STAT/MATH 395 A - PROBABILITY II – UW

Winter Quarter 2017 Néhémy Lim

Distributions of Functions of Random Variables

1 Functions of One Random Variable

In some situations, you are given the pdf fX of some rrv X. But you may
actually be interested in some function of the initial rrv : Y = u(X). In this
chapter, we are going to study different techniques for finding the distribution
of functions of random variables.

1.1 Distribution Function Technique

Assume that we are given a continuous rrv X with pdf fX . We want to find
the pdf of Y = u(X). As seen previously when we studied the exponential
distribution, we can apply the following strategy :
1. First, find the cdf (cumulative distribution function) FY (y)
2. Then, differentiate the cumulative distribution function FY (y) to get the
probability density function fY (y). That is: fY (y) = FY0 (y)
Example 1. Let X be a rrv with pdf :
fX (x) = 3x2 1(0,1) (x)
What is the pdf of Y = X 2 ?
Answer. The cdf of Y is : for y ∈ (0, 1)
FY (y) = P(Y ≤ y)
= P(X 2 ≤ y)

Note that the transformation u : x 7→ x2 is strictly increasing on (0, 1). Thus,

√
u is invertible and its inverse v : y 7→ y is also strictly increasing. Therefore,
for y ∈ (0, 1), we have
FY (y) = P(v(X 2 ) ≤ v(y))
√
= P(X ≤ y)
√
= FX ( y)
Z √y
= 3x2 dx
0
 √y
= x3 0
= y 3/2

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Hence, the pdf of Y is obtained as follows: for y ∈ (0, 1),
d
fY (y) = FY (y)
dy
3
= y 3/2−1
2

In a nutshell,
3 1/2
fY (y) =
y 1(0,1) (y)
2
Example 2. Let X be a rrv with pdf :
fX (x) = 3(1 − x)2 1(0,1) (x)
What is the pdf of Y = (1 − X)3 ?
Answer. The cdf of Y is : for y ∈ (0, 1)
FY (y) = P(Y ≤ y)
= P((1 − X)3 ≤ y)

Note that the transformation u : x 7→ (1 − x)3 is strictly decreasing on (0, 1).

Thus, u is invertible and its inverse v : y 7→ 1 − y 1/3 is also strictly decreasing.
Therefore, for y ∈ (0, 1), we have
FY (y) = P(v((1 − X)3 ) ≥ v(y))
= P(X ≥ 1 − y 1/3 )
= 1 − FX (1 − y 1/3 )
Z 1−y1/3
=1− 3(1 − x)2 dx
0
1−y1/3
= 1 − −(1 − x)3 0

 3 
1/3 3
=1+ 1 − (1 − y ) − (1 − 0)

=y
Hence, the pdf of Y is obtained as follows: for y ∈ (0, 1),
d
fY (y) = FY (y)
dy
=1

In a nutshell,
fY (y) = 1(0,1) (y)
That is Y follows a uniform distribution on (0, 1).

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1.2 Change-of-Variable Technique
Theorem 1.1. Let X be a continuous random variable on probability space
(Ω, A, P) with pdf fX = f · 1S where S is the support of fX . If u is strictly
monotonic with inverse function v, then the pdf of random variable Y = u(X)
is given by :
fY (y) = f (v(y)) |v 0 (y)| 1u(S) (y) (1)
Proof. Assume u is strictly increasing. Then, u is invertible and its inverse v is
also strictly increasing.

FY (y) = P(Y ≤ y)
= P(u(X) ≤ y)
= P(X ≤ v(y))
= FX (v(y))

Therefore,
d
fY (y) = FY (y)
dy
d
= FX (v(y))
dy
0
= FX (v(y))v 0 (y)
= fX (v(y))v 0 (y)

On the other hand, assume u is strictly decreasing. Then, u is invertible and

its inverse v is also strictly decreasing.

FY (y) = P(Y ≤ y)
= P(u(X) ≤ y)
= P(X ≥ v(y))
= 1 − FX (v(y))

Therefore,
d
fY (y) = FY (y)
dy
d
= {1 − FX (v(y))}
dy
0
= −FX (v(y))v 0 (y)
= −fX (v(y))v 0 (y)

We can merge the two cases since v 0 (y) ≥ 0 if v is increasing and v 0 (y) ≤ 0 if v
is decreasing.

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For illustration, apply the Change-of-Variable Technique to Examples 1 and 2
and make sure you find the same results.

Case of two-to-one transformations.

