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Advanced Probability Theory
for Biomedical Engineers
i
Copyright © 2006 by Morgan & Claypool
All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted in
any form or by any means—electronic, mechanical, photocopy, recording, or any other except for brief quotations
in printed reviews, without the prior permission of the publisher.
Advanced Probability Theory for Biomedical Engineers
John D. Enderle, David C. Farden, and Daniel J. Krause
www.morganclaypool.com
ISBN-10: 1598291505 paperback
ISBN-13: 9781598291506 paperback
ISBN-10: 1598291513 ebook
ISBN-13: 9781598291513 ebook
DOI 10.2200/S00063ED1V01Y200610BME011
A lecture in the Morgan & Claypool Synthesis Series
SYNTHESIS LECTURES ON BIOMEDICAL ENGINEERING #11
Lecture #11
Series Editor: John D. Enderle, University of Connecticut
Series ISSN: 1930-0328 print
Series ISSN: 1930-0336 electronic
First Edition
10 9 8 7 6 5 4 3 2 1
Printed in the United States of America
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Advanced Probability Theory
for Biomedical Engineers
John D. Enderle
Program Director & Professor for Biomedical Engineering,
University of Connecticut
David C. Farden
Professor of Electrical and Computer Engineering,
North Dakota State University
Daniel J. Krause
Emeritus Professor of Electrical and Computer Engineering,
North Dakota State University
SYNTHESIS LECTURES ON BIOMEDICAL ENGINEERING #11
M
&C
Morgan
&
Claypool Publishers
iii
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iv
ABSTRACT
This is the third in a series of short books on probability theory and random processes for
biomedical engineers. This book focuses on standard probability distributions commonly en-
countered in biomedical engineering. The exponential, Poisson and Gaussian distributions are
introduced, as well as important approximations to the Bernoulli PMF and Gaussian CDF.
Many important properties of jointly Gaussian random variables are presented. The primary
subjects of the final chapter are methods for determining the probability distribution of a func-
tion of a random variable. We first evaluate the probability distribution of a function of one
random variable using the CDF and then the PDF. Next, the probability distribution for a
single random variable is determined from a function of two random variables using the CDF.
Then, the joint probability distribution is found from a function of two random variables using
the joint PDF and the CDF.
The aim of all three books is as an introduction to probability theory. The audience
includes students, engineers and researchers presenting applications of this theory to a wide
variety of problems—as well as pursuing these topics at a more advanced level. The theory
material is presented in a logical manner—developing special mathematical skills as needed.
The mathematical background required of the reader is basic knowledge of differential calculus.
Pertinent biomedical engineering examples are throughout the text. Drill problems, straight-
forward exercises designed to reinforce concepts and develop problem solution skills, follow
most sections.
KEYWORDS
Probability Theory, Random Processes, Engineering Statistics, Probability and Statistics for
Biomedical Engineers, Exponential distributions, Poisson distributions, Gaussian distributions
Bernoulli PMF and Gaussian CDF. Gaussian random variables
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Contents
5. Standard Probability Distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
5.1 Uniform Distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
5.2 Exponential Distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
5.3 Bernoulli Trials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
5.3.1 Poisson Approximation to Bernoulli . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
5.3.2 Gaussian Approximation to Bernoulli . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
5.4 Poisson Distribution. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
5.4.1 Interarrival Times. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
5.5 Univariate Gaussian Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
5.5.1 Marcum’s Q Function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
5.6 Bivariate Gaussian Random Variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
5.6.1 Constant Contours. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
5.7 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
5.8 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
6. Transformations of RandomVariables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
6.1 Univariate CDF Technique . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
6.1.1 CDF Technique with Monotonic Functions . . . . . . . . . . . . . . . . . . . . . . . . 45
6.1.2 CDF Technique with Arbitrary Functions . . . . . . . . . . . . . . . . . . . . . . . . . . 46
6.2 Univariate PDF Technique . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
6.2.1 Continuous Random Variable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
6.2.2 Mixed Random Variable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
6.2.3 Conditional PDF Technique . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
6.3 One Function of Two Random Variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
6.4 Bivariate Transformations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
6.4.1 Bivariate CDF Technique . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
6.4.2 Bivariate PDF Technique . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
6.5 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
6.6 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75
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Preface
This is the third in a series of short books on probability theory and random processes for
biomedical engineers. This text is written as an introduction to probability theory. The goal
was to prepare students at the sophomore, junior or senior level for the application of this
theory to a wide variety of problems - as well as pursue these topics at a more advanced
level. Our approach is to present a unified treatment of the subject. There are only a few key
concepts involved in the basic theory of probability theory. These key concepts are all presented
in the first chapter. The second chapter introduces the topic of random variables. The third
chapter focuses on expectation, standard deviation, moments, and the characteristic function.
In addition, conditional expectation, conditional moments and the conditional characteristic
function are also discussed. The fourth chapter introduces jointly distributed random variables,
along with joint expectation, joint moments, and the joint characteristic function. Convolution
is also developed. Later chapters simply expand upon these key ideas and extend the range of
application.
This short book focuses on standard probability distributions commonly encountered in
biomedical engineering. Here in Chapter 5, the exponential, Poisson and Gaussian distributions
are introduced, as well as important approximations to the Bernoulli PMF and Gaussian CDF.
Many important properties of jointly distributed Gaussian random variables are presented.
The primary subjects of Chapter 6 are methods for determining the probability distribution of
a function of a random variable. We first evaluate the probability distribution of a function of
one random variable using the CDF and then the PDF. Next, the probability distribution for a
single random variable is determined from a function of two random variables using the CDF.
Then, the joint probability distribution is found from a function of two random variables using
the joint PDF and the CDF.
Aconsiderable effort has been made to develop the theory in a logical manner - developing
special mathematical skills as needed. The mathematical background required of the reader is
basic knowledge of differential calculus. Every effort has been made to be consistent with
commonly used notation and terminology—both within the engineering community as well as
the probability and statistics literature.
The applications and examples given reflect the authors’ background in teaching prob-
ability theory and random processes for many years. We have found it best to introduce this
material using simple examples such as dice and cards, rather than more complex biological
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viii PREFACE
and biomedical phenomena. However, we do introduce some pertinent biomedical engineering
examples throughout the text.
Students in other fields should also find the approach useful. Drill problems, straightfor-
ward exercises designed to reinforce concepts and develop problem solution skills, follow most
sections. The answers to the drill problems follow the problem statement in random order.
At the end of each chapter is a wide selection of problems, ranging from simple to difficult,
presented in the same general order as covered in the textbook.
We acknowledge and thank WilliamPruehsner for the technical illustrations. Many of the
examples and end of chapter problems are based on examples from the textbook by Drake [9].
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1
C H A P T E R 5
Standard Probability Distributions
A surprisingly small number of probability distributions describe many natural probabilistic
phenomena. This chapter presents some of these discrete and continuous probability distribu-
tions that occur often enough in a variety of problems to deserve special mention. We will see
that many random variables and their corresponding experiments have similar properties and
can be described by the same probability distribution. Each section introduces a new PMF or
PDF. Following this, the mean, variance, and characteristic function are found. Additionally,
special properties are pointed out along with relationships among other probability distribu-
tions. In some instances, the PMF or PDF is derived according to the characteristics of the
experiment. Because of the vast number of probability distributions, we cannot possibly discuss
them all here in this chapter.
5.1 UNIFORMDISTRIBUTIONS
Definition 5.1.1. The discrete RV x has a uniform distribution over n points (n > 1) on the
interval [a, b] if x is a lattice RV with span h = (b −a)/(n −1) and PMF
p
x
(α) =
_
1/n, α = kh +a, k = 0, 1, . . . , n −1
0, otherwise.
(5.1)
The mean and variance of a discrete uniform RV are easily computed with the aid of
Lemma 2.3.1:
η
x
=
1
n
n−1

