STAT 410

Fall 2016

Functions of One Random Variable

What is the probability distribution of Y ?

Cumulative Distribution Function approach:

f X ( x ) dx
{ x: g (x ) y }

Moment-Generating Function approach:

M Y ( t ) = E ( e Y t ) = E ( e g( X ) t ) =

(x ) t f ( x ) dx
X

Change-of-Variable Technique:
X continuous r.v. with p.d.f. f X ( x ).
Y = g( X)
dx

/d y = d [ g

1( y ) ]

/d y

f Y ( y ) = f X ( g 1( y ) )

1.

g ( x ) one-to-one, differentiable

dx
dy

Consider a continuous random variable X with p.d.f.

f X ( x ) = 6 x

0 < x <1
o.w.

Find the probability distribution of Y = 1 X 2 .

Support of X = { 0 < x < 1 }

X2

Support of Y = { y > 1 }

g ( x ) = 1/x 2
dx

/d y = 12

g 1( y ) = 1

1
= y /2

y 3/2
dx
dy

f Y ( y ) = f X ( g 1( y ) )

1
5
3
= ( 6 y /2 ) ( y /2 ) = 3 y 4
2

y > 1.

OR
5

f X ( x ) = 6 x
0

FX( x ) = x6
1

0 < x <1
o.w.

FY( y ) = P( Y y ) = P( 1 X2 y ) = P( X 1

= 1 y 3,

y > 1.

Consider a continuous random variable X with p.d.f.

fX( x ) =
a)

) = 1 FX( 1

y > 1.

f Y ( y ) = F 'Y ( y ) = 3 y 4,

2.

x<0
0 x <1
x 1

0 < x <1
o.w.

Find the probability distribution of Y =

2x
fX( x ) =
0

0 < x <1
o.w.

X.

FX( x ) = x 2

x<0
0 x <1
x 1

y<0

F Y ( y ) = P ( Y y ) = P ( X y ) = 0.

y0

F Y ( y ) = P ( Y y ) = P ( X y ) = P ( X y 2 ) = F X ( y 2 ).
0y<1

F Y ( y ) = F X ( y 2 ) = y 4.

y1

F Y ( y ) = F X ( y 2 ) = 1.

FY( y ) = y 4
1

y<0
0 y <1
y 1

f Y ( y ) = F 'Y ( y ) = 4 y

0 < y <1
o.w.

OR

g( x ) =

f Y ( y ) = f X ( g 1( y ) )

b)

dx
dy

FW( w) = P(W w ) = P(
1

1 )2 =

f W ( w ) = F 'W ( w ) =

0 < y < 1.

1
.
X +1

1
<w<1
2

0<x<1

/d y = 2 y

= ( 2 y 2 ) ( 2 y ) = 4 y 3,

Find the probability distribution of W =

= 1(

dx

g 1( y ) = y 2

1
1
1
w ) = P( X
1 ) = 1 FX(
1)
X +1
w
w

w w
2

1
< w < 1.
2

22w

1
< w < 1.
2

OR

g( x ) =

1
x +1

f Y ( y ) = f X ( g 1( y ) )

g 1( w ) =

dx
dy

[ 2 ( w1

dx

1)] (

w2

) =

22w

w3

/d w =

1
< w < 1.
2

w2

3.

Consider a continuous random variable X with the p.d.f. f X ( x ) =

a)

Let Y = 1

24

x4

, x > 2.

. Find the p.d.f. of Y, f Y ( y ).

Support of X = { x > 2 }
Y=1

Support of Y = { 0 < y < 1 2 }

g ( x ) = 1/x

dx

g 1 ( y ) = 1/y
dx
dy

f Y ( y ) = f X ( g 1( y ) )

= ( 24 y 4 ) ( y 2 ) = 24 y 2,

/d y = 1/y 2
0 < y < 1 2.

OR
FX( x ) = 1

x3

x > 2.

F Y ( y ) = P ( Y y ) = P ( 1 X y ) = P ( X 1 y ) = 1 F X ( 1 y ) = 8 y 3,

0 < y < 1 2.

f Y ( y ) = 24 y 2, 0 < y < 1/2 .

b)

Find the probability distribution of Y = 1 X 2 .

Support of X = { x > 2 }
Y= 1

g ( x ) = 1/x 2

Support of Y = { 0 < y < 1 4 }

g 1( y ) = 1

1
= y /2

dx

/d y = 12 y 3/2

f Y ( y ) = f X ( g 1( y ) )

dx
dy

= ( 24 y 2 ) (

1 3/2
y
) = 12 y 1/2 = 12
2

y,
0 < y < 1 4.

OR
FX( x ) = 1

x3

x > 2.

FY( y ) = P( Y y) = P( 1
= 1 FX( 1

X2

y) = P(X 1

) = 8 y 3/2,

0 < y < 1 4.

f Y ( y ) = 12 y 1/2 = 12 y , 0 < y < 1/4 .

4.

The p.d.f. of X is

f X ( x ) = x 1, 0 < x < 1, 0 < < . Let Y = 2 ln X.

How is Y distributed?
a)

Determine the probability distribution of Y by finding the c.d.f. of Y

F X ( x ) = x ,

0 < x < 1.

0<x<1

y = 2 ln x

F Y ( y ) = P ( Y y ) = P ( 2 ln X y ) = P ( X e

f Y ( y ) = F Y' ( y ) =

1 y/2
e
,
2

y > 0.

y>0
y 2

/ )

= 1e

y 2

y > 0.

b)

Y has Exponential distribution with mean 2.

