Examination Solutions (CSE531 Wind Engineering)

Year 2002-2003 Question 3 (1)

A random variable has the probability density function
 1 1  x  1
p  x   2
 0 x  1; x  1

If random variable r is related to x through the relation

r  x  x x
find the probability density function p(r) and show that it satisfies the condition

 p  r  dr  1


Solution:
Carrying out an appropriate transformation, the probability density function p(r) has the relationship

dx
p r   p  x
dr
For 1  x  0 , we have
r   x2
and 1  r  0 .
In other words, for 1  r  0

dx 1
x   r and 
dr 2 r
For 0  x  1 , we have
r  x2
and 0  r  1 .
In other words, for 0  r  1

dx 1
x r and 
dr 2 r
As the result, the probability density function p(r) is
 dx 1 1 1
 p  x  dr  2   1  r  0
 2 r 4 r
 1
 dx 1 1 1  1  r  1
p r    p  x    0  r 1 or p r    4 r
 dr 2 2 r 4 r 
  0 r  1; r  1
 0 r  1; r  1


Now we can then find the condition

 1 1
1 1  12 1 0 1 1 1 1 0
p  r  dr   p  r  dr   r dr    r  2 dr   r 2 dr    r  2 d  r 
1 1 0 1 1
 1 0
4 r 1
dr  
4 r

4 0
dr 
4 1 4 0 4 1
1 1 1 1 1 1
  2 r    2 r   1  0    0  1    1
1 0

4 0 4 1 2 2 2 2

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Examination Solutions (CSE531 Wind Engineering)
Year 2004-2005 Question 3 (1)/ Year 2014-2015 Question 5 (a)
The joint normal probability density function for two random variables x(t) and y(t) has the expression
  x  x  2  x  x   y  y   y  y   
2
1  1
p  x, y   exp     2  xy         
2 x y 1   xy2  2 1   xy    x    x    y    y   
2

Prove that if the two random variables x(t) and y(t) are statistically independent with zero mean and the same standard
deviation , the Rayleigh probability density function can be obtained from the above probability density function
r  r2 
p r   exp   2  r  0 and r 2  x 2  y 2
 2
 2 

Solution:
Method 1
Given that:
Two random variables x(t) and y(t) are statistically independent, i.e.,  xy  0
Zero mean , i.e., x  y  0
Same standard deviation , i.e.,  x   y  
y
The joint normal probability density function for two random
variables x(t) and y(t) can be reduced to
1  1  x  2  y  2  
  1  x2  y 2 
p  x, y   exp            exp  
2 2  2          2 2 2 
2
 
The probability distribution function over a region  of the xy plane r

x
can be expressed by
P  X , Y    p  x, y  dA   p  x, y  dxdy 
  R
Now we confine the region  to be a circle with radius R.
Put x  r cos and y  r sin  , then we have
 y
r 2  x2  y 2 and   arctan  
x  
Hence the region  of the xy plane is mapped into a region  of the r

plane with bound region
 : 0  r  R, 0    2
The joint normal probability density function can be rewritten to
2
1  x2  y 2  1  r2 
p  x, y   exp    exp  2   pr  r 
2 2  2 2  2
2
 2 
By using the transformations of multiple integrals, the probability
distribution function has following relationship

  x, y 
P  X , Y    p  x, y  dxdy   pr  r  drd  P  R,   r
 
  r ,  0 r R
and the corresponding Jacobian of x and y with respect to r and  is

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Examination Solutions (CSE531 Wind Engineering)
x x
  x, y  r  cos  r sin 
   r cos 2   r sin 2   r  cos 2   sin 2    r
  r ,   y y sin  r cos 
r 
The probability distribution function is then transformed from
1  x2  y 2 
P  X , Y    p  x, y  dA   p  x, y  dxdy   exp    dxdy
   2 2
 2 2 
to the form
  x, y   r 2    x, y 
P  R,   =Prob  0  r  R   0    2    pr  r 
1
drd   exp   2   drd

  r ,   2 2
 2    r , 
2 R 1  r  2
2 R r  r  2
2
R r  r2 

0 0 2 2 0 0 2 2  2 2  0 0 2 2   2 2  dr
exp     rdrd   exp    drd   d   exp
 2 
2

R r  r2  R r  r2 
 2  exp    d r  0  2   2 2  dr
exp
0 2 2
 2 
2

Since the result integral is independent of parameter , the joint probability distribution function is reduced to a single
random variable probability distribution function
  2 
P  r,   P  r   
r

0 2
exp   2  d
 2 
The probability density function can then be found as
d d  r   2   r  r2 
p r   P r    0 2 exp   2  d    exp  2 
dr dr    2   
2
 2 

Method 2
Given that:
Two random variables x(t) and y(t) are statistically independent, i.e.,  xy  0
Zero mean , i.e., x  y  0
Same standard deviation , i.e.,  x   y  

The joint normal probability density function for two random variables x(t) and y(t) can be reduced to

1 
 1  x   y   
2 2
 1  x2  y 2 
p  x, y   exp        
  exp   
2  2        
 2 2 2 
2 2
 
Put x  r cos and y  r sin  , then we have
 y
r 2  x2  y 2 and   arctan  
 
x
Consider the region  of the xy plane which is defined as
 :    x  ,    y  
It can be found that the region  is mapped into a region   of the r plane with boundary conditions
 : 0  r  , 0    2
The joint normal probability density function can be rewritten to
1  x2  y 2  1  r2 
p  x, y   exp     exp  2 
2 2  2 2  2 2  2 
Under proper transformation of random variables, the joint probability density function in terms of r and  becomes

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Examination Solutions (CSE531 Wind Engineering)
p  r ,   p  x, y  J 2
where J2 is the Jacobian of the transformation equal to
x x
  x, y  r  cos  r sin 
J2     r cos 2   r sin 2   r
  r ,   y y sin  r cos 
r 
As the result, the joint probability density function is
1  r2  r  r2 
p  r ,    p  x, y  J 2  exp   2   r  exp   2 
2  2 
2
2 2
 2 
Now we can evaluate the marginal first-order probability density function in term of r only from the relationship
2 2 r  r2  r  r 2  2 r  r2 
p r    p  r ,   d   exp   2  d  exp   2   d  exp   2   2
0 0 2  2
2
 2 2
 2  0 2 2
 2 
r  r2 
 exp   2 
 2
 2 

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