k=0
(kh +a) =
h
n
γ
[2]
n
2
+a =
1
n
b −a
n −1
n(n −1)
2
+a =
b +a
2
, (5.2)
and
σ
2
x
=
1
n
n−1

k=0
_
kh −
b −a
2
_
2
=
(b −a)
2
n
n−1

k=0
_
k
2
(n −1)
2

k
n −1
+
1
4
_
. (5.3)
Simplifying,
σ
2
x
=
(b −a)
2
12
n +1
n −1
. (5.4)
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2 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
0 .5 1
x
p ( )
.05
(a)
1
x
(t )
t
10 30 50
(b)
φ
α
α
FIGURE5.1: (a) PMF and (b) characteristic function magnitude for discrete RV with uniform distri-
bution over 20 points on [0, 1].
The characteristic function can be found using the sum of a geometric series:
φ
x
(t) =
e
jat
n
n−1

k=0
(e
jht
)
k
=
e
jat
n
1 −e
jhnt
1 −e
jht
. (5.5)
Simplifying with the aid of Euler’s identity,
φ
x
(t) = exp
_
j
a +b
2
t
_
sin
_
b−a
2
n
n−1
t
_
n sin
_
b−a
2
1
n−1
t
_. (5.6)
Figure 5.1 illustrates the PMFand the magnitude of the characteristic function for a discrete RV
which is uniformly distributed over 20 points on [0, 1]. The characteristic function is plotted
over [0, π/h], where the span h = 1/19. Recall from Section 3.3 that φ
x
(−t) = φ

x
(t) and that
φ
x
(t) is periodic in t with period 2π/h. Thus, Figure 5.1 illustrates one-half period of |φ
x
(·)|.
Definition 5.1.2. The continuous RV x has a uniform distribution on the interval [a, b] if x has
PDF
f
x
(α) =
_
1/(b −a), a ≤ α ≤ b
0, otherwise.
(5.7)
The mean and variance of a continuous uniform RV are easily computed directly:
η
x
=
1
b −a
b
_
a
αdα =
b
2
−a
2
2(b −a)
=
b +a
2
, (5.8)
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STANDARDPROBABILITY DISTRIBUTIONS 3
0 .5 1
1
(a)
1
x
(t ) φ
t
10 30 50
(b)
x
f (α)
FIGURE 5.2: (a) PDF and (b) characteristic function magnitude for continuous RV with uniform
distribution on [0, 1].
and
σ
2
x
=
1
b −a
b
_
a
_
α −
b +a
2
_
2
dα =
(b −a)
2
12
. (5.9)
The characteristic function can be found as
φ
x
(t) =
1
b −a
b
_
a
e
jαt
dα =
exp
_
j
b+a
2
t
_
b −a
(b−a)/2
_
−(b−a)/2
e
jαt
dα.
Simplifying with the aid of Euler’s identity,
φ
x
(t) = exp
_
j
a +b
2
t
_
sin
_
b−a
2
t
_
b−a
2
t
. (5.10)
Figure 5.2 illustrates the PDF and the magnitude of the characteristic function for a continuous
RV uniformly distributed on [0, 1]. Note that the characteristic function in this case is not
periodic but φ
x
(−t) = φ

x
(t).
Drill Problem 5.1.1. A pentahedral die (with faces labeled 0,1,2,3,4) is tossed once. Let x be a
random variable equaling ten times the number tossed. Determine: (a) p
x
(20), (b) P(10 ≤ x ≤ 50),
(c) E(x), (d) σ
2
x
.
Answers: 20, 0.8, 200, 0.2.
Drill Problem5.1.2. Random variable x is uniformly distributed on the interval [−1, 5]. Deter-
mine: (a) F
x
(0), (b) F
x
(5), (c) η
x
, (d) σ
2
x
.
Answers: 1, 1/6, 3, 2.
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4 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
5.2 EXPONENTIAL DISTRIBUTIONS
Definition 5.2.1. The discrete RV x has a geometric distribution or discrete exponential distri-
bution with parameter p(0 < p < 1) if x has PMF
p
x
(α) =
_
p(1 − p)
α−1
, α = 1, 2, . . .
0, otherwise.
(5.11)
The characteristic function can be found using the sum of a geometric series (q = 1 − p):
φ
x
(t) =
p
q

