Lecture1.TransformationofRandomVariables

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Lecture 1. Transformation of Random Variables

Suppose we are given a random variable X with density fX (x). We apply a function g to produce a random variable Y = g(X). We can think of X as the input to a black box, and Y the output. We wish to find the density or distribution function of Y . We illustrate the technique for the example in Figure 1.1.

f (x)

X

1/2

-1 2

e-x

-1

x-axis

2

Y

Y = X

y

-Sqrt[y]

Sqrt[y]X

Figure 1.1

The distribution function method finds FY We have FY (y) = 0 for y < 0. If y 0, then P {Y

diryec}t=ly,Pan{d-thyenfYx

bydiyff}e.rentiation.

Case 1. 0 y 1 (Figure 1.2). Then

1 FY (y) = 2 y +

y 1 e-x dx = 1 y + 1 (1 - e-y).

02

2

2

f (x) X

1/2

-1 -Sqrt[y] Figure 1.2

Sqrt[y] x-axis

Case 2. y > 1 (Figure 1.3). Then

1 FY (y) = 2 +

y 1 e-x dx = 1 + 1 (1 - e-y).

02

22

The density of Y is 0 for y < 0 and

2

f (x) X

1/2

-Sqrt[y']

-1

1

Sqrt[y] x-axis

Figure 1.3

fY (y) = 41 y (1 + e-y), 0 < y < 1;

fY

(y)

=

1 4y

e-y

,

y > 1.

See Figure 1.4 for a sketch of fY and FY . (You can take fY (y) to be anything you like at y = 1 because {Y = 1} has probability zero.)

f (y) Y

'1

F (y) Y

y Figure 1.4

1 2

+

1 2

(1

-

e-

y

)

1 2

y

+

1 2

(1

-

e-

y)

'

y

1

FiguTrhee1d.5e. nWsietyhafvuenfcYti(oyn)|dmy |e=thfoXd(finyd)dsxf+Y

fdXir(e-ctlyy, )adnxd;

then FY we write

by integration; see |dy| because proba-

bilities are never negative. Thus

fY (y)

=

fX (y) |dy/dx|x=y

+

fX (-y) |dy/dx|x=-y

with y = x2, dy/dx = 2x, so

fY (y) = fX2(yy) + fX2(-y y) .

(Note that | - 2y| = 2y.) We have fY (y) = 0 for y < 0, and:

Case 1. 0 < y < 1 (see Figure 1.2).

fY (y)

=

(1/2)e-y 2y

+

1/2 2y

=

1 4y

(1

+

e-y

).

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Case 2. y > 1 (see Figure 1.3).

fY (y)

=

(1/2)e-y 2y

+0

=

1 4y

e-y

as before.

Y y

-y Figure 1.5

X y

The distribution function method generalizes to situations where we have a single output but more than one input. For example, let X and Y be independent, each uniformly distributed on [0, 1]. The distribution function of Z = X + Y is

FZ (z) = P {X + Y z} =

fXY (x, y) dx dy

x+yz

with fXY (x, y) = fX (x)fY (y) by independence. Now FZ (z) = 0 for z < 0 and FZ (z) = 1 for z > 2 (because 0 Z 2).

Case 1. If 0 z 1, then FZ (z) is the shaded area in Figure 1.6, which is z2/2.

Case 2. If 1 z 2, then FZ (z) is the shaded area in Figure 1.7, which is 1 - [(2 - z)2/2]. Thus (see Figure 1.8)

z, fZ (z) = 20 - z

0z1 1z2 . elsewhere.

Problems

1. Let X, Y, Z be independent, identically distributed (from now on, abbreviated iid) random variables, each with density f (x) = 6x5 for 0 x 1, and 0 elsewhere. Find the distribution and density functions of the maximum of X, Y and Z.

2. Let X and Y be independent, each with density e-x, x 0. Find the distribution (from now on, an abbreviation for "Find the distribution or density function") of Z = Y /X.

3. A discrete random variable X takes values x1, . . . , xn, each with probability 1/n. Let Y = g(X) where g is an arbitrary real-valued function. Express the probability function of Y (pY (y) = P {Y = y}) in terms of g and the xi.

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y 1

z z

y 2-z

1

2-z

x 1

1x x+y = z 1 z 2

Figures 1.6 and 1.7

f (z) Z

1-

'1

2

z

Figure 1.8

4. A random variable X has density f (x) = ax2 on the interval [0, b]. Find the density of Y = X3.

5. The Cauchy density is given by f (y) = 1/[(1 + y2)] for all real y. Show that one way to produce this density is to take the tangent of a random variable X that is uniformly distributed between -/2 and /2.

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Lecture 2. Jacobians

We need this idea to generalize the density function method to problems where there are k inputs and k outputs, with k 2. However, if there are k inputs and j < k outputs, often extra outputs can be introduced, as we will see later in the lecture.

2.1 The Setup

Let X = X(U, V ), Y = Y (U, V ). Assume a one-to-one transformation, so that we can solve for U and V . Thus U = U (X, Y ), V = V (X, Y ). Look at Figure 2.1. If u changes by du then x changes by (x/u) du and y changes by (y/u) du. Similarly, if v changes by dv then x changes by (x/v) dv and y changes by (y/v) dv. The small rectangle in the u - v plane corresponds to a small parallelogram in the x - y plane (Figure 2.2), with A = (x/u, y/u, 0) du and B = (x/v, y/v, 0) dv. The area of the parallelogram is |A ? B| and

I A ? B = x/u

x/v

J y/u y/v

K 0 0

du dv =

x/u y/u

x/v y/v

du dvK.

(A determinant is unchanged if we transpose the matrix, i.e., interchange rows and columns.)

y

y

du

u

x

du

u

x

Figure 2.1

v

dv

R

du

u

S

B A

Figure 2.2

2.2 Definition and Discussion

The Jacobian of the transformation is

J=

x/u y/u

x/v y/v

,

written as

(x, y) . (u, v)

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