Functions of One dimensional random variables

If X is a discrete random variable and 𝑌 = 𝐻(𝑋) is a continuous function of X, then Y is also

a Discrete Random Variable.
Eg:

𝑋 -1 0 1
𝑃(𝑥) 1 1 1
3 2 6
Suppose 𝑌 = 3𝑋 + 1,then pmf of Y is given by

𝑌 -2 1 4
𝑃(𝑦) 1 1 1
3 2 6
Suppose 𝑌 = 𝑋 2 , then pmf of 𝑌is
𝑌 1 0
𝑃(𝑦) 1 1
2 2

Suppose X is a continuous random variable with pdf 𝑓(𝑥) and 𝐻(𝑋) is a continuous function
of 𝑋. Then 𝑌 is a continuous random variable. To obtain pdf of Y we follow the following
steps.
1. Obtain cdf of 𝑌, i.e., 𝐺(𝑦) = 𝑃(𝑌 ≤ 𝑦).
2. Differentiate 𝐺(𝑦) with respect to 𝑦 to get pdf of 𝑦 i.e., 𝑔(𝑦).
3. Determine the range space of 𝑌 such that 𝑔(𝑦) > 0.

Problems:

2𝑥; 0 < 𝑥 < 1

1. If 𝑓(𝑥) = { , and 𝑌 = 3𝑋 + 1, find pdf of 𝑌.
0; 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
𝑦−1
Soln: 𝐺(𝑦) = 𝑃(𝑌 ≤ 𝑦) = 𝑃(3𝑋 + 1 ≤ 𝑦) = 𝑃 (𝑋 ≤ 3 )
𝑦−1
𝑦−1 2
𝐺(𝑦) = ∫0 3 2𝑥𝑑𝑥 = ( ) .
3
2(𝑦−1)
𝑔(𝑦) = 𝐺’(𝑦)= .
9
𝑦−1
0<𝑥<1⟹0< < 1 ⟹ 1 < 𝑦 < 4.
3
2(𝑦−1)
; 1<𝑦<4
Therefore, 𝑔(𝑦) = { 9 .
0; 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

2𝑥; 0 < 𝑥 < 1

2. If 𝑓(𝑥) = { , and 𝑌 = 𝑒 −𝑋 , find pdf of 𝑌.
0; 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
1
Soln: 𝐺(𝑦) = 𝑃(𝑌 ≤ 𝑦) = 𝑃(𝑒 −𝑋 ≤ 𝑦) = 𝑃 (log 𝑒 𝑦 ≤ 𝑋)
1 1 2
𝐺(𝑦) = ∫log 1 2𝑥𝑑𝑥 = 1 − (log e 𝑦) .
𝑒𝑦
 2 1
𝑔(𝑦) = 𝐺’(𝑦)= 𝑦 log e 𝑦.
1 1
0 < 𝑥 < 1 ⟹ 0 < log e 𝑦 < 1 ⟹ 𝑒 < 𝑦 < 1.
2 1 1
log e 𝑦 ; <𝑦<1
Therefore, 𝑔(𝑦) = { 𝑦 𝑒 .
0; 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒

Result: Let 𝑋 be a continuous random variable with pdf 𝑓(𝑥). Let 𝑌 = 𝑋 2 . Then pdf
1
of 𝑌 is 𝑔(𝑦) = 2 (𝑓(√𝑦) + 𝑓(−√𝑦))
√𝑦
−𝑥 2
Example 1: Suppose 𝑓(𝑥) = { 2𝑥𝑒 ; 0 < 𝑥 < ∞. Find pdf of 𝑌 = 𝑋 2 .
0; 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
Soln:
1 1
𝑔(𝑦) = 2 (𝑓(√𝑦) + 𝑓(−√𝑦)) = 2 (2√𝑦𝑒 −𝑦 + 0) = 𝑒 −𝑦 ; 0 < 𝑦 < ∞.
√𝑦 √𝑦

