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Module 27 Distribution of Functions of Random Variables

This document discusses the distribution of functions of random variables. It provides examples of how to find the probability distribution of a random variable Y that is defined as a function g(X) of one or more random variables X. Two main methods are described: 1) The distribution function technique, which determines the distribution of Y by computing the distribution function FY(y). 2) The transformation of variable technique, which uses the properties of the transformation g(X) to determine the probability mass or density function of Y based on the joint distribution of X.

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0% found this document useful (0 votes)
132 views37 pages

Module 27 Distribution of Functions of Random Variables

This document discusses the distribution of functions of random variables. It provides examples of how to find the probability distribution of a random variable Y that is defined as a function g(X) of one or more random variables X. Two main methods are described: 1) The distribution function technique, which determines the distribution of Y by computing the distribution function FY(y). 2) The transformation of variable technique, which uses the properties of the transformation g(X) to determine the probability mass or density function of Y based on the joint distribution of X.

Uploaded by

pankaj kumar
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Module 27

DISTRIBUTION OF FUNCTIONS OF RANDOM


VARIABLES

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 1 / 36


X = (X1 , . . . , Xp )0 : a p-dimensional discrete or A.C. random vector;

fX (·): p.m.f./ p.d.f. of X ;

g : Rp → R;

In many situations, we may be interested in knowing the probability


distribution of r.v. Y = g (X ).

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 1 / 36


Example 1.

A company manufactures electric bulbs.

Past life testing experiments on electric bulbs suggest that the


lifetime of randomly chosen electric bulbs manufactured by company
can be described by r.v. X having p.d.f.
1 − θx
(
e , x>0
f (x|θ) = θ , θ>0
0, otherwise

However θ > 0 is unknown.

To obtain information about unknown θ, a life-testing experiment was


conducted on n bulbs independently.

Xi : lifetime of i-th bulb, i = 1, . . . , n (a r.v.)

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 2 / 36


X1 , . . . , Xn : a collection of independently and identically distributed
(i.i.d.) r.v.s. We call a collection of i.i.d. r.v.s as a random sample.

Since E (X ) = θ, a natural estimator of θ is the sample mean


n
X = n1
P
Xi .
1

To study theoretical properties of the estimator X , we may need the


probability distribution of X .

Definition 1.
(i) A function of one or more r.v.s that does not depend on any unknown
parameter involved in joint p.m.f./ p.d.f. of r.v.s is called a statistic.

(ii) A collection of i.i.d. r.v.s is called a random sample.

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 3 / 36


Example 2.

X1 +X2
In the above example X , X1 , 2 are statistics whereas, X − θ or X1 /θ
are not statistics.

Now we will discuss various techniques to find the probability distribution


of Y = g (X ).

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 4 / 36


Method 1: Distribution Function Technique
The distribution of Y = g (X1 , . . . , Xp ) can be determined by computing
the distribution function of Y = g (X ).

Example 3. Let X1 , X2 be a random sample from a distribution having


p.d.f. (
2x, 0 < x < 1
f (x) =
0, otherwise.
Find the distribution of Y = X1 + X2 and hence find p.m.f./ p.d.f. of Y .
Solution. Joint p.d.f. of X = (X1 , X2 ) is

fX (x1 , x2 ) = fX1 (x1 )fX2 (x2 )


= f (x1 )f (x2 )
(
4x1 x2 , if 0 < x1 < 1, 0 < x2 < 1
=
0, otherwise.

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 5 / 36


Clearly support of X is SX = [0, ∞) × [0, ∞). Also support of Y is
SY = [0, 2]. We have

FY (x) = P(X1 + X2 ≤ x), x ∈ R.

