StatIdea Slides 5

5.
Functions of Random Variables
J. CaballÈ (UAB - MOVE - BSE) Probability and Statistics IDEA 1 / 36

5.1. The distribution of a function of a random object
Let x̃ : (W, F , P ) "! (W0 , F 0 ) be a random object with distribution

Px̃ and g : (W0 , F 0 ) "! (W00 , F 00 ) be a measurable function. Then,
the distribution of the random object
ỹ = g (x̃ ) : (W, F ) "! (W00 , F 00 ) is given by
Pỹ (B ) = Pg (x̃ ) (B ) = P fg (x̃ ) 2 B g

! " # $
= P x̃ 2 g "1 (B ) = Px̃ g "1 (B ) , for all B 2 F 00 .

5.2. The distribution function of a vector-valued function
of a random object
Px̃ and g : (W0 , F 0 ) "! (Rn , B) be a vector-valued Borel measurable
function. Then, the distribution function Fỹ : Rn "! R of the
random vector ỹ = g (x̃ ) : (W, F ) "! (Rn , B) is given by
Fỹ (y ) = P fỹ 5 y g = P fg (x̃ ) 5 y g = P fg (x̃ ) 2 ("•, y ]g
! " # $
= P x̃ 2 g "1 ("•, y ] = Px̃ g "1 ("•, y ]
! "
= Px̃ x 2 W0 jg (x ) 5 y .
Recall that y = (y1 , y2 , ..., yn ) 2 Rn and
("•, y ] = fz 2 Rn jz 5 y g
= fz 2 Rn jz1 * y1 , z2 * y2 , ..., zn * yn g .

If Fỹ (y ) is absolutely continuous, then the density function will be
∂n Fỹ (y1 , y2 , ..., yn )

fỹ (y1 , y2 , ..., yn ) = .
∂y1 ∂y2 ...∂yn
when this nth crossed partial derivative of Fỹ exists. Moreover, this
derivative exists a.e. w.r.t. Lebesgue measure on (Rn , B).

Example: Let z̃ be a random variable and x̃ = jz̃ j + 0. Then
Fx̃ (x ) = P fx̃ * x g = P fjz̃ j * x g = P f"x * z̃ * x g
= Pz̃ ["x, x ] = Fz̃ (x ) " lim " Fz̃ (s ) , for x + 0.

s !"x
and Fx̃ (x ) = 0 for x < 0.

Assume now that z̃ , N(0, 1). Then, Fz̃ is absolutely continuous
(and, hence, continuous), so that the distribution function of x̃ = jz̃ j
is 8
< Fz̃ (x ) " Fz̃ ("x ) for x + 0
Fx̃ (x ) =
:
0 for x < 0,
and its density is

8
< fz̃ (x ) + fz̃ ("x ) = n(x; 0, 1) + n("x; 0, 1) for x > 0
fx̃ (x ) =
:
0 for x * 0.

Given the symmetry of the density function n(-; 0, 1) with respect to
0, we get
8 r
>
> 2 " 1 x2
< 2n(x; 0, 1) = e 2 for x > 0
fx̃ (x ) = p
>
>
:
0 for x * 0.

5.3. The probability function of a function of a discrete
random variable

Px̃ , g : (W0 , F 0 ) "! (Rn , B) be a vector-valued Borel measurable
function, and the random vector ỹ = g (x̃ ) : (W, F ) "! (Rn , B) be
discrete (i.e., ỹ (W) is discrete or countable). Then, the probability
function fỹ : ỹ (W) "! [0, 1] of the random vector ỹ is given by
# $
fỹ (y ) = Pỹ fy g = Px̃ g "1 (y ) , for all y 2 g (x̃ (W)) . ỹ (W).
If either x̃ is discrete (i.e., x̃ (W) is discrete or countable) or g is

discrete (i.e., g (W0 ) is discrete or countable), then the random vector
ỹ = g (x̃ ) is discrete (i.e., ỹ (W) . g (x̃ (W)) is discrete or countable)

If x̃ : (W, F , P ) "! (Rm , B) is a discrete random vector with
probability function fx̃ : x̃ (W) "! [0, 1] and
g : (Rm , B) "! (Rn , B) , then the probability function
fỹ : ỹ (W) "! [0, 1] of the discrete random vector
ỹ = g (x̃ ) : (W, F ) "! (Rn , B) is given by
# $
fỹ (y ) = Pỹ fy g = Px̃ g "1 (y )
= Â fx̃ (x ) , for all y 2 g (x̃ (W)) . ỹ (W).

x 2g "1 (y )
If the restriction of the function g to the range of x̃,

g : x̃ (W) "! g (x̃ (W)), is a one-to-one correspondence, then
# $
fỹ (y ) = Pỹ fy g = Px̃ g "1 (y )
# $
= fx̃ g "1 (y ) , for all y 2 g (x̃ (W)) . ỹ (W).