Example 3. Let X be a rrv with pdf :
x2
fX (x) = 1(−1,2) (x)
3
What is the pdf of Y = X 2 ?
Answer. Note that the transformation u : x 7→ x2 is not strictly monotonic on
(−1, 2). Therefore we cannot apply Theorem 1.1 straight away. More precisely,
u is two-to-one on (−1, 1) and one-to-one on (1, 2).
Let us focus on the interval (−1, 1) and use the distribution technique. In
that case, we have for y ∈ (0, 1) :
FY (y) = P(Y ≤ y)
= P(X 2 ≤ y)
√ √
= P(− y ≤ X ≤ y)
√ √
= FX ( y) − FX (− y)
Noting that
• u is strictly decreasing on (−1, 0) with strictly decreasing inverse v1 : y 7→
√
− y
√
• u is strictly increasing on (0, 1) with strictly increasing inverse v2 : y 7→ y
and by differentiating the cdf, we obtain : for y ∈ (0, 1),
d
fY (y) = FY (y)
dy
= v20 (y)fX (v2 (y)) + (−v10 (y))fX (v1 (y))
1 √ 1 √
= y −1/2 fX ( y) + y −1/2 fX (− y)
2 2
√ 2 √
1 −1/2 y 1 −1/2 (− y)2
= y + y
2
√ 3 2 3
y
=
3
On the interval (1, 2), u is strictly increasing, thus we can apply Theorem 1.1.
After some calculations, you should find that for y ∈ (1, 4),
√
y
fY (y) =
6
In a nutshell,  √
 y/3 if 0 < y < 1
√
fY (y) = y/6 if 1 < y < 4
0 otherwise


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 Let us generalize our finding. If the transformation u is two-to-one on some
interval and can be split into two strictly monotonic functions with inverses v1
and v2 . The the pdf of Y = u(X) on that interval is :

fY (y) = |v10 (y)|fX (v1 (y)) + |v20 (y)|fX (v2 (y))

2 Transformations of Two Random Variables

Theorem 2.1. Let X and Y be two continuous random variables on probability
space (Ω, A, P) with joint pdf fXY = f · 1S where S ⊂ R2 is the support of fXY .
If u = (u1 , u2 ) is an invertible function on S with inverse function v = (v1 , v2 ),
then the joint pdf of random variables W = u1 (X, Y ) and Z = u2 (X, Y ) is given
by :
fW Z (w, z) = f (v1 (w, z), v2 (w, z)) |J| 1u(S) (w, z) (2)
where J is the Jacobian of v at point (s, t) defined by the following determinant
:
 
 ∂v1 (w,z) ∂v1 (w,z)  ∂v (w, z) ∂v (w, z) ∂v (w, z) ∂v (w, z)
1 2 2 1
J =  ∂v2 (w,z) ∂v2∂z
 ∂w
(w,z)  = −

 ∂w ∂z
 ∂w ∂z ∂w ∂z

Example 4. Let X and Y be 2 rrv with joint pdf :

fXY (x, y) = e−(x+y) 1(0,∞)2 (x, y)

X
What is the joint pdf of W = X + Y and Z = X+Y ?
Answer. Let us solve the following system for X and Y :
 
W = u1 (X, Y ) = X + Y Y =W −X
X ⇔ X
Z = u2 (X, Y ) = X+Y Z =W

Y =W −X
⇔
X = WZ

Y = W − W Z = v2 (W, Z)
⇔
X = W Z = v1 (W, Z)

The determinant of the Jacobian of v = (v1 , v2 ) is thus given by :

 
 ∂v1 (w,z) ∂v1 (w,z) 
J =  ∂v2 (w,z) ∂v2∂z
 ∂w 
(w,z) 
 ∂w ∂z

 
 z w 
= 
1 − z −w
= −wz − w(1 − z)
= −w

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The support of the joint pdf of X and Y is S = (0, ∞)2 . The transformation
u : (x, y) 7→ (x + y, x/(x + y)) maps S in the xy-plane into the domain u(S) in
the (w, z)-plane given by w = x + y > 0 and z = x/(x + y) ∈ (0, 1). Thus, the
joint pdf of W and Z is given by :

fW Z (w, z) = e−(v1 (w,z)+v2 (w,z)) |−w| 1(0,∞)×(0,1) (w, z)

= e−(wz+w−wz) w1(0,∞)×(0,1) (w, z)
= we−w 1(0,∞)×(0,1) (w, z)