Clearly, for x < 0, FY (x) = 0 and, for x ≥ 2, FY (x) = 1. For 0 ≤ x < 2,


Z∞ Z∞
FY (x) = fX (x1 , x2 )dx
−∞ −∞
x1 +x2 ≤x
Z1 Z1
= 4x1 x2 dx1 dx2
0 0
x1 +x2 ≤x
min{x,1}
Z min{1,x−x
Z 1}

= 4x1 x2 dx2 dx1


0 0

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 6 / 36


For 0 ≤ x < 1,
Zx x−x
Z 1
x4
FY (x) = 4x1 x2 dx2 dx1 = .
6
0 0

For 1 ≤ x < 2,

Z1 min{1,x−x
Z 1}

FY (x) = 4x1 x2 dx2 dx1


0 0
x−1
Z Z 1 Z1 x−x
Z 1
= 4x1 x2 dx2 dx1 + 4x1 x2 dx2 dx1
0 0 x−1 0
(4x − 3) − (x + 3)(x − 1)3
= (x − 1)2 +
6

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 7 / 36


Thus,



0, if x < 0
 x4 ,

if 0 ≤ x < 1
6
FY (x) = (4x−3)−(x+3)(x−1)3


(x − 1)2 + 6 , if 1 ≤ x < 2

1, if x ≥ 2

Clearly, Y is of A.C. type with a p.d.f.



2 3
3x ,
 if 0 < x < 1
fY (x) = 2(x − 1) + 23 (1 − (x + 2)(x − 1))2 , if 1 < x < 2

0, otherwise.

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 8 / 36


Example 4.
Let X1 , X2 , X3 be a random sample from a distribution having p.m.f.
(
1
, if x = 1, 2, 3, 4, 5, 6
f (x) = 6
0, otherwise.

Let Y = min{X1 , X2 , X3 }. Find the d.f. and hence p.m.f. of Y .


Solution. We have, for x ∈ R,

FY (x) = P(Y ≤ x)
= P(min{X1 , X2 , X3 } ≤ x)
= 1 − P(min{X1 , X2 , X3 } > x)
= 1 − P(X1 > x, X2 > x, X3 > x)
= 1 − P(X1 > x)P(X2 > x)P(X3 > x)
= 1 − (1 − F (x))3

where F is the d.f. of X1 , given by,


() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 9 / 36

0,
 if x < 1
F (x) = 6i , if i ≤ x < i + 1, i = 1, . . . , 5

1, if x ≥ 6

Thus,

0,
 if x < 1
FY (x) = 1 − (1 − 6i )3 , if i ≤ x < i + 1, i = 1, . . . , 5

1, if x ≥ 6

The support of Y is SY = {1, 2, 3, 4, 5, 6}

fY (x) = FY (x) − FY (x−)


(
(1 − x−1 3 x 3
6 ) − (1 − 6 ) , if x = 1, 2, 3, 4, 5, 6
=
0, otherwise.

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 10 / 36


Method 2: Transformation of Variable Technique
(A.) For Discrete case
Result 1. Let X = (X1 , . . . , Xp )0 be a discrete r.v. with support SX and
p.m.f. fX (·). Let gi : Rp → R, i = 1, . . . , k be k (≥ 1) given functions and
let Yi = gi (X ), i = 1, . . . , k. Define
SY = {y ∈ Rk : y = (g1 (x), . . . , gk (x)), for some x ∈ SX }. Also, for each
y = (y1 , . . . , yk ) ∈ Rk , define

Ay = {x ∈ Sx : g1 (x) ≤ y1 , . . . , gk (x) ≤ yk }

and
By = {x ∈ Sx : g1 (x) = y1 , . . . , gk (x) = yk }.
Then the r.v. Y = (Y1 , . . . , Yk ) is of discrete type with support SY , d.f.
X
FY (y ) = fX (x), y ∈ Rk
x∈Ay

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 11 / 36


and p.m.f. X
fY (y ) = fX (x), y ∈ Rk .
x∈By

Example 5. Let X1 and X2 be i.i.d. r.v.s with common p.m.f.


