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    Ee891 Stochastic Systems

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    RafeyTahir
    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

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    Ee891 Stochastic Systems

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    RafeyTahir
    21 views15 pages
    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

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    Fall19 Lecture 10 and 11

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    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

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    21 views15 pages

    Ee891 Stochastic Systems

    Uploaded by

    RafeyTahir
    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

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    of 15

    EE891 STOCHASTIC

    SYSTEMS

    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

    ◦ Probability that 𝑌 𝑦 is calculated as


    Pr 𝑌 𝑦 Pr 𝑔 𝑋 𝑦
    Pr 𝑌 𝑦 Pr 𝑋 𝑔 𝑦
    𝐹 𝑦 1 𝐹 𝑔 𝑦 CDF
    𝑥 𝑔 𝑦

    ◦ Take derivative w.r.t. 𝑦 to get the PDF


    𝑑
    𝑓 𝑦 𝑓 𝑔 𝑦 𝑔 𝑦
    𝑑𝑦
    𝑑𝑥 𝑓 𝑥
    𝑓 𝑦 𝑓 𝑥
    𝑑𝑦 𝑑𝑦 PDF
    𝑑𝑥
    Increasing/decreasing functions

    Increasing Function Decreasing Function


    𝑓 𝑥 𝑓 𝑥
    𝑓 𝑦 𝑓 𝑦
    𝑑𝑦 𝑑𝑦
    𝑑𝑥 𝑑𝑥

    • Note: 0 • Note: 0

    ◦ Both these cases can be consolidated to yield PDF as


    𝑓 𝑥
    𝑓 𝑦
    𝑑𝑦
    𝑑𝑥
    Example
    ◦ 𝑋 is and exponential RV
    𝑓 𝑥 2 exp 2𝑥 𝑢 𝑥
    ◦ Define a transformation 𝑌 𝑋
    ◦ What is the PDF of 𝑌?

    ◦ Solution:
    General Case

    ◦ We want to find PDF of 𝑌


    ◦ Note: 𝑦 𝑌 𝑦 𝑑𝑦 maps to
    𝑥 𝑋 𝑥 𝑑𝑥 ∪ 𝑥 𝑋 𝑥 𝑑𝑥 ∪ 𝑥 𝑑𝑥 𝑋 𝑥 ∪ 𝑥 𝑑𝑥 𝑋 𝑥
    ◦ Pr 𝑦 𝑌 𝑦 𝑑𝑦
    Pr 𝑥 𝑋 𝑥 𝑑𝑥 ∪ 𝑥 𝑋 𝑥 𝑑𝑥 ∪ 𝑥 𝑑𝑥 𝑋 𝑥
    ∪ 𝑥 𝑑𝑥 𝑋 𝑥
    ◦ Note: 𝑥 are the roots of the equation 𝑦 𝑔 𝑥
    General Case
    ◦ Pr 𝑦 𝑌 𝑦 𝑑𝑦 Pr 𝑥 𝑋 𝑥 𝑑𝑥 Pr 𝑥 𝑋 𝑥 𝑑𝑥
    Pr 𝑥 𝑑𝑥 𝑋 𝑥 Pr 𝑥 𝑑𝑥 𝑋 𝑥

    ◦ 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

    ◦Practice more examples and


    questions from book

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