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Two Functions of Two Random Variables: y X G y X H
Two Functions of Two Random Variables: y X G y X H
1
PILLAI
The procedure is the same as that in (8-3). In fact for given z
and w,
FZW ( z, w) P Z ( ) z,W ( ) w P g ( X , Y ) z, h( X , Y ) w
P ( X , Y ) Dz ,w f XY ( x, y )dxdy, (9-3)
( x , y )Dz , w
Dz ,w
Dz ,w
x
2
Fig. 9.1 PILLAI
Example 9.1: Suppose X and Y are independent uniformly
distributed random variables in the interval (0, ).
Define Z min( X , Y ), W max( X , Y ). Determine f ZW ( z, w).
Solution: Obviously both w and z vary in the interval (0, ).
Thus FZW ( z, w) 0, if z 0 or w 0. (9-4)
( w, w) ( z, z )
( z, z ) yw ( w, w)
X X
(a ) w z ( b) w z 3
Fig. 9.2 PILLAI
For w z, from Fig. 9.2 (a), the region Dz ,w is represented
by the doubly shaded area. Thus
FZW ( z, w) FXY ( z, w) FXY ( w, z ) FXY ( z, z ) , w z, (9-6)
and for w z, from Fig. 9.2 (b), we obtain
FZW ( z, w) FXY ( w, w) , w z. (9-7)
With
x y xy (9-8)
FXY ( x, y ) FX ( x ) FY ( y ) 2 ,
we obtain
(2w z ) z / 2 , 0 z w ,
FZW ( z, w) (9-9)
w 2
/ 2
, 0 w z .
Thus
2 / 2 , 0 z w ,
f ZW ( z, w) (9-10)
0, otherwise . 4
PILLAI
From (9-10), we also obtain
2 z
f Z ( z) f ZW ( z, w)dw 1 , 0 z , (9-11)
z
and
w 2w
fW ( w) f ZW ( z, w)dz , 0 w . (9-12)
0 2
y 2
w 1
( x2 , y2 )
w w
( x1, y1 ) i
w
( z , w) ( xi , yi )
z z x
z
n
z ( xn , yn )
(a) (b)
Fig. 9.3
since
1
| J ( z , w) | (9-30)
| J ( xi , yi ) |
Since
z g ( x, y ) x 2 y 2 ; w h( x, y ) tan 1 ( y / x ), | w | / 2, (9-33)
and
1 1 |v|/
fV ( v ) fUV (u, v )du e u / du e , v . (9-50)
|v| 2 2 |v| 2
Notice that in this case the r.vs U and V are not independent.
As we show below, the general transformation formula in
(9-29) making use of two functions can be made useful even
when only one function is specified. 17
PILLAI
Auxiliary Variables:
Suppose
Z g ( X , Y ), (9-51)
or
f Z ( z ) f ZW ( z, w)dw f XY ( z w, w)dw, (9-53)
z w w
J ( z , w) (9-57)
y1 y1 0 1
z w
z sec( 2w ) 2 / 2
z sec ( 2w)e
2
.
f ZW ( z, w) z sec (2 w) e 2 /2
,
(9-58)
z , 0 w 1, 20
PILLAI
and
z tan(2 w ) / 2
1 1 2
f Z ( z ) f ZW ( z, w)dw e z2 / 2
z sec (2 w) e
2
dw. (9-59)
0 0
p 2 q 2 m (1 2q 2q 2 )
2q
p 2 q 2 m (1 1 q ) pq 2 m (1 q)
p(1 q) q 2 m , m 0, 1, 2,. (9-64)
p 2 q|n| (1 q 2 q 4 ) p 2 q|n| 1
1q2
1pq q|n| , n 0, 1, 2, . (9-65)
Note that
P( Z m,W n) P( Z m) P(W n), (9-66)
26
PILLAI