Introduction One Function of Random Variables

Functions of a Random Variable: Density

 Let g(x) = y be a one-to-one function whose derivative is nonzero

Math 425
Intro to Probability
Lecture 30

on some region A of the real line.

Suppose g maps A onto B, so that there is an inverse map
x = h(y ) from B back to A.

 Let X be a continuous random variable with known density f (x).

Kenneth Harris
[email protected]

Let Y = G(X ). Then the density of Y is

Department of Mathematics
University of Michigan

fY (y ) = fX h(y )

d
h(y ) .
dt

April 3, 2009
Note: Compare to Ross, Theorem 5.7.1, page 243.

Kenneth Harris (Math 425)

Math 425 Intro to Probability Lecture 30

April 3, 2009

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Kenneth Harris (Math 425)

Two Functions of Two Random Variables

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Two Functions of Two Random Variables

Problem

Denition Nice Transformations

Let the continuous random variables (X , Y ) have joint density

fX ,Y (x, y ) and let A = {(x, y ) : fX ,Y (x, y ) > 0}.
(X , Y ) determines a point with xy -coordinates in the region A.

Denition
A transformation from xy -coordinates to uv -coordinates (xy uv )
given by

 Consider the continuous random variables (U, V ) given by

U = g1 (X , Y )

u = g1 (x, y )

(U, V ) determines a point with uv -coordinates in some region B.

Problem. If the transformation from xy -coordinates to uv -coordinates
given by
u = g1 (x, y )
v = g2 (x, y ).
is nice on A, then we can produce the joint density fU,V (u, v ) for the
random variable (U, V ).
Math 425 Intro to Probability Lecture 30

v = g2 (x, y ).

is nice on A, if

V = g2 (X , Y ).

Kenneth Harris (Math 425)

Math 425 Intro to Probability Lecture 30

April 3, 2009

The partial derivatives u , u , v , and v exist and are continuous

x y x
y
on A.
The Jacobian of the transformation is nonzero on A:
J(x, y ) =

u
x
v
x

u
y
v
y

u v
u v

=0
x y
y x

whenever (x, y ) A.
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Kenneth Harris (Math 425)

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April 3, 2009

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Two Functions of Two Random Variables

Two Functions of Two Random Variables

Change of coordinates

Jacobians

 A nice transformation on A (xy uv ) amounts to simply a change

of coordinates of the plane from xy -coordinates to uv -coordinates.

We can recover the original xy -coordinates from the new
uv -coordinates.

J(x, y ) =

J(u, v ) =

v = g2 (x, y )

to uv -coordinates on a region B.
There is a reverse transformation (uv xy ) from uv -coordinates to
xy -coordinates
x = h1 (u, v )
y = h2 (u, v ).

Math 425 Intro to Probability Lecture 30

u
y
v
y

x
u
y
u

x
v
y
v

u v
u v

x y
y x

x y
x y

u v
v u

 Since (xy uv ) is nice on A,

J(x, y ) = 0 whenever (x, y ) A and

J(u, v ) = 0 whenever (u, v ) B.

Furthermore, the two Jacobian determinants are inverses

which maps B onto A and which are also nice on B.

Kenneth Harris (Math 425)

u
x
v
x

 The Jacobian of the inverse transformation (uv xy ) is the

determinant

 Suppose (xy uv ) is nice transformation on A

u = g1 (x, y )

 The Jacobian of the original transformation (xy uv ) is the

determinant

J(x, y ) = J(u, v )1
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Two Functions of Two Random Variables

Kenneth Harris (Math 425)

Math 425 Intro to Probability Lecture 30

April 3, 2009

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Two Functions of Two Random Variables

Main Theorem

Picture of Theorem

Theorem

fU,V (u, v ) du dv P {(U, V ) B}

Let (X , Y ) be continuous random variables with joint density fX ,Y (x, y ), and

(U, V ) be random variables given by
U = g1 (X , Y )

P {(X , Y ) A} fX ,Y (x, y ) J(u, v ) du dv

V = g2 (X , Y ).

