Scribd
Upload
2 views8 pages

Stats3JO4 Tutorial 3 functionofRV Part1

This tutorial covers the distribution of functions of random variables, focusing on methods to derive the distribution of Y = g(X) using cumulative distribution function (CDF) and probability density function (PDF) techniques. It discusses the CDF method, the PDF method for monotonic transformations, and addresses non-invertible transformations with examples, particularly Y = X^2. The final section illustrates finding the PDF of Y when X follows a standard normal distribution.

Uploaded by

ghoogstad369
Copyright
© All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
2 views8 pages

Stats3JO4 Tutorial 3 functionofRV Part1

This tutorial covers the distribution of functions of random variables, focusing on methods to derive the distribution of Y = g(X) using cumulative distribution function (CDF) and probability density function (PDF) techniques. It discusses the CDF method, the PDF method for monotonic transformations, and addresses non-invertible transformations with examples, particularly Y = X^2. The final section illustrates finding the PDF of Y when X follows a standard normal distribution.

Uploaded by

ghoogstad369
Copyright
© All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd

Tutorial - 3: Distribution of General Functions of

Random Variables

STATS 3J04

October 24, 2024

STATS 3J04 Tutorial - 3: Distribution of General Functions of Random


October
Variables
24, 2024 1/8
Outline

1 Introduction

2 CDF Method

3 PDF Method (Change of Variables)

4 Non-Invertible Transformations

5 Example: Y = X 2

STATS 3J04 Tutorial - 3: Distribution of General Functions of Random


October
Variables
24, 2024 2/8
Introduction

Given a random variable X with known distribution, we often need


the distribution of a function of X , say Y = g (X ).
This is a common problem in probability and statistics, often needed
for transformations, models, and simulations.
The key techniques for deriving the distribution of Y involve the
cumulative distribution function (CDF) and the probability density
function (PDF).

STATS 3J04 Tutorial - 3: Distribution of General Functions of Random


October
Variables
24, 2024 3/8
CDF Method

The CDF method is one of the primary ways to find the distribution
of Y = g (X ).
The CDF of Y is given by:

FY (y ) = P(Y ≤ y ) = P(g (X ) ≤ y ).

Once we have FY (y ), the PDF of Y is simply the derivative:

d
fY (y ) = FY (y ).
dy

STATS 3J04 Tutorial - 3: Distribution of General Functions of Random


October
Variables
24, 2024 4/8
PDF Method (Change of Variables)

If g (X ) is a monotonic function, the PDF of Y = g (X ) can be


obtained using the change of variables formula:

dx
fY (y ) = fX (x) ,
dy

where x = g −1 (y ).
This method works well for both discrete and continuous random
variables, as long as the transformation is invertible/one-to-one.

STATS 3J04 Tutorial - 3: Distribution of General Functions of Random


October
Variables
24, 2024 5/8
Non-Invertible Transformations

For non-invertible functions like Y = X 2 , multiple values of X can


map to the same value of Y .
√ √
Example: For Y = X 2 , both X = y and X = − y map to the
same Y = y .
We need to account for all possible values of X that satisfy
Y = g (X ).

STATS 3J04 Tutorial - 3: Distribution of General Functions of Random


October
Variables
24, 2024 6/8
Finding the PDF of Y = X 2 , where X ∼ U(0, 1)
Step 1: Define the transformation

2
Y =X , where X ∼ U(0, 1).

Step 2: Invert the transformation (Notice: we will consider only positive contribution as 0 < x < 1)

√
X = Y.

Step 3: Find the derivative

dx d √ 1
= ( y) = √ .
dy dy 2 y

Step 4: Use the change of variables formula

dx
fY (y ) = fX (x)
dy
1 1
=1· √ = √ , 0 < y < 1.
2 y 2 y

Final PDF of Y :

1
fY (y ) = √ , 0 < y < 1.
2 y

STATS 3J04 Tutorial - 3: Distribution of General Functions of Random


October
Variables
24, 2024 7/8
Example: Y = X 2

Suppose X ∼ N (0, 1), i.e., X follows a standard normal distribution.


Let Y = X 2 , which is a non-invertible transformation.
√ √
We must consider both branches: X = y and X = − y .
Thus, the PDF of Y is:
√ d √ √ d √
fY (y ) = fX ( y ) y + fX (− y ) (− y ) .
dy dy

STATS 3J04 Tutorial - 3: Distribution of General Functions of Random


October
Variables
24, 2024 8/8

You might also like