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Lecture Week 9 Joint / Multivariate Probability Dists
Multivariate poss and ass probs
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Joint Probability Distributions
Random Variable Y a name
Two lists: (i) poss values y (ii) ass. probs
Tabulated, or Defined by a Formula
Discrete or Continuous
Expected Value of Y (or a function g(●) of Y)
Weighted Avg of poss values y (or g(y))
Summation ∑ or Integral ∫
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Wk8 Y scalar. Wk9 Y multivar. Mini-league EXCEL
In this course we only consider discrete, tabulated, multivariate prob dists. The most important multivar dist is the multivariate Normal; see Tijms 3rd Ed Ch 12
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Multivariate Prob Dist • Marginal, Joint, Conditional Prob Dists
– Discrete, pmf
– Illustration Mini League
• Probs of Composite Events – Probability rules
• (Conditional) Exp Val and Vars – Covariance, Correlation
• Application – Optimal Prediction
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Winners
(i)(ii)(iii)
ABA 0.060 0.056 210 0.060 0.056
ABC 0.230 0.224 201 0.061 0.084
ACA 0.061 0.084 120 0.027 0.024
ACC 0.367 0.336 111 0.257 0.260
BBA 0.027 0.024 102 0.367 0.336
BBC 0.091 0.096 021 0.091 0.096
BCA 0.027 0.036 012 0.137 0.144
BCC 0.137 0.144
1 1 1 1
Prob dist of games won
A 0.121 0.140 by 0 1 2
B 0.118 0.120 A 0.240 0.620 0.140 1
C 0.504 0.480 B 0.420 0.460 0.120 1
#N/A 0.257 0.260 C 0.080 0.440 0.480 1
1 1
Outright
Winner
Rel
Freq Prob
Rel
Freq ProbPoints
for ABC
Rel
Freq Prob
Mini-League Multivariate Dists 3 teams play each other once
Simulation; 1000 reps
(i) AB 0.7 0.3
(ii) BC 0.4 0.6
(iii) AC 0.2 0.8
Game Prob of Winning
Pr(A winner)
Pr(B winner)
Pr(A winner)
Exp Val Var
A 0.9 0.37
B 0.7 0.45
C 1.4 0.4
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Using eg
Pr Winners of ( ),( ),( ) are A,B,A, resp
=Pr A wins ( ) B wins ( ) A wins ( )
Pr A wins ( ) Pr B wins ( ) Pr A wins ( )
0.7 0.4 0.2
i ii iii
i AND ii AND iii
i ii iii
Simulation Theory
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Mini-League Multivariate Dists 3 teams play each other once
Simulation; 1000 reps
(i) AB 0.7 0.3
(ii) BC 0.4 0.6
(iii) AC 0.2 0.8
Game Prob of Winning
Pr(A winner)
Pr(B winner)
Pr(A winner)
Exp Val Var
A 0.9 0.37
B 0.7 0.45
C 1.4 0.4
Winners
(i)(ii)(iii)
ABA 0.060 0.056 210 0.060 0.056
ABC 0.230 0.224 201 0.061 0.084
ACA 0.061 0.084 120 0.027 0.024
ACC 0.367 0.336 111 0.257 0.260
BBA 0.027 0.024 102 0.367 0.336
BBC 0.091 0.096 021 0.091 0.096
BCA 0.027 0.036 012 0.137 0.144
BCC 0.137 0.144
1 1 1 1
Prob dist of games won
A 0.121 0.140 by 0 1 2
B 0.118 0.120 A 0.240 0.620 0.140 1
C 0.504 0.480 B 0.420 0.460 0.120 1
#N/A 0.257 0.260 C 0.080 0.440 0.480 1
1 1
Outright
Winner
Rel
Freq Prob
Rel
Freq ProbPoints
for ABC
Rel
Freq Prob
Challenge; obtain directly. Eg; what must the true iff NA=1?
