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A Linear Algebra Term Presentation ON Functions of The Form "X Y"

This document presents a term paper on functions of the form X*Y, where X and Y are random variables. It introduces functions of random variables and defines a new random variable Z as a function h(X). It then discusses the key cases of univariate, bivariate, and multivariate functions. For bivariate functions, it presents the transformation technique to derive the probability density function of Z = X*Y. Several examples are provided to illustrate this technique. The document concludes by discussing applications of functions of random variables and providing references.

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Asha Jakhar
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33 views17 pages

A Linear Algebra Term Presentation ON Functions of The Form "X Y"

This document presents a term paper on functions of the form X*Y, where X and Y are random variables. It introduces functions of random variables and defines a new random variable Z as a function h(X). It then discusses the key cases of univariate, bivariate, and multivariate functions. For bivariate functions, it presents the transformation technique to derive the probability density function of Z = X*Y. Several examples are provided to illustrate this technique. The document concludes by discussing applications of functions of random variables and providing references.

Uploaded by

Asha Jakhar
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd
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INDIAN INSTITUTE OF TECHNOLOGY ROORKEE

A
LINEAR ALGEBRA
TERM PRESENTATION
ON
FUNCTIONS OF THE FORM “X*Y”

Supervised by: Prof. Abhay Kumar Sah Submitted by: Asha Kumari Jakhar
Enroll. No.: 20915003
Subject code:ECN-511
Group No.:5
KEY POINTS

• Introduction to the functions of random variables


• Function of the form X*Y

• Examples
• Applications
• Conclusion

• References

2
INTRODUCTION TO THE FUNCTIONS OF RANDOM
VARIABLES

• If we are given a random variable X mapping the probability space


(S, P) into the real line R and we are given a function h mapping R
into R.

• Then h(X) is a function mapping the probability space (S, P) into


R. As a consequence, h(X) is itself a new random variable, i.e., a
new function mapping (S, P) into R.

3
Fh(X) (t) P (h (X)  t) P ({ s  t }) ,
PX ({ r  t }),
Ph(X) ({ k  t }),

Here P = probability measure on S


PX = probability measure on R (the distribution of X)
Ph(X) = probability measure on R (the distribution of the
random variable h(X))

 
4
ONE FUNCTION OF 2 RANDOM VARIABLE

We have generally have 3 cases for the operation of functions


1. univariate distribution ( Z = g (X))
2.Bivariate distribution ( Z = g (X, Y))  This is our case
3.Multivariate distribution ( Z = g (X, Y, K,……….))
Different type of operations that generally done to acquire a function(new
random variable)

5
METHODS TO TREAT THE FUNCTIONS

• Cumulative distribution technique


• Transformation technique
• Moment generating function technique

Here in this section we will prefer the transformation technique


because in some cases it is quite difficult to apply Cumulative
distribution technique.

6
FUNCTION OF THE FORM X*Y

•   Let Z = X*Y
Then with W = X the system has a single solutions
x = w and y = z /w
Approach:
Suppose g(x, y) and h(x, y) are continuous and differentiable functions.
z = g(x, y) w = h(x, y)
(z, w) = ()
Let , are inverse transformations so

= = =
(z, w) = () = () ………(1)

7
Continue….

•  
Jacobian of the original transformation is given by
==
In our case Z = X*Y , J (x, y) = - w
By standard equation (1)
(z, w) = (w, )

Hence the density of the random variable Z = X*Y is given by


(z) = dw ……..(2) std. solution

8
EXAMPLE -1

•1.   x and y are i. i. d. random variables with common pdf


(x) = U(x) (y) = U(y)
Now find the pdf of the random variable : Z = X*Y

Solution-
(z) = P { Z  z } = P { XY  z }
= ) dx dy
We know
(z) = dw
(z) = dy = dy

9
EXAMPLES - 2

• (x)
2.   =
Now find XY has (z) = 2 (1- z), 0 < z <1, and 0 elsewhere

Solutions-
Z2 = XY
(z) = P (XY z) = 1 - ) dx dy
(z) = dy
(z) = dy
(z) = 2 (1- z) , 0< z<1

10
EXAMPLE - 3

• The
3.   random variables x and y are independent with
(x) = U(x) (y) =
show that the random variable Z = X* Y is N(0, 2)
Ans-

11
To be continue

•  w) = (x, y)
(z, x = w and y = z/w
The function (z, w) is different from zero in the shaded areas shown.
Hence with w2 – z2 =s2

(z) =
(z) =

(z) =

12
APPLICATIONS

1. To know the statistics of the incoming signal for proper receiver


design.

2. Functions of random variable are often used to describe the


overall response of the system that may depend on other random
variables.

13
CONCLUSION

1. Uncertainty associated with a function can be described by


• Full probability distribution
• Mean, SD and COV

2. In case of complex functions, approximations are required.

14
REFERENCES

[1] Papoulis, A & Pillai, U 2001, Probability, random variables and stochastic


processes. 4th ed., McGraw-Hill, New York.
[2] Wilbur B. Davenport; William L. Root, "Random Variables and Probability
Distributions," in An Introduction to the Theory of Random Signals and Noise ,
IEEE, 1987, pp.19-44, doi: 10.1109/9780470544143.ch3.
[3] http://www.columbia.edu/~ww2040/4106S11/lec0125.pdf
[4] https://web.ma.utexas.edu/users/gordanz/notes/functions_color.pdf
[5] https://www.probabilitycourse.com/chapter3/3_2_3_functions_random_var.php

15
Thanks…..

16
Any Query

17

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