The distribution of function of random variable

Suppose a random variable X has density function fX (x) and

cdf FX (x). Now let Y = w(X) where w(c)˙ is a continuous
and either increasing or decreasing for a < x < b. Suppose
also that a < x < b if and only if α < Y < β, and let
X = w−1(Y ) be the inverse function for α < y < β. Then
the cdf of Y is, if w is an increasing function,
FY (y) = FX (w−1(y)), α < y < β
and, if w is a decreasing function,
FY (y) = 1 − FX (w−1(y)), α < y < β
The density function of Y is
dx 
 

−1
fY (y) = fX (w (y)) ,α < y < β


dy 



1.17
Examples
i. Let 

 1, 0 < x < 1
f (x) = 
 0, otherwise
Find the distribution of Y = − log X.

ii. Suppose we have a large collection of cubes. The lengths

of cubes X ranged from 98 cm to 102 cm evenly. There-
fore the density function of X is given by
1



4 98 < x < 102
f (x) = 
 0 otherwise
Now suppose we are interested in the volume of the cube
Y = X 3, what is the distribution of Y ?

1.18
Sometimes we are not only interested in an individual vari-
able but two or more variables.
To specify the relationship between two random variables, we
define the joint cumulative distribution function of X and Y
by
F (x, y) = Pr{X ≤ x, Y ≤ y}
The distribution of X can be obtained from the joint distri-
bution
FX (x) = Pr{X ≤ x}
= Pr{X ≤ x, Y < ∞}
lim X ≤ x, Y ≤ y}
= Pr{y→∞
lim Pr{X ≤ x, Y ≤ y}
= y→∞
= F (x, ∞)
Similarly we can obtain the distribution of Y
All joint probability statement about X and Y can be an-
swered by F (x, y)
Example: Pr{X > a, Y > b}

1.19
If X and Y are both discrete, the we can define the joint
probability mass function by
f (x, y) = Pr{X = x, Y = y}

Now suppose X takes values x1, x2, . . . , xn, Y takes values

y1, y2, . . . , ym, The joint prob. mass function can be easily
expressed in tabular form.
Example: Consider the following joint distribution of X and
Y where X representing the income level and Y representing
the job satisfaction.

1
 Income < 10, 000 
1 Very Dissatisfied



 

2 10, 000 < Income < 20, 000

 

 
 2 Little Dissatisfied

 


 
X= 3 20, 000 < Income < 30, 000 , Y = 
  3 Moderately satisfied
4 30, 000 < Income < 40, 000

 


 

 4 Very satisfied

 



 5 Income < 40, 000



Y
X 1 2 3 4
1 0.08 0.10 0.04 0.02
2 0.05 0.06 0.05 0.03
3 0.04 0.04 0.06 0.06
4 0.02 0.03 0.07 0.06
5 0.01 0.02 0.08 0.08

1.20
Similarly, if X and Y are both continuous, then the joint
probability density function f (x, y) is the one such that
Z Z
Pr{X ∈ C, Y ∈ D} = {(x,y):x∈C;y∈D}
f (x, y)dxdy

Since
F (a, b) = Pr{X ∈ (−∞, a), Y ∈ (−∞, b)}
Z a Z b
= −∞ −∞
f (x, y)dydx
Therefore,
∂2
f (a, b) = F (a, b)
∂x∂y
whenever the derivative exists.
if X and Y are jointly continuous, they are individually con-
tinuous and the prob. density function of X is
Z ∞
f (x) = −∞
f (x, y)dy
and the density function of Y is
Z ∞
f (y) = −∞
f (x, y)dx

1.21
Example: Let X and X be random variables with joint den-
sity function
1



2 0 ≤ x ≤ y, 0 ≤ y ≤ 2
f (x, y) = 
 0, otherwise

1.22
Conditional Distribution: Discrete Case:
Recall the definition of conditional probability of E given F
Pr(E|F ) =

If X and Y are discrete random variable , define the con-

ditional probability mass function of X given Y = y by
Pr(X = x, Y = y) f (x, y)
f (x|y) = Pr(X = x|Y = y) = =
Pr(Y = y) f (y)
for all values of y such that f (y) > 0.
Similarly, define conditional probability function of X given
Y = y by
FX|Y (x|y) = Pr(X ≤ x|Y = y) = f (a|y)
X

a≤x

where f (y) > 0.

1.23
Example:
Suppose that f (x, y), the joint probability mass function of
X and Y , is given by
f (0, 0) = 0.45 f (0, 1) = 0.05 f (1, 0) = 0.05 f (1, 1) = 0.45
Find the marginal distribution of X and the conditional dis-
tribution of X given Y = 0, 1.