k=1
_
qe
j t
_
k
=
pe
j t
1 −qe
j t
. (5.12)
The mean and variance of a discrete RV with a geometric distribution can be computed using
the moment generating property of the characteristic function. The results are
η
x
=
1
p
, and σ
2
x
=
q
p
2
. (5.13)
Figure 5.3 illustrates the PMF and the characteristic function magnitude for a discrete RV with
geometric distribution and parameter p = 0.18127.
It can be shown that a discrete exponentially distributed RV has a memoryless property:
p
x|x>
(α|x > ) = p
x
(α −), ≥ 0. (5.14)
Definition5.2.2. The continuous RV x has an exponential distribution with parameter λ(λ > 0)
if x has PDF
f
x
(α) = λe
−λα
u(α), (5.15)
where u(·) is the unit step function.
0
α
10 20
x
p (α)
.18
.09
(a)
1
x
(t ) φ
t
0 1 2 3
(b)
FIGURE 5.3: (a) PMF and (b) characteristic function magnitude for discrete RV with geometric dis-
tribution [ p = 0.18127].
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STANDARDPROBABILITY DISTRIBUTIONS 5
0 10 5
.2
x
f (α)
.1
1
x
(t ) φ
t
10 30 50
(a) (b)
15 α
FIGURE 5.4: (a) PDF and (b) characteristic function magnitude for continuous RV with exponential
distribution and parameter λ = 0.2.
The exponential probability distribution is also a very important probability density function
in biomedical engineering applications, arising in situations involving reliability theory and
queuing problems. Reliability theory, which describes the time to failure for a system or compo-
nent, grewprimarily out of military applications and experiences with multicomponent systems.
Queuing theory describes the waiting times between events.
The characteristic function can be found as
φ
x
(t) = λ

_
0
e
α( j t−λ)
dα =
λ
λ − j t
. (5.16)
Figure 5.4 illustrates the PDF and the magnitude of the characteristic function for a continuous
RV with exponential distribution and parameter λ = 0.2.
The mean and variance of a continuous exponentially distributed RV can be obtained
using the moment generating property of the characteristic function. The results are
η
x
=
1
λ
, σ
2
x
=
1
λ
2
. (5.17)
A continuous exponentially distributed RV, like its discrete counterpart, satisfies a memoryless
property:
f
x|x>τ
(α|x > τ) = f
x
(α −τ), τ ≥ 0. (5.18)
Example 5.2.1. Suppose a system contains a component that has an exponential failure rate. Reli-
ability engineers determined its reliability at 5000 hours to be 95%. Determine the number of hours
reliable at 99%.
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6 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
Solution. First, the parameter λ is determined from
0.95 = P(x > 5000) =

_
5000
λe
−λα
dα = e
−5000λ
.
Thus
λ =
−ln(0.95)
5000
= 1.03 ×10
−5
.
Then, to determine the number of hours reliable at 99%, we solve for α from
P(x > α) = e
−λα
= 0.99
or
α =
−ln(0.99)
λ
= 980 hours.

Drill Problem 5.2.1. Suppose a system has an exponential failure rate in years to failure with
λ = 0.02. Determine the number of years reliable at: (a) 90%, (b) 95%, (c) 99%.
Answers: 0.5, 2.6, 5.3.
Drill Problem 5.2.2. Random variable x, representing the length of time in hours to complete an
examination in Introduction to Random Processes, has PDF
f
x
(α) =
4
3
e

4
3
α
u(α).
The examination results are given by
g(x) =





75, 0 < x < 4/3
75 +39.44(x −4/3), x ≥ 4/3
0, otherwise.
Determine the average examination grade.
Answer: 80.
5.3 BERNOULLI TRIALS
A Bernoulli experiment consists of a number of repeated (independent) trials with only two
possible events for each trial. The events for each trial can be thought of as any two events which
partition the sample space, such as a head and a tail in a coin toss, a zero or one in a computer
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STANDARDPROBABILITY DISTRIBUTIONS 7
bit, or an even and odd number in a die toss. Let us call one of the events a success, the other
a failure. The Bernoulli PMF describes the probability of k successes in n trials of a Bernoulli
experiment. The first two chapters used this PMF repeatedly in problems dealing with games
of chance and in situations where there were only two possible outcomes in any given trial.
For biomedical engineers, the Bernoulli distribution is used in infectious disease problems and
other applications. The Bernoulli distribution is also known as a Binomial distribution.
Definition 5.3.1. A discrete RV x is Bernoulli distributed if the PMF for x is
p
x
(k) =





_
n
k
_
p
k
q
n−k
, k = 0, 1, . . . , n
0, otherwise,
(5.19)
where p =probability of success and q = 1 − p.
The characteristic function can be found using the binomial theorem:
φ
x
(t) =
n

k=0
_
n
k
_
( pe
j t
)
k
q
n−k
= (q + pe
j t
)
n
. (5.20)
Figure 5.5 illustrates the PMF and the characteristic function magnitude for a discrete RV with
Bernoulli distribution, p = 0.2, and n = 30.
Using the moment generating property of characteristic functions, the mean and variance
of a Bernoulli RV can be shown to be
η
x
= np, σ
2
x
= npq. (5.21)
0
α
10 20
x
p (α)
.18
.09
(a)
1
x
(t ) φ
t
0 1 2
(b)
FIGURE5.5: (a) PMF and (b) characteristic function magnitude for discrete RV with Bernoulli distri-
bution, p = 0.2 and n = 30.
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8 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
Unlike the preceding distributions, a closed form expression for the Bernoulli CDF is not
easily obtained. Tables A.1–A.3 in the Appendix list values of the Bernoulli CDF for p =
0.05, 0.1, 0.15, . . . , 0.5 and n = 5, 10, 15, and 20. Let k ∈ {0, 1, . . . , n −1} and define
G(n, k, p) =
k

