15 Multivariate Expectation
15.1 Objectives
Given a joint pmf/pdf, obtain means and variances of random variables and functions of random variables.
Define the terms covariance and correlation, and given a joint pmf/pdf, obtain the covariance and correlation between two random variables.
Given a joint pmf/pdf, determine whether random variables are independent of one another.
Find conditional expectations.
15.2 Homework
15.2.1 Problem 1
Let \(X\) and \(Y\) be continuous random variables with joint pdf: \[ f_{X,Y}(x,y)=x + y \]
where \(0 \leq x \leq 1\) and \(0 \leq y \leq 1\).
- Find \(\mbox{E}(X)\) and \(\mbox{E}(Y)\). We will use the marginal pdfs found in the Application 14 solution.
\[ \mbox{E}(X)=\int_0^1 x\left(x+\frac{1}{2}\right)\mathop{}\!\mathrm{d}x=\frac{x^3}{3}+\frac{x^2}{4}\bigg|_0^1=\frac{1}{3}+\frac{1}{4}=\frac{7}{12}=0.583 \] Or numerically:
f <- function(x) { x[1]*(x[1] + x[2]) } # "x" is vector
adaptIntegrate(f, lowerLimit = c(0, 0), upperLimit = c(1, 1))
## $integral
## [1] 0.5833333
##
## $error
## [1] 1.110223e-16
##
## $functionEvaluations
## [1] 17
##
## $returnCode
## [1] 0
\[ \mbox{E}(Y)=\int_0^1 y\left(y+\frac{1}{2}\right)\mathop{}\!\mathrm{d}y = 0.583 \]
- Find \(\mbox{Var}(X)\) and \(\mbox{Var}(Y)\).
\[ \mbox{Var}(X)=\mbox{E}(X^2)-\mbox{E}(X)^2 \] \[ \mbox{E}(X^2)=\int_0^1 x^2\left(x+\frac{1}{2}\right)\mathop{}\!\mathrm{d}x = \frac{x^4}{4}+\frac{x^3}{6}\bigg|_0^1=\frac{1}{ 4}+\frac{1}{6}=\frac{5}{12}=0.417 \] As a check:
f <- function(x) { x[1]^2*(x[1] + x[2]) } # "x" is vector
round(adaptIntegrate(f, lowerLimit = c(0, 0), upperLimit = c(1, 1))$integral,3)
## [1] 0.417
So, \(\mbox{Var}(X)=0.417-0.583^2=0.076\).
Similarly, \(\mbox{Var}(Y)=0.076\).
- Find \(\mbox{Cov}(X,Y)\) and \(\rho\). Are \(X\) and \(Y\) independent? \[ \mbox{Cov}(X,Y)=\mbox{E}(XY)-\mbox{E}(X)\mbox{E}(Y) \] \[ \mbox{E}(XY)=\int_0^1\int_0^1 xy(x+y)\mathop{}\!\mathrm{d}y \mathop{}\!\mathrm{d}x = \int_0^1 \frac{x^2y^2}{2}+\frac{xy^3}{3}\bigg|_0^1 \mathop{}\!\mathrm{d}x = \int_0^1 \frac{x^2}{2}+\frac{x}{3}\mathop{}\!\mathrm{d}x \] \[ =\frac{x^3}{6}+\frac{x^2}{6}\bigg|_0^1=\frac{1}{ 3}=0.333 \]
As a check:
f <- function(x) { x[1]*x[2]*(x[1] + x[2]) } # "x" is vector
round(adaptIntegrate(f, lowerLimit = c(0, 0), upperLimit = c(1, 1))$integral,3)
## [1] 0.333
So, \[ \mbox{Cov}(X,Y)=\frac{1}{3}-\left(\frac{7}{12}\right)^2=-0.007 \]
\[ \rho=\frac{\mbox{Cov}(X,Y)}{\sqrt{\mbox{Var}(X)\mbox{Var}(Y)}}=\frac{-0.007}{\sqrt{0.076\times0.076}}=-0.0909 \]
As a check:
-0.007/sqrt(.076^2)
## [1] -0.09210526
Using exact values:
(1/3-(7/12)^2)/sqrt((5/12-(7/12)^2)^2)
## [1] -0.09090909
With a non-zero covariance, \(X\) and \(Y\) are not independent.
- Find \(\mbox{Var}(3X+2Y)\). \[ \mbox{Var}(3X+2Y)=\mbox{Var}(3X)+\mbox{Var}(2Y)+2\mbox{Cov}(3X,2Y)= \] \[ 9\mbox{Var}(X)+4\mbox{Var}(Y)+12\mbox{Cov}(X,Y) = \] \[ 9*0.076+4*0.076+12*-0.007 = 0.910 \]
15.2.2 Problem 2
Optional - not difficult but does have small Calc III idea. Let \(X\) and \(Y\) be continuous random variables with joint pmf: \[ f_{X,Y}(x,y)=1 \]
where \(0 \leq x \leq 1\) and \(0 \leq y \leq 2x\).