Suppose the (xy uv ) transformation

u = g1 (x, y )

UV

v = g2 (x, y ).

P U,V

is nice on A = {(x, y ) : fX ,Y (x, y ) = 0}.

Let the inverse (uv xy ) from B to A be
x = h1 (u, v )

XY

P X,Y

A
B

y = h2 (u, v ).

u,v

 The joint density of (U, V ) is given for (u, v ) B by either equation

x,y

dv

du

fU,V (u, v ) = fX ,Y h1 (u, v ), h2 (u, v ) J(u, v )

Area of B

fU,V (u, v ) = fX ,Y h1 (u, v ), h2 (u, v ) J(x, y )1

du dv

Area of A

J u,v

du dv

whichever is more convenient to compute.

Kenneth Harris (Math 425)

Math 425 Intro to Probability Lecture 30

April 3, 2009

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Kenneth Harris (Math 425)

Math 425 Intro to Probability Lecture 30

April 3, 2009

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Two Functions of Two Random Variables

Example

Sketch of Proof of Theorem

Functions of a Random Variable: Density

 Let B B and suppose (uv xy ) maps B to A A.

P {(U, V ) B}

Example. Let X and Y be continuous random variables with joint

density fX ,Y (x, y ) and where X = 0. Consider

= P {(X , Y ) A}
fX ,Y (x, y ) dx dy

U = XY

u = xy

fX ,Y h1 (u, v ), h2 (u, v ) J(u, v ) du dv

=
(u,v )B

using the Change of Variables Theorem of analysis.

 Intuitively, we can break B into small regions B which (uv xy )

x =v

fU,V (u, v ) Area B fX ,Y (h1 (u, v ), h2 (u, v )) Area A

where Area A Area B J(u, v ) .

 Differentiate the integrals to get the transformation rule:

fU,V (u, v ) =
Kenneth Harris (Math 425)

April 3, 2009

y=

u
.
v

The Jacobian for transformation for (uv xy ) is

if (u, v ) B
otherwise.

Math 425 Intro to Probability Lecture 30

v = x.

The inverse transformation (uv xy ) is given by

transforms to small regions A of A where for any (u, v ) B:

fX ,Y h1 (u, v ), h2 (u, v ) J(u, v )

0

V = X.

 The transformation (xy uv ) is given by

(x,y )A

J(u, v ) =
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Kenneth Harris (Math 425)

Example

1
1
0
v
=
1 vu2
v

Math 425 Intro to Probability Lecture 30

April 3, 2009

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Examples: Polar Coordinates

Functions of a Random Variable: Density

Rectangle to Polar coordinates

 So, the joint density is

 It iscoordinates r . The transformationrectangular is

often convenient to change from
coordinates xy to
polar
(xy r )

fU,V (u, v ) = fX ,Y h1 (u, v ), h2 (u, v ) J(u, v )

u
1
= fX ,Y v ,

v
|v |

 We can compute the marginal f (u) = f

U

fXY (u) =

fX ,Y v ,

XY (u)

r = x2 + y2

where r > 0 and

= arctan

y
.
x

< .

 The inverse transformation (r xy ) from polar back to

rectangular is

by

x = r cos

1
u

dv
v
|v |

y = r sin .

 The transformation is (xy r ) nice in the punctured plane

R2 {(0, 0)}. Veried in three slides.

Kenneth Harris (Math 425)

Math 425 Intro to Probability Lecture 30

April 3, 2009

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Kenneth Harris (Math 425)

Math 425 Intro to Probability Lecture 30

April 3, 2009

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Examples: Polar Coordinates

Examples: Polar Coordinates

Converting Rectangle to Polar

Converting Rectangle to Polar

 Rectangle xy -coordinates to polar r -coordinates:

y
r = x 2 + y 2, r > 0
= arctan ,
x
Polar r -coordinates to rectangle xy -coordinates
x = r cos

 Plot of tan

x,y

on [, ]. The four quadrants of the plane are

I : x, y > 0

< ,

< x, y < .