Example: Let x̃ be a binomial random variable with probability
function
* +
n x
bx̃ (x; n, q ) = q (1 " q )n "x , x = 0, 1, ..., n
x
x̃
and let ỹ = g (x̃ ) = be the percentage of successes in n
n
independent trials. Note that x = g "1 (y ) = ny . Then,
g (x̃ (W)) = f0, 1/n, 2/n, ..., 1g and
fỹ (y ; n, q ) = bx̃ (g "1 (y ) ; n, q )

n (1 "y )
* + z }| {
n 1 2 n"1
= q ny (1 " q )n " ny , y = 0, , , ..., , 1.
ny n n n

5.4. Convolutions.
DeÖnition. The convolution of two independent random variables on

the same probability space, x̃ : (W, F , P ) "! (R, B) and
ỹ : (W, F , P ) "! (R, B) , is the distribution of their sum, x̃ + ỹ , i.e.,
the distribution of the random variable z̃ = x̃ + ỹ , with
z̃ : (W, F , P ) "! (R, B) .
Convolution distribution: Consider two random variables x̃ and ỹ

on the same probability space (W, F , P ), then the distribution of the
random variable z̃ = x̃ + ỹ is
Pz̃ (B ) = Px̃ +ỹ (B ) = P fx̃ + ỹ 2 B g
= P fw 2 W j x̃ (w ) + ỹ (w ) 2 B g , for all B 2 B .
Independency is not required for the previous expression.

Convolution distribution function: If the two random variables x̃
and ỹ on the same probability space (W, F , P ) are independent, then
the distribution function of the random variable z̃ = x̃ + ỹ is
Fz̃ (z ) = Fx̃ +ỹ (z ) = P fx̃ + ỹ * z g

Z Z
= P fx̃ + ỹ * z jx̃ = x g dFx̃ (x ) = P fx + ỹ * z g dFx̃ (x )
R R
Z Z
= P fỹ * z " x g dFx̃ (x ) = Fỹ (z " x )dFx̃ (x ),
R R
where the third equality comes from the theorem of total probability
and the fourth from the independence between x̃ and ỹ . Note that, if
these two variables where not independent, then we will have that
P fx̃ + ỹ * z jx̃ = x g = P fx + ỹ * z jx̃ = x g , which is not
necessarily equal to P fx + ỹ * z g .

Proposition. Assume that the two random variables x̃ and ỹ on the
same probability space (W, F , P ) are independent.
(a) If x̃ and ỹ are discrete with the probability functions
fx̃ : x̃ (W) "! [0, 1] and fỹ : ỹ (W) "! [0, 1] , respectively, then the
probability function of their sum z̃ = x̃ + ỹ (i.e., the convolution
pmf) is
fx̃ +ỹ (z ) = fz̃ (z ) = Â fỹ (z " x )fx̃ (x ), for z 2 z̃ (W),

x 2x̃ (W)
with z " x 2 ỹ (W).

(b) If x̃ and ỹ are absolutely continuous with the densities
fx̃ : R "! R and fỹ : R "! R, respectively, then the density of their
sum z̃ = x̃ + ỹ (i.e., the convolution pdf) is
Z
fx̃ +ỹ (z ) = fz̃ (z ) = fỹ (z " x )fx̃ (x )dx.
R

Proof. (a) DeÖne the discrete random variable z̃ = x̃ + ỹ . Then, the
probability function of z̃, fz̃ : z̃ (W) "! [0, 1] , satisÖes
fz̃ (z ) = fx̃ +ỹ (z ) = P fx̃ + ỹ = z g
= Â P fx̃ + ỹ = z jx̃ = x g - P fx̃ = x g

x 2x̃ (W)
= Â P fx + ỹ = z g - P fx̃ = x g = Â P fỹ = z " x g - P fx̃ = x g

x 2x̃ (W) x 2x̃ (W)
= Â fỹ (z " x )fx̃ (x ), for z 2 z̃ (W), with z " x 2 ỹ (W),

x 2x̃ (W)
where the third equality comes from the theorem of total probability
and the fourth from the independence between x̃ and ỹ . Note that, if
these two variables where not independent, then we will have that
P fx̃ + ỹ = z jx̃ = x g = P fx + ỹ = z jx̃ = x g , which is not
necessarily equal to P fx + ỹ = z g .

