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Fakultt Informatik Institut fr Systemarchitektur Professur Rechnernetze

Functions of One Random Variable


Waltenegus Dargie
Chair for Computer Networks
Slides are based on the book book: A. A Papo Papoulis lis and S S.U. U Pillai Pillai, "Probability, random variables and stochastic processes", McGraw Hill (4th edition), 2002.

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.
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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

C Combining bi i the th two t density d it functions f ti yields: 1 y b


fY ( y) = fX . |a| a

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

FY ( y ) = 0, y < 0. F y < 0 , { X 2 ( ) y}= , and For d hence h

For y > 0 , Hence:

{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.

By B di direct t differentiation, diff ti ti we get: t


1 f ( y ) + f X ( fY ( y ) = 2 y X 0,

y) ,

y > 0, otherwise .
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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 ). )

In particular if X N ( 0 ,1), so that


fX (x) =
fY ( 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

In this case P (Y = 0) = P ( c < X ( ) c ) = FX ( c ) FX ( c ). For y > 0 , we have x > c , and Y ( )


= X ( ) c

FY ( y ) = P (Y ( ) y ) = P ( X ( ) c y ) = P ( X ( ) y + c ) = FX ( y + c ), y > 0.

Similarly y < 0 , if x < c , and Y ( )


= P ( X ( ) y c ) = FX ( y c ),

= 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 ).

Continuous Random Variables


Generally, given
Y = g ( X ),

(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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Continuous Random Variables


In the continuous region of y, use the b i approach basic h FY ( y ) = P (g ( X ( )) y ) and d determine appropriate events in terms of th random the d variable i bl X for f every y. (3) Compute FY ( y ) for < y < +, and obtain
fY ( y ) = dFY ( y ) dy in a < y < b .

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Continuous Random Variables


However, if Y = g( X ) is a continuous f function, ti it i is easy t to establish t bli h a di direct t procedure to obtain fY ( y). A continues function g(x) with g(x) nonzero at all but a finite number of points, has only a finite number of maxima and minima, and it eventually becomes monotonic as | x | .

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Continuous Random Variables


Consider a specific y on the y-axis and a positive iti increment i t y as shown h below. b l
g ( x)
y + y
y

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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Continuous Random Variables


But the Event {y < Y ( ) y + y } can also be expressed d in i terms t of f X ( ) . As can be seen in the figure, the equation y = g(x) has three solutions x1 , x2 , x3 for the specific y chosen there. As a result when {y < Y ( ) y + y }, the random variable X could be in any y one of the three mutually exclusive intervals:
{x1 < X ( ) x1 + x1}, {x2 + x2 < X ( ) x2} or {x3 < X ( ) x3 + x3}.

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 } .

Continuous Random Variables


For small
y, xi ,

we get and
x3 > 0,

fY ( y ) y = f X ( x1 ) x1 + f X ( x2 ) (x2 ) + f X ( x3 ) x3 .

In this case, x1 > 0, that: As

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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Continuous Random Variables


If Y = X , y > 0, for Moreover, Moreover
2

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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Continuous Random Variables


If
Y = 1 . X x1 = 1 / y

Here for every y, sol tion and solution,


dy 1 = 2 so that d dx x

is the only
= 1 2 = y , 2 1/ y

dy d dx

Hence:

fY ( y ) =

1 1 f . X 2 y y

x = x1

If X is a Cauchy random variable


f X ( x) =
1 / (1 / ) / fY ( y ) = 2 2 = , 2 2 2 (1 / ) + y y + (1 / y )

/ , < x < +. 2 2 +x

< y < + .
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Continuous Random Variables


Suppose f X ( x ) = 2 x / 2 , 0 < x < , and Y = sin X . fY ( y ). D t Determine i Since X has zero probability of falling outside the interval (0, ), y = sin x has zero probability of falling outside the interval ( 0 ,1). For 0 < y < 1, the equation x1 = sin 1 y has an L, x1 , x2 , x3 ,L, i fi it number infinite b of f solutions l ti where y = sin x is the principal solution (ref. t th to the next t slide). lid ) Note ote also a so because o of the t e sy symmetry: et y x2 = x1
dy = cos x = 1 sin 2 x = 1 y 2 dx

dy dx

= 1 y2 .
x = xi

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Continuous Random Variables


Hence, for 0 < y < 1,
fX (x)

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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Continuous Random Variables


As a result:
fY ( y ) = 1 1 y2

( f X ( x1 ) +

f X ( x2 ) ) =

2 x1 2 x 2 2 + 2 2 1 y 1 0 < y < 1, otherwise.

2 ( x1 + x1 )

2 1 y2

2 , 2 = 1 y 0,

fY ( y )

1
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Continuous Random Variables


Let Y = tan X Determine where
fY ( y ).
X

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

For any y, x1 = tan1 y is the principal solution. Hence,


dy d tan d t x = = sec 2 x = 1 + tan 2 x = 1 + y 2 . dx dx
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Continuous Random Variables


Therefore:
fY ( y ) = 1 1/ f X ( x1 ) = , | dy / dx |x = x1 1 + y2 < y < + ,

Which represents a Cauchy density function with = 1. 1


f X ( x)

y = tanx
/2

fY ( y ) =

1 1 + y2

/2

/2

x1 / 2
(b)

x
(c)
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(a)

Discrete Random Variables


Suppose X is a discrete-type random variable with P( X = x ) = p , x = x , x ,L, x ,L
i i 1 2 i

) And Y = g ( X ).

Clearly Y is also of discrete-type discrete-type, and when x = xi , yi = g ( xi ), and for all yi


P(Y = yi ) = P( X = xi ) = pi , y = y1 , y2 ,L, yi ,L

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Discrete Random Variables


Suppose For
X P ( ),

so that
, k = 0,1,2,L

P( X = k ) = e

k
k!

Y = X 2 + 1,

find the PMF of Y.

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

(b) Mean of Exponential with parameter


E(X ) =

x /

dx = ye y dy = ,
0

(c) Mean of Poisson with parameter


E(X ) =

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

Mean of a normal distribution


E(X ) = = 1 2 1 2
2

+ +

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 =

where the (xi , xi + xi ) terms form nonoverlapping pp g intervals. Hence, ,


i

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 .

In the discrete case,

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 .

Using the identity

Diff Differentiating ti ti both b th sides id of f the th above b expression w.r.t. yields:

+ +

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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