- #1
simcc
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Hi,
I’m looking for a way to combine two discrete random variables (which I have as probability distributions). The combination should be the product (or other operation) of the two variables.
This would be easy if they were independent, but they’re not. There is a known correlation between the variables.
Question: how to combine two discrete random variables with correlation?
Given: The marginal probabilities of the two variables & a correlation function
Result: either the individual probabilities in a probability table or the complete probability distribution of the combination.
Simple example:
Variables A and B are the distributions:
PA(a=1, 4) = [0.75, 0.25]
PB(b=4, 8, 10) = [0.25, 0.25, 0.5]
Their joint probability function is shown in their joint probability table and joint value table:
P B=4 8 10
A=1 ? ? ? 0.75
4 ? ? ? 0.25
0.25 0.25 0.5 1
value B=4 8 10
A=1 4 8 10
4 16 32 40
(tables are clearer in attached file)
The correlation between the two variables is: b = 10 – 2/3*a
P(A*B)(4, 8, 10, 16, 32, 40) = ?
I’m looking for a way to combine two discrete random variables (which I have as probability distributions). The combination should be the product (or other operation) of the two variables.
This would be easy if they were independent, but they’re not. There is a known correlation between the variables.
Question: how to combine two discrete random variables with correlation?
Given: The marginal probabilities of the two variables & a correlation function
Result: either the individual probabilities in a probability table or the complete probability distribution of the combination.
Simple example:
Variables A and B are the distributions:
PA(a=1, 4) = [0.75, 0.25]
PB(b=4, 8, 10) = [0.25, 0.25, 0.5]
Their joint probability function is shown in their joint probability table and joint value table:
P B=4 8 10
A=1 ? ? ? 0.75
4 ? ? ? 0.25
0.25 0.25 0.5 1
value B=4 8 10
A=1 4 8 10
4 16 32 40
(tables are clearer in attached file)
The correlation between the two variables is: b = 10 – 2/3*a
P(A*B)(4, 8, 10, 16, 32, 40) = ?