=0
_
n

_
p

(1 − p)
n−
.
Making the change of variable m = n − yields
G(n, k, p) =
n

m=n−k
_
n
n −m
_
p
n−m
(1 − p)
m
.
Now, since
_
n
n −m
_
=
n!
m! (n −m)!
=
_
n
m
_
,
G(n, k, p) =
n

m=0
_
n
m
_
p
n−m
(1 − p)
m

n−k−1

m=0
_
n
m
_
p
n−m
(1 − p)
m
.
Using the Binomial Theorem,
G(n, k, p) = 1 − G(n, n −k −1, 1 − p). (5.22)
This result is easily applied to obtain values of the Bernoulli CDF for values of p > 0.5 from
Tables A.1–A.3.
Example 5.3.1. The probability that Fargo Polytechnic Institute wins a game is 0.7. In a 15 game
season, what is the probability that they win: (a) at least 10 games, (b) from 9 to 12 games, (c) exactly
11 games? (d) With x denoting the number of games won, find η
x
and σ
2
x
.
Solution. With x a Bernoulli randomvariable, we consult Table A.2, using (5.22) with n = 15,
k = 9, and p = 0.7, we find
a) P(x ≥ 10) = 1 − F
x
(9) = 1.0 −0.2784 = 0.7216,
b) P(9 ≤ x ≤ 12) = F
x
(12) − F
x
(8) = 0.8732 −0.1311 = 0.7421,
c) p
x
(11) = F
x
(11) − F
x
(10) = 0.7031 −0.4845 = 0.2186.
d) η
x
= np = 10.5, σ
2
x
= np(1 − p) = 3.15.

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STANDARDPROBABILITY DISTRIBUTIONS 9
We now consider the number of trials needed for k successes in a sequence of Bernoulli trials.
Let
p(k, n) = P(k successes in n trials) (5.23)
=





_
n
k
_
p
k
q
n−k
, k = 0, 1, . . . , n
0, otherwise,
where p = p(1, 1) and q = 1 − p. Let RV n
r
represent the number of trials to obtain exactly
r successes (r ≥ 1). Note that
P(success in th trial |r −1 successes in previous −1 trials) = p; (5.24)
hence, for = r, r +1, . . . , we have
P(n
r
= ) = p(r −1, −1) p. (5.25)
Discrete RV n
r
thus has PMF
p
n
r
() =





_
−1
r −1
_
p
r
q
−r
, = r, r +1, . . .
0, otherwise,
(5.26)
where the parameter r is a positive integer. The PMF for the RV n
r
is called the negative
binomial distribution, also known as the P´ olya and the Pascal distribution. Note that with
r = 1 the negative binomial PMF is the geometric PMF.
The moment generating function for n
r
can be expressed as
M
n
r
(λ) =

=r
( −1)( −2) · · · ( −r +1)
(r −1)!
p
r
q
−r
e
λ
.
Letting m = −r , we obtain
M
n
r
(λ) =
e
λr
p
r
(r −1)!

m=0
(m +r −1)(m +r −2) · · · (m +1)(qe
λ
)
m
.
With
s (x) =

k=0
x
k
=
1
1 − x
, |x| < 1,
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10 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
we have
s
()
(x) =

k=
k(k −1) · · · (k − +1)x
k−
=

m=0
(m +)(m + −1) · · · (m +1)x
m
=
!
(1 − x)
+1
.
Hence
M
n
r
(λ) =
_
pe
λ
1 −qe
λ
_
r
, qe
λ
< 1. (5.27)
The mean and variance for n
r
are found to be
η
n
r
=
r
p
, and σ
2
n
r
=
r q
p
2
. (5.28)
We note that the characteristic function is simply
φ
n
r
(t) = M
n
r
( j t) = φ
r
x
(t), (5.29)
where RV x has a discrete geometric distribution. Figure 5.6 illustrates the PMF and the
characteristic function magnitude for a discrete RV with negative binomial distribution, r = 3,
and p = 0.18127.
1
x
(t ) φ
t
0 1 2
(b)
0
α
20 40
x
p (α)
.06
.03
(a)
FIGURE5.6: (a) PMFand (b) magnitude characteristic function for discrete RVwith negative binomial
distribution, r = 3, and p = 0.18127.
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STANDARDPROBABILITY DISTRIBUTIONS 11
5.3.1 Poisson Approximation to Bernoulli
When n becomes large in the Bernoulli PMF in such a way that np = λ = constant, the
Bernoulli PMF approaches another important PMF known as the Poisson PMF. The Poisson
PMF is treated in the following section.
Lemma 5.3.1. We have
p(k) = lim
n→∞,np=λ
_
n
k
_
p
k
q
n−k
=



λ
k
e
−λ
k!
, k = 0, 1, . . .
0, otherwise,
(5.30)
Proof. Substituting p =
λ
n
and q = 1 −
λ
n
,
p(k) = lim
n→∞
1
k!
_
λ
k
_
k _
1 −
λ
n
_
n−k k−1