(b) We know that the distribution function Fz̃ of the absolutely
continuous random variable z̃ = x̃ + ỹ is
Z Z
Fz̃ (z ) = Fỹ (z " x )dFx̃ (x ) = Fỹ (z " x )fx̃ (x )dx.
R R
Di§erentiating the last expression with respect to z, and exchanging the

order of di§erentiation and integration, we obtain the density of the
random variable z̃ = x̃ + ỹ ,
Z
dFz̃ (z ) dFỹ (z " x )
fx̃ +ỹ (z ) = fz̃ (z ) = = fx̃ (x )dx
dz R dz
Z
= fỹ (z " x )fx̃ (x )dx, for z 2 R. Q.E .D.
R
See the handout for a non-trivial application of the previous

proposition to the convolution of two independent absolutely
continuous random variables.

5.5. The density of a vector-valued function of an
absolutely continuous random vector.
Let x̃ : (W, F ) "! (Rm , B (Rm )) be a random vector with density

fx̃ : Rm "! R and g : (Rm , B (Rm )) "! (Rn , B (Rn )) be a
vector-valued Borel measurable function. Then the distribution Pỹ of
the random vector ỹ = g (x̃ ) : (W, F ) "! (Rn , B (Rn )) is given by
# $ Z Z
Pỹ (B ) = Px̃ g "1 (B ) = dPx̃ = fx̃ (x )dx,
g "1 (B ) g "1 (B )
where x = (x1 , x2 , ..., xn ) 2 Rm , for all B 2 B (Rn ) .

/ Let m = n and assume now that (i) the function
g : (Rn , B (Rn )) "! (Rn , B (Rn )) restricted to the (open) set A of
values of its domain satisfying fx̃ (x ) 6= 0, g : A "! g (A), is a one-to-one
correspondence (or bijective function), and (ii) the inverse function
g "1 : g (A) "! A is continuously di§erentiable (which implies that g (A)
is open as A is open). Then, the density function fỹ of the absolutely
continuous random vector ỹ = g (x̃ ) : (W, F ) "! (Rn , B (Rn )) is given
by 8 1 1
< fx̃ (g "1 (y )) 1Jg "1 (y )1 for y 2 g (A)
fỹ (y ) =
:
0 otherwise.
! 1 # $ "
/ Proof: For every Borel set B 1 g (A) . y 2 Rn 1fx̃ g "1 (y ) 6= 0 ,
# $ Z Z 1 1
Pỹ (B ) = Px̃ g "1 (B ) = fx̃ (x )dx = fx̃ (g "1 (y )) 1Jg "1 (y )1dy ,
g "1 (B ) B | {z }
fỹ (y )
where x = (x1 , x2 , ..., xn ) 2 Rn and y = (y1 , y2 , ..., yn ) 2 Rn . Q.E .D.

Example: Let z̃ , N(0, 1) and ỹ = h (z̃ ) = z̃ 2 . Find the density of
ỹ .
Note that h : R "! R is not a one-to-one correspondence. However,

we can make ỹ = g (x̃ ) = x̃ 2 , where x̃ = jz̃ j and, then,
g : R + "! R + is a one-to-one correspondence, whose inverse is
x̃ = g "1 (ỹ ) = ỹ 1/2 and
dx dg "1 (y ) 1
= = y "1/2 > 0.
dy dy 2
Recall that the density of x̃ is

8
< 2n(x; 0, 1) for x > 0
fx̃ (x ) =
:
0 for x * 0.

Then,
8 # $
< 2n(y 1/2 ; 0, 1) - 12 y "1/2 = n(y 1/2 ; 0, 1) - y "1/2 for y > 0
fỹ (y ) =
:
0 for y * 0.
Note that
1 1 1/2 2 1
n(y 1/2 ; 0, 1) - y "1/2 = p e " 2 (y ) - y "1/2 = p e " 2 y - y "1/2 .
1
2p 2p
Therefore,
8
> 1 " 1 y "1/2
>
< p e 2 y for y > 0
fỹ (y ) = 2p
>
>
:
0 for y * 0.

Recall also that a random variable ỹ :(W, F ) ! (R,#B) has the
$ c2
(chi-square) distribution with n degrees of freedom ỹ , c2n if its
density is
8
> 1 n "2
"y /2 for y > 0
>
< n/2 # n $ y 2 e
2 G 2
fỹ (y ) =
>
>
:
0 otherwise.
Then, ỹ , c21 if
8
> 1 "1/2 e "y /2 = p1 e "y /2 y "1/2 for y > 0
>
< 1/2 # 1 $ y
2 G 2 2p
fỹ (y ) =
>
>
:
0 otherwise.
Therefore, the random variable ỹ = z̃#2 , with $z̃ , N(0, 1), is

chi-square with 1 degree of freedom ỹ , c21 .
Even if m > n we can apply this method by introducing additional
variables to enlarge the dimension of the image space and, thus, to
make the function g a one-to-one correspondence for all the values
x 2 Rm of the domain of g for which fx̃ (x ) 6= 0. Then, we will need
to compute the marginal density to get rid of the additional variables
we have introduced. See the handout.
Note that, in order to Önd the density of ỹ = g (x̃ ) we could Önd Örst
the distribution function of ỹ from the density of x̃ and, then, by
performing the corresponding derivative, we obtain the density of ỹ
(distribution function method). This method does not require that
g be a bijection for all the values x 2 Rn of the domain of g for
which fx̃ (x ) 6= 0 (see Section 5.2).
In this Section 5.5 we Önd the density of ỹ = g (x̃ ) directly from the
density function of x̃ (density function method). This method
requires that g be a bijection for all the values x 2 Rn of the domain
of g for which fx̃ (x ) 6= 0.

