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Transformations of Two Random Variables

This document discusses methods for finding the distribution of Z = g(X,Y) when (X,Y) is a bivariate random variable. It covers the CDF approach, the convolution formula, and the MGF approach. It also discusses properties of additivity for random variables, such as the distribution of the sum of independent binomial, Poisson, negative binomial, geometric, gamma, exponential, chi-squared, and normal random variables.

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asarisetya
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104 views

Transformations of Two Random Variables

This document discusses methods for finding the distribution of Z = g(X,Y) when (X,Y) is a bivariate random variable. It covers the CDF approach, the convolution formula, and the MGF approach. It also discusses properties of additivity for random variables, such as the distribution of the sum of independent binomial, Poisson, negative binomial, geometric, gamma, exponential, chi-squared, and normal random variables.

Uploaded by

asarisetya
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Transformations of Two Random Variables

Problem : (X, Y ) is a bivariate rv. Find the distribution of


Z = g(X, Y ).

• The very 1st step: specify the support of Z.

• X, Y are discrete – straightforward; see Example 0(a)(b) from


Transformation of Several Random Variables.pdf.

• X, Y are continuous

– The CDF approach (the basic, off-the-shelf method)

– Special formula (convolution) for Z = X + Y

– MGF approach for sums of multiple independent rvs.

1
Examples of the CDF Approach

Example 3(f) from Note Mixture Joint 0830.pdf

Example (p83, Exercise 2.1.6) Let f (x, y) = e−x−y , 0 < x, y < ∞,


zero elsewhere, be the pdf of X, Y .

a) Find the pdf of Z = X + Y.


Z z Z z−x
F (Z ≤ z) = P(X + Y ≤ z) = dx e−x−y dy
0 0

= 1 − e−z − ze−z , z>0

fZ (z) = ze−z , z > 0, i.e., Z ∼ Ga(2, 1)

2
b) Find the pdf of W = 2X + Y.
Z w/2 Z w−2x
F (W ≤ w) = P(2X + Y ≤ w) = dx e−x−y dy
0 0

= 1 + e−w − 2e−w/2 , w>0

fW (w) = e−w/2 − e−w , w > 0.

c) Find the pdf of V = Y /X.


Z ∞ Z vx
F (V ≤ v) = P(Y ≤ vX) = dx e−x−y dy
0 0
1
= 1− , v>0
v+1
1
fV (v) = , v>0
(v + 1)2

3
d) Find the pdf of U = Y /(X + Y ).
Z ∞ Z ux/(1−u)
u
F (U ≤ u) = P(Y ≤ X) = dx e−x−y dy
1−u 0 0
= u, 0<u<1

fU (u) = 1, 0 < u < 1.

e) Find the pdf of T = X − Y.


Z ∞ Z t+y
F (T ≤ t) = P(X ≤ t + Y ) = dy e−x−y dx = 1 − e−t /2, t > 0
0 0

fT (t) = e−t /2 t > 0;


Z ∞ Z t+y
F (T ≤ t) = P(X ≤ t + Y ) = dy e−x−y dx = et /2, t < 0
−t 0

fT (t) = et /2 t < 0.

That is, fT (t) = e−|t| /2 (Double Exponential).

4
The Convolution Formula

• Suppose X, Y are discrete, the pmf for W = X + Y is given by


X X
pW (w) = p(x, y) = p(x, w − y). (1)
(x,y):x+y=w x

• What if X, Y are continuous with pdf f (x, y)? Here is the guess:
follow eq (1) but replace sum with integral
Z ∞
fW (w) = f (x, w − x)dx.
−∞

Our guess turns out to be correct; the rigorous proof is given on


the next slide.

5
Let X, Y be continuous random variables with joint pdf f (x, y). Then
the pdf for W = X + Y is given by
Z ∞ Z ∞
fW (w) = f (x, w − x)dx = f (w − y, y)dy.
−∞ −∞

Proof:
Z ∞ Z w−x
FW (w) = P(X + Y ≤ w) = dx f (x, y)dy
−∞ −∞

Change-of-variables: y = u − x, i.e., u = x + y.
Z ∞ Z w
= dx f (x, u − x)du
−∞ −∞
Z w Z ∞
= du f (x, u − x)dx
−∞ −∞
Z ∞
dFW (w)
fW (w) = = f (x, w − x)dx
dw −∞

Don’t forget about the range of w and the range of (w − x)!


6
• Example 2.1.6 (a)(Revisit): X, Y ∼ Exp(1) and they are
independent. Find the pdf of Z = X + Y.

Z ∞ Z z
fZ (z) = f (x, z−x)dx = e−x e−(z−x) dx = ze−z , Z ∼ Ga(2, 1).
−∞ 0

Note that the joint pdf f (x, y) = fX (x)fY (y) is non-zero when
x, y > 0, that is, f (x, z − x) > 0 only if 0 < x < z.

• Example 2 from Convolution2.pdf.

7
The MGF Approach

If X, Y are independent, thena

MX+Y (t) = Eet(X+Y ) = EetX × etY

= (EetX )(EetY ) = MX (t)MY (t).

• Example 3 from Convolution2.pdf.

• Example 2.1.6 (a)(Revisit): X, Y ∼ Exp(1) and they are


independent. Find the pdf of Z = X + Y.
a Don’t confuse the equality above with MXY (t1 , t2 ) = MX (t1 )MY (t2 ) for
independent X, Y .

8
Additivity of Random Variables

If X, Y are independent,

• X ∼ Bin(n1 , p), Y ∼ Bin(n2 , p) =⇒ X + Y ∼ Bin(n1 + n2 , p)

• X ∼ Po(λ1 ), Y ∼ Po(λ2 ) =⇒ X + Y ∼ Po(λ1 + λ2 )

• X ∼ NB(r1 , p), Y ∼ NB(r2 , p) =⇒ X + Y ∼ NB(r1 + r2 , p)a

• X ∼ Geo(p), Y ∼ Geo(p) =⇒ X + Y ∼ NB(r = 2, p)

• X ∼ Ga(α1 , β), Y ∼ Ga(α2 , β) =⇒ X + Y ∼ Ga(α1 + α2 , β)

• X ∼ Ex(λ), Y ∼ Ex(λ) =⇒ X + Y ∼ Ga(2, 1/λ)

• X ∼ χ2 (r1 ), Y ∼ χ2 (r2 ) =⇒ X + Y ∼ χ2 (r1 + r2 )

• X ∼ No(µ1 , σ12 ), Y ∼ No(µ2 , σ22 )


=⇒ X + Y ∼ No(µ1 + µ2 , σ12 + σ22 )
a NB = Negative Binomial.

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