ECE 302: Lecture 5.1 Joint PDF and CDF
ECE 302: Lecture 5.1 Joint PDF and CDF
Prof Stanley Chan
School of Electrical and Computer Engineering Purdue University
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What are joint distributions?
Joint distributions are high-dimensional PDF (or PMF or CDF).
fX (x ) = fX1,X2 (x1, x2) = fX1,X2,X3 (x1, x2, x3)
one variable
two variables
three variables
= . . . = fX1,...,XN (x1, . . . , xN ).
N variables
Notation:
fX (x ) = fX1,...,XN (x1, . . . , xN ).
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Why study joint distributions?
Joint distributions are ubiquitous in modern data analysis. For example, an image from a dataset can be represented by a high-dimensional vector x. Each vector has certain probability to be present. Such probability is described by the high-dimensional joint PDF fX (x).
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Outline
Joint PDF and CDF Joint Expectation Conditional Distribution Conditional Expectation Sum of Two Random Variables Random Vectors High-dimensional Gaussians and Transformation Principal Component Analysis Today's lecture Joint PMF, PDF Joint CDF Marginal PDF Independence
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Joint PMF
Definition Let X and Y be two discrete random variables. The joint PMF of X and Y is defined as
pX ,Y (x, y ) = P[X = x and Y = y ].
(1)
Figure: A joint PMF for a pair of discrete random variables consists of an array of impulses. To measure the size of the event A, we sum all the impulses inside A.
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