5.6. The characteristic function, moment-generating
function, and Laplace transform of a function of a random
variable
If ỹ = g (x̃ ) , then we can compute the characteristic function of ỹ ,
jỹ (or Mỹ or Lỹ if they are well-deÖned in a neighborhood of t = 0),
using the distribution of x̃,
Z
jỹ (t ) = E(e it ỹ ) = E(e itg (x̃ ) ) = e itg (x ) dPx̃ (x ),
R
Z
Mỹ (t ) = E(e t ỹ ) = E(e tg (x̃ ) ) = e tg (x ) dPx̃ (x ),
R
Z
Lỹ (t ) = E(e "t ỹ ) = E(e "tg (x̃ ) ) = e "tg (x ) dPx̃ (x ),
R
and try to identify the distribution Pỹ associated with jỹ (or with Mỹ
or with Lỹ ).
This is called the characteristic function (or moment-generation
function or Laplace transform) method.
5.7. Mixture distributions
Consider a discrete set of random variables fx̃j gNj =1 , with
x̃j : (W, F , P ) "! (R, B) for j = 1, ..., N, where N can be either a
Önite number or inÖnity.
DeÖnition. The random variable x̃ : (W, F , P ) "! (R, B) is a
(discrete) mixture of the random variables fx̃j gN
j =1 , if x̃ = x̃j with
probability pj .
Obviously, pj 2 [0, 1] and Â pj = 1.
j
The distribution of x̃ is called the mixture distribution and the

random variables fx̃j gNj =1 in the mixture are called the components
of the mixture.
Notation for a mixture:
x̃ = (p1 3 x̃1 ) 4 (p2 3 x̃2 ) 4 (p3 3 x̃3 ) 4 ...

Proposition. Assume that the component x̃j of the mixture x̃ has
the distribution Pj : B "! [0, 1] for j = 1, ..., N. Then, the mixture
distribution Px̃ is
Px̃ (B ) = Â pj Pj (B ), for all B 2 B .

j
Proof.
Px̃ (B ) = Â pj P fx̃ 2 B jx̃ = x̃j g

j
= Â pj P fx̃j 2 B g = Â pj Pj (B ), for all B 2 B ,

j j
where the Örst equality comes from the theorem of total probability.
Q.E .D.

Corollary. Assume that the component x̃j of the mixture x̃ has the
distribution function Fj : R "! [0, 1] for j = 1, ..., N. Then, the
distribution function Fx̃ of the mixture distribution is
Fx̃ (x ) = Â pj Fj (x ), for x 2 R.
j
Proof. Using the previous proposition we get
Fx̃ (x ) = P fx̃ * x g = Px̃ ("•, x ] = Â pj Pj ("•, x ]

j
= Â pj P fx̃j * x g = Â pj Fj (x ), for x 2 R. Q.E .D.

j j

Corollary. Assume that the component x̃j of the mixture x̃ is discrete
with the probability function fj : x̃j (W) "! [0, 1] for j = 1, ..., N.
Then, the mixture distribution is discrete with the probability function
[
fx̃ (x ) = Â pj fj (x ), for x 2 x̃ (W) . x̃j (W) ,
j j
/ x̃j (W) .
where we make fj (x ) = 0 if x 2
Proof. Using again the proposition we get
fx̃ (x ) = P fx̃ = x g = Â pj P fx̃j = x g = Â pj fj (x ), for x 2 x̃ (W) .

j j
Q.E .D.

Proposition. Assume that the component x̃j of the mixture x̃ is
absolutely continuous with the density fj : R "! R for j = 1, ..., N.
Then, the mixture distribution is absolutely continuous with the
density
fx̃ (x ) = Â pj fj (x ), for x 2 R.
j
Proof. Since the distribution function of the mixture satisÖes

Fx̃ (x ) = Â pj Fj (x ), we can take the derivative with respect to x to
j
obtain the density of the mixture x̃,
" #
d Â pj Fj (x )
dFx̃ (x ) j
fx̃ (x ) = =
dx dx
dFj (x )
= Â pj = Â pj fj (x ), for x 2 R. Q.E .D.
j dx j

Note that the distribution of a mixture of random variables is not the
same as the distribution of their weighted sum.
Example: # Consider
$ the two independent
# $ random variables
x̃1 , N µ1 , s21 and# x̃2 , N µ 2 , s 2 . Then,
2 $
p1 x̃1 + p2 x̃2 , N p1 µ1 + p2 µ2 , p12 s21 + p22 s22 , while
x̃ = (p1 3 x̃1 ) 4 (p2 3 x̃2 ) is not normal.
µ1 = 5, s1 = 1, µ2 = 8, s2 = 3, p1 = 0.4, p2 = 0.6.

