STT251 Lecture-04
STT251 Lecture-04
Example: Let X have a normal distribution with mean 0 and variance 1, the pdf of standard normal
distribution is
2
x
1 −2
f (x )= e ; −∞ < x< ∞
√2 π
Let W = X 2 . Find the distribution of W.
2nd step:
To find the density function of W
g (W )=Ǵ (W )
d
= [F ( √ W )−F (−√ W )]
dw
d√w d √w
= F́ ( √ w) + F́ (− √ w)
dw dw
1 1
1 −2 1 −2
= F́ ( √ w) W + F́ (−√ w) W
2 2
1 1
1 − 1 −
= f ( √ w) W 2 + f (−√ w) W 2
2 2
w 1 w 1
1 −
2 1
−
2 1 −
2 1
−
= e . W + e . W 2
√2 π 2 √2 π 2
w 1
1 − 2 1 −2
= 2. e . W
√2π 2
w 1
1 − 2 −2
= e W
√2 π
w 1
1 − 2 −2
g (W )= e W ; W ≥0
√2 π
Thus, X has a standard normal distribution, then W = X 2 has the density function
w 1
1 − 2 −2
g (W )= e W ; W ≥0
√2π
1
1 2
( ) −w −1
2
= e 2W 2
1
Γ( )
2
This distribution is the gamma distribution.
x−μ
Example: If the random variable X ∼N (μ , σ2 ) then the random variable Z = σ ∼N (0,1).
Solution: We have
X ∼N ( μ , σ2 )
Now, the distribution function of Z is
G (Z )=Pr [ Z ≤z ]
x−μ
= Pr [ σ ≤z ]
= Pr [ x−μ ≤z σ ]
= Pr [ x≤μ + z σ ]
2
μ+ z σ μ+ z σ 1 x−μ
1 − ( σ )
= ∫ f (x )dx= ∫ e 2 dx
−∞ −∞ σ √2π
z 1
1
2
− z
=∫ e 2 σ dz
−∞ σ √ 2 π
z 1
1 −2 z
2
=∫ e dz
−∞ √ 2 π
z 1
1 −2 z
2
G (Z )= ∫ e dz
−∞ √ 2 π
−1 2
| −∞
1 2
z
= e
√2π
−1
1
2
z
g (Z )= e 2 ;−∞ < z < ∞
√2 π
Which is the pdf of standard normal distribution with mean 0 and variance 1.
Example: Suppose that X and Y are independent random variables each having an exponential
distribution with parameter λ
−λ x
f 1 ( X )= λ e ; for x≥0
−λ y
and f 2 (Y )= λ e ; for y≥0
f ( X ,Y )= f 1 ( X ) f 2 (Y )
Also,
= λ 2 e −λ (x+ y) ; x ≥0 , y ≥0
Let W=X+Y. Find the distribution of W.
Solution:
Given that
−λ x
f 1 ( X )= λ e ; for x≥0
and f 2 (Y )= λ e−λ y ; for y≥0
f ( X , Y )= f 1 ( X ) f 2 (Y )
Also, 2 − λ (x+ y)
=λ e ; x≥0 , y ≥0
1st Step: Find the distribution function of W
G(W )=P [W ≤w]
= P [ X +Y ≤w]
= P [ X ≤w−Y ]
= P [Y ≤w− X ]
w w−x
=∫ ∫ f 1 ( x) f 2 ( y) dy dx
0 0
w w−x
=∫ ∫ λ2 e−λ (x+ y) dy dx
0 0
w w− x
=λ
2
∫e
0
−λ x
[∫ ]
0
e
−λ y
dy dx
w − λ y w− x
=λ 2
w
0
∫e −λ x
[ | ]
e
−λ 0
dx
−λ x
= λ∫e [−e−λ (w− x) +e 0 ] dx
0
w
−λ x
= λ∫e [ 1−e−λ w+ λ x ] dx
0
w
−λ x −λ x − λw λx
= λ∫[e −e .e .e ] dx
0
w
−λ x − λw
= λ∫[e −e ] dx
0
w
−λ x
=λ
e
[
−λ
−e−λ w x ]| 0
w
−λ x −λ w
=λ [
e +λ x e
−λ 0
]|
=− [ e + λ w e−λ w −e0 ]
−λ w
−λ w −λ w
=− [ e + λ w e −1 ]
−λ w −λ w
= 1−e −λ w e
G(W )=1−e−λ w − λ w e −λ w ; w≥0
Which is the distribution function of W.
2nd Step:
Find the density function of W
g (W )=Ǵ(W )
d
= [1−e−λ w − λ w e− λ w ]
dw
−λ w −λ w 2 −λ w
=0−(− λ )e −λ e + λ w e
−λ w −λ w 2 −λ w
= λ e −λ e + λ w e
2 −λ w
=λ w e
2 −λ w
g(W )=λ w e ; w≥0
Hence, the density function of X+Y is
g(W )= λ2 w e−λ w ; w≥0
This distribution function recognized to be the gamma distribution with parameter r=2 and λ
2
g (W )= λ e
−λ w 2−1
w ; w≥0
Γ2
References:
1. Hogg, R. V. and Craig, A. T. (2012), Introduction of Mathematical Statistics, 7 th Edition,
Pearson Education, New Delhi.
2. Hoel, P. G. (1984), Introduction to Mathematical Statistics, 5th Edition, John Wiley and
Sons, New York.
3. Mood, A. M., Graybill, F. A., Boes, D. C. (1974), Introduction to the Theory of Statistics,
3rd Edition, McGraw-Hill, USA.
4. https://people.ohio.edu/ruhil/statsbook/sampling.html#the-sampling-distribution-of-binary-
proportions
5. chrome-extension://efaidnbmnnnibpcajpcglclefindmkaj/https://egyankosh.ac.in/bitstream/
123456789/14027/1/Unit-4.pdf