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Functions of Random Variable PDF

1. This document discusses different methods for finding the probability distribution of Y when Y is a function of a continuous random variable X. These methods include using the cumulative distribution function (CDF), moment-generating function (MGF), and change-of-variable technique. 2. Several examples are provided to illustrate how to apply these methods to find the distributions of Y for specific functions of X with given distributions, such as Y = 1/X^2 when X is uniform and Y = -2θln(X) when X has a particular power distribution. 3. Useful facts provided include that if U is uniform and X = F^-1(U) for a CDF F, then X has CDF F

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23 views

Functions of Random Variable PDF

1. This document discusses different methods for finding the probability distribution of Y when Y is a function of a continuous random variable X. These methods include using the cumulative distribution function (CDF), moment-generating function (MGF), and change-of-variable technique. 2. Several examples are provided to illustrate how to apply these methods to find the distributions of Y for specific functions of X with given distributions, such as Y = 1/X^2 when X is uniform and Y = -2θln(X) when X has a particular power distribution. 3. Useful facts provided include that if U is uniform and X = F^-1(U) for a CDF F, then X has CDF F

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STAT 410

Fall 2016

Functions of One Random Variable


Let X be a continuous random variable.
Let Y = g ( X ).

What is the probability distribution of Y ?

Cumulative Distribution Function approach:


FY( y ) = P( Y y ) = P( g( X ) y ) =

f X ( x ) dx
{ x: g (x ) y }

Moment-Generating Function approach:

Y t
) = E ( e g( X ) t ) =
MY( t ) = E( e

(x ) t f ( x ) dx
X

Change-of-Variable Technique:
X continuous r.v. with p.d.f. f X ( x ).
Y = g( X)
dx

1.

g ( x ) one-to-one, differentiable

/d y = d [ g

1( y ) ]

/d y

f Y ( y ) = f X ( g 1( y ) )

dx
dy

Consider a continuous random variable X with p.d.f.


5

f X ( x ) = 6 x

0 < x <1
o.w.

Find the probability distribution of Y = 1 X 2 .

2.

Consider a continuous random variable X with p.d.f.


2x
0

fX( x ) =

0 < x <1
o.w.

a)

Find the probability distribution of Y =

X.

b)

Find the probability distribution of W =

1
.
X +1

3.

Consider a continuous random variable X with the p.d.f. f X ( x ) =


Find the probability distribution of Y = 1 X 2 .

24

x4

, x > 2.

4.

The p.d.f. of X is

f X ( x ) = x 1, 0 < x < 1, 0 < < . Let Y = 2 ln X.

How is Y distributed?
a)

Determine the probability distribution of Y by finding the c.d.f. of Y


F Y ( y ) = P ( Y y ) = P ( 2 ln X y ).
Hint: Find F X ( x ) first.

b)

Determine the probability distribution of Y by finding the m.g.f. of Y


M Y ( t ) = E ( e Y t ) = E ( e 2 ln X t ).

c)

Determine the probability distribution of Y by finding the p.d.f. of Y, f Y ( y ),


using the change-of-variable technique.

5.

Let Z be a N ( 0, 1 ) standard normal random variable.


Show that X = Z 2 has a chi-square distribution with 1 degree of freedom.

6.

Consider a continuous random variable X with p.d.f.

0.2
f X ( x ) = 0.3
0

3 < x < 1
0< x<2
otherwise

Find the probability distribution of Y = X 2.

_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _

Consider a continuous random variable X, with p.d.f. f and c.d.f. F, where F is strictly
increasing on some interval I, F = 0 to the left of I, and F = 1 to the right of I. I may be a
bounded interval or an unbounded interval such as the whole real line. F 1 ( u ) is then well
defined for 0 < u < 1.

Fact 1:
Let U ~ Uniform ( 0, 1 ), and let X = F 1 ( U ). Then the c.d.f. of X is F.
P ( X x ) = P ( F 1 ( U ) x ) = P ( U F ( x ) ) = F ( x ).

Proof:

Fact 2:
Let U = F ( X ); then U has a Uniform ( 0, 1 ) distribution.
Proof:

P ( U u ) = P ( F ( X ) u ) = P ( X F 1 ( u ) ) = F ( F 1 ( u ) ) = u.

_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _

Useful facts:

Def

( x ) =

x 1 e u du ,

x > 0.

( 1 ) = 1.
( x ) = ( x 1 ) ( x 1 ),

( n ) = ( n 1 )!

1
=
2

x > 1.
if n is an integer.

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