Densities of x̃1 and x̃2 , n(x; 5, 1) and n(x; 8, 3), respectively:
f 0.4
0.3
0.2
0.1
-2 0 2 4 6 8 10 12 14 16 18
x

Density
5 of the weighted
q sum p1 x̃1 7 + p2 x̃2 :
n x; p1 µ1 + p2 µ2 , p1 s1 + p2 s2 = n(x; 6.8, 1.8439) :
2 2 2 2
0.25
f
0.20
0.15
0.10
0.05
-1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15
x

Density of the mixture x̃ = (p1 3 x̃1 ) 4 (p2 3 x̃2 ) :
0.6n(x; 5, 1) + 0.4n(x; 8, 3) :
f
0.15
0.10
0.05
0 2 4 6 8 10 12 14 16 18 20 22 24
x

the Önite mean µj (i.e., x̃j 2 L1 ) for j = 1, ..., N. Then, the mean µ
of the mixture distribution is
µ= Â pj µj .
j
Proof.
µ = E (x̃ ) = Â pj E (x̃ jx̃ = x̃j ) = Â pj E (x̃j ) = Â pj µj ,

j j j
where the second equality comes from the theorem of total

expectation. Q.E .D.

the Önite mean µj and the Önite variance s2j (i.e., x̃j 2 L2 ) for
j = 1, ..., N, and let µ = Â pj µj be the mean of the mixture x̃. Then,
j
the variance s2 of the mixture distribution is
5 7 5 7
s2 = Â pj s2j + µ2j " µ2 = Â pj s2j + µ2j " µ2 . (Exercise)
j j
Proposition. Assume that the component x̃j of the mixture x̃ has a

Önite kth central moment (i.e., x̃j 2 Lk ) and the Önite mean µj for
j = 1, ..., N, and let µ = Â pj µj be the mean of the mixture x̃. Then,
j
the kth central moment of the mixture is given by
h i
E (x̃ " µ)k =
* +5 !
k
k 7k "n h5 7n i
Â pj Â µj " µ E x̃j " µj . (Exercise)
j n =0 n

General mixtures (not necessarily discrete)
Consider a set of random variables. A generic element of this set is

x̃q , where q 2 Q 1 Rn . The index set Q can be either discrete or
continuous. The distribution of the random variable x̃q is
Pq : B "! [0, 1] , for q 2 Q.
Consider also a probability P on (Rn , B) , where Q 2 B with

P (Q) = 1.
In the mixture x̃, the random variables x̃q , with q 2 Q, are "mixed"
according to the probability P.
Thus, the mixture distribution Px̃ is

Z Z
Px̃ (B ) = Pq (B )dP (q ) = Pq (B )dP (q ), for all B 2 B .
Q Rn
The previous two integrals are equal since the probability P is

concentrated on Q.
If the random variables x̃q , for q 2 Q, are discrete (absolutely
continuous) with probability function (density) fq , then the probability
function (density) of the mixture distribution is
Z Z
fx̃ (x ) = fq (x )dP (q ) = fq (x )dP (q ).
Q Rn
Moreover, if µq = E (x̃q ) and s2q = Var (x̃q ) , for q 2 Q, then the

mean of the mixture x̃ is
Z
µ = E (x̃ ) = µq dP (q )
Q
and the variance of the mixture x̃ is

Z # $ Z # $
s2 = Var (x̃ ) = s2q + µ2q " µ2 dP (q ) = s2q + µ2q dP (q ) " µ2 .
Q Q

Particular case. Assume now that the probability P on (Rn , B) is
absolutely continuous with respect to Lebesgue measure with the
density f : Rn "! R so that
Z
P (C ) = f (q )d q, for all C 2 B .
C
Assume also that each component x̃q of the mixture x̃ is also

absolutely continuous with the density fq : R "! R, for q 2 Q 1 Rn .
Then, the mixture distribution is absolutely continuous with the
density
Z Z
fx̃ (x ) = fq (x )dP (q ) = fq (x )f (q )d q, for x 2 R,
Q Rn
with the mean Z
µ = E (x̃ ) = µ q f ( q )d q
Rn
and the variance
Z # $ Z # $
s2 = Var (x̃ ) = s2q + µ2q " µ2 f (q )d q = s2q + µ2q f (q )d q " µ2 .
Rn Rn

