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Introduction
Let X be a random variable defined on the ) and model d l (, F , P ), d suppose g(x) is i a function of the variable x. Define Y = g ( X ). Is Y necessarily a random variable? If so what is its PDF FY ( y ) ? If Y is a random variable, then for every B Borel l set t B, the th set t of f f for which hi h Y ( ) B must belong to F.
P (Y B ) = P ( X g 1 ( B )).
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Introduction
Particularly,
FY ( y ) = P (Y ( ) y ) = P (g ( X ( )) y ) = P (X ( ) g 1 ( , y ]).
Th Thus the th distribution di t ib ti function f ti as well ll as the density function of Y can be d t determined i d in i terms t of f that th t of f X. To obtain the distribution function of Y, we must determine the Borel set on the x-axis 1 X ( ) g ( y ) for every given y, and such that the probability of that set.
3
Examples
A. Y = aX + b If a > 0 , y b y b FY ( y) = P(Y ( ) y ) = P(aX ( ) + b y ) = P X ( ) = F . X
fY ( y) =
If
y b ( ) ( ) F ( y ) = P Y ( ) y = P aX ( ) + b y = P X ( ) > a < 0, Y a 1 y b y b = 1 FX , f y = fX ( ) . Y a a a
1 y b fX . a a
Examples
B. Y = X 2
FY ( y ) = P (Y ( ) y ) = P (X 2 ( ) y ).
x1
x2
Y = X2 y
{Y ( ) y } = { X 2 ( ) y } {x1 < X ( ) x 2 }
FY ( y ) = P ( x1 < X ( ) x 2 ) = F X ( x 2 ) F X ( x1 ) = FX ( y ) FX ( y ), y > 0.
y) ,
y > 0, otherwise .
5
Examples
If f X ( x) represents an even function, then th expression the i above b reduces d to t
fY ( y ) = 1 fX y
( y ) U ( y ). )
1 x2 /2 e , 2
1 e y / 2U ( y ). ) 2 y
Examples
C.
X c, Y = g ( X ) = 0, X + c, X > c, c < X c, X c.
g( X ) c
c
FY ( y ) = P (Y ( ) y ) = P ( X ( ) c y ) = P ( X ( ) y + c ) = FX ( y + c ), y > 0.
= X ( ) + c
FY ( y ) = P (Y ( ) y ) = P ( X ( ) + c y ) y < 0.
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Examples
Subsequently,
f X ( y + c ), y > 0, f Y ( y ) = [ FX ( c ) FX ( c )] ( y ), ) y=0 f ( y c ), y < 0. X
FX ( x )
FY ( y )
Examples
D. Y = g ( X );
x, g ( x) = 0, x > 0, x 0.
Y
P (Y = 0) = P ( X ( ) 0) = FX ( 0). )
For y > 0 , Y = X ,
FY ( y ) = P(Y ( ) y ) = P( X ( ) y ) = FX ( y ).
Thus
y > 0, f X ( y ), f Y ( y ) = FX (0) ( y ) y = 0, 0, y < 0, = f X ( y )U ( y ) + FX (0) ( y ).
(1) Sketch the graph y = g ( x ), and determine the range space of y. For example, if a < y < b is the range space ) Then of f y = g ( x ). Th for f y < a, FY ( y) = 0, and d for f y > b, FY ( y) = 1, so that FY ( y) can be nonzero only l in i a < y < b. (2) Determine whether there are discontinuities in the range space of y. If so, evaluate e a uate P(Y ( ) = yi ) at t these ese discontinuities.
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12
x
x 1 x1 + x1
x2 + x2 x 2
x 3 x3 + x3
P {y < Y ( ) y + y } =
y + y y
f Y ( u ) du f Y ( y ) y .
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Hence: P {y < Y ( )
y + y } = P { x 1 < X ( ) x 1 + x 1 }
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+ P { x 2 + x 2 < X ( ) x 2 } + P { x 3 < X ( ) x 3 + x 3 } .
we get and
x3 > 0,
fY ( y ) y = f X ( x1 ) x1 + f X ( x2 ) (x2 ) + f X ( x3 ) x3 .
x2 < 0
so
| xi | 1 fY ( y ) = f X ( xi ) = f X ( xi ) y i i y / xi
y 0,
fY ( y ) =
i
1 1 f X ( xi ) = f X ( xi ). dy / dx x i g ( xi )
i
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x1 = y , x2 = + y
dy y dy y = 2 x so that th t =2 y dx dx x = xi
Y = X2 y
Hence:
x1
x2
1 f X ( y ) + f X ( y ) , y > 0, fY ( y ) = 2 y 0, otherwise
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is the only
= 1 2 = y , 2 1/ y
dy d dx
Hence:
fY ( y ) =
1 1 f . X 2 y y
x = x1
/ , < x < +. 2 2 +x
< y < + .
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dy dx
= 1 y2 .
x = xi
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fY ( y ) =
i = i 0
1 1 y
2
f X ( x i ).
(a)
y =s sin x
x3
x 1
x1
x2
x3
(b)
But from the figure (b), f X ( x1 ) = f X ( x3 ) = f X ( x4 ) = L = 0 (Except for f X ( x1 ) and f X ( x 2 ) the rest are all zeros).
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( f X ( x1 ) +
f X ( x2 ) ) =
2 ( x1 + x1 )
2 1 y2
2 , 2 = 1 y 0,
fY ( y )
1
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U ( / 2, / 2 ) .
As x moves mo es from ( / 2, / 2) , y moves mo es from ( , + ) . The function Y for /2< x < /2.
