# STT 861 Theory of Prob and STT I Lecture Note - 12

2017-11-20

Examples on continuous distirbution conditional on discrete distribution; bivariate normal distribution. Not much for today.

# Lecture 12 - Nov 20 2017

## Some notes

• Exponential distribution and geometry distribution are the only distributions which have the memoryless property (continuous and discrete).
• Geometry is not scalable. It only takes integer values. $T=\frac{1}{60}Geom(p)$ is not a geometry distribution.

Exercise: see the textbook’s treatment of discrete mixtures of continuous r.v.’s.

### Example 1

Let $X\sim Exp(\lambda)$ and $Y\sim Exp(\mu)$, $\varepsilon \sim Bernoulli(\frac{1}{2})$. They are all independent.

let $Z=X$ if $\varepsilon=0$ and $Z=-Y$ if $\varepsilon = 1$.

Exercise: See book on continuous mixtures’.

### Example 2

$X\sim Poisson(\lambda)$. Assume $\lambda$ itself is random. $\lambda\sim \Gamma(m,\theta)$.

Easy to say, $X$ is Poisson conditional on $\lambda$, but what is the unconditional distribution of $X$?

Answer is in the book. We just want to compute $P(X=k)$ for $k=0,1,2,…$.

## Bivariate Normal

Let $X \sim N(\mu,\sigma^2)$. We know we can represent $X$ as $X=\mu+\sigma Z$ where $Z\sim N(0,1)$.

More generally, let $X_1, X_2$ be bivariate normal. It turns out that we can represent $X_2$ using $X_1$ and an independent component $\varepsilon_2$ like this:

where $a \& b$ are constants. $\varepsilon_2$ is a normal r.v. independent of $X$ , with $E(\varepsilon_2)$.

We would like to compute $a$ and $b$ and $Var(\varepsilon_2)$. All we know is

To simplify, assume $\sigma_1=\sigma_2$, then we know, from linear prediction, that $b=\rho$. Then for $Var(\varepsilon_2)$:

Also note: by taking expectation of the whole model,

Therefore, $a=\mu_2-\rho\mu_2$.

Going back to our work with densities for the multivariate normal. We find the following density for the pair $X=(X_1,X_2)$:

where $d=1-\rho^2$, and const $=\frac{1}{2\pi d}$. Notice that

Also note: the expression

is the `quadratic form’’, which we encountered as the term $1/2 x^T[cov(X)]^{-1}x$. Go back and check this is true.

When $\rho=0$, const $\frac{1}{2\pi}$.

This proves the independence ($\rho=0$).