Example of Convolution
Consider two independent, absolutely continuous random variables x~1 and x~2
having both the uniform density on (0; #) ;
8
> 1
< for xi 2 (0; #)
x~i !fi (xi ) = f (xi ) = #
>
:
0 elsewhere,
for i = 1; 2: Let us Önd the density fx~1 +~x2 of their sum, x~1 + x~2 : This density will
characterize the distribution of x~1 + x~2 (i.e., the convolution of x~1 and x~2 ).
Let us deÖne the random variable y~ = x~1 + x~2 : The density fy~ of y~ is the
following:
Z Z
fy~(y) = fx~1 +~x2 (y) = fx~2 (y # x1 )fx~1 (x1 )dx1 = f (y # x1 )f (x1 )dx1 :
R R
Note that f (y # x1 ) is equal to 1=# if y # x1 2 (0; #) and is equal to zero

otherwise. Moreover, f (x1 ) is equal to 1=# if x1 2 (0; #) and is equal to zero
otherwise. Therefore, f (y # x1 )f (x1 ) is equal to (1=#)2 if y # x1 2 (0; #) and
x1 2 (0; #) while it is equal to zero otherwise. Note that the set C $ R2 where
f (y # x1 )f (x1 ) = (1=#)2 6= 0 is given by the points (y; x1 ) satisfying the following
two inequalities:
x1 < y < x1 + # () y # # < x1 < y
and
0 < x1 < #
This set C is given by the interior of the shaded region in the following Ögure:
Therefore, the density of the convolution for y 2 (0; 2#) is

Z Z
fx~1 +~x2 (y) = fy~(y) = IC (y; x1 ) f (y # x1 )f (x1 )dx1 = f (y # x1 )f (x1 )dx1 ;
R C(y)
1
where C(y) is the section of y; C(y) = fx 2 R j(x; y) 2 C g. Thus,
8 Z y
> 1 1
>
> 2 dx1 = 2 y; for 0<y+#
>
> 0 # #
>
>
>
< Z
%
fx~1 +~x2 (y) = fy~(y) = 1 1 2
>
> 2 dx1 = # 2 y + ; for # < y < 2#;
>
> y!% # # #
>
>
>
>
:
0 elsewhere,
whose graph is
This type of densities (and their corresponding distributions) are called

"triangular" for obvious reasons.
2
Examples of densities of functions of random vectors
Example 1.
Assume that the joint density function of the random variables x~1 and x~2 is
8 !(x +x )
< e 1 2 for x1 > 0; x2 > 0
fx~1 ;~x2 (x1 ; x2 ) =
:
0 otherwise.
x~1
Find the density function of the random variable y~ = .
x~1 + x~2
x1
Solution: For each given value of x1 , is strictly decreasing in x2 .
x1 + x2
Therefore, we can deÖne the bijective function g : R++ ! R++ "! (0; 1) ! R++
as 8 x1
>
< y= 2 (0; 1)
x1 + x2
(y; z) = g(x1 ; x2 ) :
>
:
z = x1 > 0;
and thus g !1 : (0; 1) ! R++ "! R++ ! R++ is given by
8
>
> x =z>0
< 1
(x1 ; x2 ) = g !1 (y; z) :
>
> z(1 " y)
: x2 = > 0:
y
The joint density of y~ and z~ is given by
8
< fx~1 ;~x2 (g !1 (y; z)) jJg!1 (y; z)j for y 2 (0; 1); z > 0
fy~;~z (y; z) =
:
0 otherwise,
where,
% 0 @x %
% 1 @x1 1% %% 0 1%
%
% % % 0 1 % % %
% B @y @z C % % B C% % z %
% B
jJg!1 j = %det B
C% %
C% = %det B C% = % % = z > 0:
% @ z 1 " y A%% % y 2 % y 2
%
@ @x
2 @x2 A%% % " 2
% % % y y %
@y @z
z(1 " y) z
Therefore, since x1 + x2 = z + = ; we get
y y
8
> !z=y z
< e for y 2 (0; 1) and z > 0
y2
fy~;~z (y; z) =
>
:
0 otherwise
1
The set A where fx~1 ;~x2 (x1 ; x2 ) 6= 0 is deÖned by the points (x1 ; x2 ) 2 R
satisfying the following two inequalities:
x1 > 0 and x2 > 0:
Thus, the set g(A) where fy~;~z (y; z) 6= 0 is deÖned by the points (y; z) 2 R
satisfying the following two inequalities:
0 < y < 1 and z > 0:
The marginal density of y~ is
Z 1 Z 1
z
fy~(y) = fy~;~z (y; z)dz = e!z=y dz; if y 2 (0; 1)
!1 0 y2
and fy~(y) = 0; otherwise.
z dz
Let us make a change of variable: u = , z = yu ) = y 2 (0; 1):
y du
Z 1 Z 1
!u u
=) fy~(y) = e y du = e!u u du = )(2) = (2 " 1)! = 1 if y 2 (0; 1):
0 y 0
Alternatively, note that we can integrate by parts,