y = r sin

y
x

II : x < 0, y > 0

II

III

III : x, y < 0

IV : x > 0, y < 0

IV

r,

4
2
r

x2

y2

y rsin

2
4

arctan

y
x
x rcos

Kenneth Harris (Math 425)

Math 425 Intro to Probability Lecture 30

April 3, 2009

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Kenneth Harris (Math 425)

Examples: Polar Coordinates

Math 425 Intro to Probability Lecture 30

April 3, 2009

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Examples: Polar Coordinates

Problem: Rectangle to Polar

Example

Problem. Let (X , Y ) be randomly chosen in some region R of the

xy -plane with joint density fX ,Y (x, y ).
Consider the random variables giving the polar coordinates

Example. Let (X , Y ) be uniformly distributed in R = unit circle. So,

R=

X2 + Y2

= arctan

fX ,Y (x, y ) =

cos
r sin

fR, (r , ) = r fX ,Y (r cos , r sin ) =

0 < r 1, <

 The marginals are

sin
= r cos2 + r sin2 = r
r cos

 The joint distribution of R, is

fR, (r , ) = r fX ,Y (r cos , r sin )

when x 2 + y 2 1.

 So,

Y
X

where R > 0 and < .

The Jacobian is easiest to compute on the r -plane:
J(r , ) =

fR (r )

f ()

r > 0, < .

=
0

r
d = 2r

0 < r 1,

r
1
dr =

< .

Thus, is uniformly distributed on (, ].

Kenneth Harris (Math 425)

Math 425 Intro to Probability Lecture 30

April 3, 2009

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Kenneth Harris (Math 425)

Math 425 Intro to Probability Lecture 30

April 3, 2009

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Examples: Polar Coordinates

Examples: Polar Coordinates

Example

Example

Example. Let (X , Y ) be independent and normally distributed in the

plane with ( = 0, 2 ). So,

Example. Let R be exponentially distributed with mean 2 and be

uniformly distributed in (, ], both independent. The joint distribution
is

fX ,Y (x, y ) =

 Since f

R, (r , )

2
2
2
1
e(x +y )/2
2
2

 The marginals are

f () =

2
2
r
er /2 d =
2 2

2
2
r
er /2 dr =
2
2
0

0 < r , < .

Math 425 Intro to Probability Lecture 30

April 3, 2009

Y = R sin

Solve for r , in the transformation x = 2r cos and y = 2r sin :

J(r , ) =

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= arctan

y
.
x

Kenneth Harris (Math 425)

cos

2
r
r sin

sin

2 r

r cos

cos2 sin2
1
+
= .
2
2
2

Math 425 Intro to Probability Lecture 30

April 3, 2009

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Examples: Polar Coordinates

Example continued

 So,

R cos

The Jacobian determinant is easiest to compute using r -coordinates:

Examples: Polar Coordinates

fR, (r , ) =

0 < r , <

X =

r = x2 + y2

r r 2 /22
e
0 < r,
2
1
< .
2

Thus, is uniformly distributed on (, ] and R is the Rayleigh

distribution (the distance of (X , Y ) from the origin).
Kenneth Harris (Math 425)

1 1 r /2
e
2 2

 Let X and Y be random variables determined by

= r fX ,Y (r cos , r sin ),

2
2
2
2
2
2
2
r
r
e(r cos +r sin )/2 =
er /2
fR, (r , ) =
2
2
2
2

fR (r ) =

fR, (r , ) =

Examplecontinued

1 1 r /2
e
2 2

Let U and V be uniformly distributed on (0, 1).

 Consider the random variable :

0 < r , <

= 2V
fX ,Y (x, y )

=
=

y
fR, (x 2 + y 2 , arctan ) 2
x
1 (x 2 +y 2 )/2
e
2

So, is uniformly distributed on (, ).

 Consider the random variable R:

X and Y are independent and normally distributed random

variables with ( = 0, 2 = 1). The marginals are obtained by
integrating fX ,Y (x, y ):
fX (x)
fY (y )
Kenneth Harris (Math 425)

=
=

R = 2 ln

solving, u = er /2 .