i =0
(n −i ).
Note that
lim
n→∞
n
−k
_
1 −
λ
n
_
−k k−1

i =0
(n −i ) = 1,
so that
p(k) = lim
n→∞
λ
k
k!
_
1 −
λ
n
_
n
.
Now,
lim
n→∞
ln
_
1 −
λ
n
_
n
= lim
n→∞
ln
_
1 −
λ
n
_
1
n
= −λ
so that
lim
n→∞
_
1 −
λ
n
_
n
= e
−λ
,
from which the desired result follows.
We note that the limiting value p(k) may be used as an approximation for the Bernoulli
PMF when p is small by substituting λ = np. While there are no prescribed rules regarding the
values of n and p for this approximation, the larger the value of n and the smaller the value of p,
the better the approximation. Satisfactory results are obtained with np < 10. The motivation
for using this approximation is that when n is large, Tables A.1–A.3 are useless for finding
values for the Bernoulli CDF.
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12 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
Example 5.3.2. Suppose x is a Bernoulli random variable with n = 5000 and p = 0.001. Find
P(x ≤ 5).
Solution. Our solution involves approximating the Bernoulli PMF with the Poisson PMF
since n is quite large (and the Bernoulli CDF table is useless), and p is very close to zero.
Since λ = np = 5, we find from Table A.5 (the Poisson CDF table is covered in Section 4) that
P(x ≤ 5) = 0.6160.
Incidentally, if p is close to one, we can still use this approximation by reversing our definition of
success and failure in the Bernoulli experiment, which results in a value of p close to zero—see
(5.22).
5.3.2 Gaussian Approximation to Bernoulli
Previously, the PoissonPMFwas usedtoapproximate a Bernoulli PMFunder certainconditions,
that is, when n is large, p is small and np < 10. This approximation is quite useful since the
Bernoulli table lists only CDF values for n up to 20. The Gaussian PDF (see Section 5.5)
is also used to approximate a Bernoulli PMF under certain conditions. The accuracy of this
approximation is best when n is large, p is close to 1/2, and npq > 3. Notice that in some
circumstances np < 10 and npq > 3. Then either the Poisson or the Gaussian approximation
will yield good results.
Lemma 5.3.2. Let
y =
x −np

npq
, (5.31)
where x is a Bernoulli RV. Then the characteristic function for y satisfies
φ(t) = lim
n→∞
φ
y
(t) = e
−t
2
/2
. (5.32)
Proof. We have
φ
y
(t) = exp
_
−j
np

npq
t
_
φ
x
_
t

npq
_
.
Substituting for φ
x
(t),
φ
y
(t) = exp
_
−j
_
np
q
t
__
q + p exp
_
j
t

npq
__
n
.
Simplifying,
φ
y
(t) =
_
q exp
_
−j t
_
p
qn
_
+ p exp
_
j t
_
q
np
__
n
.
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STANDARDPROBABILITY DISTRIBUTIONS 13
Letting
β =
_
q
p
, and α =
_
1
n
,
we obtain
lim
n→∞
ln φ
y
(t) = lim
α→0
ln( pβ
2
e
−j tα/β
+ pe
j tβα
)
α
2
.
Applying L’Hˆ ospital’s Rule twice,
lim
α→0
ln φ
y
(t) = lim
α→0
−j tpβe
−j tα/β
+ j tpβe
j tβα

=
−t
2
p −t
2
β
2
p
2
= −
t
2
2
.
Consequently,
lim
n→∞
φ
y
(t) = exp
_
lim
n→∞
ln φ
y
(t)
_
= e
−t
2
/2
.

The limiting φ(t) in the above lemma is the characteristic function for a Gaussian RV
with zero mean and unit variance. Hence, for large n and a < b
P(a < x < b) = P(a

< y < b

) ≈ F(b

) − F(a

), (5.33)
where
F(γ ) =
1


γ
_
−∞
e
−α
2
/2
dα = 1 − Q(γ ) (5.34)
is the standard Gaussian CDF,
a

=
a −np

npq
, b

=
b −np

npq
, (5.35)
and Q(·) is Marcum’s Q function which is tabulated in Tables A.8 and A.9 of the Appendix.
Evaluation of the above integral as well as the Gaussian PDF are treated in Section 5.5.
Example 5.3.3. Suppose x is a Bernoulli random variable with n = 5000 and p = 0.4. Find
P(x ≤ 2048).
Solution. The solution involves approximating the Bernoulli CDF with the Gaussian CDF
since npq = 1200 > 3. With np = 2000, npq = 1200 and b

= (2048 −2000)/34.641 =
1.39, we find from Table A.8 that
P(x ≤ 2048) ≈ F(1.39) = 1 − Q(1.39) = 0.91774.
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14 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
When approximating the Bernoulli CDF with the Gaussian CDF, a continuous distribution is
used to calculate probabilities for a discrete RV. It is important to note that while the approxi-
mation is excellent in terms of the CDFs—the PDF of any discrete RV is never approximated
with a continuous PDF. Operationally, to compute the probability that a Bernoulli RV takes an
integer value using the Gaussian approximation we must round off to the nearest integer.
Example 5.3.4. Suppose x is a Bernoulli random variable with n = 20 and p = 0.5. Find
P(x = 8).
Solution. Since npq = 5 > 3, the Gaussian approximation is used to evaluate the Bernoulli
PMF, p
x
(8). With np = 10, npq = 5, a