Z 1 Z 1 Z
!u
- !u .1 !u
1
e u du = "e u 0 " "e du = 0 + e!u du
0 0 0
- .1
= "e!u 0 = 0 " ("1) = 1:
8
< 1 for y 2 (0; 1)
=) fy~(y) =
:
0 otherwise.
Therefore, y~ is uniform on (0; 1) :
Note that, in this example, we can name the new variable z~ with the old name
x~1 so that the function g would be
8 x1
>
< y= 2 (0; 1)
x1 + x2
(y; x1 ) = g(x1 ; x2 ) :
>
:
x1 = x1 > 0:
Example 2.
Assume that the two independent random variables x~1 and x~2 have both the
uniform density on (0; 0) ;
8
> 1
< for xi 2 (0; 0)
x~i )fi (xi ) = f (xi ) = 0
>
:
0 elsewhere,
2
for i = 1; 2: Find the density function of the random variable y~ = x~1 + x~2 : Note
that this is the same example as in the previous handout on convolutions.
Solution: From independence, we obtain the joint density of x~1 and x~2 ;
8
> 1
< 2 for x1 2 (0; 0) and x2 2 (0; 0)
fx~1 ;~x2 (x1 ; x2 ) = f (x1 ) * f (x2 ) = 0
>
:
0 elsewhere,
We have
8 8
< y = x1 + x2 2 (x1 ; x1 + 0) < x1 = z 2 (0; 0)
g: =) g !1 :
: :
z = x1 2 (0; 0) x2 = y " z 2 (0; 0)
Note that y " z 2 (0; 0) () y 2 (z; z + 0) () z 2 (y " 0; y) :

% 0 @x %
% 1 @x1 1% % 0 1%
% %
% B @z @y C% %% 1 0 %%
% B C% % A% = 1:
jJg!1 (y; z)j = %det B C% = %det @ %
% @ @x A
@x2 % % %
% 2 "1 1 %
% %
@z @y
Then,
1 1
fy~;~z (y; z) = 2 * 1 = 2 ; for 0 < z < 0 and y " 0 < z < y:
0 0
Therefore,
8
> 1
< 2 for 0 < z < 0 and y " 0 < z < y
fy~;~z (y; z) = 0
>
:
0 elsewhere
The set A where fx~1 ;~x2 6= 0 is deÖned by the points (x1 ; x2 ) 2 R satisfying the
following two inequalities:
0 < x1 < 0 and 0 < x2 < 0:
Thus, the set g(A) where fy~;~z 6= 0 is deÖned by the points (y; z) 2 R satisfying
the following two inequalities:
0 < z < 0 and z < y < z + 0
or, equivalently, the following two inequalities:
0 < z < 0 and y " 0 < z < y:
Therefore, g(A) = C; where the set C is given by the interior of the shaded region
in the following Ögure:
3
Then, the density of y for y 2 (0; 20) is
Z 1 Z Z
fy~(y) = fy~;~z (y; z) dz = IC (y; z) fy~;~z (y; z)dz = fy~;~z (y; z) dz;
!1 | {z }
R 1=*2 C(y)
where C(y) is the section of y; C(y) = fz 2 R j(y; z) 2 C g. Therefore

8 Z y
> 1 1
>
> 2 dz = 2 y; for 0 < y . 0
>
> 0 0 0
>
>
>
< Z
*
fx~1 +~x2 (y) (y) = 1 1 2
>
> 2 dz = " 2 y + ; for 0 < y < 20;
>
> y!* 0 0 0
>
>
>
>
:
0 elsewhere,
so that the density is "triangular",
Again, in this example, we can name the new variable z~ with the old name x~1
so that the function g would be
8
< y = x1 + x2 2 (x1 ; x1 + 0)
(y; x1 ) = g(x1 ; x2 ) :
:
x1 = x1 2 (0; 0):

StatIdea Slides 5

Uploaded by

Copyright:

Available Formats

You might also like

StatIdea Slides 5

Uploaded by

Document Information

Original Description:

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

StatIdea Slides 5

Uploaded by

Copyright:

Available Formats

5.

