RESULTS ON TRANSFORMATIONS OF RANDOM

VARIABLES

The following are known and useful results on frequently encountered trans-
formations of random variables with distributions belonging to the main
parametric families.

DISCRETE:

1. For i = 1, . . . , n, Xi ∼ Bernoulli(θ), 0 < θ < 1, Xi ⊥Xj i 6= j

⇒ ni=1 Xi ∼ Binomial(n, θ)
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2. For i = 1, . . . , n, Xi ∼ Binomial(mi , θ), mi known positive integer,

0 < θ < 1, Xi ⊥Xj i 6= j
⇒ ni=1 Xi ∼ Binomial(m∗ , θ) where m∗ = ni=1 mi
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3. For i = 1, . . . , n, Xi ∼ Geometric(θ), 0 < θ < 1, Xi ⊥Xj i 6= j

⇒ ni=1 Xi ∼ N egativeBinomial(n, θ)
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4. For i = 1, . . . , n, Xi ∼ N egativeBinomial(ri , θ), ri known positive

integer, 0 < θ < 1, Xi ⊥Xj i 6= j
⇒ ni=1 Xi ∼ N egativeBinomial(r∗ , θ) where r∗ = ni=1 ri
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5. For i = 1, . . . , n, Xi ∼ P oisson(λi ), λi > 0, Xi ⊥Xj i 6= j

⇒ ni=1 Xi ∼ P oisson( ni=1 λi )
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Note that Binomial(1, θ) = Bernoulli(θ) and N egativeBinomial(1, θ) =

Geometric(θ) so that point 1) and 3) are special cases of points 2) and 4)
respectively.

1
CONTINUOUS:

1. For i = 1, . . . , n, Xi ∼ N (µi , σi2 ) µi ∈ <, σi2 ∈ <+ , Xi ⊥Xj i 6= j

⇒ ni=1 Xi ∼ N (µ∗ , σ 2∗ ) where µ∗ = ni=1 µi and σ 2∗ = ni=1 σi2
P P P

2. In general for Normal r.v.’s a stronger result holds; we can drop inde-
pendence and still obtain Normality, e.g.
For i = 1, . . . , n, Xi ∼ N (µi , σi2 ), µi ∈ <, σi2 ∈ <+
⇒ ni=1 Xi ∼ N (µ∗ , σ 2∗ ) where µ∗ = ni=1 µi and σ 2∗ = ni=1 σi2 +
P P P
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2 j<i σij and σij = COV [Xi , Xj ]

3. X ∼ N (0, 1)
⇒ X 2 ∼ χ2(1)

4. X ∼ N (0, 1), Y ∼ χ2(k) and X⊥Y

⇒ √X ∼ T (k)
Y /k

5. Random Sampling from Normal Population: for i = 1, . . . , n Xi ∼

N (µ, σ 2 ), Xi ⊥ Xj i 6= j

2
• X n ∼ N (µ, σn )
2
(n−1)Sn
• σ2
∼ χ2(n−1)

• X n ⊥ Sn2
√
n(X n −µ)
• Sn ∼ T (n−1)

1 Pn 1 Pn
with X n = n i=1 Xi and Sn2 = n−1 i=1 (Xi − X n )2

6. Gamma Distribution:
Note that X ∼ Gamma(α, β) can be an ambiguous notation.

β α α−1 −βx
• If it means f (x) = Γ(α) x e

then E[X] = αβ , V ar[X] = α

β2
and Gamma( n2 , 12 ) defines the χ2(n)

2
 x
• If it means f (x) = 1 α−1 e− β
Γ(α)β α x then E[X] = αβ, V ar[X] =
αβ 2 and Gamma( n2 , 2) defines the χ2(n) .

Furthermore note that

• Gamma(1, β) defines a N egativeExponential(β),

provided that the same notation is adopted for parameter β in both

distributions.

• For i = 1, . . . , n, Xi ∼ Gamma(αi , β), αi > 0, β > 0, Xi ⊥ Xj

i 6= j
⇒ ni=1 Xi ∼ Gamma(α∗ , β) with α∗ = ni=1 αi
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• Xi ∼ Gamma(αi , β), αi > 0, β > 0, i = 1, 2 and X1 ⊥ X2

X1
⇒ X1 +X2 ∼ Beta(α1 , α2 )

Finally, by the preceding results

• For i = 1, . . . , n, Xi ∼ N egativeExponential(β), β > 0, Xi ⊥ Xj

i 6= j
⇒ ni=1 Xi ∼ Gamma(n, β)
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