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18 05 Lec12

The document discusses functions of random variables. It defines a random variable Y as a function r(X) of another random variable X. To find the probability density function (p.d.f.) of Y, one first calculates the cumulative distribution function (c.d.f.) of Y and then takes the derivative. If r is monotonic, the inverse function r^-1 can be used to relate the c.d.f.s of X and Y. If X and Y are independent random variables, the p.d.f. of their sum Z is the convolution of the individual p.d.f.s. Examples are provided to illustrate how to calculate the p.d.f. of a

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Randy Sooknanan
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41 views4 pages

18 05 Lec12

The document discusses functions of random variables. It defines a random variable Y as a function r(X) of another random variable X. To find the probability density function (p.d.f.) of Y, one first calculates the cumulative distribution function (c.d.f.) of Y and then takes the derivative. If r is monotonic, the inverse function r^-1 can be used to relate the c.d.f.s of X and Y. If X and Y are independent random variables, the p.d.f. of their sum Z is the convolution of the individual p.d.f.s. Examples are provided to illustrate how to calculate the p.d.f. of a

Uploaded by

Randy Sooknanan
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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18.

05 Lecture 12

March 2, 2005

Functions of Random Variables

X - random variable, continuous with p.d.f. f(x)

Y = r(X)

Y doesn’t have to be continuous, if it is, find the p.d.f.

To find the p.d.f., first find the c.d.f.

�
P(Y ← y) = P(r(X) ← y) = P(x : r(X) ← y) = f (x)dx.
x:r(x)�y

Then, differentiate the c.d.f to find the p.d.f.:

�(P(Y ← y))
f (y) =
�y

Example:

Take random variable X, uniform on [-1, 1]. Y = X 2 , find distribution of Y.

p.d.f. f (x) = { 21 for −1 ← x ← 1; 0 otherwise}


� ≥
y
2 2 ∩ ∩
Y = X , P(Y ← y) = P(X ← Y ) = P(− y ← X ← y) = ≥
f (x)dx
− y
.
Take derivative before integrating.
� ∩ 1 1 1 ∩ ∩
P(Y ← y) = f ( y) × ∩ + f (−y) × ∩ = ∩ (f ( y) + f (− y))
�y 2 y 2 y y
1
f (y) = { ∩ , 0 ← y ← 1; 0 otherwise.}
y
Suppose r is monotonic (strictly one-to-one function).

X = r(y), can always find inverse: y = r −1 (x) = s(y) - inverse of r.

P(Y ← y) = P(r(x) ← y) =

= P(X ← s(y)) if r is increasing (1)

= P(X ∼ s(y)) if r is decreasing (2)

(1) = F (s(y)) where F () - c.d.f. of X,

�P(Y ← y) �F (s(y))
= = f (s(y))s∅ (y)
�y �y
(2) = 1 − P(X < s(y)) = 1 − F (s(y)),

�P(Y ← y)
− = −f (s(y))s∅ (y)
�y

If r is increasing ↔ s = r −1 is increasing. ↔ s∅ (y) ∼ 0 ↔ s∅ (y) = |s∅ (y)|


If r is decreasing ↔ s = r −1 is decreasing. ↔ s∅ (y) ← 0 ↔ −s∅ (y) = |s∅ (y)|
Answer: p.d.f. of Y : f (y) = f (s(y))|s∅ (y)|

35
Example: f (x) = {3(1 − x)2 , 0 ← x ← 1; 0 otherwise.} Y = 10e5x
1 Y 1
Y = 10e5x ↔ X = ln( ); X‘ =
5 10 5Y
1 Y 1
f (y) = 3(1 − ln( )| |, 10 ← y ← 10e5 ; 0, otherwise.
5 10 5Y

X has c.d.f. F (X) = P(X ← x), continuous.


Y = F (X), 0 ← Y ← 1, what is the distribution of Y?

c.d.f. P(Y ← y ) = P(F (X) ← y ) = P(X ← F −1 (y )) = F (F −1 (y )) = y, 0 ← y ← 1


p.d.f. f (y) = {1, 0 ← y ← 1; 0, otherwise.}

Y - uniform on interval [0, 1]

X - uniform on interval [0, 1]; F - c.d.f. of Y .

36
Y = F −1 (X); P(Y ← y) = P(F −1 (x) ← y) = P(X ← F (y)) = F (y).
↔ Random Variable Y = F −1 (X) has c.d.f. F (y).

Suppose that (X, Y) has joint p.d.f. f(x, y). Z = X + Y.


� � ∗ � z−x
P(Z ← z) = P(X + Y ← z) = f (x, y)dxdy = f (x, y)dydx,
x+y�z −∗ −∗

p.d.f.:
� ∗
�P(Z ← z)
f (z) = = f (x, z − x)dx
�z −∗

If X, Y independent, f1 (x) = p.d.f. of X. f2 (y) = p.d.f. of Y


Joint p.d.f.:
� ∗
f (x, y) = f1 (x)f2 (y); f (z) = f1 (x)f2 (z − x)dx
−∗

Example: X, Y independent, have p.d.f.:

f (x) = {∂e−∂x , x ∼ 0; 0, otherwise}.


Z =X +Y :
� z
f (z) = ∂e−∂x ∂e−∂(z−x) dx
0

Limits determined by: (0 ← x, z − x ∼ 0 ↔ 0 ← x ← z)


� z � z
f (z) = ∂2 e−∂z dx = ∂2 e−∂z dx = ∂2 ze−∂z
0 0
This distribution describes the lifespan of a high quality product.

It should work “like new” after a point, given it doesn’t break early on.

Distribution of X itself:

37
� ∗
1
X, P(X ∼ x) = ∂e−∂x dx = ∂e−∂x (− )|∗ = e−∂x
x
∂ x

Conditional Probability:

P(X ∼ x + t, x ∼ x) P(X ∼ x + t) e−∂(X+t)


P(X ∼ x + t|X ∼ x) = = = = e−∂t = P(X ∼ t)
P(X ∼ x) P(X ∼ x) e−∂x

** End of Lecture 12

38

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