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Function of Random Variable

The document discusses different methods for finding the distribution of a function of one or more random variables. It describes the distribution function technique, transformation technique, and moment generating function technique. The transformation technique involves determining the range of possible values that the new random variable Y can take based on the transformation function applied to the original random variable X and its density. An example demonstrates finding the probability density function of Y when Y is an affine transformation of a uniformly distributed random variable X.

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65 views18 pages

Function of Random Variable

The document discusses different methods for finding the distribution of a function of one or more random variables. It describes the distribution function technique, transformation technique, and moment generating function technique. The transformation technique involves determining the range of possible values that the new random variable Y can take based on the transformation function applied to the original random variable X and its density. An example demonstrates finding the probability density function of Y when Y is an affine transformation of a uniformly distributed random variable X.

Uploaded by

biruck
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Functions of Random Variables

Functions of One Random Variable


Functions of Two Random Variables
The Moment Generating Function
Introduction
The main purpose of this chapter: Introducing methods
for finding the distribution of a function of the random
variable(s).
Suppose we are given a random variable X with density f X (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.

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Methods for finding distribution of function of one or
more random variables:

 Distribution Function Technique


 Transformation Technique
 Moment Generating Function Technique

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Distribution Function Technique

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 One Function of Two Random
Variables

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Transformation Technique: One Variable
 The case of a continuous random variable
Definition (Change-of-Variable Technique)

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 If the possible values of X are c1< x <c2, then the
possible values of Y are u(c1)< y <u(c2).

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Example
Let Y  aX  b. Determine the pdf of Y if X is a uniform random variable over (0,1)

The range is found as follows:

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 The case of a Discrete random variable

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