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Functions of Random Variables 4

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Manish Sandilya
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49 views

Functions of Random Variables 4

Uploaded by

Manish Sandilya
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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unctions of a Random Vari. Ye Actes eominans radon vale (RV) with kown PD 0) ‘real-valued function whose domain contains the range of the rea X.Then Y= (is also a random variable Tn general, the dsj is uniguey determined if gis continuous and stictly monooi fom R > R. In ths case, g" exists and continous, such that fora xa, = 90) ifx = g"0). At Y= gi), wre g() be a function of another random ag, Then we can find the PDF of Y as fllows. ist [ 8(X) is a strictly increasing function of X. Differentiating the above equation both sides with respect toy, HO) hl whe = 6) ti ee Ke is the PDF of the random variable X and Sita= 109 Mase 2 (1) isa sriey decreasing function of. F,0)=P's)) 0 Functions of a Random Variable ¢? 311 = PigX) sy] =PIX2 g'0)] Zaha Ps si] LPO) =~ Fle OO) wtih respect toy, we get LO) = Fx ag Bas. (4-1) and (4.2), we get ing in erential c (4.2) (oot t 4O)= roof dy pismo for ny continous stitly monotonic real-valued function / whose se des he range of such that ¥ = (X), 0 pe above formula for f;0) €an be used only when x = #10) fs single-valued {a For a discrete random variable X. changes the range of X. The probabi P(X = x) y)). where y, = g(x) transformation ¥ = g(X) only ‘mass remaining the same. {fad the PDF of the random variable Y given the PDF of X () Write Y in terms of X and write the same relation in terms of y. = 4v¥. i For example, ¥ = A? = J (i) Find dy dx| (ii) Write f= fy 9) ONG (iv) Using the given range of X, find the range of ¥. For example, If we 09 When x= =I, y= 1) et The range of ¥ is -I1 0. te and also.) ae [oem ag ah = LO) =LON| 5 (log. (log y)? lig iat 1 207 oq ova yon which is the PDF pf a log normal EXAMPLE AZ If X has an exponential distribution with parameter jf the PDF of log X. [AU December °06; °07, June ‘n) Solution Given: X is an exponentially distributed random variable wih Parameter 4 then PDF of X is de*, x20 LO? { otherwise Given yrlogr > x= But G0) =f) Since x = e”, we get f(y) = Ae~*” Ly) = Ae 6" coc y cee with EXAMPLE 4.3 If is a continuous normal (Gaussian) random variable : ye zero mean and variance o, find the PDF of the random variable ¥, if rian Solution Given: X is a normal random variable with mean 0 and ¥™ &. ad Functions of a Random Variable ¢? 313 pF of Vis ‘The 2 oa ee i KO = Spee “Blige meas @ qo ind the PDF of F PIS ay (By definition) FQ) = = pire hoses Fy (Vv) - Fx (9), by dofhition of distribution function, Differentiating the above with respect to Y, 0 Ivy > x= Aly] u ib) =e a 1 7 = 2 = e 2 yso 40) = 2. apoE o,2ny EXAMPLE 4.4 The random variable Y i Where X is a function of y 1 is defined by Y = 7X +1Xp, nother random variable. Determi ine the density and distribution interms of those of LX. 314 g Probability and Random Processes F,G) =P Xs yX2 0) _ P(X Sy. X20) _ P(X Sy. X20) P(X 20) 1-P(X <0) P(O 0, find the PDF of EXAMPLE ¥=2X+1 Solution Given: TAU Aprit gy yertl > ox ‘dx| Now, fo) = fe) | 6 Since, La dy 2 fe=eX => KO)=e Since, x > 0, 254 > 0 = y-1>0 = y>l Hence using (i) the PDF of ¥ is yet 1 -(2! LO)= 5 ( > ) yet EXAMPLE 4.6 If the PDF of a random variable X is f(x) = 2x, 0 <* <1. find the PDF of Y = e%. [AU December "06] Solution Given: fa=2x = f0)= 2ie(+) Functions of a Random Variable exis dy f= foie = 2log (} y +) tee gex f= el The PDF of Y is dx| KO) = LOG, [ee when x = -~, y = 37 = =] ve N 320 € ee Random Processes EXAMPLE4.13 If X is uniformly distributed in 1.1), find ‘DE y = cosa. « Solution Since X is a uniformly distributed random variable ing the PDF of X is I, 4, 1 tex =a sine sin x= i= cos? zr = eee The range of x is -l0 y>o Therefore, the PDF of Y is i Lot 2 Frazer y 3, Oeyeee BXAMPLEAIS Let be a random variable with PDF = fr : act , otherwise f= -2 log X, find the PDF of the random variable y and E(), : TAU June °07] Solution Given: = 2 log x ie. oA loge = ~2 > eax 1 O cos =I, cos #21, con dee} os -l x = tan ly => ver yo 7 jen = yeun(Z)=-- and when dx LO) = fe of Sey Hoc ys?

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