By Proposition 5.7.1 (Ross, page 243),

2
1
ex /2
2
2
1
ey /2
2

Math 425 Intro to Probability Lecture 30

1
U

fR (r ) = fU (er /2 ) u =

1 r /2
e
2

So, R is exponentially distributed with mean 2.

April 3, 2009

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Kenneth Harris (Math 425)

Math 425 Intro to Probability Lecture 30

Examples: Polar Coordinates

Examples: Polar Coordinates

Example continued

Converting Rectangle to Polar

 Let X and Y be random variables determined by

 Simulating a standard normal random variable with a pair of independent

X =

uniform random variables on (0, 1).

R cos

Y =

R sin

Then X and Y are independent standard normal random variables!!

 We can simulate a standard normal random variable X by using two

independent uniform random variables U and V on (0, 1):

X =

Kenneth Harris (Math 425)

2 ln

1
cos 2V .
U

Math 425 Intro to Probability Lecture 30

April 3, 2009

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1000 data points

0.5
0.4
0.3
0.2
0.1
0.0

1 0

Kenneth Harris (Math 425)

Example of Joint Distribution

10,000 data points

0.5
0.4
0.3
0.2
0.1
0.0

1 0

Math 425 Intro to Probability Lecture 30

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Example of Joint Distribution

Example

Example continued

 The transformation into uv -coordinates

Example. Let X and Y be independent and uniformly distributed on

(0, 1]. Find the joint probability density function for the random
variables
U=

X
Y

u=

1
0

if 0 x 1
otherwise

fY (y ) =

x=

1
0

So, the joint distribution fX ,Y (x, y ) is

fX ,Y (x, y ) = fX (x) fY (y ) =

Kenneth Harris (Math 425)

 So, u, v > 0 and

if 0 x, y 1
otherwise.

Math 425 Intro to Probability Lecture 30

fU,V (u, v ) = fX ,Y

April 3, 2009

uv

v
.
u

y=

The Jacobian determinant is easiest when computed in xy

coordinates:

if 0 y 1
otherwise

J(x, y ) =

1
0

v = xy ,

is one-to-one and has an inverse

V = XY .

 Individually, the distribution of X and Y are

fX (x) =

x
y

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Kenneth Harris (Math 425)

uv ,

1
y

x
yx2
= 2 = 2u
y
x

v
1

=
u
2u

1
2u

if 0 <

otherwise.

Math 425 Intro to Probability Lecture 30

uv ,

v
u

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Example of Joint Distribution

Example of Joint Distribution

Example continued

Example continued

 It remains to compute the bounds on u and v .

0<

uv ,

fU,V (u, v ) =

v
1
1 = 0 < v , 0 < v u.
u
u

 We compute the marginals.

Only one of these ranges need be retained, depending upon whether

u (0, 1] or u [1, ):
fU (u) =
fU,V (u, v ) =

1
2u

if 0 < u < 1, 0 < v u,

1
or, if u 1, 0 < v u ,
otherwise.

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Example of Joint Distribution

Example continued

 Plot of area determined by

and

u 1 = 0 < v

1
.
u

v
1.0

0.8

0.6
1
v

0.4

0.2

1
Kenneth Harris (Math 425)

Math 425 Intro to Probability Lecture 30

u 1
dv
0 2u
1
u 1
dv
0 2u

1
v

Math 425 Intro to Probability Lecture 30

0 < u < 1 = 0 < v u

fv (v )

Kenneth Harris (Math 425)

1
2u

u
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Kenneth Harris (Math 425)

1
2u

du

if 0 < u < 1, 0 < v u,

1
or, if u 1, 0 < v u ,
otherwise.

if 0 < u < 1
if u 1
otherwise

1 dv
2
1
= 2u 2 dv

if 0 < v 1
=
otherwise

1
ln v
0

Math 425 Intro to Probability Lecture 30

if 0 < u < 1
if u 1
otherwise

if 0 < v 1
otherwise

April 3, 2009

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