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FUNCTION OF A RANDOM
VARIABLE
UNIVARIATE
TRANSFORMATIONS
TRANSFORMATION OF RANDOM
VARIABLES
• If X is an rv with cdf F(x), then Y=g(X) is
also an rv.
fY y P Y y P X x f x
xg 1 y xg 1 y
4
Example
• Let X~GEO(p). That is, f (x) p(1 p) x 1 for x 1,2,3,...
• Find the p.m.f. of Y=X-1
• Solution: X=Y+1
d 1
1
f ( g ( y )) | g ( y ) | for y
h( y ) dy
0
o.w.
7
FUNCTIONS OF CONTINUOUS
RANDOM VARIABLE
• Example: Let X have the density
1, 0 x 1
f x
0, otherwise
Let Y=eX.
X=g1 (y)=log Y dx=(1/y)dy.
1
h y 1. ,0 log y 1
y
1
, 1 y e
h y y
0, otherwise 8
FUNCTIONS OF CONTINUOUS
RANDOM VARIABLE
• Example: Let X have the density
1 x2 / 2
f x e , x .
2
9
CDF method
2x
• Example: Let F( x ) 1 e for x 0
Consider Y e X . What is the p.d.f. of Y?
• Solution:
FY ( y) P(Y y) P(e X y) P(X ln y)
FX (ln y) 1 y 2 for y 1
d
f Y ( y) FY ( y) 2 y 3 for y 1
dy
10
CDF method
• Example: Consider a continuous r.v. X,
and Y=X². Find p.d.f. of Y.
• Solution:
FY ( y) P(X 2 y) P( y X y ) FX ( y ) FX ( y )
d d
f Y ( y) f X ( y ) ( y ) f X ( y ) ( y )
dy dy
1
[f X ( y ) f X ( y )]
2 y
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TRANSFORMATION OF
FUNCTION OF TWO OR MORE
RANDOM VARIABLES
BIVARIATE
TRANSFORMATIONS
DISCRETE CASE
• Let X1 and X2 be a bivariate random vector
with a known probability distribution function.
Consider a new bivariate random vector (U, V)
defined by U=g1(X1, X2) and V=g2(X1, X2)
where g1(X1, X2) and g2(X1, X2) are some
functions of X1 and X2 .
13
DISCRETE CASE
• Then, the joint pmf of (U,V) is
14
EXAMPLE
• Let X1 and X2 be independent Poisson
distribution random variables with parameters
1 and 2. Find the distribution of U=X1+X2.
15
CONTINUOUS CASE
• Let X=(X1, X2, …, Xn) have a continuous joint
distribution for which its joint pdf is f, and
consider the joint pdf of new random variables
Y1, Y2,…, Yk defined as
Y1 g1 X1 , X 2 , , X n
Y2 g 2 X1 , X 2 , , X n
*
Yk g k X1 , X 2 , , X n
T
X Y
~ ~ 16
CONTINUOUS CASE
• If the transformation T is one-to-one and onto,
then there is no problem of determining the
inverse transformation, and we can invert the
equation in (*) and obtain new equations as
follows:
17
CONTINUOUS CASE
x1 g1 y1 , y2 , , yk
1
x2 g 21 y1 , y2 , , yk
* *
xn g n y1 , y2 , , yk n
1
1
• Assuming that the partial derivatives g i /
y i
exist at every point (y1, y2,…,yk=n). Under these
assumptions, we have the following
determinant J
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CONTINUOUS CASE
g11 g11
y1 yn
J det
g 1 g 1
n n
y1 yn
called as the Jacobian of the transformation
specified by (**). Then, the joint pdf of Y1,
Y2,…,Yk can be obtained by using the change
of variable technique of multiple variables.
19
CONTINUOUS CASE
• As a result, the new p.d.f. is defined as
follows:
f X1 ,, X n g11 , g 21 ,, g n1 | J |, for y1 , y2 ,, yn
g y1 , y2 ,, yn
0, otherwise
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Example
• Recall that I claimed: Let X1,X2,…,Xn be
independent rvs with Xi~Gamma(i, ).
Then, X ~ Gamma ,
n n
i i
i 1 i 1
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M.G.F. Method
• If X1,X2,…,Xn are independent random
variables with
n
MGFs M xi (t), then the
MGF of Y Xi is MY (t) MX1 (t)...MXn (t)
i 1
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Example
• Recall that I claimed:
~ Bin n , p . Then,
independent
Let X i i
X ~ Bin n n n , p .
k
i 1 2 k
i 1
23
Example
• Recall that I claimed: Let X1,X2,…,Xn be
independent rvs with Xi~Gamma(i, ).
Then,
X ~ Gamma ,
n n
i i
i 1 i 1
25
Example 2
• Recall that I claimed:
Let X be an rv with X~N(0, 1). Then,
X ~
2
1
2
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Example 3
• Let X~N( , 2) and Y=exp(X). Find the
p.d.f. of Y.
27
Example 4
Recall that I claimed:
• If X and Y have independent N(0,1)
distribution, then Z=X/Y has a Cauchy
distribution with =0 and σ=1.
Recall the p.d.f. of Cauchy distribution:
1 1
f (x) , 0
1 ( x
)2
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