Function of RV

Functions of random variables and their distribution https://www.statlect.com/fundamentals-of-probability/functions-of-rando...
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Functions of random variables and their distribution

by Marco Taboga, PhD
Let be a random variable with known distribution. Let another random variable be a function of
:
where . How do we derive the distribution of from the distribution of ?
There is no general answer to this question. However, there are several special cases in which it is
easy to derive the distribution of . We discuss these cases below.
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Strictly increasing functions

When the function is strictly increasing on the support of (i.e. ),
then admits an inverse de�ned on the support of , i.e. a function such that
Furthermore is itself strictly increasing.
The distribution function of a strictly increasing function of a random variable can be computed as
follows.
Proposition (distribution of an increasing function) Let be a random variable with support

and distribution function . Let be strictly increasing on the support of . Then, the
support of is
and the distribution function of is
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Proof
Therefore, in the case of an increasing function, knowledge of and of the upper and lower bounds
of the support of is all we need to derive the distribution function of from the distribution
function of .
Example Let be a random variable with support and distribution function
Let
The function is strictly increasing and it admits an inverse on the support of :
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The support of is . The distribution function of is
In the cases in which is either discrete or continuous there are specialized formulae for the
probability mass and probability density functions, which are reported below.
Strictly increasing functions of a discrete random variable

When is a discrete random variable, the probability mass function of can be computed as
follows.
Proposition (probability mass of an increasing function) Let be a discrete random variable with
support and probability mass function . Let be strictly increasing on the support of
. Then, the support of is
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and its probability mass function is
Proof
Example Let be a discrete random variable with support
and probability mass function
Let
The support of is
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The function is strictly increasing and its inverse is
The probability mass function of is
Strictly increasing functions of a continuous random variable

When is a continuous random variable and is di�erentiable, then also is continuous and its
probability density function can be easily computed as follows.
Proposition (density of an increasing function) Let be a continuous random variable with

support and probability density function . Let be strictly increasing and di�erentiable
on the support of . Then, the support of is
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and its probability density function is
Proof
This proposition is a trivial consequence of the fact that the density function is the �rst derivative of
the distribution function: it can be obtained by di�erentiating the expression for the distribution
function found above.
Example Let be a continuous random variable with support
and probability density function
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Let
The support of is
with derivative
The probability density function of is
Strictly decreasing functions
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When the function is strictly decreasing on the support of (i.e. ),

then admits an inverse de�ned on the support of , i.e. a function such that
Furthermore is itself strictly decreasing.
The distribution function of a strictly decreasing function of a random variable can be computed as
follows.
Proposition (distribution of a decreasing function) Let be a random variable with support

and distribution function . Let be strictly decreasing on the support of . Then, the
support of is
and the distribution function of is
Proof
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Therefore, also in the case of a decreasing function, knowledge of and of the upper and lower
bounds of the support of is all we need to derive the distribution function of from the distribution
function of .
Example Let be a random variable with support and distribution function
Let
The function is strictly decreasing and it admits an inverse on the support of :
The support of is . The distribution function of is
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where equals when and otherwise (because is always zero except when
and ).
We report below the formulae for the special cases in which is either discrete or continuous.
Strictly decreasing functions of a discrete random variable

When is a discrete random variable, the probability mass function of can be computed as
follows.
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Proposition (probability mass of a decreasing function) Let be a discrete random variable with
support and probability mass function . Let be strictly decreasing on the support of
. Then, the support of is
Proof
Example Let be a discrete random variable with support
Let
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The support of is
The function is strictly decreasing and its inverse is
Strictly decreasing functions of a continuous random variable

probability density function is derived as follows.
Proposition (density of a decreasing function) Let be a continuous random variable with
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support and probability density function . Let be strictly decreasing and

di�erentiable on the support of . Then, the support of is
and its probability density function is
Proof
Example Let be a uniform random variable on the interval , i.e., a continuous random variable
with support
Let
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where is a constant. The support of is
where we can safely ignore the fact that , because is a zero-probability event (see
Continuous random variables and zero-probability events). The function is strictly decreasing and
its inverse is
with derivative
Therefore, has an exponential distribution with parameter (see the lecture entitled Exponential
distribution).
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Invertible functions
In the case in which the function is neither strictly increasing nor strictly decreasing, the formulae
given in the previous sections for discrete and continuous random variables are still applicable,
provided is one-to-one and hence invertible. We report these formulae below.
One-to-one functions of a discrete random variable