- Find \(\mbox{E}(X)\) and \(\mbox{E}(Y)\). \[ \mbox{E}(X)=\int_0^1 x\cdot 2x\mathop{}\!\mathrm{d}x = \frac{2x^3}{3}\bigg|_0^1=0.667 \]
\[ \mbox{E}(Y)=\int_0^2 y\left(1-\frac{y}{2}\right)\mathop{}\!\mathrm{d}y = \frac{y^2}{2}-\frac{y^3}{6}\bigg|_0^2=2-\frac{8}{ 6}=0.667 \]
- Find \(\mbox{Var}(X)\) and \(\mbox{Var}(Y)\). \[ \mbox{E}(X^2)=\int_0^1 x^2\cdot 2x\mathop{}\!\mathrm{d}x = \frac{x^4}{2}\bigg|_0^1=0.5 \]
So, \(\mbox{Var}(X)=0.5-\left(\frac{2}{3}\right)^2=\frac{1}{ 18}=0.056\)
\[ \mbox{E}(Y^2)=\int_0^2 y^2\left(1-\frac{y}{2}\right)\mathop{}\!\mathrm{d}y = \frac{y^3}{3}-\frac{y^4}{8}\bigg|_0^2=\frac{8}{ 3}-2=0.667 \]
So, \(\mbox{Var}(Y)=\frac{2}{ 3}-\left(\frac{2}{3}\right)^2=\frac{2}{9}=0.222\)
- Find \(\mbox{Cov}(X,Y)\) and \(\rho\). Are \(X\) and \(Y\) independent?
\[ \mbox{E}(XY)=\int_0^1\int_0^{2x} xy\mathop{}\!\mathrm{d}y \mathop{}\!\mathrm{d}x = \int_0^1 \frac{xy^2}{2}\bigg|_0^{2x}\mathop{}\!\mathrm{d}x = \int_0^1 2x^3\mathop{}\!\mathrm{d}x = \frac{x^4}{2}\bigg|_0^1=\frac{1}{2} \]
So, \[ \mbox{Cov}(X,Y)=\frac{1}{2}-\frac{2}{3}\frac{2}{3}=\frac{1}{18}=0.056 \]
\[ \rho=\frac{\mbox{Cov}(X,Y)}{ \sqrt{\mbox{Var}(X)\mbox{Var}(Y)}}=\frac{\frac{1}{ 18}}{\sqrt{\frac{1}{18}\frac{2}{9}}}=0.5 \]
\(X\) and \(Y\) appear to be positively correlated (thus not independent).
- Find \(\mbox{Var}\left(\frac{X}{2}+2Y\right)\). \[ \mbox{Var}\left(\frac{X}{2}+2Y\right) = \frac{1}{ 4}\mbox{Var}(X)+4\mbox{Var}(Y)+2\mbox{Cov}(X,Y)=\frac{1}{72}+\frac{8}{ 9}+\frac{1}{9}=1.014 \]
15.2.3 Problem 3
Suppose \(X\) and \(Y\) are independent random variables. Show that \(\mbox{E}(XY)=\mbox{E}(X)\mbox{E}(Y)\).
If \(X\) and \(Y\) are independent, then \(\mbox{Cov}(X,Y)=0\). So, \[ \mbox{Cov}(X,Y)=\mbox{E}(XY)-\mbox{E}(X)\mbox{E}(Y)=0 \]
Thus, \[ \mbox{E}(XY)=\mbox{E}(X)\mbox{E}(Y) \]
15.2.4 Problem 4
You are playing a game with a friend. Each of you roll a fair sided die and record the result.
- Write the joint probability mass function.
Let \(X\) be the number on your die and \(Y\) be the number on your friend’s die.
\[ \begin{array}{cc|ccc} & & &\textbf{X} & \\ & & 1 & 2 & 3 & 4 & 5 & 6 \\ &\hline 1 & \frac{1}{36} & \frac{1}{36} & \frac{1}{36} & \frac{1}{36} & \frac{1}{36} & \frac{1}{36} \\ & 2 & \frac{1}{36} & \frac{1}{36} & \frac{1}{36} & \frac{1}{36} & \frac{1}{36} & \frac{1}{36} \\ \textbf{Y}& 3 & \frac{1}{36} & \frac{1}{36} & \frac{1}{36} & \frac{1}{36} & \frac{1}{36} & \frac{1}{36} \\ & 4 & \frac{1}{36} & \frac{1}{36} & \frac{1}{36} & \frac{1}{36} & \frac{1}{36} & \frac{1}{36} \\ & 5 & \frac{1}{36} & \frac{1}{36} & \frac{1}{36} & \frac{1}{36} & \frac{1}{36} & \frac{1}{36} \\ & 6 & \frac{1}{36} & \frac{1}{36} & \frac{1}{36} & \frac{1}{36} & \frac{1}{36} & \frac{1}{36} \\ \end{array} \]
- Find the expected value of the product of your score and your friend’s score.
