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16.584: Lecture 5 : Functions of Random Variables Contd. Functions of one RV : Y = g (X ) fY (y ) =

N f X (x i ) i=1 g (x ) i

Functions of two RVs: Z = g (X, Y ) , with fXY (x, y ) specied. ExampleZ = X + Y Z = XY Z = [X 2 + Y 2] Approach: Find the point set Cz in the (x, y ) plane such that: P [Z z ] = [(X, Y ) Cz ] FZ (z ) =
(x,y )Cz

fXY (x, y )dxdy

c Prof. K. Chandra, October 14, 2008

16.584: Probability and Random Processes; ECE, UMASS Lowell

Ex: Z = X + Y
Y z X=Z-Y z X

Figure 1:

CDF: FZ (z ) = =
x+y z

fXY (x, y )dxdy dy

+ z y y = x= fXY (x, y )dx

c Prof. K. Chandra, October 14, 2008

16.584: Probability and Random Processes; ECE, UMASS Lowell

PDF: dFZ (z ) fZ (z ) = dz + = y= fXY (z y, y )dy If X, Y Independent: fXY (x, y ) = fX (x) fY (y ) fZ (z ) = =

+ y = fX (z + x= fY (z

y ) fY (y )dy x) fX (x)dx

Under independence: Z = X + Y : fZ (z ) = fX (x) fY (y ): Convolution

c Prof. K. Chandra, October 14, 2008

16.584: Probability and Random Processes; ECE, UMASS Lowell

Ex: Z = aX + bY a, b > 0 Let Z = aX + bY = V + W where V = aX and W = bY Note : fV (v ) = fZ (z ) =

1 a fX (v/a)

and fW (w) =
v) fY [ (z b ]dv

1 b fY (w/b)

If X, Y independent:
1 + ab v = fX (v/a)

If fX (x) = fY (y ) = 1 0 < x, y < 1, nd fZ (z )

c Prof. K. Chandra, October 14, 2008

16.584: Probability and Random Processes; ECE, UMASS Lowell

Two Functions of two RVs

V = g (X, Y ) W = h(X, Y ) Given fXY (x, y ) nd the joint pdf fV W (v, w) Approach: From the set of equations v = g (x, y ) and w = h(x, y ) generate the inverse mapping: x = (v, w) y = (v, w) Assume that every (x, y ) maps into a unique (v, w) and vice-versa

c Prof. K. Chandra, October 14, 2008

16.584: Probability and Random Processes; ECE, UMASS Lowell

Consider P [v < V v + dv, w < W w + dw]

w w+dw w p1 p2 y p4 v constant p3 v+dv : constant w+dw: constant w constant v v v + dv x

Figure 2:

Coordinates of the Image in (X-Y) plane (v, w) (v + dv, w) (v, w + dw) (v + dv, w + dw) (x = (v, w), y = (v, w)) ((v + dv, w), (v + dv, w) ((v, w + dw), (v, w + dw)) ((v + dv, w + dw), (v + dv, w + dw))

c Prof. K. Chandra, October 14, 2008

16.584: Probability and Random Processes; ECE, UMASS Lowell

p1 = (x, y ) dv ) p2 = (x + dv, y + v v dw, y + dw) p3 = (x + w w dw), y + dv + dw) p4 = (x + dv + v w v w

c Prof. K. Chandra, October 14, 2008

16.584: Probability and Random Processes; ECE, UMASS Lowell

To determine P [v < V v + dv, w < W w + dw] Let A(Ruw ) and A(Rxy ): innitesimal areas identied in the (v, w) and (x, y ) domains respectively P [v < V v + dv, w < W w + dw] = fV W (v, w) A(Ruw ) = A(Rxy ) fXY (, )d d = fXY (x, y )A(Rxy ) A(Rxy ) fV W (v, w) = fXY (x, y ) A(Rvw ) Ratio
A(Rxy ) A(Rvw )

| [Refer App. C in text] = |J

is the Jacobian of the transformation, x = (v, w), y = where J (v, w) = J

v w v w
c Prof. K. Chandra, October 14, 2008 16.584: Probability and Random Processes; ECE, UMASS Lowell

In general, when multiple disjoint regions Ai(Rxy ) result from A(Ruw ), fV W (v, w) = = 1| where |Ji| = |J i = J
g g x y h h y y n i=1

i| fXY (xi, yi) |J

n i=1 fXY (xi , yi )

|Ji|

c Prof. K. Chandra, October 14, 2008

16.584: Probability and Random Processes; ECE, UMASS Lowell

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Examples:

If X, Y are independent RVs and R = (X 2 + Y 2) = tan1(Y /X ), nd joint distribution fR(r, ) Assume X, Y : N (0, 1) If Z = aX + bY and W = cX + dY , nd fZW (z, w) in terms of fXY (x, y ) If Z = X/Y and X, Y are independent exponentially distributed RVs with = 1, nd fZ (z )

c Prof. K. Chandra, October 14, 2008

16.584: Probability and Random Processes; ECE, UMASS Lowell