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180

Chapter 4

One Random Variable

Example 4.35
Let Y = X2 as in Example 4.34. For y 0, the equation y = x2 has two solutions, x0 = 1y and
x1 = - 1y, so Eq. (4.73) has two terms. Since dy/dx = 2x, Eq. (4.73) yields
fY1y2 =

fX11y2
2 1y

fX1- 1y2
21y

This result is in agreement with Eq. (4.69). To use Eq. (4.74), we note that
d
1
dx
=
; 1y = ;
,
dy
dy
21y
which when substituted into Eq. (4.74) then yields Eq. (4.69) again.

Example 4.36

Amplitude Samples of a Sinusoidal Waveform

Let Y = cos1X2, where X is uniformly distributed in the interval 10, 2p]. Y can be viewed as the
sample of a sinusoidal waveform at a random instant of time that is uniformly distributed over
the period of the sinusoid. Find the pdf of Y.
It can be seen in Fig. 4.14 that for -1 6 y 6 1 the equation y = cos1x2 has two solutions in
the interval of interest, x0 = cos-11y2 and x1 = 2p - x0 . Since (see an introductory calculus
textbook)
dy
` = -sin1x02 = -sin1cos-11y22 = - 21 - y2 ,
dx x0
and since fX1x2 = 1/2p in the interval of interest, Eq. (4.73) yields
fY1y2 =
=

1
2p21 - y

1
2p 21 - y2
for -1 6 y 6 1.

p21 - y2

1
Y  cos X
0.5

cos1( y)

0.5

1
FIGURE 4.14
y = cos x has two roots in the interval 10, 2p2.

2p cos1y 2p

Section 4.6

The Markov and Chebyshev Inequalities

181

The cdf of Y is found by integrating the above:


y 6 -1

0
sin-1y
1
FY1y2 = d +
p
2
1

-1 y 1
y 7 1.

Y is said to have the arcsine distribution.

4.6

THE MARKOV AND CHEBYSHEV INEQUALITIES


In general, the mean and variance of a random variable do not provide enough information to determine the cdf/pdf. However, the mean and variance of a random variable X do allow us to obtain bounds for probabilities of the form P3 X t4. Suppose
first that X is a nonnegative random variable with mean E 3X4. The Markov inequality
then states that
E3X4
(4.75)
for X nonnegative.
P3X a4
a
We obtain Eq. (4.75) as follows:
q

E3X4 =

L0

tfX1t2 dt +

La

tfX1t2 dt

La

tfX1t2 dt

afX1t2 dt = aP3X a4.


La
The first inequality results from discarding the integral from zero to a; the second inequality results from replacing t with the smaller number a.

Example 4.37
The mean height of children in a kindergarten class is 3 feet, 6 inches. Find the bound on the probability that a kid in the class is taller than 9 feet.The Markov inequality gives P3H 94 42/108
= .389.

The bound in the above example appears to be ridiculous. However, a bound, by


its very nature, must take the worst case into consideration. One can easily construct a
random variable for which the bound given by the Markov inequality is exact. The reason we know that the bound in the above example is ridiculous is that we have knowledge about the variability of the childrens height about their mean.
Now suppose that the mean E3X4 = m and the variance VAR3X4 = s2 of a
random variable are known, and that we are interested in bounding P3 X - m a4.
The Chebyshev inequality states that
P3 X - m a4

s2
.
a2

(4.76)