Probl in Fun CRV
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Adarsh BandiCONCEPTUAL TOOLS
By: Neil E. Cotter PROBABILITY
LINEAR FUNCS OF RAND VARS
TOOL: Given probability density function, fX(x), for X, the probability density function (pdf),
fY(y) for Y = aX + b, (a ≠ 0),
is
1 y − b
fY (y) = fXx = .
a a
Also, the mean and variance transform as follows:
µY = aµ X + b σY2 = a 2σ 2X .
€
PROOF: By definition, fY(y) is the derivative of the cumulative probability
€ distribution function.
d d
fY (y) = FY (y) = P(Y ≤ y)
dy dy
Making a direct substitution for Y, we have an expression that we can
transform into a statement about the probability of X:
€
d y − b
P X ≤ a>0
d d dy a
P(Y ≤ y) = P(aX + b ≤ y) =
dy dy d P X ≥ y − b a < 0
dy a
The last expressions are statements about the cumulative distribution
function of X.
€
d y − b
FX x = a>0
dy a
fY (y) =
d 1− F x = y − b a < 0
dy X
a
Using the chain rule from calculus, it is possible to write the above
derivatives in terms of x:
€
d y − b dy
FX x = a>0
dx a dx
fY (y) =
d 1− F x = y − b dy a<0
dx X
a dx
€
CONCEPTUAL TOOLS
By: Neil E. Cotter PROBABILITY
LINEAR FUNCS OF RVS (CONT.)
The derivatives in terms of x are probability density functions for X, and
the derivatives of y = ax + b are equal to a:
y − b
fXx = a a > 0
a
fY (y) =
− f x = y − b a a < 0
X a
This may be written more compactly as follows:
1 y − b
€ fY (y) = fXx = , a≠0
a a
For the mean of Y, we write the integral formula:
∞
€ µY = E(aX + b) = ∫−∞ (ax + b) f X (x)dx
We rewrite the integral in two parts and exploit the property that the area
under the pdf is equal to one:
€
∞ ∞
µY = a ∫ xf (x)dx + b ∫
f (x)dx = aµ X + b
−∞ X −∞ X
For the variance, we substitute for Y in the variance formula:
€ σY2 = E([Y − µY ]2 ) = E([aX + b − (aµ X + b)]2 )
or
