Joint, conditional and marginal probabilities
Aug 26, 2014
In this post I will discuss a topic that seems very dry at first but turns out to have many cool applications. While I will not discuss Bayesian inference in this post, understanding the relationship between joint, conditional and marginal probabilities is essential for the application of Bayesian thinking. As a result, I'll will often refer back to this discussion in future posts.
Setup
To provide simple examples I will consider two scenarios:
- scenario 1: A coin is tossed, resulting in a heads: \( C = H \), or tails: \( C = T \), with equal probability. Next, a six sided die is tossed, resulting in \( D=1, D=2, \ldots \) with equal probability.
- scenario 2: In scenario two, a coin is again tossed. As in scenario 1, the probabilities of \( C=T \) and \( C=H \) are equal. However, if \( C=T \) a four-sided die is tossed and if \( C=H \) a six-sided die is tossed.
In each scenario imagine that we obtain the result of a coin and die toss, say \( C=T, D=3 \) or \( C=H, D=6 \), without seeing the coin or die that were used to obtain the results.
For each of these scenarios, we can write out a joint probability table, reflecting the probability of all joint occurrences of \( C \) and \( D \), that is we will write down the joint probabilities \( P(C, D) \) for all combinations of \( C \) and \( D \) in the main (center) part of the table.
For Scenario 1, the table looks like this:
\[ \newcommand\T{\Rule{0pt}{1em}{.3em}} \begin{array}{c|c|c|c} \T & C=H & C=T & \\ \hline D=1 \T & 1/12 & 1/12 & 1/6 \\ D=2 \T & 1/12 & 1/12 & 1/6 \\ D=3 \T & 1/12 & 1/12 & 1/6 \\ D=4 \T & 1/12 & 1/12 & 1/6 \\ D=5 \T & 1/12 & 1/12 & 1/6 \\ D=6 \T & 1/12 & 1/12 & 1/6 \\ \hline \T & 1/2 & 1/2 & 1 \end{array} \]For Scenario 2, the table is considerably more complicated, and looks like this:
\[ \newcommand\T{\Rule{0pt}{1em}{.3em}} \begin{array}{c|c|c|c} \T & C=H & C=T & \\ \hline D=1 \T & 1/12 & 1/8 & 5/24 \\ D=2 \T & 1/12 & 1/8 & 5/24 \\ D=3 \T & 1/12 & 1/8 & 5/24 \\ D=4 \T & 1/12 & 1/8 & 5/24 \\ D=5 \T & 1/12 & 0 & 1/12 \\ D=6 \T & 1/12 & 0 & 1/12 \\ \hline \T & 1/2 & 1/2 & 1 \end{array} \]Before moving on consider the patterns in the above tables. Notice how the rows sum to give the last column: \( 1/12+1/12=1/6 \) (Scenario 1) and \( 1/12+1/8=5/24 \) (Scenario 2) for example. Also note how the columns sum to give the last row. Why should these patterns be there? If it is not clear now, it should be by the end of the post.
Understanding the tables
Let's first consider the table for Scenario 1. If we wanted to know the probability that the coin landed on heads and the die rolled a 4, that is \( P(C=H, D=4) \), we could look at the appropriate column and row are read it off (blue, underlined entry):
\[ \newcommand\T{\Rule{0pt}{1em}{.3em}} \color{black}{ \begin{array}{c|c|c|c} \T & C=H & C=T & \\ \hline D=1 \T & 1/12 & 1/12 & 1/6 \\ D=2 \T & 1/12 & 1/12 & 1/6 \\ D=3 \T & 1/12 & 1/12 & 1/6 \\ D=4 \T & \color{blue}{\underline{1/12}} & 1/12 & 1/6 \\ D=5 \T & 1/12 & 1/12 & 1/6 \\ D=6 \T & 1/12 & 1/12 & 1/6 \\ \hline \T & 1/2 & 1/2 & 1 \end{array} } \]So, for scenario 1, \( P(C=H, D=4) = 1/12 \). What if we wanted \( P(C=T, D=6) \) for Scenario 2? We could read off that entry from the appropriate table (blue, underlined entry):
\[ \newcommand\T{\Rule{0pt}{1em}{.3em}} \begin{array}{c|c|c|c} \T & C=H & C=T & \\ \hline D=1 \T & 1/12 & 1/8 & 5/24 \\ D=2 \T & 1/12 & 1/8 & 5/24 \\ D=3 \T & 1/12 & 1/8 & 5/14 \\ D=4 \T & 1/12 & 1/8 & 5/24 \\ D=5 \T & 1/12 & 0 & 1/12 \\ D=6 \T & 1/12 & \color{blue}{\underline{0}} & 1/12 \\ \hline \T & 1/2 & 1/2 & 1 \end{array} \]So, for Scenario 2, \( P(C=T, D=6) = 0 \). This should make sense-- we use a 4-sided die after getting \( C=T \)!