2
(𝑥 + 1); −1 < 𝑥 < 1
Example 2: Suppose 𝑓(𝑥) = { 9 . Find pdf of 𝑌 = 𝑋 2 .
0; 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
Soln:
1 1 2(√𝑦+1) 2(−√𝑦+1) 2
𝑔(𝑦) = 2 (𝑓(√𝑦) + 𝑓(−√𝑦)) = 2 ( + )=9 ; 0 < 𝑥 < 1.
√ 𝑦 √ 𝑦 9 9 √𝑦

Theorem: Let X be a continuous random variable with pdf 𝑓(𝑥). Suppose 𝑌 = 𝐻(𝑋)
is a strictly monotone (increasing or decreasing) function of X, then pdf of 𝑌 is given
by
𝑑𝑥
𝑔(𝑦) = 𝑓(𝑥) |𝑑𝑦| where 𝑥 = 𝐻 −1 (𝑦).

Example:
1
1. Suppose X is uniformly distributed over (0,1), find pdf of 𝑌 = 𝑋+1.
Soln: We know that 𝑌 is strictly monotone.
1; 0 < 𝑥 < 1
𝑓(𝑥) = { .
0; 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
1 1
Note that 𝑋 = 𝑌 − 1. ⇒ 𝑓(𝑥) = 𝑓 (𝑌 − 1) = 1.
𝑑𝑥 1
|𝑑𝑦| = 𝑦 2 .
1 1
Therefore, 𝑔(𝑦) = ; < 𝑦 < 1.
𝑦2 2

𝜋 𝜋
2. If 𝑋 is uniformly distributed over (− 2 , 2 ), find the pdf of 𝑌 = 𝑡𝑎𝑛𝑋. (Or show
that 𝑌 = 𝑡𝑎𝑛𝑋 follows Cauchy’s distribution).
1 𝜋 𝜋
; −2 < 𝑥 < 2
Soln: Given 𝑓(𝑥) = {𝜋 .
0; 𝑂𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
We know that 𝑌 is strictly monotone.
1 𝑑𝑥 1
Then 𝑋 = tan−1 𝑌 ⇒ 𝑓(tan−1 𝑌) = 𝜋 . And |𝑑𝑦| = 1+𝑦 2 .
 1 1
Therefore, 𝑔(𝑦) = 𝜋 1+𝑦 2 ; −∞ < 𝑦 < ∞.

𝑋−𝜇
3. If 𝑋~𝑁(𝜇, 𝜎 2 ), then show that 𝑍 = ~𝑁(0,1) and 𝑌 = 𝑍 2 ~𝜒 2 (1).
𝜎
𝑋−𝜇
Soln: 𝐺(𝑧) = 𝑃(𝑍 ≤ 𝑧) = 𝑃 ( ≤ 𝑧) = 𝑃(𝜎𝑧 + 𝜇 ≥ 𝑥)
𝜎

𝐺(𝑧) = 𝐹(𝜎𝑧 + 𝜇).

𝑧2
′ (𝑧) ′ (𝜎𝑧 1 −
𝑔(𝑧) = 𝐺 =𝐹 + 𝜇)𝜎 = 𝑓(𝜎𝑧 + 𝜇)𝜎 = 𝑒 2 ~𝑁(0,1).
√2𝜋
𝑦 𝑦
1 1 1 1
Now, 𝑔(𝑦) = 2 (𝑓(√𝑦) + 𝑓(−√𝑦)) = 2 ( 𝑒 −2 + 𝑒 −2 )
√ 𝑦 √ 𝑦 √2𝜋 √2𝜋
𝑦
1
𝑔(𝑦) = 𝑒 −2 .
√𝑦 √2𝜋

Hence, 𝑔(𝑦)~𝜒 2 (1).

Extra Problem:
A random variable X having Cauchy distribution. Show that 1/𝑋 also has
Cauchy distribution.