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Answers
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Probabilities and Events Events
Elementary A wins in match (i) T/F
Composite A wins league T/F
NANBNC = 021 T/F
Probabilities Value in (0,1) for status (T/F) of event
Represents uncertainty given information Pr(A wins league, given probs for each match, and indep)
Pr(A wins league, given that somebody wins, and probs, and indep)
Pr(A wins league, given no info, other than probs, and indep)
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Shorthand for ( (A wins 0) AND (B wins 2) AND (C wins 1) )
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Composite Events
• Defining Events
X = (NA=0) where NA= games won by A
• Decomposing Composite Events
X = (NA=0) ≡ (A loses (i)) AND (A loses (iii))
X = (Team A tops the table)
Recursion for K teams
Score from k dice
Can’t simulate? Events not defined
Event Identity. Boolean operator
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Dice Recursion - explanation Event Identity
(Sk=r) ≡ (Sk-1=r-1)AND(Diek=1)OR…
OR(Sk-1=r-6)AND(Diek=6)
Pr(Sk=r) = Pr( (Sk-1=r-1)AND(Diek=1) )+ …
+Pr( (Sk-1=r-6)AND(Diek=6) )
=
=
= ( Pr(Sk-1=r-1) + … Pr(Sk-1=r-6) )/6
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1 1 2
, generic / events 0 Pr( ),Pr( ) 1
Pr Pr Pr Pr
Pr Pr | Pr Pr | Pr
? Pr Pr
Pr 0 ,
; Pr 1
,
Special cases
given Y True
k k
X Y T F X Y
X Y X Y X AND Y
X Y X Y Y Y X X
better X Y
X AND Y mut exclusive disjoint
If X X exhaustive ie X OR X OR X
and mut excl th
O
n
D
R
AN
e
1 2Pr Pr Pr 1
Pr | Pr
kX X X
X Y X independent
Probability Rules; more than one event
9
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Mini-League Event Identities
Events (A OR B tops table) leads to Pr (A OR B tops table) (A OR B wins league) leads to….. (C does not top table) Events for (Marg) Prob dist NA) (Joint) Prob dist of NA,NC
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Mini-League Prob Rules using Event Identities
Probs from explicit Event Identities Pr(A OR B tops table) Pr(A OR B wins league) Pr(C does not top table) (Marg) Prob dist NA
(Joint) Prob dist of NA,NC
Prob dist of games won
by 0 1 2
A 0.240 0.620 0.140 1
B 0.420 0.460 0.120 1
C 0.080 0.440 0.480 1
210 0.056
201 0.084
120 0.024
111 0.260
102 0.336
021 0.096
012 0.144
Points
for ABC Prob
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Probs from explicit Event Identities for more elementary events Pr(A OR B tops table)=Pr(210)+Pr(201)+Pr(111)+Pr(120)+Pr(021) =Pr(A tops) + Pr(B tops) – Pr(both top) Pr(A OR B wins league outright)=Pr(210)+Pr(201)+Pr(120)+Pr(021) Pr(C does not top table)=Pr(A OR B tops table)=1-Pr(C tops table) (Marg) Prob dist NA Pr(NA =0) Pr(NA =1) Pr(NA =2)
=Pr(021)+Pr(012) =0.240 0.620 0.140 (Joint) Prob dist of NA,NC eg Pr(NA=1,NC =1) =Pr(111)=0.260
Prob dist of games won
by 0 1 2
A 0.240 0.620 0.140 1
B 0.420 0.460 0.120 1
C 0.080 0.440 0.480 1
210 0.056
201 0.084
120 0.024
111 0.260
102 0.336
021 0.096
012 0.144
Points
for ABC Prob
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Answers In all cases several alternative constructions poss Mini-League
