STAT 410

Fall 2016

Review part 2

Example 1:

y = x2

pY( y ) = pX( y )

1
4
9
16

0.2
0.4
0.3
0.1

pX( x )

1
2
3
4

0.2
0.4
0.3
0.1

pX( x )

pY( y )

0.2

p X ( 0 ) = 0.4

0.4

p X ( 2 ) + p X ( 2 ) = 0.5

0.3

p X ( 3 ) = 0.1

0.1

Y = X2

Example 2:

Y = X2

Example 3:
X ~ Poisson ( ):

Y=X

pX( x ) =

pY( y ) =

x e

x!

x = 0, 1, 2, 3, 4, .

( y )!

y = 0, 1, 4, 9, 16, .

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:

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

Example 4:
1
fU( u ) =
0

(x ) t f ( x ) dx
X

Let U be a Uniform ( 0, 1 ) random variable:

u<0
0 u <1
u 1

FU( u ) = u
1

0 < x <1
o.w.

Consider Y = U 2. What is the probability distribution of Y ?

FY( y ) = P( Y y ) = P( U2 y )

y<0

P( U2 y ) = 0

0y<1

P( U2 y ) = P( U

y1

P( U2 y ) = 1

f Y ( y ) = F 'Y ( y ) =

(2
0

F Y ( y ) = 0.

y )=

FY( y ) =
F Y ( y ) = 1.

0 < y <1

otherwise

y.

_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
Change-of-Variable Technique:

Theorem 1.7.1

X continuous r.v. with p.d.f. f X ( x ).

Y = g( X)
dx

g ( x ) one-to-one, differentiable

/d y = d [ g

1( y ) ]

/d y

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

dx
dy

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

g( u ) = u2

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

g 1( y ) =

du
dy

= (1)

y = y 1/2

| 12 y 1/2 | =

du

1 1/2
y
,
2

/d y =

1 1/2
y
2

0 < y < 1.