Functions of two dimensional random variables

Let (𝑋, 𝑌) be a continuous two dimensional random variable with pdf 𝑓(𝑥, 𝑦). If 𝑍 = 𝐻1 (𝑋, 𝑌)
is a continuous function of (𝑋, 𝑌), then 𝑍 will be a continuous (one-dimensional) random
variable. In order to find the pdf of 𝑍, we shall follow the procedure discussed below.
To find the pdf of 𝑍 = 𝐻1 (𝑋, 𝑌), we first introduce a second random variable, say 𝑊 =
𝐻2 (𝑋, 𝑌), and obtain the joint pdf of 𝑍 and 𝑊, say 𝑘(𝑧, 𝑤). From the knowledge of 𝑘(𝑧, 𝑤),
we can then obtain the desired pdf of 𝑍, say 𝑔(𝑧), by simply integrating 𝑘(𝑧, 𝑤) with respect
∞
to 𝑤. That is, 𝑔(𝑧) = ∫−∞ 𝑘(𝑧, 𝑤)𝑑𝑤.
Two problems which arise here are
i. how to find the joint pdf 𝑘(𝑧, 𝑤)of 𝑍and 𝑊
ii. how to choose the appropriate random variable 𝑊 = 𝐻2 (𝑋, 𝑌)
To resolve these problems, let us simply state that we usually make the simplest possible choice
for 𝑊 as it plays only an intermediate role. In order to find the joint pdf 𝑘(𝑧, 𝑤), we need the
following theorem.

Theorem:
Suppose that (𝑋, 𝑌) is a two-dimensional continuous random
variable with joint pdf 𝑓(𝑥, 𝑦). Let 𝑍 = 𝐻1 (𝑋, 𝑌) and 𝑊 = 𝐻2 (𝑋, 𝑌) and assume that the
functions 𝐻1 and 𝐻2 satisfy the following conditions:
i. The equations 𝑧 = 𝐻1 (𝑥, 𝑦) and 𝑤 = 𝐻2 (𝑥, 𝑦) may be uniquely solved for 𝑥 and
𝑦 in terms of 𝑧 and 𝑤, say 𝑥 = 𝐺1 (𝑧, 𝑤) and
𝑦 = 𝐺2 (𝑧, 𝑤).
𝜕𝑥 𝜕𝑥 𝜕𝑦 𝛿𝑦
ii. The partial derivatives 𝜕𝑧 , 𝜕𝑤 , 𝜕𝑧 and 𝛿𝑤 exist and are continuous.
Then the joint pdf (𝑍, 𝑊), say 𝑘(𝑧, 𝑤), is given by the following expression:
𝑘(𝑧, 𝑤) = 𝑓[𝐺1 (𝑧, 𝑤), 𝐺2 (𝑧, 𝑤)]|𝐽(𝑧, 𝑤)|,
where 𝐽(𝑧, 𝑤) is the following 2 × 2 determinant:
𝜕𝑥 𝜕𝑥
𝐽(𝑧, 𝑤) = | 𝜕𝑧 𝜕𝑤 |
𝜕𝑦 𝛿𝑦
𝜕𝑧 𝛿𝑤
This determinant is called the ‘Jacobian’ of the transformation (𝑥, 𝑦) → (𝑧, 𝑤) and is
𝛿(𝑥,𝑦)
sometimes denoted by . We note that 𝑘(𝑧, 𝑤) will be nonzero for those values of (𝑧, 𝑤)
𝛿(𝑧,𝑤)
corresponding to values of (𝑥, 𝑦) for which 𝑓(𝑥, 𝑦) is nonzero.