= (7.5 −10)/

5 = −1.12, and b

= (8.5 −10)/

5 = −0.67, we have
p
x
(8) = P(7.5 < x < 8.5) ≈ F(−0.67) − F(−1.12) = 0.25143 −0.13136;
hence, p
x
(8) ≈ 0.12007. From the Bernoulli table, p
x
(8) = 0.1201, which is very close to the
above approximation.
Drill Problem 5.3.1. A survey of residents in Fargo, North Dakota revealed that 30% preferred a
white automobile over all other colors. Determine the probability that: (a) exactly five of the next 20
cars purchased will be white, (b) at least five of the next twenty cars purchased will be white, (c) from
two to five of the next twenty cars purchased will be white.
Answers: 0.1789, 0.4088, 0.7625.
Drill Problem 5.3.2. Prof. Rensselaer is an avid albeit inaccurate marksman. The probability she
will hit the target is only 0.3. Determine: (a) the expected number of hits scored in 15 shots, (b) the
standard deviation for 15 shots, (c) the number of times she must fire so that the probability of hitting
the target at least once is greater than 1/2.
Answers: 2, 4.5, 1.7748.
5.4 POISSONDISTRIBUTION
A Poisson PMF describes the number of successes occurring on a continuous line, typically a
time interval, or within a given region. For example, a Poisson random variable might represent
the number of telephone calls per hour, or the number of errors per page in this textbook.
In the previous section, we found that the limit (as n →∞and constant mean np) of a
Bernoulli PMF is a Poisson PMF. In this section, we derive the Poisson probability distribution
from two fundamental assumptions about the phenomenon based on physical characteristics.
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STANDARDPROBABILITY DISTRIBUTIONS 15
The following development makes use of the order notation o(h) to denote any function
g(h) which satisfies
lim
h→0
g(h)
h
= 0. (5.36)
For example, g(h) = 15h
2
+7h
3
= o(h).
We use the notation
p(k, τ) = P(k successes in interval [0, τ]). (5.37)
The Poisson probability distribution is characterized by the following two properties:
(1) The number of successes occurring in a time interval or region is independent of the
number of successes occurring in any other non-overlapping time interval or region. Thus, with
A = {k successes in interval I
1
}, (5.38)
and
B = { successes in interval I
2
}, (5.39)
we have
P(A ∩ B) = P(A)P(B), if I
1
∩ I
2
= . (5.40)
As we will see, the number of successes depends only on the length of the time interval
and not the location of the interval on the time axis.
(2) The probability of a single success during a very small time interval is proportional to
the length of the interval. The longer the interval, the greater the probability of success. The
probability of more than one success occurring during an interval vanishes as the length of the
interval approaches zero. Hence
p(1, h) = λh +o(h), (5.41)
and
p(0, h) = 1 −λh +o(h). (5.42)
This second property indicates that for a series of very small intervals, the Poisson process is
composed of a series of Bernoulli trials, each with a probability of success p = λh +o(h).
Since [0, τ +h] = [0, τ] ∪ (τ, τ +h] and [0, τ] ∩ (τ, τ +h] = , we have
p(0, τ +h) = p(0, τ) p(0, h) = p(0, τ)(1 −λh +o(h)).
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16 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
Noting that
p(0, τ +h) − p(0, τ)
h
=
−λhp(0, τ) +o(h)
h
and taking the limit as h →0,
dp(0, τ)

= −λp(0, τ), p(0, 0) = 1. (5.43)
This differential equation has solution
p(0, τ) = e
−λτ
u(τ). (5.44)
Applying the above properties, it is readily seen that
p(k, τ +h) = p(k −1, τ) p(1, h) + p(k, τ) p(0, h) +o(h),
or
p(k, τ +h) = p(k −1, τ)λh + p(k, τ)(1 −λh) +o(h),
so that
p(k, τ +h) − p(k, τ)
h
+λp(k, τ) = λp(k −1, τ) +
o(h)
h
.
Taking the limit as h →0
dp(k, τ)

+λp(k, τ) = λp(k −1, τ), k = 1, 2, . . . , (5.45)
with p(k, 0) = 0. It can be shown ([7, 8]) that
p(k, τ) = λe
−λτ
τ
_
0
e
λt
p(k −1, t)dt (5.46)
and hence that
p(k, τ) =
(λτ)
k
e
−λτ
k!
u(τ), k = 0, 1, . . . . (5.47)
The RV x = number of successes thus has a Poisson distribution with parameter λτ and PMF
p
x
(k) = p(k, τ). The rate of the Poisson process is λ and the interval length is τ.
For ease in subsequent development, we replace the parameter λτ with λ. The characteris-
tic function for a Poisson RV x with parameter λ is found as (with parameter λ, p
x
(k) = p(k, 1))
φ
x
(t) = e
−λ

k=0
(λe
j t
)
k
k!
= e
−λ
exp(λe
j t
) = exp(λ(e
j t
−1)). (5.48)
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STANDARDPROBABILITY DISTRIBUTIONS 17
0 10 20
x
p (α)
.12
.06
(a)
1
x
(t )
t
0 1 2
(b)
φ
α
FIGURE 5.7: (a) PMF and (b) magnitude characteristic function for Poisson distributed RV with
parameter λ = 10.
Figure 5.7 illustrates the PMF and characteristic function magnitude for a discrete RV with
Poisson distribution and parameter λ = 10.
It is of interest to note that if x
1
and x
2
are independent Poisson RVs with parameters λ
1
and λ
2
, respectively, then
φ
x
1
+x
2
(t) = exp((λ
1

2
)(e
j t
−1)); (5.49)
i.e., x
1
+ x
2
is also a Poisson with parameter λ
1

2
.
The moments of a Poisson RV are tedious to compute using techniques we have seen so
far. Consider the function
ψ
x
(γ ) = E(γ
x
) (5.50)
and note that
ψ
(k)
x
(γ ) = E
_
γ
x−k
k−1

i =0
(x −i )
_
,
so that
E
_
k−1

i =0
(x −i )
_
= ψ
(k)
x
(1). (5.51)
If x is Poisson distributed with parameter λ, then
ψ
x
(γ ) = e
λ(γ −1)
, (5.52)
so that
ψ
(k)
x
(γ ) = λ
k
e
λ(γ −1)
;
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18 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
hence,
E
_
k−1

i =0
(x −i )
_
= λ
k
. (5.53)
In particular, E(x) = λ, E(x(x −1)) = λ
2
= E(x
2
) −λ, so that σ
2
x
= λ
2
+λ −λ
2
= λ.
While it is quite easy to calculate the value of the Poisson PMF for a particular number
of successes, hand computation of the CDF is quite tedious. Therefore, the Poisson CDF is
tabulated in Tables A.4-A.7 of the Appendix for selected values of λ ranging from 0.1 to 18.
Fromthe Poisson CDFtable, we note that the value of the Poisson PMFincreases as the number
of successes k increases from zero to the mean, and then decreases in value as k increases from
the mean. Additionally, note that the table is written with a finite number of entries for each
value of λ because the PMF values are written with six decimal place accuracy, even though an
infinite number of Poisson successes are theoretically possible.
Example 5.4.1. On the average, Professor Rensselaer grades 10 problems per day. What is the
probability that on a given day (a) 8 problems are graded, (b) 8–10 problems are graded, and (c) at
least 15 problems are graded?
Solution. With x a Poisson random variable, we consult the Poisson CDF table with λ = 10,
and find
a) p
x
(8) = F
x
(8) − F
x
(7) = 0.3328 −0.2202 = 0.1126,
b) P(8 ≤ x ≤ 10) = F
x
(10) − F
x
(7) = 0.5830 −0.2202 = 0.3628,
c) P(x ≥ 15) = 1 − F
x
(14) = 1 −0.9165 = 0.0835.