1.24
Continuous Case:
If X and Y have the joint probability density function f (x, y),
define the conditional density function of X given Y = y by
f (x, y)
f (x|y) =
f (y)
where f (y) > 0.
It is consistent with the discrete case.

f (x, y)dxdy
f (x|y)dx =
f (y)dy
Pr(x ≤ X < x + dx, y ≤ Y < y + dy)
=
Pr(y ≤ Y < y + dy)
= Pr(x ≤ X < x + dx|y ≤ Y < y + dy)
The conditional cumulative distribution function of X given
Y = y is
Z a
FX|Y (a|y) = Pr(X ≤ a|Y = y) = −∞
f (x|y)dx

Two random variables are independent if

f (x, y) = f (x)f (y)

1.25
Examples: Suppose X, Y have a joint density function de-
fined as


 1, 0 < x < 1; 0 < y < 1
f (x, y) = 
 0, otherwise.
We can compute the marginal density function of X by in-
tegrating Y out:
Z 1
fX (x) = 0
f (x, y)dy
Z 1
= 0
1dy
= y|1y=0
= 1, 0 < x < 1

Similarly, the marginal density of Y is also

fY (y) = 1, 0 < y < 1

Since f (x, y) = fX (x)fY (y), X and Y is independent.

1.26
Now suppose we want to find Pr(X > Y ).
Note that X > Y represents {(x, y) : 0 < y < x < 1}.
Therefore,
Z Z
Pr(X > Y ) = {(x,y):0<y<x<1}
f (x, y)dxdy
Z 1Z x
= 0 0
1dydx
Z 1
= 0
y|xy=0dx
Z 1
= 0
xdx
x 1
=


2 0


1
=
2

1.27
Let X and Y have the joint pdf
fX,Y (x, y) = 2e−(x+y), 0 < x < y < ∞
Then the marginal density of X is
Z ∞
fX (x) = fX,Y (x, y)dy
Zx∞
= x
2e−(x+y)dy
−x∞ −y
Z
= 2e x
e dy
 
−x −y ∞
= 2e −e |x
−x −x
= 2e e
= 2e−2x, 0 < x < ∞
the marginal density of Y is
Z y
fY (y) = fX,Y (x, y)dx
Z0y
= 0
2e−(x+y)dx
y −x
= 2e−y
Z

0
e dx
−x y
 
−y
= 2e −e |0
−y −y
= 2e (1 − e )
= 2e−y (1 − e−y ), 0 < y < ∞
The conditional density of X given Y = y is
fX,Y (x, y)
fX|Y (x|y) =
fY (y)
2e−(x+y)
=
2e−y (1 − e−y )
e−x
= ,0 < x < y
1 − e−y
Similarly, the conditional density of Y given X = x is
e−y
fY |X (y|x) = −x , x < y < ∞
e
1.28
(c) Expected Values and Variance
• If X is discrete and taking values x1, x2, . . . , then the
expectation or expected value, or the mean of X is defined
by
E(X) = xiPr{X = xi}
X

i
Examples:
If the probability mass function of X is given by
1
f (0) = = f (1)
2
then
E(X) =
If I is the indicator variable for the event A, that is, if


 1 if A occurs
I=
 0 otherwise
Then

Therefore, the expectation of the indicator variable for

the event is just the probability that A occurs
• If X is continuous with the pdf f (x), then the expected
value of X is
Z ∞
E(X) = −∞
xf (x)dx
Example: If X has the pdf


3x2 if 0 < x < 1
f (x) = 
 0 otherwise
Then the expected value of X is
1.29
• Sometimes we are not interested in the expectation of
X but the expectation of a function g(X), we need the
following results
If X is discrete with pmf f (xi), then
E(g(X)) = g(xi)f (xi)
X

and if X is continuous with pdf f (x), then

Z ∞
E(g(X)) = −∞
g(x)f (x)dx
If a and b are constants, then
E(aX + b) = aE(X) + b
If X1 and X2 are two random variables, then
E(X1 + X2) = E(X1) + E(X2)

1.30
• Variance
To measure the variation of values in the distribution, we
use Variance
If X is a random variable with mean µ, then the variance
of X is defined by
Var(X) = E[(X − µ)2]
Alternative formula
Var(X) = E(X 2) − µ2

For any constant a and b

Var(aX + b) = a2Var(X)

1.31
• If we have two random variables X1 and X2 and to mea-
sure the dependence structure, we can use the Covariance
Cov(X1, X2) = E[(X1 − µ1)(X2 − µ2)]
where µi = E(Xi), i = 1, 2.
Alternative formula:
Cov(X1, X2) = E(X1X2) − µ1µ2

Var(X1 + X2) = Var(X1) + Var(X2) + 2Cov(X1, X2)

If X1 and X2 are independent, then

Cov(X1, X2) = 0
Correlation Coefficient: Measure of linear relationship be-
tween two random variables
Cov(X, Y )
ρ = Corr(X, Y ) = r r
Var(X) Var(Y )
−1 ≤ ρ ≤ 1.

1.32
We can also compute the conditional mean of X given Y = y
Z y
E(X|Y = y) = xfX|Y (x|y)dx
0
Z y xe−x
= 0 dx
1 − e−y
1 Z y
−x
= xe dx
1 − e−y 0
Integration by parts by letting u = x and dv = e−xdx,
du = dx and v = −e−x, then
y y
−x
[−xe−x|y0 ]
+ 0 e−xdx
Z Z

0
xe dx =
= −ye + [−e−x|y0 ]
−y

= 1 − e−y − ye−y
Therefore,
1 − e−y − ye−y
E(X|Y = y) =
1 − e−y

1.33