Problems

1. Suppose that 𝑋 and 𝑌 are two independent random variables having pdf 𝑓(𝑥) =
𝑒 −𝑥 , 0 ≤ 𝑥 ≤ ∞ and 𝑔(𝑦) = 2𝑒 −2𝑦 , 0 ≤ 𝑦 ≤ ∞. Find the pdf of X+Y
Solution:
Since 𝑋 and 𝑌 are independent, the joint pdf of (𝑋, 𝑌) is given by,
𝑓(𝑥, 𝑦) = 𝑓(𝑥)𝑔(𝑦) = 2𝑒 −(𝑥+2𝑦) , 0 ≤ 𝑥, 𝑦 ≤ ∞
Let 𝑍 = 𝑋 + 𝑌 and 𝑊 = 𝑍, that is 𝑌 = 𝑊 and 𝑋 = 𝑍 − 𝑊.
𝜕𝑥 𝜕𝑥
𝜕𝑧 𝜕𝑤 1 −1
The Jacobian 𝐽 = |𝜕𝑦 𝛿𝑦
| =| |=1
0 1
𝜕𝑧 𝛿𝑤
Thus joint pdf of (𝑊, 𝑍) is,
𝑘(𝑧, 𝑤) = 𝑓(𝑥, 𝑦)|𝐽| = 2𝑒 −(𝑥+2𝑦) = 2𝑒 −(𝑧+𝑤)
0≤𝑦≤∞⇒0≤𝑤≤∞
0≤𝑥 ≤∞⇒0≤𝑧−𝑤 ≤∞⇒𝑤 ≤𝑧 ≤∞

Thus 𝑘(𝑤, 𝑧) = 2𝑒 −(𝑧+𝑤) , 0 ≤ 𝑤 ≤ 𝑧 ≤ ∞

 𝑧
The required pdf of z, ℎ(𝑧) = ∫𝑤=0 2𝑒 −(𝑧+𝑤) 𝑑𝑤
= 2(𝑒 −𝑧 − 𝑒 −2𝑧 ), 0 ≤ 𝑧 ≤ ∞.

2. If 𝑋~𝑁(0, 𝜎 2 ) , 𝑌~𝑁(0, 𝜎 2 ) and 𝑋, 𝑌 are independent. Find the pdf of 𝑅 = √𝑋 2 + 𝑌 2

Solution:
1 2 ⁄2𝜎 2
Pdf of 𝑋: 𝑓(𝑥) = 𝑒 −𝑥 , −∞ ≤ 𝑥 ≤ ∞
√2𝜋𝜎
1 2 ⁄2𝜎 2
Pdf of 𝑌: 𝑔(𝑦) = 𝑒 −𝑦 , −∞ ≤ 𝑦 ≤ ∞
√2𝜋𝜎
Since 𝑋 and 𝑌 are independent, the joint pdf of (𝑋, 𝑌) is given by,
1 2 2 2
𝑓(𝑥, 𝑦) = 𝑓(𝑥)𝑔(𝑦) = 𝑒 −(𝑥 +𝑦 )⁄2𝜎 , −∞ ≤ 𝑥, 𝑦 ≤ ∞
2𝜋𝜎 2
𝑋
Let 𝑅 = √𝑋 2 + 𝑌 2 and 𝜃 = tan−1 (𝑌 ), that is 𝑋 = 𝑅𝑐𝑜𝑠 𝜃 and 𝑌 = 𝑅𝑠𝑖𝑛 𝜃 and the
Jacobian 𝐽 = 𝑅.
Thus joint pdf of (𝑅, 𝜃) is,
𝑅 2 ⁄2𝜎 2
𝑘(𝑟, 𝜃) = 𝑓(𝑥, 𝑦)|𝐽| = 2𝜋𝜎2 𝑒 −𝑅 , 𝑅 ≥ 0, 0 ≤ 𝜃 ≤ 2𝜋
2𝜋 𝑅 2 2
The required pdf of z, ℎ(𝑧) = ∫𝜃=0 2𝜋𝜎2 𝑒 −𝑅 ⁄2𝜎 𝑑𝜃
𝑅 2 2
= 𝜎2 𝑒 −𝑅 ⁄2𝜎 , 𝑅 ≥ 0.

