CHAPTER 4

FUNCTIONS OF RANDOM
VARIABLES

SQQS1043 PROBABILITY & STATISTICS

Introduction

◉ A random variable is a rule that assigns a

numeric value to every possible outcome in a
sample space.
◉ Random variables may be discrete or
continuous in nature.
◉ In order to give probabilities to a collection of
probable values, a random variable must be
measured as a function.
 Function of Random Variable

◉ When working with random variables, it is common to

consider their functions.
◉ This part concern with finding probability distributions of
functions of one or more random variable.
◉ That is; given a set of random variables 𝑋1 , 𝑋2 ,…, 𝑋𝑛 and
their joint probability distribution, we shall be interested in
finding the probability distribution of some random variable
𝑌 = 𝑢 𝑋1 , 𝑋2 , …, 𝑋𝑛
 Function of Random Variable

◉ Which means: the value of Y are related to those of the 𝑋 ′ 𝑠 by the

equation
𝑦 = 𝑢 𝑥1 , 𝑥2 , …, 𝑥𝑛

◉ Methods available for solving this problems are:

○ Transformation technique
○ Distribution function technique
○ Moment generating function technique
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 Transformation Technique
◉ Also known as change-of-variable technique.
◉ In mathematics, a change-of-variables is a basic technique
used to simplify problems in which the original variables are
replaced with functions of other variables.
◉ The intent is that when expressed in new variables, the
problem may become simpler, or equivalent to a better
understood problem.
◉ Change of variables is an operation that is related to
substitution. 5
 Transformation Technique:
Discrete case
◉ In discrete case, there is no real problem as long as the relationship
between the values of X and Y=u(x) is a one-to-one
◉ All we have to do is just make an appropriate substitution
Theorem 4.1:
Let X be a discrete random variable with probability distribution function
𝑓 𝑥 and let 𝑌 = 𝑢 𝑋 define a one-to-one transformation. 𝑦 = 𝑢 𝑥 can
be solved uniquely, 𝑥 = 𝑤 𝑦 . Then the probability distribution function of
Y is
𝑔 𝑦 =𝑓 𝑤 𝑦
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 Example 4.1

1
If X has the binomial distribution with n = 3 and 𝑝 = , find the
3
𝑋
probability distributions of 𝑌 = .
1+𝑋

7
Solution 4.1:

8
 Transformation Technique:
Continuous Case
◉ When performing a transformation of variables in continuous cases,
certain assumptions and conditions need to be met
○ Assumption 1: Differentiability
■ we shall assume that the function given by 𝑦=𝑢(𝑥) is
differentiable and either increasing or decreasing for all values
within the range of X for which 𝑓(𝑥)≠0, so the inverse function,
given by 𝑥=𝑤(𝑦), exists for all corresponding values of y and is
differentiable except 𝑢′ (𝑥)=0 .
■ This assumption ensures that the transformation function is
well-behaved and allows for the existence of an inverse
function. 9
 Transformation Technique:
Continuous Case
○ Assumption 2: Existence and Differentiability of the Inverse
Function
■ The inverse function, given by 𝑥 = 𝑤(𝑦) , exists for all
corresponding values of y and is differentiable except 𝑢′ 𝑥 =
0.
■ This condition ensures that the inverse transformation is well-
defined and allows for the application of the inverse function
in the transformation process.

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 Transformation Technique:
Continuous Case
Theorem 4.2
Let f(x) be the value of the probability density of the continuous random
variable X at x. If the function given by 𝑦 = 𝑢(𝑥) is differentiable and either
increasing or decreasing for all values within the range of X for which 𝑓(𝑥) ≠ 0,
then, for these values of x, the equation 𝑦 = 𝑢(𝑥) can be uniquely solved for x
to give 𝑥 = 𝑤(𝑦), and for the corresponding values of y the probability density
of 𝑌 = 𝑢(𝑋) is given by

𝒈 𝒚 = 𝒇 𝒘 𝒚 . 𝒘′ (𝒚) 𝐩𝐫𝐨𝐯𝐢𝐝𝐞𝐝 𝒖′ (𝒙) ≠ 𝟎

Elsewhere, 𝑔 𝑦 = 0.
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 Example 4.2 (continuous case)

If X has the exponential distribution given by

𝑒 −𝑥 for 𝑥 > 0
𝑓 𝑥 =ቊ
0 elsewhere

find the probability density of the random variable 𝑌 =

𝑋.
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Solution 4.2

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 Distribution Function Technique

◉ The distribution function technique is a method used to find

the pdf of random function 𝑌 = 𝑔 𝑥 .
◉ Given distribution of X, determine distribution of 𝑌 = 𝑔 𝑥 .
i. finding the cumulative distribution function:
𝐹 𝑦 =𝑃 𝑌≤𝑦
ii. Then, differentiating the cumulative distribution function 𝐹 𝑦 to
get the probability density function. That is:
𝑓 𝑦 = 𝐹′ 𝑦
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 Distribution Function Technique
◉ Let X be a random variable with probability distribution function
𝑓 𝑥 and if 𝑌 = 𝑔 𝑥 is some function of X.
◉ The probability distribution function of 𝑌 = 𝑔 𝑥 can be derived
by obtaining the distribution function of 𝑌 where

𝐹 𝑦 =𝑃 𝑌≤𝑦
=𝑃 𝑔 𝑥 ≤𝑦
= 𝑃 𝑋 ≤ 𝑔−1 𝑦

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Distribution Function Technique
Discrete Case

Def.4.1: If X is a discrete random variable,

then
𝐹 𝑦 = 𝑃 𝑋 ≤ 𝑔−1 𝑦
And
𝑓𝑦 𝑦 = 𝑓𝑥 𝑔−1 𝑦

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 Example 4.3
If the probability function of X is given by
𝑓 𝑥 = 𝑝 1 − 𝑝 𝑥−1 for 𝑥 = 1,2, … , ∞
and 𝑌 = 3 + 2𝑋. Obtain the probability distribution function of
the random variable Y.