Prob Rules using Event Identities
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Mini-League Joint Probabilites
Knowing that , conditional on, C wins 1 game (Marg) Prob dist of NA
(Joint) Prob dist of NA,NC
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‘jitter’ added as away of showing that the 9 red dots do not carry equal probabilities
Cov= -0.63
0 1 2
0 0.000 0.144 0.096 0.24
A 1 0.336 0.260 0.024 0.62
2 0.084 0.056 0.000 0.14
0.42 0.46 0.12 1
BDist AB
points
Answers
0 1 2
0 0.000 0.144 0.096
Dist AB
points
B
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Knowing that , conditional on, C wins 0 game (Marg) Prob dist of NA
(Joint) Prob dist of NA,NB
0 0 1 2
0 0 0 0 0
A 1 0 0 27 27
2 0 60 0 60
0 60 27 87
B
Dist AB pts
given C=counts
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Frequencies Note in sample of 1000 sims, 87 have C winning 0 Of these 27 have NA= 1, NB= 2 Rel Freq of (NA=1,NB=2,NC=0)=27/1000 Of cases where NC=0 Rel Freq of (NA=1,NB=2)=27/87
Mini-League Conditional Probability Dists
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Knowing that , conditional on, C wins at least 1 game (Marg) Prob dist of NA
(Joint) Prob dist of NA,NB
Winners
(i)(ii)(iii)
ABA 0.060 0.056
ABC 0.230 0.224
ACA 0.061 0.084
ACC 0.367 0.336
BBA 0.027 0.024
BBC 0.091 0.096
BCA 0.027 0.036
BCC 0.137 0.144
Rel
Freq Prob
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Mini-League Conditional Probability Dists
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#N/A
0 1 2
0 0.00 0.16 0.10 0.26 E[NA|C>0] 0.83
A 1 0.37 0.28 0.00 0.65 Var[NA|C>0] 0.32
2 0.09 0.00 0.00 0.09
0.46 0.44 0.10 1 E[NANB] 0.28
E[NB|C>0] 0.65 Cov[NA,NB|NC>0] -0.26
Var[NB|C>0] 0.44
Dist AB pts
given C>0
Pr(C>0)=
B
Knowing only elementary probs Prob dist of NA
Prob dist of NA,NB
Knowing additionally that C wins at least one game Prob dist of NA
Prob dist of NA,NB
0.9
0.37
, 0.21
| 0 0.83
| 0 0.32
, | 0 0.26
A
A
A B
A C
A C
A B C
E N
Var N
Cov N N
E N N
Var N N
Cov N N N
ST2004 Wk 9 2012 18
Cov= -0.21
0 1 2
0 0.000 0.144 0.096 0.24
A 1 0.336 0.260 0.024 0.62
2 0.084 0.056 0.000 0.14
0.42 0.46 0.12 1
Dist AB
points
B
Mini-League Expected Values Variance, Covariance
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Exp Val, Variance for Sums
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,( ) ( )
2 ,
all x y
A B
A B
E X Y PossVals x y Pr X Y x y
E X E Y
Var X Y Var X Var Y Cov X Y
E N N
Var N N
2 2 2
More general
... ...
...
2 , 2 , ...
E aX bY cZ aE X bE Y cE Y
Var aX bY cZ a Var X b Var Y c Var Z
abCov X Y acCov X Z
Theory Tijms, Ch 9
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Expected Values Directly via Sums
0.9
0.3
A
A
E N
Var N
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#N/A
0 1 2
0 0.00 0.16 0.10 0.26 E[NA|C>0] 0.83
A 1 0.37 0.28 0.00 0.65 Var[NA|C>0] 0.32
2 0.09 0.00 0.00 0.09
0.46 0.44 0.10 1 E[NA,NB] 0.28
E[NB|C>0] 0.65 Cov[NA,NB|NC>0] -0.26
Var[NB|C>0] 0.44
Dist AB pts
given C>0
Pr(C>0)=
B
#wins against B + # wins again
Alternative Simpler Calculatio
st C
0 / 1
0 1
0.3 0.7