3. If 𝑋1 , 𝑋2 are independent and have standard normal distribution 𝑋1 , 𝑋2 ~𝑁(0, 1). Find
𝑋
the pdf of 𝑋1.
2
Solution:
1 2
Pdf of 𝑋1 : 𝑓(𝑥1 ) = 𝑒 −𝑥1 ⁄2 , −∞ ≤ 𝑥1 ≤ ∞
√2𝜋
1 2
Pdf of 𝑋2 : 𝑔(𝑥2 ) = 𝑒 −𝑦1 ⁄2 , −∞ ≤ 𝑦1 ≤ ∞
√2𝜋
Since𝑋1 , 𝑋2 are independent, the joint pdf of (𝑋1 , 𝑋2 )is given by,
1 −(𝑥 2 +𝑥 2 )⁄2
𝑓(𝑥1 , 𝑥2 ) = 𝑒 1 2 , −∞ ≤ 𝑥1 , 𝑦1 ≤ ∞
2𝜋
𝑋
Let 𝑍 = 𝑋1and 𝑊 = 𝑋2, that is 𝑋2 = 𝑊 and 𝑋1 = 𝑍𝑊.
2
𝑤 𝑧
The Jacobian 𝐽 = | |=𝑤
0 1
Thus joint pdf of (𝑊, 𝑍) is,
|𝑤| 2 (1+𝑧 2 )⁄2
𝑘(𝑧, 𝑤) = 2 𝜋 𝑒 −𝑤 , −∞ ≤ 𝑤, 𝑧 ≤ ∞.
∞ |𝑤| 2 (1+𝑧 2 )⁄2
The required pdf of 𝑍, ℎ(𝑧) = ∫−∞ 2𝜋 𝑒 −𝑤 𝑑𝑤
2 ∞ 2 (1+𝑧 2 )⁄2
= 2 𝜋 ∫0 |𝑤|𝑒 −𝑤 𝑑𝑤
On substitution: − 𝑤 2 (1 + 𝑧 2 )⁄2 = 𝑡
−𝑤(1 + 𝑧 2 )𝑑𝑤 = 𝑑𝑡
1 ∞ 𝑒 −𝑡 1
We get, ℎ(𝑧) = 𝜋 ∫0 𝑑𝑡 = 𝜋(1+𝑧 2) , −∞ ≤ 𝑧 ≤ ∞.
1+𝑧 2
4. The joint pdf of the random variable(𝑋, 𝑌) is given by
𝑥
𝑓(𝑥, 𝑦) = 𝑒 −𝑦 , 0 < 𝑥 < 2, 𝑦 > 0
2
Find the pdf of 𝑋 + 𝑌
Solution:
Let 𝑍 = 𝑋 + 𝑌 and 𝑊 = 𝑍, that is 𝑌 = 𝑊 and 𝑋 = 𝑍 − 𝑊.
The Jacobian 𝐽 = 1
𝑧−𝑤
Thus joint pdf of (𝑊, 𝑍) is, 𝑘(𝑧, 𝑤) = 𝑓(𝑥, 𝑦)|𝐽| = 2 𝑒 −𝑤
0≤𝑦≤∞⇒0≤𝑤≤∞
0≤ 𝑥 ≤ 2⇒0≤ 𝑧−𝑤 ≤2⇒ 𝑤 ≤ 𝑧 ≤ 2+𝑤
𝑧−𝑤 −𝑤
𝑘(𝑧, 𝑤) = 2 𝑒 , 0 ≤ 𝑤 ≤ 𝑧 ≤ 2 + 𝑤

𝑧 𝑧−𝑤
∫0 ( ) 𝑒 −𝑤 𝑑𝑤, 𝑤ℎ𝑒𝑛 0 < 𝑧 < 2
2
The required pdf of z, ℎ(𝑧) = { 𝑧 𝑧−𝑤
∫𝑧−2 ( ) 𝑒 −𝑤 𝑑𝑤, 𝑤ℎ𝑒𝑛 2 < 𝑧 < ∞
2
1
(𝑧 + 𝑒 −𝑧 − 1), 𝑤ℎ𝑒𝑛 0 < 𝑧 < 2
ℎ(𝑧) = { 2
1 𝑧
(𝑒 + 𝑒 2−𝑧 ), 𝑤ℎ𝑒𝑛 2 < 𝑧 < ∞
2
𝑥+𝑦
−2 −( ) 𝑥−𝑦
5. Let 𝑓(𝑥) = { 𝛼 𝑒 2 ; 𝑥, 𝑦 > 0, 𝛼 > 0 . Find the distribution of 2 .
0; 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒

*********