Joint and marginal probabilities
Now that we can read off the joint probabilities for the coin \( C \) and die \( D \), how do we get probabilities for specific outcomes for just the coin or just the die? This is exactly what marginal probabilities give us. Let's start with an example for each of the scenarios by calculating the probability that the die rolls a 6** (imagine that we can't see what die is rolled and are just given the result).
- Scenario 1: To get the probability for \( D=6 \) we have to sum the probability of all joint events that have the desired roll:
Of course, \( P(D=6) = 1/6 \) should make sense for Scenario 1 because a six-sided die is always thrown. This means the probability that \( D=6 \) is independent of the coin toss.
- Scenario 2: Next we do the same calculation for the second scenario. Note that while the equation on the first line is the same, the probabilities that we substitute are different:
So in this scenario, the probability is reduced due to the fact that a four-sided die is thrown when \( C=T \). This reduces the probability of getting \( D=6 \) to \( 1/12 \) -- the probability of \( D=6 \) is *dependent on* the coin toss.
So, in general we can go from joint to marginal distribution by doing a sum over the variable that we want to get rid of. For our examples above we wanted \( P(D=d) \) where \( d=6 \) and summed over all possible values of \( C \). A general expression for this would be (for any \( d \)):
\[ \begin{array}{rl} P(D=d) & = & \sum_{c=H,T} P(C=c, D=d) \\[0.75em] & = & P(C=H, D=d) + P(C=T, D=d) \end{array} \]where the symbol \( \Sigma \) means to sum, resulting in the expanded expression on the second line.
A similar thing can be done if we are interested in just the probability of the coin toss, resulting in the general expression:
\[ \begin{array}{rl} P(C=c) & = & \sum_{d=1-6} P(C=c, D=d) \\[0.75em] & = & P(C=c, D=1) + P(C=c, D=2) \\[0.75em] & + & P(C=c, D=3) + P(C=c, D=4) \\[0.75em] & + & P(C=c, D=5) + P(C=c, D=6) \end{array} \]In this case there are many more terms in the sum because there are up to six values for \( D \).
Given this discussion of going from joint probabilities to marginal probabilities you should be able to go back to tables for Scenarios 1 and 2 (above) and figure out why the rows and columns sum they way that they do.
Conditional probabilities
Finally we discuss finding conditional probabilities from the joint and marginal probabilities that we calculated above. Let's calculate a conditional probability of getting \( D=6 \) given that \( C=T \), denoted \( P(D=6 \vert C=T) \). To calculate this probability we have to relate all of the types of probabilities discussed in this post:
\[ \begin{array}{rl} P(C=c, D=d) & = & P(D=d \vert C=c) P(C=c) \\[0.75em] & \mathrm{or} & \\[0.75em] P(C=c, D=d) & = & P(C=c \vert D=d) P(D=d) \end{array} \]So we can write the same joint probability two different ways. However, in both cases the joint probability is equal to a conditional probability multiplied by a marginal probability. Let's take the first form and rearrange to provide an equation for the conditional probability that we want:
\[ P(D=6 \vert C=T) = \frac{P(C=T, D=6)}{P(C=T)} \]Using the relationship between joint and marginal probabilities, we can substitute
\[ P(C=T) = \sum_{d=1-6} P(C=T, D=d) \]into the equation for our conditional probability to get
\[ P(D=6 \vert C=T) = \frac{P(C=T, D=6)}{\sum_{d=1-6} P(C=T, D=d)} \]This equation has a form that you will see over and over, including in Bayes' Theorem, so take some time to make sure that it makes sense.
Finally, let's apply the equation to Scenarios 1 and 2. First, Scenario 1:
\[ \begin{array}{rl} P(D=6 \vert C=T) & = & \frac{1/12}{1/2} \\[0.75em] & = & 1/6 \end{array} \]Next, Scenario 2:
\[ \begin{array}{rl} P(D=6 \vert C=T) & = & \frac{0}{1/2} \\ & = & 0 \end{array} \]Do these results make sense to you? For Scenario 1 a six-sided die is always thrown so
\[ P(D=6 \vert C=T) = P(D=6) \]However, for Scenario 2 a four-sided is thrown if \( C=T \) and
\[ P(D=6 \vert C=T) \neq P(D=6) \]This means that the die and coin variables are independent in Scenario 1 and dependent in Scenario 2.
Summing up
That's it, I hope some people will find this post helpful. As I mentioned at the start of the post I hope to use this information as reference for discussions of Bayesian methods and related topics. As always, please comment, ask questions and point out mistakes if you find them.