17
Solution 4.3

18
Solution cont’…

19
S

Distribution Function Technique

Continuous Case
◉ A straightforward method of obtaining the probability density of a function of
continuous random variables consists of first finding its distribution function and
then its probability density by differentiation.
If 𝑋1 , 𝑋2 , … , 𝑋𝑛 are continuous random variables with a given joint probability density,
the probability density of 𝑌 = 𝑢(𝑋1 , 𝑋2 , … , 𝑋𝑛 ) is obtained by first determining an
expression for the probability
𝑮 𝒚 =𝑷 𝒀≤𝒚
= 𝑷(𝒖(𝑿𝟏 , 𝑿𝟐 , … , 𝑿𝒏 ) ≤ 𝒚)

and then differentiating to get

𝒅𝑮(𝒚)
𝒈 𝒚 =
𝒅𝒚 20
Example 4.4 (Continuous)

If the probability density of X is given by

6𝑥(1 − 𝑥) for 0 < 𝑥 < 1
𝑓 𝑥 =ቊ
0 elsewhere
find the probability density of 𝑌 = 𝑋 3

21
Example 4.4 (Solution)

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 Moment Generating Function
Technique
◉ Instead of determining densities of functions of random
variables directly, through density or distribution
manipulations, it is sometimes easier to convert to and
mathematically manipulate equivalent moment generating
functions.
◉ This method is possible because each distribution is
uniquely identified by a moment generating function.

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 Moment Generating Function
Technique : Discrete Case
◉ Moment generating function technique can play an important role in
determining the probability distribution of a random variables when the
function is a linear combination of n independent random variables.

Theorem 4.3:
If 𝑋1 , 𝑋2 ,…, 𝑋𝑛 are independent random
variables and 𝑌 = 𝑋1 + 𝑋2 + …+ 𝑋𝑛 , then
𝑛

𝑀𝑌 𝑡 = ෑ 𝑀𝑋𝑖 𝑡
𝑖=1
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 Example 4.5 (Discrete Case)

If 𝑋1 and 𝑋2 are independent random variables having

binomial distribution with the respective parameters
𝑛1 and 𝑝 and 𝑛2 and 𝑝, show that 𝑌 = 𝑋1 + 𝑋2 has the
binomial distribution with parameters 𝑛1 + 𝑛2 and 𝑝
using the m.g.f technique.

25
Solution 4.5:

26
Solution 4.5 cont’…

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Moment Generating Function
Technique: Continuous Case
◉ As discrete case, moment generating functions can play an important role in
determining the probability density of a function of random variables when the
function is a linear combination of n independent random variables.
○ The moment generating function of the sum of n
independent random variables equals the product
of their moment generating functions.
(refer to Theorem 4.3)

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Example 4.6 (Continuous Case)

If 𝑋1 , 𝑋2 , … , 𝑋𝑛 are independent random variables

having exponential distributions with the same
parameter 𝜃, find the probability density of the
random variable 𝑌 = 𝑋1 + 𝑋2 + ⋯ + 𝑋𝑛 .

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Solution 4.6:

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 Class Activity 4.1

1. An appliance dealer sells three different models of upright freezers having 13.5, 15.9 and 19.1
cubic feet of storage space, respectively. Let X = the amount of storage space purchased by
the next customer to buy a freezer. Suppose that X has probability distribution as following
table and Y is the price (in RM) of a freezer having capacity X cubic feet.
x 13.5 15.9 19.1
P(X = x) 0.2 0.5 0.3
a) If the price of a freezer having capacity X cubic feet is 25x – 8.5, construct the probability
distribution of Y.
a) What is the expected price paid by the next customer to buy a freezer? Interpret its value.
b) What is the standard deviation of the price paid by the next customer?

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 Class Activity 4.1
2. Find the moment generating function of the negative binomial
distribution by making use of the fact that is k independent random
variables have geometric distributions with the same parameter 𝑝, their
sum is a random variable having the negative binomial distribution with
the parameter 𝑝 and k.

3. If n independent random variables have the same gamma distribution

with the parameters 𝛼 and 𝛽, find the moment generating function of
their sum and, if possible, identify its distribution.

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4. If the probability density of X is given by
2 1−𝑥 , 0≤𝑥 ≤1
𝑓 𝑥 =ቊ
0, elsewhere
and 𝑌 = 1 − 2𝑋, find
a) The probability density of Y.
b) The distribution function of Y.
c) Find the mean and variance of Y.
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 Class Activity 4.1

5. The continuous random variable 𝑋 has the cumulative distribution function of

1
𝐹 𝑥 =ቐ 1 − , 𝑥≥1
𝑥4
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
a) Find the cumulative distribution function 𝐺 𝑦 of the random variable 𝑌
1
where 𝑌 = 𝑥 2
b) Hence, show that the probability density function of 𝑌 is given by
−
𝑔 𝑦 = ቐ2𝑦, 0 < 𝑦 ≤ 1
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
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