(TG) TransformedRV Distributions
(TG) TransformedRV Distributions
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probability distributions of the transformations of the random variable X we
proceed mainly following two approaches as described below:
1. CDF Method
2. Change of Variables Formula (PDF Method)
FY (y) = FX (g −1 (y)).
d −1
fY (y) = fX (g −1 (y)) (g (y)) .
dy
This comes from the rule of transformations: if X has PDF fX , then for a
strictly monotone g,
dx
fY (y) = fX (x) where x = g −1 (y).
dy
Important Points:
We need to ensure that g is one-to-one (monotone) so that the inverse exists
and is unique.
The absolute value of the derivative makes sure that the transformed vari-
able’s pdf is non-negative.
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Example 10.2. Let X be a continuous random variable with PDF:
(
2x, 0 ≤ x ≤ 1,
fX (x) =
0, otherwise.
For 0 ≤ y ≤ 1:
√ √
FY (y) = FX ( y) = ( y)2 = y.
Now we differentiate to find fY (y):
d
fY (y) = FY (y) = 1, 0 ≤ y ≤ 1.
dy
fY (y) = 1 · 2y = 2y, 0 ≤ y ≤ 1.
This is the PDF of Y , which turns out to be the PDF of a Beta distribution
with parameters (2, 1) or equivalently a simple distribution on [0, 1].
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Example 10.4. Let X has the PDF
(
1 − 21 x2
2π e −∞ < x < ∞
fX (x) =
0 otherwise
1 1 1
fY (y) = 2 · √ e−y/2 · √ = √ e−y/2 .
2π 2 y 2πy
10.5 Summary
1. Identify the transformation and whether it is monotone:
If monotone, use the straightforward CDF or PDF change of variable
formulas.
If not monotone, break the range of X into parts and sum over contribu-
tions from each inverse branch.
2. For discrete variables:
Sum the original PMF over all x that map to the desired y.
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3. For continuous variables: Use the CDF approach: FY (y) = P (g(X) ≤ y)
and solve for Y .
Use the PDF approach: fY (y) = fX (g −1 (y)) d
dy (g
−1
(y)) for one-to-one
g.
For multiple solutions to g(x) = y, sum the contributions from all appro-
priate inverses.
4. Check the support: Ensure you correctly determine the support of Y . Dif-
ferent transformations can restrict or expand the range of possible values.
Transforming random variables is a fundamental technique that appears in many
areas of probability and statistics. Understanding how to handle both monotone
and non-monotone transformations, applying the CDF and PDF methods, and
using Jacobians in multivariate cases are key skills. With these tools, one can
derive the distribution of complex, transformed variables from simpler, known
distributions.
10.6 Exercise
1. Suppose X ∼ Exponential(λ) with PDF fX (x) = λe−λx for x ≥ 0. Let
Y = ln(X). Find fY (y).
2. Let X be a random variable with PDF fX (x) = 21 e−|x| (a Laplace distri-
bution). Define Y = X 2 . Find fY (y) for y ≥ 0.
3. Exponential to a Log-Transformed Variable) Let X ∼ Exponential(λ) with
PDF fX (x) = λe−λx for x ≥ 0. Define Y = − ln(X). Find the PDF of Y .
4. (Uniform to an Exponential-Like Transformation) If X ∼ Uniform(0, 1)
and define Y = − ln(X), find fY (y). What distribution does Y follow?
X−µ
5. (Normal Standardization) Let X ∼ N (µ, σ 2 ). Define Y = σ . Show
that Y ∼ N (0, 1).
6. (Absolute Value of a Normal distribution) Let X ∼ N (0, 1). Define Y =
|X|. Find the PDF of Y . Hint: Consider that for each y ≥ 0, there are
two x-values, +y and −y.
1
7. Square of a Non-Normal Variable Let X have PDF fX (x) = π(1+x 2 ) (a
2
standard Cauchy distribution). Define Y = X . Find fY (y) for y > 0.
8. (Gamma Distribution and Root Transformation) Let X ∼ Gamma(k, θ)
k−1 −x/θ
with PDF fX (x) = x Γ(k)θ
e
k for x > 0. Define Y = X 1/3 . Find the PDF
fY (y).
9. Log-Transformation of a Cauchy Variable Let X ∼ Cauchy(0, 1) (standard
Cauchy). Define Y = eX . Find the PDF fY (y).
10. Let X ∼ Uniform(a, b) and define Y = a + b − X. Find fY (y) and show
that Y also has a Uniform(a, b) distribution.
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