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**STATISTICS Joint and Conditional Distributions**

Professor Ke-Sheng Cheng Department of Bioenvironmental Systems Engineering National Taiwan University

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**Joint cumulative distribution function**

Let be k random variables all defined on the same probability space ( ,A, P[]). The joint cumulative distribution function of , denoted by , is defined as for all 3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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**Discrete joint density**

3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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**Marginal discrete density**

If X and Y are bivariate joint discrete random variables, then and are called marginal discrete density functions. 3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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**Continuous Joint Density Function**

The k-dimensional random variable ( ) is defined to be a k-dimensional continuous random variable if and only if there exists a function such that for all is defined to be the joint probability density function. 3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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**Marginal continuous probability density function**

If X and Y are bivariate joint continuous random variables, then and are called marginal probability density functions. 3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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**Conditional distribution functions for discrete random variables**

If X and Y are bivariate joint discrete random variables with joint discrete density function , then the conditional discrete density function of Y given X=x, denoted by or , is defined to be 3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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**Conditional distribution functions for continuous random variables**

If X and Y are bivariate joint continuous random variables with joint continuous density function , then the conditional probability density function of Y given X=x, denoted by or , is defined to be 3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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**Stochastic independence of random variables**

3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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**Expectation of function of a k-dimensional discrete random variable**

3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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Covariance 3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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**If two random variables X and Y are independent, then**

Therefore, 3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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**However, does not imply that two random variables X and Y are independent.**

3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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**A measure of linear correlation: Pearson coefficient of correlation**

3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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**Covariance and Correlation Coefficient**

Suppose we have observed the following data. We wish to measure both the direction and the strength of the relationship between Y and X. 3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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**Examples of joint distributions**

Duration and total depth of storm events. (bivariate gamma, non-causal relation) Hours spent for study and test score. (causal relation) 3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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**Bivariate Normal Distribution**

Bivariate normal density function 3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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**Conditional normal density**

3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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**Bivariate normal simulation I. Using the conditional density**

3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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(x,y) scatter plot 3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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Histogram of X 3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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Histogram of Y 3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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**Bivariate normal simulation II. Using the PC Transformation**

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3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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(x,y) scatter plot 3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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Histogram of X 3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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Histogram of Y 3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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**Multivariate normal simulation using R**

The mvtnorm package in R dmvnorm rmvnorm pmvnorm qmvnorm 3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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**Conceptual illustration of Bivariate gamma simulation**

3/27/2017 Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

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