This document discusses the transformation of random variables (RVs). It explains that if a new RV Y is defined as a function g(X) of an existing RV X, the probability distribution of Y can be determined from the distribution of X and the function g. Specifically, the cumulative distribution function (CDF) FY(y) of Y is equal to the CDF FX(x) of X, where x are the roots of the equation y = g(x). Taking the derivative with respect to y yields the probability density function (PDF) fy(y) of Y in terms of the PDF fx(x) of X. Examples are provided to illustrate monotonically increasing and decreasing transformations. The general transformation formula is derived
This document discusses the transformation of random variables (RVs). It explains that if a new RV Y is defined as a function g(X) of an existing RV X, the probability distribution of Y can be determined from the distribution of X and the function g. Specifically, the cumulative distribution function (CDF) FY(y) of Y is equal to the CDF FX(x) of X, where x are the roots of the equation y = g(x). Taking the derivative with respect to y yields the probability density function (PDF) fy(y) of Y in terms of the PDF fx(x) of X. Examples are provided to illustrate monotonically increasing and decreasing transformations. The general transformation formula is derived
This document discusses the transformation of random variables (RVs). It explains that if a new RV Y is defined as a function g(X) of an existing RV X, the probability distribution of Y can be determined from the distribution of X and the function g. Specifically, the cumulative distribution function (CDF) FY(y) of Y is equal to the CDF FX(x) of X, where x are the roots of the equation y = g(x). Taking the derivative with respect to y yields the probability density function (PDF) fy(y) of Y in terms of the PDF fx(x) of X. Examples are provided to illustrate monotonically increasing and decreasing transformations. The general transformation formula is derived
This document discusses the transformation of random variables (RVs). It explains that if a new RV Y is defined as a function g(X) of an existing RV X, the probability distribution of Y can be determined from the distribution of X and the function g. Specifically, the cumulative distribution function (CDF) FY(y) of Y is equal to the CDF FX(x) of X, where x are the roots of the equation y = g(x). Taking the derivative with respect to y yields the probability density function (PDF) fy(y) of Y in terms of the PDF fx(x) of X. Examples are provided to illustrate monotonically increasing and decreasing transformations. The general transformation formula is derived
Lecture 10 Transformation of RVs Transformation of RVs ◦ Consider a RV 𝑋 with a PDF 𝑓 𝑥 and CDF 𝐹 𝑥 ◦ Define a new RV 𝑌: 𝑌 𝑔 𝑋 for some function 𝑔 , eg
◦𝑌 ◦𝑌 𝑔 𝑋 𝑋 ◦𝑌 𝑔 𝑋, 𝑍 𝑋 𝑍 ◦𝑌 𝑔 𝑋, 𝑍
◦ What are the characteristics of new RV 𝑌?
◦ What is the PDF/CDF, 𝑓 𝑦 /𝐹 𝑦 , of the new RV? Transformation of RVs ◦ For 𝑋~𝑁 𝜇, 𝜎 ◦ Let 𝑌 𝑔 𝑋 ; What is the PDF of 𝑌? Transformation of RVs: Applications ◦ Received Signal at receiver 𝑦 𝑃ℎ𝑥 𝑛 ◦ 𝑃: transmit power ◦ ℎ: channel gain (usually complex Gaussian RV) ◦ 𝑛: noise (usually complex Gaussian RV with power 𝑁 ) ◦ System performance depends on SNR 𝛾 𝑃ℎ 𝛾 𝑁 ◦ Note 𝛾 𝑔 ℎ is a function of RV ℎ ◦ We know PDF of ℎ but need to find CDF of 𝛾 to find outage probability Transformation of RVs: Applications ◦ Transmit power might be adaptive eg Cognitve Radio ◦ Received Signal at receiver 𝑦 𝑃ℎ𝑥 𝑛 ◦𝑃 : transmit power ◦ 𝑖: interference channel power gain (exponential RV) ◦ ℎ: channel gain (usually complex Gaussian RV) ◦ 𝑛: noise (usually complex Gaussian RV with power 𝑁 ) ◦ System performance depends on SNR 𝛾
𝑖 ◦ Note 𝛾 𝑔 ℎ, 𝑖 is a function of RV ℎ and 𝑖 ◦ We know PDF of ℎ and 𝑖 but need to find CDF of 𝛾 to find outage probability Monotonically Increasing Function o As X increases 𝑌 𝑔 𝑋 also increases
◦ Probability that 𝑌 𝑦 is calculated as
Pr 𝑌 𝑦 Pr 𝑔 𝑋 𝑦 Pr 𝑌 𝑦 Pr 𝑋 𝑔 𝑦 𝐹 𝑦 𝐹 𝑔 𝑦 CDF
◦ Take derivative w.r.t. 𝑦 to get the PDF 𝑥 𝑔 𝑦
𝑑 𝑓 𝑦 𝑓 𝑔 𝑦 𝑔 𝑦 𝑑𝑦 𝑑𝑥 𝑓 𝑥 𝑓 𝑦 𝑓 𝑥 𝑑𝑦 𝑑𝑦 PDF 𝑑𝑥 Monotonically Decreasing Function o As X increases 𝑌 𝑔 𝑋 decreases
◦ For a RV 𝑍: Pr 𝑧 𝑍 𝑧 𝑑𝑧 𝑓 𝑧 𝑑𝑧 as 𝑑𝑧 → 0, ◦ Applying to above expression yields 𝑓 𝑦 𝑑𝑦 𝑓 𝑥 𝑑𝑥 𝑓 𝑥 𝑑𝑥 𝑓 𝑥 𝑑𝑥 𝑓 𝑥 𝑑𝑥 𝑓 𝑥 𝑑𝑥 𝑓 𝑥 𝑑𝑥 𝑓 𝑥 𝑑𝑥 𝑓 𝑥 𝑑𝑥 𝑓 𝑦 𝑑𝑦 𝑑𝑦 𝑑𝑦 𝑑𝑦 ◦ In general, this can be expressed as 𝑓 𝑥 𝑓 𝑦 𝑑𝑦 𝑑𝑥 𝑥 are the roots of the equation 𝑦 𝑔 𝑥 Example ◦ Obtain the PDF of RV given that RV has PDF and CDF Example Examples