(
θ(1 − θ)x−1 , if x ∈ {1, 2, . . .}
f (x) =
0, otherwise,

where θ ∈ (0, 1). Let Y1 = min{X1 , X2 } and


Y2 = max{X1 , X2 } − min{X1 , X2 }.
(i) Find the marginal p.m.f. of Y1 without finding the joint p.m.f. of
Y = (Y1 , Y2 );
(ii) Find the marginal p.m.f. of Y2 without finding the joint p.m.f. of
Y = (Y1 , Y2 );
(iii) Find joint p.m.f. of Y = (Y1 , Y2 );

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 12 / 36


(iv) Are Y1 and Y2 independent?
(iiv) Using (iii), find marginal p.m.f.s of Y1 and Y2 .
Solution. The joint p.m.f. of X = (X1 , X2 ) is
(
θ2 (1 − θ)x1 +x2 −2 , if (x1 , x2 ) ∈ N × N
fX (x1 , x2 ) = f (x1 )f (x2 ) =
0, otherwise.

(i) Clearly
SY1 = support ofY1 = {1, 2, . . .} = N
For y ∈ SY1 ,

fY1 (y ) = P(Y1 = y )
= P(min{X1 , X2 } = y )

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 13 / 36


= P(min{X1 , X2 } = y , X1 < X2 ) + P(min{X1 , X2 } = y , X1 = X2 )
+ P(min{X1 , X2 } = y , X1 > X2 )
= 2P(min{X1 , X2 } = y , X1 < X2 ) + P(min{X1 , X2 } = y , X1 = X2 )
= 2P(X1 = y , y < X2 ) + P(X1 = y , X2 = y )
= 2P(X1 = y )P(X2 > y ) + P(X1 = y )P(X2 = y )

X
y −1
= 2θ(1 − θ) θ(1 − θ)x−1 + θ2 (1 − θ)2y −1
x=y +1
(1 − y −1
θ) (1 − θ)y
= 2θ2 + θ2 (1 − θ)2y −2
θ
= θ(1 − θ)2y −2 (2 − θ).

Thus, p.m.f. of Y1 is

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 14 / 36


(
θ(2 − θ)(1 − θ)2y −2 , if y ∈ {1, 2, . . .}
fY (y ) =
0, otherwise.
(ii) Clearly
SY2 = {0, 1, 2, . . .}.
For y ∈ SY2 ,
P(Y2 = y ) = P(max{X1 , X2 } − min{X1 , X2 } = y )
= P(X2 − X1 = y , X1 < X2 ) + P(0 = y , X1 = X2 )
+ P(X1 − X2 = y , X1 > X2 )
= 2P(X2 − X1 = y , X1 < X2 ) + P(0 = y , X1 = X2 )
For y = 0,
P(Y2 = y ) = P(X1 = X2 )

X
= P(X1 = x, X2 = x)
x=1

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 15 / 36



X
= P(X1 = x)P(X2 = x)
x=1
X∞
= θ2 (1 − θ)2x−2
x=1
θ2
=
1 − (1 − θ)2
θ
= .
2−θ
For y ∈ {1, 2, . . .}
P(Y2 = y ) = 2P(X2 − X1 = y , X1 < X2 )
= 2P(X2 = X1 + y , X1 < X2 )
= 2P(X2 = X1 + y )
X∞
=2 P(X2 = X1 + y , X1 = x)
x=1
() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 16 / 36

X
=2 P(X1 = x, X2 = x + y )
x=1
X∞
=2 θ2 (1 − θ)2x+y −2
x=1
2θ2 (1
− θ)y
=
1 − (1 − θ)2
2θ(1 − θ)y
= .
2−θ

Thus, 
θ
 2−θ ,
 if y = 0
2θ(1−θ)y
fY2 (y ) = , if y = 1, 2, . . .
 2−θ
0, otherwise.