= tan X
is one-to-one
y = tanx
/2
fY ( y ) =
1 1 + y2
/2
/2
x1 / 2
(b)
x
(c)
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(a)
) And Y = g ( X ).
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so that
, k = 0,1,2,L
P( X = k ) = e
k
k!
Y = X 2 + 1,
As X takes the values0 ,1, 2 , L , k , L, Y 2 1, 2, 5, L , k + 1, L and takes the value P(Y = k 2 + 1) = P( X = k ) . For j = k 2 + 1
P(Y = j ) = P X =
j 1 = e
j 1
( j 1)!
, j = 1, 2,5,L, k 2 + 1,L.
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Mean
For a random variable X, its p.d.f f X ( x) provides id complete l t information i f ti about b t it, it and for any Borel set B on the x-axis
P ( X ( ) B ) =
f X ( x ) dx .
Si Since f X ( x) represents t detailed d t il d information, i f ti it is desirable to characterize the random variable i bl i in terms t of f its it average behavior. b h i The mean and variance are often used to represent the overall properties of the random a do variable a ab e and a d its ts p.d.f. pd
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Mean
The Mean or the Expected Value of a R d Random variable i bl X is i defined d fi d as:
X = X = E( X ) =
For a discrete X:
i
x f X ( x ) dx .
X = X = E ( X ) = x pi ( x xi ) dx = xi pi ( x xi ) dx
i
14 4244 3
1
x p =x
i i i i
P ( X = xi ) .
Mean represents the average value of the random variable in a very large number of trials.
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Mean
(a) Mean of X ~ U (a, b)
E(X ) = x 1 x dx = ba ba 2
2 b
b2 a2 a +b = = 2(b a ) 2
x /
dx = ye y dy = ,
0
kP ( X = k ) =
k =0
ke
k
k!
= e
k =0
k
k!
k =1
= e
k
( k 1 )!
= e
k =1
i
i!
= e e = .
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i=0
Mean
Mean of a binomial distribution
n n k nk n! k nk = p q k p q E ( X ) = kP ( X = k ) = k k ( n k )! k ! k =0 k =0 k =1 n n 1 ( n 1)! n! k nk p i q n i 1 = np ( p + q ) n 1 = np . = p q = np k =1 ( n k )! ( k 1)! i = 0 ( n i 1)! i! n n
+ +
xe
( x ) 2 / 2
dx =
1 2 1
2
+ +
( y + )e
2 2
y 2 / 2
dy
y / 2 y / 2 ye dy e dy = . + 2 14 42 4 4 3 12 4 4 42 4 4 43 0
2 2
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Mean of g(X)
Given X f X ( x ), supposeY = g ( X ) defines a new random variable with ). p.d.f fY ( y ) p Then, Y is given by:
Y = E (Y ) =
y f Y ( y ) dy .
If E (Y ) is the only quantity of interest, we dont need to first compute fY(y), since P ( y < Y y + y ) = P (xi < X xi + xi ) , since, i where xi represent the multiple solutions of y = g(xi) and y > 0 .
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Mean of g(X)
The expression above can also be rewritten itt as,
fY ( y ) y =
f X ( x i ) x i ,
y fY ( y ) y =
As y 0,
y
i
f X ( x i ) x i =
g(x ) f
i i
( x i ) x i ,
E (Y ) = E (g ( X ) ) =
E (Y ) =
y f Y ( y ) dy =
g ( x ) f X ( x ) dx .
g ( x )P ( X
i i
= x i ).
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Mean of g(X)
Suppose Y = X2, and X is a Poisson random variable. find E(Y).
E (X
2
)= k
k =0
P(X = k) =
k
k =0
k
k!
= e
k
k =1
k
k!
= e
k ( k 1)!
k =1
= e
( i + 1)
i=0
i +1
i!
= e
i i i! + i=0
i=0
= e i!
i i i! + e i =1
i m +1 = e + e = e + e ( i 1 )! ) i =1 m =0 m! = e ( e + e ) = 2 + .
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Variance
Mean alone will not be able to truly represent t the th p.d.f d f of f a random d variable i bl Consider two Gaussian random variables: X 1 ~ N (0,1) and X 2 N (0,10). Though g both of them have the same mean, , their p.d.fs are quite different.
f X 1 ( x1 ) f X 2 ( x2 )
x1
(a) ( ) 2 =1 (b) ( ) 2 = 10
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x2
Variance
For a random variable X with mean , X represents t th the deviation d i ti of f the th random d variable from its mean. Since this deviation can be either positive or negative, the quantity ( X ) 2 , and its average value E [ ( X ) 2 ] represents the average mean square deviation of X around its mean. 2 2 ( ) = E [ X ] > 0 with g ( X ) = ( X ) 2 If we define
X
= ( x ) 2 f X ( x )dx > 0.
2
X
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Variance
Expanding the expression in the previous slide results,
Var ( X ) = =
2 X +
=
2
(x
+
2 x + 2 ) f X ( x ) dx
+
x f X ( x ) dx 2
2
x f X ( x ) dx + 2
2
For example example, the variance of a Poisson random variable is given by:
2
X
= E (X
= E (X
) [E ( X ) ]
= X X .
2
___ 2
= X X
___ 2
= ( 2 + ) 2 = .
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Variance
The variance of the normal random variable, i bl N ( , 2 ),
Var ( X ) = E [( X ) 2 ] =
2 ( ) x +
1 2
2
( x )2 / 2
dx .
+ +
f X ( x ) dx =
( x )2 / 2
2 dx = 2 .
2
( x )2 / 2
dx = 1
+
+
( x )2
( x )2 / 2
dx =
2
2
2
2 ( ) x
1 2
2
e ( x )
/ 2
d = dx
(6-22)
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