜ Q=− ⎟ − 2ρ ⎜ ⎟⎜ 2 (1 − ρ 2 ) ⎢⎝ σ X ⎠ ⎝ σ X ⎠⎝ σ Y ⎣ 2 2 ⎞ ⎛ y − μY ⎞ ⎤ 1 ⎛ x − μ X ⎞ ⎟+⎜ ⎟ ⎥− ⎜ ⎟ σY ⎠ ⎥ 2 ⎝ σY ⎠ ⎠⎝ ⎦ 2 ⎡ ⎤ ⎛ ⎞ σY 1 2 2 2 ⎛ x − μX ⎞ ⎢ y − 2 ⎜ μY + ρ =− 2 ( x − μX ) ⎟ y + ρ σY ⎜ ⎟⎥ σX 2σ Y (1 − ρ 2 ) ⎢ ⎝ ⎠ ⎝ σX ⎠ ⎥ ⎣ ⎦ ⎡ ⎛ x − μ X ⎞⎤ 1 =− 2 ⎢ y − ρσ Y ⎜ ⎟⎥ σ X ⎠⎦ 2σ Y (1 − ρ 2 ) ⎣ ⎝ 2 This shows (*) 2 ⎛ ⎞ ⎛ 1 ⎛ x − μ ⎞2 ⎞ 1 1 ⎡ y − ρ (σ Y σ X )( x − μ X ) ⎤ ⎟ X ⎜− ⎢ ⎟⋅ exp ⎜ − ⎜ exp f X ,Y ( x, y ) = ⎥ ⎜ 2⎢ ⎜ 2 ⎝ σ X ⎟ ⎟ 2πσ 1 − ρ 2 2πσ X σY 1− ρ 2 ⎥⎟ ⎠⎠ Y ⎣ ⎦⎠ ⎝ ⎝ 1 In other words, our joint density factors into the hoped for marginal of X and a term which for each fixed x is a normal density in y. ∞ Thus −∞ ∫ ⎛ 1 ⎛ x − μ ⎞2 ⎞ 1 X ⎟ . Which we wanted to show. Remember the exp ⎜ − ⎜ f X ,Y ( x, y ) dy = ⎜ 2⎝ σX ⎟ ⎟ 2π ⎠⎠ ⎝ equation (*) just above—it will be important shortly. TOPIC II: Section 3.4 Independent random variables. Definition: the random variables X 1 ,… , X n are independent if f X1 ,…, X n ( x1 ,… , xn ) = f X1 ( x1 ) f X n ( xn ) and this definition holds in both the discrete mass function case and the density case. This turns out to be just what we need to conclude: knowing the values of some of these random variables gives us no information on the locations of the others. Interesting equivalence: The events A1 ,… , An are independent if and only if the indicator random variables 1A1 ,… ,1Ai are independent. (Recall 1S (ω ) = 1 if ω ∈ S , = 0 if ω ∉ S , for ω ∈ Ω, the sample space.) ...
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## This note was uploaded on 06/12/2010 for the course MATH 307 taught by Professor Luikonnen during the Fall '08 term at Tulane.

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