Functions of Random Variables

J. CaballÈ (UAB - MOVE - BSE) Probability and Statistics IDEA 1 / 36

Let x̃ : (W, F , P ) "! (W0 , F 0 ) be a random object with distribution

Pỹ (B ) = Pg (x̃ ) (B ) = P fg (x̃ ) 2 B g

J. CaballÈ (UAB - MOVE - BSE) Probability and Statistics IDEA 2 / 36

Recall that y = (y1 , y2 , ..., yn ) 2 Rn and

J. CaballÈ (UAB - MOVE - BSE) Probability and Statistics IDEA 3 / 36

∂n Fỹ (y1 , y2 , ..., yn )

J. CaballÈ (UAB - MOVE - BSE) Probability and Statistics IDEA 4 / 36

Fx̃ (x ) = P fx̃ * x g = P fjz̃ j * x g = P f"x * z̃ * x g

= Pz̃ ["x, x ] = Fz̃ (x ) " lim " Fz̃ (s ) , for x + 0.

and Fx̃ (x ) = 0 for x < 0.

J. CaballÈ (UAB - MOVE - BSE) Probability and Statistics IDEA 5 / 36

and its density is

J. CaballÈ (UAB - MOVE - BSE) Probability and Statistics IDEA 6 / 36

J. CaballÈ (UAB - MOVE - BSE) Probability and Statistics IDEA 7 / 36

Let x̃ : (W, F , P ) "! (W0 , F 0 ) be a random object with distribution

If either x̃ is discrete (i.e., x̃ (W) is discrete or countable) or g is

J. CaballÈ (UAB - MOVE - BSE) Probability and Statistics IDEA 8 / 36

= Â fx̃ (x ) , for all y 2 g (x̃ (W)) . ỹ (W).

If the restriction of the function g to the range of x̃,

J. CaballÈ (UAB - MOVE - BSE) Probability and Statistics IDEA 9 / 36

fỹ (y ; n, q ) = bx̃ (g "1 (y ) ; n, q )

J. CaballÈ (UAB - MOVE - BSE) Probability and Statistics IDEA 10 / 36

DeÖnition. The convolution of two independent random variables on

Convolution distribution: Consider two random variables x̃ and ỹ

Pz̃ (B ) = Px̃ +ỹ (B ) = P fx̃ + ỹ 2 B g

Independency is not required for the previous expression.

J. CaballÈ (UAB - MOVE - BSE) Probability and Statistics IDEA 11 / 36

Fz̃ (z ) = Fx̃ +ỹ (z ) = P fx̃ + ỹ * z g

J. CaballÈ (UAB - MOVE - BSE) Probability and Statistics IDEA 12 / 36

fx̃ +ỹ (z ) = fz̃ (z ) = Â fỹ (z " x )fx̃ (x ), for z 2 z̃ (W),

with z " x 2 ỹ (W).

J. CaballÈ (UAB - MOVE - BSE) Probability and Statistics IDEA 13 / 36

fz̃ (z ) = fx̃ +ỹ (z ) = P fx̃ + ỹ = z g

= Â P fx̃ + ỹ = z jx̃ = x g - P fx̃ = x g

= Â P fx + ỹ = z g - P fx̃ = x g = Â P fỹ = z " x g - P fx̃ = x g

= Â fỹ (z " x )fx̃ (x ), for z 2 z̃ (W), with z " x 2 ỹ (W),

J. CaballÈ (UAB - MOVE - BSE) Probability and Statistics IDEA 14 / 36

Di§erentiating the last expression with respect to z, and exchanging the

See the handout for a non-trivial application of the previous

J. CaballÈ (UAB - MOVE - BSE) Probability and Statistics IDEA 15 / 36

Let x̃ : (W, F ) "! (Rm , B (Rm )) be a random vector with density

where x = (x1 , x2 , ..., xn ) 2 Rm , for all B 2 B (Rn ) .

J. CaballÈ (UAB - MOVE - BSE) Probability and Statistics IDEA 16 / 36

where x = (x1 , x2 , ..., xn ) 2 Rn and y = (y1 , y2 , ..., yn ) 2 Rn . Q.E .D.

Note that h : R "! R is not a one-to-one correspondence. However,

Recall that the density of x̃ is

J. CaballÈ (UAB - MOVE - BSE) Probability and Statistics IDEA 18 / 36

J. CaballÈ (UAB - MOVE - BSE) Probability and Statistics IDEA 19 / 36

Therefore, the random variable ỹ = z̃#2 , with $z̃ , N(0, 1), is

J. CaballÈ (UAB - MOVE - BSE) Probability and Statistics IDEA 21 / 36

The distribution of x̃ is called the mixture distribution and the

J. CaballÈ (UAB - MOVE - BSE) Probability and Statistics IDEA 23 / 36

Px̃ (B ) = Â pj Pj (B ), for all B 2 B .

Px̃ (B ) = Â pj P fx̃ 2 B jx̃ = x̃j g