Determine the probability distribution of Y by finding the m.g.f. of Y

M Y ( t ) = E ( e Y t ) = E ( e 2 ln X t ) = E ( X 2 t ) =

(x

2 t

x 1 dx

0
1

2 t 1

dx =

c)

2t

1
,
1 2t

t<

1
.
2

Y has Exponential distribution with mean 2.

Determine the probability distribution of Y by finding the p.d.f. of Y, f Y ( y ),

y = g ( x ) = 2 ln x

dx

fY( y ) = fX( g

/d y =

y
x = g 1 ( y ) = = e /2

1 y/2
e
2

dx
(y))
dy

y 2

= e

1 y 2
e
2

1 y/2
e
,
2

y > 0.

Y has Exponential distribution with mean 2.

5.

Let Z be a N ( 0, 1 ) standard normal random variable.

2
MX( t ) = E( et Z ) =

t z2

z 2 2 (1 2 t )

since

( 1 2 t )1 2 e (z 2

X has a

) (1 2 t )

z2 2

dz =

dz

(1 2 t )

12

t < 1/2,

is the p.d.f. of a N ( 0,

2(1)

1
) random variable.
1 2t

distribution.

OR

FX( x ) = P( X x ) = P( Z2 x ) = P(

z2 2

x Z

x ) F Z ( x ).

d z = FZ(

x)

f X ( x ) = F 'X ( x ) =
f Z ( x )
f Z ( x )
2 x
2 x
x 2
x 2
1 1
1 1

e
e
=

2
2
2
2

x
x

X has a

2(1)

21

1 2

1
(1 2 ) 2 1 2

distribution.

x 2

(1 2 ) 1

x 2

x > 0.

6.

Consider a continuous random variable X with p.d.f.

3 < x < 1
0< x<2
otherwise

0.2
f X ( x ) = 0.3
0

Find the probability distribution of Y = X 2.

Case 1:

y<0

P( X2 y ) = 0

y0

FY( y ) = P( Y y ) = P( X2 y ) = P(
0y<1

F Y ( y ) = 0.3
Case 2:

1y<4

F Y ( y ) = 0.

y <1

y <2

y.

F Y ( y ) = 0.2 ( 1 +

y ) + 0.3 y .

y X

y)

Case 3:

4y<9

F Y ( y ) = 0.2 ( 1 +
Case 4:

y9

y <3

y ) + 0.6.

F Y ( y ) = 1.

_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _

Consider a continuous random variable X, with p.d.f. f and c.d.f. F, where F is strictly
increasing on some interval I, F = 0 to the left of I, and F = 1 to the right of I. I may be a
bounded interval or an unbounded interval such as the whole real line. F 1 ( u ) is then well
defined for 0 < u < 1.

Fact 1:
Let U ~ Uniform ( 0, 1 ), and let X = F 1 ( U ). Then the c.d.f. of X is F.
Proof:

P ( X x ) = P ( F 1 ( U ) x ) = P ( U F ( x ) ) = F ( x ).

Fact 2:
Let U = F ( X ); then U has a Uniform ( 0, 1 ) distribution.
Proof:

P ( U u ) = P ( F ( X ) u ) = P ( X F 1 ( u ) ) = F ( F 1 ( u ) ) = u.

_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _

7.

Let X have a logistic distribution with p.d.f.

f(x) =

ex

(1 + e )

x 2

< x < .

Show that
Y =

1
1 + eX

has a U ( 0, 1 ) distribution.

FX( x ) =

1
1 + e x

< x < .

Y = F X ( X ) has a Uniform ( 0, 1 ) distribution by Fact 2.

OR

Weibull distribution:
b

f X ( x ) = a b x b 1 e a x ,

x > 0,

where a > 0, b > 0.

8.

Let X have an exponential distribution with = 1; that is, the p.d.f. of X is

a)

Show that the p.d.f. of T is

g ( t ) = e t e e , < t < ,
which is the p.d.f. of an extreme value distribution.

x>0

dx
= et
dt

x = et

t = ln ( x )

<t<

g (t ) = fT(t ) = fX(et )

dx
dt

t
= et e e ,

< t < .

OR
FX( x ) = 1 e

x > 0.
t

t
t
FT( t ) = P( T t ) = P( X e ) = FX( e ) = 1 e e ,

< t < .

t
g ( t ) = f T ( t ) = e t e e , < t < .

b)

Let W be defined by T = + ln W, where < < and > 0.

dt
=
w
dw

t = + ln w
f W ( t ) = f T ( + ln w )

+ ln w
dt
= e + ln w e e

dw
w

= e w 1 e e w ,

w > 0.

9.

Let X be a continuous random variable with probability density function

f X ( x ) = x 1 e x ,

where > 0, > 0.

x > 0,

( X has a Weibull distribution. ) Consider Y = X . What is the probability

Y = X

x>0

X = g 1( y ) = Y 1

dx
1 1 1
=
.
y
dy

y>0

f Y ( y ) = f X ( g 1( y ) )

dx
dy

= y ( 1 ) /

e y y
1

1 1

= e

OR

x
FX( x ) =

x
1 u du =
,
1 e
u e

x > 0.

0
y
FY( y ) = P( Y y ) = P( X y1 ) = FX( y1 ) = 1 e
,

fY( y ) = e

y > 0.

Y has Exponential distribution with mean 1 .

y > 0.

y > 0.