This document discusses probability density functions (pdfs) of sums of random variables. It contains three questions:
1. It asks to find the pdf of Z = X + Y, where X and Y are independent with known pdfs fX(x) and fY(y). It involves representing the distribution function F(z) as a double integral and using a change of variables.
2. For the special case when X and Y are Gaussian, it asks to explicitly find the pdf of their sum Z.
3. Given random variables X1, ..., Xn that take values 0 or greater with known pdfs, it asks to find the pdfs of Z2 = X1 + X2
This document discusses probability density functions (pdfs) of sums of random variables. It contains three questions:
1. It asks to find the pdf of Z = X + Y, where X and Y are independent with known pdfs fX(x) and fY(y). It involves representing the distribution function F(z) as a double integral and using a change of variables.
2. For the special case when X and Y are Gaussian, it asks to explicitly find the pdf of their sum Z.
3. Given random variables X1, ..., Xn that take values 0 or greater with known pdfs, it asks to find the pdfs of Z2 = X1 + X2
This document discusses probability density functions (pdfs) of sums of random variables. It contains three questions:
1. It asks to find the pdf of Z = X + Y, where X and Y are independent with known pdfs fX(x) and fY(y). It involves representing the distribution function F(z) as a double integral and using a change of variables.
2. For the special case when X and Y are Gaussian, it asks to explicitly find the pdf of their sum Z.
3. Given random variables X1, ..., Xn that take values 0 or greater with known pdfs, it asks to find the pdfs of Z2 = X1 + X2
This document discusses probability density functions (pdfs) of sums of random variables. It contains three questions:
1. It asks to find the pdf of Z = X + Y, where X and Y are independent with known pdfs fX(x) and fY(y). It involves representing the distribution function F(z) as a double integral and using a change of variables.
2. For the special case when X and Y are Gaussian, it asks to explicitly find the pdf of their sum Z.
3. Given random variables X1, ..., Xn that take values 0 or greater with known pdfs, it asks to find the pdfs of Z2 = X1 + X2
National Taiwan University - Calculus 3 for Economics and Management
Worksheet : Applications in Probability II
Name: ID: Department:
Introduction. Given n random variables Xi (i = 1, 2, · · · , n) that take values on real numbers and a non-negative function f (x1 , x2 , . . . , xn ) defined on Rn such that Z Z (1) · · · f (x1 , . . . , xn ) dx1 · · · dxn = 1. Rn (2) For any subset V ⊂ Rn , the probability of (X1 , . . . , Xn ) ∈ V is Z Z P((X1 , . . . , Xn ) ∈ V ) = · · · f (x1 , . . . , xn ) dx1 · · · dxn . V Then f (x1 , . . . , xn ) is called the joint probability density function (joint p.d.f.) of the random variables X1 , · · · , Xn . • Suppose that each random variable Xi has a probability density function fi (xi ) and the joint p.d.f. of X1 , · · · , Xn satisfies f (x1 , . . . , xn ) = f1 (x1 ) · f2 (x2 ) · · · fn (xn ), then the random variables X1 , . . . , Xn are called mutually independent. • For mutually independent random variables X1 , . . . , Xn , we are interested in the new random variable
Z = X1 + X2 + · · · + Xn .
In particular, we would like to derive the p.d.f. of Z. To do this, we will first find its distribution function, F (z) = P(Z ≤ z), and techniques of multiple integrals and change of variables are will be used, as we shall see in this worksheet. Question 1. Given random variables X, Y are independentZwith Z p.d.f. fX (x) and fY (y) respectively. Set Z = X + Y . (a) Represent P(Z ≤ z) as a double integral fX (x)fY (y)dA. Sketch the region S. S
∂(x, y) (b) Consider the change of variables u = x + y, v = x. Compute its Jacobian . ∂(u, v) Z bZ d Use it to rewrite P(Z ≤ z) as g(u, v) dvdu. a c
Z ∞ d (c) Derive the p.d.f. of Z. Show that P(Z ≤ z) = fX (v)fY (z − v) dv dz −∞
1 Z ∞ d (d) Show that P(Z ≤ z) = fX (z − v)fY (v) dv. (Hint: Use the substitution u = x + y, v = y.) dz −∞
Question 2. (Examples with Gaussian (normal) distributions.)
2 2 1 − x2 1 − y2 (a) Suppose that fX (x) = √ e 2σ1 , and fY (y) = √ e 2σ2 . Find the p.d.f. of Z = X + Y . 2πσ1 2πσ2
1 x2 i (b) Suppose that fXi (xi ) = √ e− 2σ2 , for 1 ≤ i ≤ n, and X1 , . . . , Xn are mutually independent. Find 2πσ the p.d.f. of Z = X1 + X2 + · · · + Xn .
e−xi if xi ≥ 0 Question 3. Suppose that for 1 ≤ i ≤ n, fXi (xi ) = and X1 , . . . Xn are mutually independent. f (x ) = 0 if x < 0 Xi i i Find the p.d.f. of Z2 = X1 + X2 and Zn = X1 + · · · + Xn .