0.7; 0.3 0.7 0.21
0.2
n
;
A
A plays B A plays C
A plays B
A plays B A plays B
A plays C A play
N
I I Binary vars
Dist I
Poss
Prob
E I Var I
E I Var I
0.2 0.8 0.16
0.7 0.2
0.21 0.16
s B
A A plays B A plays C
A A plays B A plays C
E N E I I
Var N Var I I
0.3 0.4
0.3 0.7 0.4 0.6
0.6 0.8
0.6 0.4 0.8 0.2
B
B
C
C
E N
Var N
E N
Var N
Theory follows
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Knowing additionally that C wins at least one game Cond Prob dist of NA
Cond Prob dist of NA,NB
| 0 0.83
| 0 0.32
, | 0 0.26
A C
A C
A B C
E N N
Var N N
Cov N N N
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Mini-League Conditional Expectations
Answers
Joint Bivariate Conditional Prob Dists
0.920
0 1 2
0 0.000 0.157 0.104 0.261 E[NA|C>0] 0.83
A 1 0.365 0.283 0.000 0.648 Var[NA|C>0] 0.32
2 0.091 0.000 0.000 0.091
0.457 0.439 0.104 1
E[NB|C>0] 0.65 Cov[NA,NB|NC>0] -0.26
Var[NB|C>0] 0.44
Dist AB pts
given
Pr(C0)=
Pr(C0)=
B
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Conditionally Decomposing Expectation
2
Roll Die
Roll another die = score
2,4 Roll 2 dice max
6 Toss coin : 2; : 6
1 1 1 1 13.5 (4.47) 2 6
2 3 6 2 2
3.907
Odd Y
Y
Head Y Tail Y
E Y
E Y
Var Y
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Conditionally Decomposing Expectation Simulation
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choose by dice roll
1
score
one die
2
max
two die
3
(2,6)eq
prob Roll
(1,3,5)
(2,4) (6)
=>option
Hence
Y Option 1 2 3
1 1 3 6 6 3 6 probs 0.5 0.333 0.167
2 6 2 6 1 1 6 Avg 3.48 4.48 3.98
3 4 6 2 4 2 6 Avg Y Avg of Sq 15.01 22.01 19.87
4 3 2 2 4 2 2 3.89 3.90
5 3 2 2 2 2 2 Avg Y2
6 5 5 2 3 1 5 18.14 18.15
7 5 3 2 1 1 5 Var Y
8 5 5 6 2 2 5 3.00 Hence Var 2.97
9 3 5 6 1 1 3
10 4 2 2 6 3 2
9999 4 5 6 4 2 5
10000 1 6 6 6 3 6
options
Wted Avg Options
Wted Avg (Sq Options)
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Conditionally Decomposing Expectation Theory
Pr( ) Pr( , )
Pr( | ) Pr( )
| Pr( )
x x y
y x
y
E X x X x x X x Y y
x X x Y y Y y
E X Y y Y y
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0 1 2 NA 0 1 2
0 0.000 0.144 0.096 0.24 0 0 0.6 0.4 1 1.40 0.336
NA 1 0.336 0.260 0.024 0.62 1 0.542 0.419 0.039 1 0.50 0.308
2 0.084 0.056 0.000 0.14 2 0.6 0.4 0 1 0.40 0.056
Marg Dist B 0.42 0.46 0.12 1
E[NB] 0.7 0.7
ExpVal
NB
given
NA
NB
Mult
by
Pr(NA)
Cond dists given
NA
Jt Dist AB
points
NB
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Conditionally Decomposing Expectation
1 1 12 3 6
2 1 1 12 3 6
Roll Die
Roll another die = score
2,4 Roll 2 dice max
6 Toss coin : 2; : 6
3.5 (4.47) 4
3.907
? (?) ?
Odd Y
Y
Head Y Tail Y
E Y
E Y
Var Y
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13
13
13
Choose from A, B, C with equal prob
number of games won by random team
prob
prob
prob
[ ]
[ ]
A
B
c
N
N N
N N
N N
E N
Var N
Challenge: project
Answers
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Prediction : Theory
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Know C wins 1 game; what to predict for NA?
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Optimal prediction
Know C wins 1 game; what to predict for NA?