To find \(E[XY]\), we determine all 36 values of the product of \(X\) and \(Y\) and multiply by the associated probabilities. Since the probabilities are all equal, we will take the \(\frac{1}{36}\) out of the summation. Now
\[E[XY]=\frac{1}{36}(1+2+3+4+5+6+2+4+\] \[6+8+10+12+3+6+9+12+15+18+4+8+12+16+20+24+\] \[5+10+15+20+25+30+6+12+18+24+30+36)\] \[=12.25\]
- Verify the previous part using simulation.
set.seed(1012)
(do(100000)*(sample(1:6,size=2,replace=TRUE))) %>%
mutate(prod=V1*V2) %>%
summarize(Expec=mean(prod))
## Expec
## 1 12.25016
- Using simulation, find the expected value of the maximum number on the two roles.
## Expec
## 1 4.4737
15.2.5 Problem 5
A miner is trapped in a mine containing three doors. The first door leads to a tunnel that takes him to safety after two hours of travel. The second door leads to a tunnel that returns him to the mine after three hours of travel. The third door leads to a tunnel that returns him to his mine after five hours. Assuming that the miner is at all times equally likely to choose any one of the doors, yes a bad assumption but it makes for a nice problem, what is the expected length of time until the miner reaches safety?
Simulating this is a little more challenging because we need a conditional but we try it first before going to the mathematical solution.
Let’s write a function that takes a vector and returns the sum of the values up to the first time the number 2 appears, we are using the time values as our sample space. Anytime you are repeating something more than 5 times, it might make sense to write a function.
set.seed(113)
(do(10000)*miner_time(sample(c(2,3,5),size=20,replace=TRUE))) %>%
summarise(Exp=mean(miner_time))
## Exp
## 1 10.0092
Now let’s find it mathematically.
Let \(X\) be the time it takes and \(Y\) the door. Then we have
\[E[X] = E[E[X|Y]] \] \[ = \frac{1}{3}E[X|Y=1]+\frac{1}{3}E[X|Y=2]+\frac{1}{3}E[X|Y=3]\] Now if door 2 is selected \[E[X|Y=2]=E[X]+3\] since the miner will travel for 3 hours and then be back at the starting point.
Likewise if door 3 is select \[E[X|Y=2]=E[X]+5\] So \[ E[x]= \frac{1}{3}2+\frac{1}{3}\left( E[X]+3 \right)+\frac{1}{3}\left( E[X]+5 \right)\]
\[E[x] - \frac{2}{3}E[X] = \frac{2}{3}+\frac{3}{3}+\frac{5}{3}\] \[\frac{1}{3}E[X]=\frac{10}{3}\]
\[E[X]=10\]
15.2.6 Problem 6
ADVANCED: Let \(X_1,X_2,...,X_n\) be independent, identically distributed random variables. (This is often abbreviated as “iid”). Each \(X_i\) has mean \(\mu\) and variance \(\sigma^2\) (i.e., for all \(i\), \(\mbox{E}(X_i)=\mu\) and \(\mbox{Var}(X_i)=\sigma^2\)).
Let \(S=X_1+X_2+...+X_n=\sum_{i=1}^n X_i\). And let \(\bar{X}={\sum_{i=1}^n \frac{X_i}{n}}\).
Find \(\mbox{E}(S)\), \(\mbox{Var}(S)\), \(\mbox{E}(\bar{X})\) and \(\mbox{Var}(\bar{X})\). \[ \mbox{E}(S)=\mbox{E}(X_1+X_2+...+X_n)=\mbox{E}(X_1)+\mbox{E}(X_2)+...+\mbox{E}(X_n)=\mu+\mu+...+\mu=n\mu \]
Since the \(X_i\)s are all independent: \[ \mbox{Var}(S)=\mbox{Var}(X_1+X_2+...+X_n)=\mbox{Var}(X_1)+\mbox{Var}(X_2)+...+\mbox{Var}(X_n)=n\sigma^2 \]
\[ \mbox{E}(\bar{X})=\frac{1}{n}\mbox{E}(X_1+X_2+...+X_n)=\frac{1}{n}n\mu=\mu \] \[ \mbox{Var}(\bar{X})=\frac{1}{n^2}\mbox{Var}(X_1+X_2+...+X_n)=\frac{1}{n^2}n\sigma^2=\frac{\sigma^2}{n} \]