Transcription of Chapter 4 Multivariate distributions
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Chapter 4 Multivariate distributions
RS 4 Multivariate Distributions1 Chapter 4 Multivariate distributionsk 2 Multivariate DistributionsAll the results derived for the bivariate case can be generalized to n RV. The joint CDF of X1, X2, .., Xk will have the form: P(x1, x2, .., xk) when the RVs are discreteF(x1, x2, .., xk) when the RVs are continuousRS 4 Multivariate Distributions2 joint probability FunctionDefinition: joint probability FunctionLet X1, X2, .., Xk denote k discrete random variables, then p(x1, x2, .., xk) is joint probability function of X1, X2, .., Xk if 112. ,,1nnxxpxx 11. 0,,1npxx 113. ,,,,nnPXXApxx 1,,nxxA Definition: joint density function Let X1, X2, .., Xk denote k continuous random variables, then f(x1, x2, .., xk) = n/ x1, x2, .., xkF(x1, x2, .., xk)is the joint density function of X1, X2.
RS – 4 – Multivariate Distributions 2 Joint Probability Function Definition: Joint Probability Function Let X1, X2, …, Xk denote k discrete random variables, then p(x1, x2, …, xk) is joint probability function of X1, X2, …, Xk if 1 2. , , 11 n n xx px x 1. 0 , , 1 px x 1 n
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