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 17 / 36


(iii) Clearly support of Y = (Y1 , Y2 ) is

SY = {(y1 , y2 ) : 1 ≤ y1 ≤ y1 + y2 }
= {(y1 , y2 ) : y1 ≥ 1, y2 ≥ 0}
= N × {0, 1, 2, . . .}.

For y = (y1 , y2 ) ∈ SY

fY (y ) = P(Y1 = y1 , Y2 = y2 )
= P(min{X1 , X2 } = y1 , max{X1 , X2 } = y1 + y2 )
= P(X1 = y1 , X2 = y1 + y2 , X1 < X2 )
+ P(X1 = y1 , X1 = y1 + y2 , X1 = X2 )
+ P(X2 = y1 , X1 = y1 + y2 , X1 > X2 )
= 2P(X1 = y1 , X2 = y1 + y2 , X1 < X2 )
+ P(X1 = y1 , X1 = y1 + y2 , X1 = X2 )

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 18 / 36


For y2 = 0,

fY (y ) = P(X1 = y1 , X2 = y1 )
= θ2 (1 − θ)2y1 −2 .

For y2 ∈ {1, 2, . . .},

fY (y ) = 2P(X1 = y1 , X2 = y1 + y2 )
= 2θ2 (1 − θ)2y1 +y2 −2 .

Thus,
(
2θ2 (1 − θ)2y1 +y2 −2 , if (y1 , y2 ) ∈ N × {0, 1, 2, . . .}
fY (y ) =
0, otherwise.

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 19 / 36


(iv) Clearly
fY (y ) = fY1 (y1 ) fY2 (y2 ), ∀(y1 , y2 ) ∈ R2
and thus Y1 and Y2 are independent.
(v) For y1 ∈ {1, 2, . . .},
X
fY1 (y1 ) = fY1 ,Y2 (y1 , y2 )
y2 :(y1 ,y2 )∈SY

X
= 2θ2 (1 − θ)2y1 +y2 −2
y2 =0

= θ(2 − θ)(1 − θ)2y1 −2 .

Thus,
(
θ(2 − θ)(1 − θ)2y1 −2 , if y ∈ {1, 2, . . .}
fY1 (y ) =
0, otherwise.

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 20 / 36


For y2 ∈ {0, 1, 2, . . .}
X
fY2 (y2 ) = fY1 ,Y2 (y1 , y2 )
y1 :(y1 ,y2 )∈SY

For y2 = 0,

X θ
fY2 (y2 ) = θ2 (1 − θ)2y1 −2 =
2−θ
y1 =1
For y2 ∈ {1, 2, . . .}

X
fY2 (y2 ) = 2θ2 (1 − θ)2y1 +y2 −2
y1 =1
2θ(1 − θ)y2
=
2−θ
Thus, 
θ
 2−θ ,
 if y2 = 0
2θ(1−θ)y2
fY2 (y2 ) = , if y2 ∈ {1, 2, . . .}
 2−θ
0, otherwise.

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 21 / 36


(B.) For A.C. case

Result 2. Let X = (X1 , . . . , Xp ) be an A.C. r.v. with joint p.d.f. fX (·) and
support SX . Let S1 , . . . , Sk be open subsets of Rp such that Si ∩ Sj = φ, if
k
Si = SX0 , where SX0 is the interior of SX . Suppose
S
i 6= j and
i=1
hj : Rp → R, j = 1, . . . , p, are p functions such that on each Si ,
h = (h1 , . . . , hp ) : Si → Rp is one-to-one with inverse transformation
hi−1 (t) = (h1,i−1 −1
(t), . . . , hp,i (t)) (say), i = 1, . . . , k. Further suppose that
−1
hj,i (t), j = 1, . . . , p, i = 1, . . . , k have continuous partial derivatives and
the Jacobian determinants