5.4.1 Interarrival Times
In many instances, the length of time between successes, known as an interarrival time, of a
Poisson random variable is more important than the actual number of successes. For example,
in evaluating the reliability of a medical device, the time to failure is far more significant to the
biomedical engineer than the fact that the device failed. Indeed, the subject of reliability theory
is so important that entire textbooks are devoted to the topic. Here, however, we will briefly
examine the subject of interarrival times from the basis of the Poisson PMF.
Let RV t
r
denote the length of the time interval from zero to the r th success. Then
p(τ −h < t
r
≤ τ) = p(r −1, τ −h) p(1, h)
= p(r −1, τ −h)λh +o(h)
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STANDARDPROBABILITY DISTRIBUTIONS 19
so that
F
t
r
(τ) − F
t
r
(τ −h)
h
= λp(r −1, τ −h) +
o(h)
h
.
Taking the limit as h →0 we find that the PDF for the r th order interarrival time, that is, the
time interval from any starting point to the r th success after it, is
f
t
r
(τ) =
λ
r
τ
r −1
e
−λτ
(r −1)!
u(τ), r = 1, 2, . . . . (5.54)
This PDF is known as the Erlang PDF. Clearly, with r = 1, we have the exponential PDF:
f
t
(τ) = λe
−λτ
u(τ). (5.55)
The RV t is called the first-order interarrival time.
The Erlang PDF is a special case of the gamma PDF:
f
x
(α) =
λ
r
α
r −1
e
−λα
(r )
u(α), (5.56)
for any real r > 0, λ > 0, where is the gamma function
(r ) =

_
0
α
r −1
e
−α
dα. (5.57)
Straightforward integration reveals that (1) = 1 and (r +1) = r (r ) so that if r is a positive
integer then (r ) = (r −1)!—for this reason the gamma function is often called the factorial
function. Using the above definition for (r ), it is easily shown that the moment generating
function for a gamma-distributed RV is
M
x
(η) =
_
λ
λ −η
_
r
, for η < λ. (5.58)
The characteristic function is thus
φ
x
(t) =
_
λ
λ − j t
_
r
. (5.59)
It follows that the mean and variance are
η
x
=
r
λ
, and σ
2
x
=
r
λ
2
. (5.60)
Figure 5.8 illustrates the PDF and magnitude of the characteristic function for a RV with
gamma distribution with r = 3 and λ = 0.2.
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20 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
0 20 40
x
f (α)
.06
.03
(a)
1
x
(t )
t
0 1 2
(b)
φ
α
FIGURE5.8: (a) PDF and (b) magnitude characteristic function for gamma distributed RV with r = 3
and parameter λ = 0.2.
Drill Problem 5.4.1. On the average, Professor S. Rensselaer makes five blunders per lecture.
Determine the probability that she makes (a) less than six blunders in the next lecture: (b) exactly five
blunders in the next lecture: (c) from three to seven blunders in the next lecture: (d) zero blunders in
the next lecture.
Answers: 0.6160, 0.0067, 0.7419, 0.1755.
Drill Problem 5.4.2. A process yields 0.001% defective items. If one million items are produced,
determine the probability that the number of defective items exceeds twelve.
Answer: 0.2084.
Drill Problem5.4.3. Professor S. Rensselaer designs her examinations so that the probability of at
least one extremely difficult problem is 0.632. Determine the average number of extremely difficult
problems on a Rensselaer examination.
Answer: 1.
5.5 UNIVARIATEGAUSSIANDISTRIBUTION
The Gaussian PDF is the most important probability distribution in the field of biomedical
engineering. Plentiful applications arise in industry, research, and nature, ranging from instru-
mentation errors to scores on examinations. The PDF is named in honor of Gauss (1777–1855),
who derived the equation based on an error study involving repeated measurements of the same
quantity. However, De Moivre is first credited with describing the PDF in 1733. Applications
also abound in other areas outside of biomedical engineering since the distribution fits the
observed data in many processes. Incidentally, statisticians refer to the Gaussian PDF as the
normal PDF.
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STANDARDPROBABILITY DISTRIBUTIONS 21
Definition 5.5.1. A continuous RV z is a standardized Gaussian RV if the PDF is
f
z
(α) =
1


e

1
2
α
2
. (5.61)
The moment generating function for a standardized Gaussian RV can be found as follows:
M
z
(λ) =
1



_
−∞
e
λα−
1
2
α
2

=
1



_
−∞
e

1
2
((α−λ)
2
−λ
2
)
dα.
Making the change of variable β = α −λ we find
M
z
(λ) = e
1
2
λ
2

_
−∞
f
z
(β)dβ = e
1
2
λ
2
, (5.62)
for all real λ. We have made use of the fact that the function f
z
is a bona fide PDF, as treated
in Problem 42. Using the Taylor series expansion for an exponential,
e
1
2
λ
2
=

k=0
λ
2k
2
k
k!
=

n=0
M
(n)
x
(0)λ
n
n!
,
so that all moments of z exist and
E(z
2k
) =
(2k)!
2
k
k!
, k = 0, 1, 2, . . . , (5.63)
and
E(z
2k+1
) = 0, k = 0, 1, 2, . . . . (5.64)
Consequently, a standardized Gaussian RV has zero mean and unit variance. Extending the
range of definition of M
z
(λ) to include the finite complex plane, we find that the characteristic
function is
φ
z
(t) = M
z
( j t) = e

