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Joint and Marginal Probability Density Functions of Independent Variables

Let X, Y be independent, standard normal random variables, and let U = X + Y and V = X - Y.
(a) Find the joint probability density function of (U, V) and specify its domain.
(b) Find the marginal probability density function of U and V specifying the domain in each case.
(c) Explain why U and V are independent

Joint probability density function of X and Y is given by
f(x,y)=6/7 (x^2+xy/2) 0<x<1. 0<y<2, Find P{X>Y} how to get the answer of 15/56?

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Hello there

As X and Y are independent, standard normal random variables, their joint pdf f(x,y) is

1/SQRT(2Pi) * Exp[-(x^2)/2]*1/SQRT(2Pi) * Exp[-(y^2)/2] =

1/(2Pi)* Exp[-(x^2+y^2)/2]

As U = X + Y and V = X - Y, we see X = (U+V)/2 and Y = (U-V)/2 so

X^2 + Y^2 = (U^2+ 2UV + V^2 +U^2- 2UV + V^2)/4 = (U^2+ V^2)/2

The probability that (x,y) lies in the incremental area dx dy is given by f(x,y) dx dy

which can be re-written as g(u,v) du dv times the size of the Jacobean ...

Solution Summary

The solution shows how to find joint and marginal probability density functions of two independent, standard normal random variables in 355 words.