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 22 / 36


−1 −1
∂h1,i (t) ∂h1,i (t)
∂t1 ... ∂tp

−1 −1
∂h2,i (t) ∂h2,i (t)
...
Ji = ∂t. 1 ∂tp
.. 6= 0, i = 1, . . . , p.
.. .
−1 −1

∂hp,i (t) ∂hp,i (t)

∂t1 ... ∂tp

Define h(Sj ) = {h(x) = (h1 (x), . . . , hp (x)) ∈ Rp : x ∈ Sj }, j = 1, . . . , k,


and Tj = hj (X1 , . . . , Xp ), j = 1, . . . , p. Then the r.v. T = (T1 , . . . , Tp ) is
A.C. with joint p.d.f.
k
X
−1 −1
fT (t) = fX (h1,j (t), . . . , hp,j (t)) |Jj | Ih(Sj ) (t).
j=1

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 23 / 36


Corollary 1.

Let X = (X1 , . . . , Xp ) be an A.C. r.v. with joint p.d.f. fX (·) and support
SX . Suppose that hj : Rp → R, j = 1, . . . , p, are p functions such that
h = (h1 , . . . , hp ) : SX0 → Rp is one-to-one with inverse transformation
h−1 (t) = (h1−1 (t), . . . , hp−1 (t)) (say). Further suppose that hi−1 ,
i = 1, . . . , p, have continuous partial derivatives and the Jacobian
determinants
−1
∂h1 (t) ∂h1−1 (t)
∂t
−11 . . . ∂tp

∂h2 (t) ∂h2−1 (t)
...
J = ∂t. 1 ∂tp

. 6= 0.
.. ..
−1
∂hp−1 (t)

∂hp (t)
∂t1 . . . ∂tp

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 24 / 36


Define h(SX0 ) = {h(x) = (h1 (x), . . . , hp (x)) ∈ Rp : x ∈ SX0 }, and
Tj = hj (X1 , . . . , Xp ), j = 1, . . . , p. Then the r.v. T = (T1 , . . . , Tp ) is A.C.
with joint p.m.f.

fT (t) = fX (h1−1 (t), . . . , hp−1 (t)) |J| Ih(S 0 ) (t).


X

Example 6. Let X1 and X2 be i.i.d. r.v.s having p.d.f.


(
2x, if 0 < x < 1
f (x) =
0, otherwise.

(a) Find the d.f. of Y = X1 + X2 and hence find the p.d.f. of Y ;


(b) Find the p.d.f. of Y directly using the Jacobian method.

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 25 / 36


Solution.

(a) The joint p.d.f. of X = (X1 , X2 ) is


(
4x1 x2 , if 0 < x1 < 1, 0 < x2 < 1
fX1 ,X2 (x1 , x2 ) = fX1 (x1 ) fX2 (x2 ) =
0, otherwise.

Clearly support of Y is SY = [0, 2].


For y ∈ R,

FY (y ) = P(Y ≤ y )
= P(X1 + X2 ≤ y )
Z1 Z1
= 4x1 x2 dx
0 0
x1 +x2 ≤y

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 26 / 36


Clearly, for y < 0, FY (y ) = 0 and, for y ≥ 2, FY (y ) = 1.
For 0 ≤ y < 2,

Z } min{1,y
min{1,y Z −x1 }
FY (y ) = 4 x1 x2 dx2 dx1
0 0

For 0 ≤ y < 1,

Zx1 yZ−x1
FY (y ) = 4 x1 x2 dx2 dx1
0 0
y 4
= .
6

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 27 / 36


For 1 ≤ y < 2,
y −1Z1
Z Z1 yZ−x1
FY (y ) = 4 x1 x2 dx2 dx1 + 4 x1 x2 dx2 dx1
0 0 y −1 0
(4x − 3) − (x + 3)(x − 1)3
= (x − 1)2 + .
6
Thus,


0, if y < 0
 y4 ,


6 if 0 ≤ y < 1
FY (y ) = (4y −3)−(y +3)(y −1)3


(y − 1)2 + 6 , if 1 ≤ y < 2

1, if y ≥ 2

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 28 / 36


and

2 3
3y ,
 if 0 < y < 1
2 2
fY (y ) = 2(y − 1) + 3 (1 − (y + 2)(y − 1) ), if 1 < y < 2

0, otherwise.

