Chapter 7: Functions of Random Variables

Section 4: Transformation Technique: Several Variables

The discrete case
The joint probability distribution of X and Y is
18
) , (
y x
y x f
+
=
for
x = 1, 2 and y = 2, 4.
1. Find the probability distribution of W = XY







2. Find the joint probability distribution of W = XY and Z = X + Y.



Let X and Y be independent random variables both having binomial
distributions with parameters n and u. Let Z = X + Y. Show that Z has a
binomial distribution with parameters 2n and u.



The Continuous Case;
To find the probability density of Y = u(X
1
, X
2
), first find the joint distribution
of Y and X
1
(or X
2
). Solve for X
2
and substitute. Make sure X
2
as a
function of Y with X
1
held constant is a one-to-one function. That is, X
2
is a
one-to-one function of Y when X
1
held constant

y
x
x x f y x g
y
x
x x f x y g
c
c
=
c
c
=
2
2 1 1
1
2 1 2
* ) , ( ) , (
* ) , ( ) , (

Next, integrate out X
1
(or X
2
).

Find the probability density of XY Z = .

< < < < +

=
elsewhere
y x y x
y x f
0
1 0 , 1 0
) , (





Theorem 7.2. Let f(x
1
, x
2
) be the value of the joint probability density of the
continuous random variables X
1
and X
2
at (x
1
, x
2
). If the functions given by
y
1
= u
1
(x
1
, x
2
) and y
2
= u
2
(x
1
, x
2
) are partially differentiable with respect to
both x
1
and x
2
and represent a one-to-one transformation for all values
within the range of X
1
and X
2
for which f(x
1
, x
2
) 0, then, for these values of
x
1
and x
2
, the equations y
1
= u
1
(x
1
, x
2
) and y
2
= u
2
(x
1
, x
2
) can be uniquely
solved for x
1
and x
2
to give x
1
= w
1
(y
1
, y
2
) and x
2
= w
2
(y
1
, y
2
), and for the
corresponding values of y
1
and y
2
, the joint probability density of
Y
1
= u
1
(X
1
, X
2
) and Y
2
= u
2
(X
1
, X
2
) is given by

g(y
1
, y
2
) = f[w
1
(y
1
, y
2
), w
2
(y
1
, y
2
)] |J|

Here J is called the Jacobian of the transformation, is the determinant


2
2
1
2
2
1
1
1
y
x
y
x
y
x
y
x
J
c
c
c
c
c
c
c
c
=




Find the probability density of W = X
2
and Z = XY,

< < < <

=
elsewhere
y x for xy
y x f
0
1 0 , 1 0 6
) , (
2