When is a discrete random variable, the probability mass function of is given by the
following.
Proposition (probability mass of a one-to-one function) Let be a discrete random variable with
support and probability mass function . Let be one-to-one on the support of .
Then, the support of is
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Proof
One-to-one functions of a continuous random variable

probability density function is given by the following proposition.
Proposition (density of a one-to-one function) Let be a continuous random variable with

support and probability density function . Let be one-to-one and di�erentiable on
the support of . Then, the support of is
If
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then the probability density function of is
Proof
For a proof of this proposition see: Poirier, D. J. (1995) Intermediate statistics and econometrics: a
comparative approach, MIT Press.
Solved exercises
Below you can �nd some exercises with explained solutions.
Exercise 1
Let be a continuous random variable with support
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Let
Find the probability density function of .
Solution
The support of is
with derivative
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Exercise 2
Let be a continuous random variable with support
Let
Find the probability density function of .
Solution
The support of is
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The function is strictly decreasing and its inverse is
with derivative
Exercise 3
Let be a discrete random variable with support
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Let
Find the probability mass function of .
Solution
The support of is
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Functions of random variables and their distribution https://www.statlect.com/fundamentals-of-probability/functions-of-rando...

Functions of random variables and their distribution

where . How do we derive the distribution of from the distribution of ?

Strictly increasing functions

Furthermore is itself strictly increasing.

Proposition (distribution of an increasing function) Let be a random variable with support

and the distribution function of is

Example Let be a random variable with support and distribution function

The function is strictly increasing and it admits an inverse on the support of :

The support of is . The distribution function of is

Strictly increasing functions of a discrete random variable

and its probability mass function is

Example Let be a discrete random variable with support

and probability mass function

The function is strictly increasing and its inverse is

The probability mass function of is

Strictly increasing functions of a continuous random variable

Proposition (density of an increasing function) Let be a continuous random variable with

and its probability density function is

Example Let be a continuous random variable with support

and probability density function

The function is strictly increasing and its inverse is

The probability density function of is

Strictly decreasing functions

When the function is strictly decreasing on the support of (i.e. ),

Furthermore is itself strictly decreasing.

Proposition (distribution of a decreasing function) Let be a random variable with support

and the distribution function of is

Example Let be a random variable with support and distribution function

The function is strictly decreasing and it admits an inverse on the support of :

The support of is . The distribution function of is

Strictly decreasing functions of a discrete random variable

and its probability mass function is

Example Let be a discrete random variable with support

and probability mass function

The function is strictly decreasing and its inverse is

The probability mass function of is

Strictly decreasing functions of a continuous random variable

Proposition (density of a decreasing function) Let be a continuous random variable with

support and probability density function . Let be strictly decreasing and

and its probability density function is

and probability density function

where is a constant. The support of is

The probability density function of is

One-to-one functions of a discrete random variable

and its probability mass function is

One-to-one functions of a continuous random variable

Proposition (density of a one-to-one function) Let be a continuous random variable with

then the probability density function of is

and probability density function

Find the probability density function of .

The function is strictly increasing and its inverse is

The probability density function of is

and probability density function

Find the probability density function of .

The function is strictly decreasing and its inverse is

The probability density function of is

and probability mass function

Find the probability mass function of .

The function is strictly increasing and its inverse is

The probability mass function of is

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