(b) Clearly SX = [0, 1] × [0, 1] and SX0 = (0, 1) × (0, 1). Define Z = X2 .
Then the transformation (Y , Z ) = h(X1 , X2 ) = (X1 + X2 , X2 ) → R2 is
1-1 on SX0 with inverse transformations

h1−1 (y , z) = x1 = y − z
h2−1 (y , z) = x2 = z,

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 29 / 36


the Jacobian
1 −1
J = = 1.
0 1

h(SX0 ) = {(y , z) ∈ R2 : (y − z, z) ∈ SX }.
We have

(y − z, z) ∈ SX ⇔ 0 < y − z < 1, 0 < z < 1
⇔ z < y < 1 + z, 0 < z < 1

Thus
h(SX0 ) = {(y , z) ∈ R2 : z < y < 1 + z, 0 < z < 1}

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 30 / 36


and

fY ,Z (y , z) = fX1 ,X2 (y − z, z) Ih(SX ) (y , z)


(
4z(y − z), if z < y < 1 + z, 0 < z < 1
=
0, otherwise.

Then SY = [0, 2]. For y ∈ (0, 2)

Z }
min{1,y

fY (y ) = 4z(y − z)dz
max{0,y −1}
y
R



 4z(y − z)dz, if 0 < y < 1
0

= R1
 4z(y − z)dz, if 1 < y < 2
y −1




0, otherwise.

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 31 / 36


Method 3: Moment Generating Function Technique

Let M(·) be the m.g.f. of some known distribution say D1 . If we can show
that a r.v. (say X ) has m.g.f. M(·) in a neighborhood of zero, then using
uniqueness of m.g.f., we can conclude that X has distribution D1 .

Example 7. let X be a r.v. with m.g.f.

e −t 1 et
M(t) = + + , t ∈ R.
4 2 4
Find the distribution of Y = X 2 .
Solution. Clearly
X
M(t) = E (e tX ) = e tX f (x)
x∈SX

is the m.g.f. of r.v. X having p.m.f.

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 32 / 36


(
1
f (x) = P({X = x}) = 2, if x = 0
1
4, if x = −1, 1.
The support of Y is SY = {0, 1} and the p.m.f. of Y is

(
1
fY (y ) = P({X 2 = y }) = 2, if y = 0
1
2, if y = 1.

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 33 / 36


Take Home Problem

(1) Let X1 , X2 , X3 be i.i.d. r.v.s with common p.d.f.

1 x2
f (x) = √ e − 2 , −∞ < x < ∞.

Let T = X12 + X22 + X32 .

(a) Find the d.f. of Y and hence find the p.d.f. of Y ;

(b) Find the p.d.f. of Y directly. (Hint: Use spherical coordinates


transformation x1 = r sin θ1 sin θ2 , x2 = r sin θ1 cos θ2 , x3 = r cos θ1 ,
r ≥ 0, 0 < θ1 ≤ π, 0 < θ2 ≤ π).

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 34 / 36


(2) Let X1 , . . . , Xk be independent r.v.s with Xi having p.m.f.
( 
ni x ni −x , if x = 0, 1, . . . , n
x p (1 − p) i
fi (x) = ,
0, otherwise
where ni ∈ N, i = 1, . . . , k, and p ∈ (0, 1) are fixed. Show that the
P p
random variable Y = Xi has p.m.f.
i=1
(
n y
y p (1 − p)n−y , if y ∈ {0, 1, . . . , n}
fY (y ) =
0, otherwise,

k
P
where n = ni .
i=1

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 35 / 36


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() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 36 / 36

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