• With Conditional Dist for NA given NC =1
– Most (cond) probable NA cond mode
– Conditional Exp Val NA min pred var
• With Exp Vals, Vars, Cov
– Best Linear Predictor least sq regression
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Pred NA = -0.40 + 1.46(NC)
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Optimal pred: Cond Dist of X|Y=y
Pred by Most Prob, given NC =1 , predict as 1.0
Pred by Cond Exp Val , given NC =1 predict as 0.97
Theory: (Cond) Exp Val is ‘Min Sq Error Predictor’
All available info about X captured by cond prob dist, ie given Y
‘Min Sq Error Predictor’ is pred value that
minimises E[ Sq Error of Prediction]
(i) AB 0.7
(ii) BC 0.4
(iii) AC 0.2
Game Prob of Winning
Pr(A winner)
Pr(B winner)
Pr(A winner)
0.440
0 1 2 Given C = 1
0 0.000 0.000 0.218 0.218 0 1 2
A 1 0.000 0.591 0.000 0.591 0.22 0.59 0.19 1
2 0.191 0.000 0.000 0.191
0.1909 0.5909 0.2182 1 Exp Val 0.97
Var 0.41
Dist
NA
BDist AB pts
given C=1
Pr(C=1)=
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Min Sq Error Predictor
2
2
22
2
Predict random variable by some (specific) to be chosen
E is Squared Error -
Seek that that minimises E -
E - E - - -
-
= is that value of wit
X X
X X X
X X X
X X X X
Var X X
X X
2
h min E - X X
Theory general Not limited to discrete dists
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Prob dist of [ ] best
Given [ | ] best
X E X
Info E X Info
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Best Lin Pred from Corr( X,Y) given that Y = y
Often prediction based on corr
not on cond dist.
Best Linear Pred
linear fn of obs value y of Y
chosen to min E[ Sq Error of Pred]
Exp Val Var
A 0.9 0.37
B 0.7 0.45
C 1.4 0.4
Th Corr
A B C
A 1 -0.515 -0.416
B -0.515 1 -0.566
C -0.416 -0.566 1
Cov= -0.21
0 1 2
0 0.000 0.144 0.096 0.24
A 1 0.336 0.260 0.024 0.62
2 0.084 0.056 0.000 0.14
0.42 0.46 0.12 1
Dist AB
points
B
confirm
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Jt Prob Dist leads to Cond Dist & Corr
Corr lead to Codoes not nd Dist
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Best Linear Predictor
2 2
2 2
2
2
[ , ]; ; ; ; [ , ]
Seek , (and thus ) that minimises E -
-
Predict by some =
related random variable; to be chosen
X X Y Y
X Y
X Y
Cov X YE X Var X E Y Var Y Corr X Y
a b X X X
E X X
X X b Y equiv X a bY
Y b
2
2 22
22 2 2
2
- - 2 - - -
- 2 , 1
is that value of with min -
=
X Y
X X Y Y
X Y X
X
Y
X XX Y X Y
Y Y
E X b Y
E X b X Y b Y
Var X bCov X Y b Var Y b
b b E X X
X Y
X
Y
Y
Cf generic least-squares regression
Theory general Not limited to discrete dists
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Best Lin Pred from Corr(NA, NC) given that NC = 1 Exp Val Var
A 0.9 0.37
B 0.7 0.45
C 1.4 0.4
Th Corr
A B C
A 1 -0.515 -0.416
B -0.515 1 -0.566
C -0.416 -0.566 1
Pred NA = a + b(1) b =((0.37)/(0.40))0.5(-0.416) =-0.40 a =0.9-(-0.47)(0.4) = 1.46 Pred NA = 1.06 (cf 1.00, 0.97)
Cov= -0.16
0 1 2
0 0.000 0.096 0.144 0.24
A 1 0.024 0.260 0.336 0.62
2 0.056 0.084 0.000 0.14
0.08 0.44 0.48 1
CDist AC
points
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Homework
(i) AB 0.7
(ii) BC 0.5
(iii) AC 0.7
Game Prob of Winning
Pr(A winner)
Pr(B winner)
Pr(A winner)
• Compute: Joint Prob Dist for NA, NC; Corr [NA, NC] Prob Dist (NA- NC ) Marginal Dists, Exp Val, Var E [NA-NC] Var [NA-NC]
• Law of Cond Expectations Team A prize = (NA)2 if NB > NC
= (NA) else What is E[prize]? • Prediction for NA when NC = 0,1,2
Min Sq Error Pred for NA each NC = 0,1,2 Best Lin Pred of NAC each NC = 0,1,2
Mini League
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From dist NA-NC & from formulae