1
2
t
2
. (5.65)
Letting the RV x = σz +η we find that E(x) = η and σ
2
x
= σ
2
. For σ > 0
F
x
(α) = P(σz +η ≤ α) = F
z
((α −η)/σ),
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22 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
so that x has the general Gaussian PDF
f
x
(α) =
1

2πσ
2
exp
_

1

2
(α −η)
2
_
. (5.66)
Similarly, with σ > 0 and x = −σz +η we find
F
x
(α) = P(−σz +η ≤ α) = 1 − F
z
((η −α)/σ),
so that f
x
is as above. We will have occasion to use the shorthand notation x ∼ G(η, σ
2
) to
denote that the RVhas a Gaussian PDFwith mean η and variance σ
2
. Note that if x ∼ G(η, σ
2
)
then (x = σz +η)
φ
x
(t) = e
j ηt
e

1
2
σ
2
t
2
. (5.67)
The Gaussian PDF, illustrated with η = 75 and σ
2
= 25, as well as with η = 75 and σ
2
= 9
in Figure 5.9, is a bell-shaped curve completely determined by its mean and variance. As can
be seen, the Gaussian PDF is symmetrical about the vertical axis through the expected value.
If, in fact, η = 25, identically shaped curves could be drawn, centered now at 25 instead of
75. Additionally, the maximum value of the Gaussian PDF, (2πσ
2
)
−1/2
, occurs at α = η. The
PDF approaches zero asymptotically as α approaches ±∞. Naturally, the larger the value of the
variance, the more spread in the distribution and the smaller the maximum value of the PDF.
For any combination of the mean and variance, the Gaussian PDF curve must be symmetrical
as previously described, and the area under the curve must equal one.
Unfortunately, a closed form expression does not exist for the Gaussian CDF, which
necessitates numerical integration. Rather than attempting to tabulate the general Gaussian
CDF, a normalization is performed to obtain a standardized Gaussian RV (with zero mean
α
x
f (α)
.12
65 75 85
.08
.04
FIGURE5.9: Gaussian probability density function for η = 75 and σ
2
= 9, 25.
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STANDARDPROBABILITY DISTRIBUTIONS 23
and unit variance). If x ∼ G(η, σ
2
), the RV z = (x −η)/σ is a standardized Gaussian RV:
z ∼ G(0, 1). This transformation is always applied when using standard tables for computing
probabilities for Gaussian RVs. The probability P(α
1
< x ≤ α
2
) can be obtained as
P(α
1
< x ≤ α
2
) = F
x

2
) − F
x

1
), (5.68)
using the fact that
F
x
(α) = F
z
((α −η)/σ). (5.69)
Note that
F
z
(α) =
1


α
_
−∞
e

1
2
τ
2
dτ = 1 − Q(α), (5.70)
where Q(·) is Marcum’s Q function:
Q(α) =
1



_
α
e

1
2
τ
2
dτ. (5.71)
Marcum’s Qfunction is tabulated in Tables A.8 and A.9 for 0 ≤ α < 4 using the approximation
presented in Section 5.5.1. It is easy to show that
Q(−α) = 1 − Q(α) = F
z
(α). (5.72)
The error and complementary error functions, defined by
erf(α) =
2
π
α
_
0
e
−t
2
dt (5.73)
and
erfc(α) =
2
π

_
α
e
−t
2
dt = 1 −erf(α) (5.74)
are also often used to evaluate the standard normal integral. A simple change of variable reveals
that
erfc(α) = 2Q(α/

2). (5.75)
Example 5.5.1. Compute F
z
(−1.74), where z ∼ G(0, 1).
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24 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
Solution. To compute F
z
(−1.74), we find
F
z
(−1.74) = 1 − Q(−1.74) = Q(1.74) = 0.04093,
using (5.72) and Table A.8.

While the value a Gaussian randomvariable takes on is any real number between negative
infinity and positive infinity, the realistic range of values is much smaller. From Table A.9,
we note that 99.73% of the area under the curve is contained between −3.0 and 3.0. From
the transformation z = (x −η)/σ, the range of values random variable x takes on is then
approximately η ±3σ. This notion does not imply that randomvariable x cannot take on a value
outside this interval, but the probability of it occurring is really very small (2Q(3) = 0.0027).
Example 5.5.2. Suppose x is a Gaussian random variable with η = 35 and σ = 10. Sketch the
PDF and then find P(37 ≤ x ≤ 51). Indicate this probability on the sketch.
Solution. The PDF is essentially zero outside the interval [η −3σ, η +3σ] = [5, 65]. The
sketch of this PDF is shown in Figure 5.10 along with the indicated probability. With
z =
x −35
10
we have
P(37 ≤ x ≤ 51) = P(0.2 ≤ z ≤ 1.6) = F
z
(1.6) − F
z
(0.2).
Hence P(37 ≤ x ≤ 51) = Q(0.2) − Q(1.6) = 0.36594 from Table A.9.
x
f (α)
.03
30 60
.02
.01
.04
0
α
FIGURE5.10: PDF for Example 5.5.2.
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STANDARDPROBABILITY DISTRIBUTIONS 25
Example 5.5.3. A machine makes capacitors with a mean value of 25 μF and a standard deviation
of 6 μF. Assuming that capacitance follows a Gaussian distribution, find the probability that the value
of capacitance exceeds 31 μF if capacitance is measured to the nearest μF.
Solution. Let the RV x denote the value of a capacitor. Since we are measuring to the nearest
μF, the probability that the measured value exceeds 31 μF is
P(31.5 ≤ x) = P(1.083 ≤ z) = Q(1.083) = 0.13941,
where z = (x −25)/6 ∼ G(0, 1). This result is determined by linear interpolation of the CDF
between equal 1.08 and 1.09.
5.5.1 Marcum’s QFunction
Marcum’s Q function, defined by
Q(γ ) =
1



_
γ
e

1
2
α
2
dα (5.76)
has been extensively studied. If the RV z ∼ G(0, 1) then
Q(γ ) = 1 − F
z
(γ ); (5.77)
i.e., Q(γ ) is the complement of the standard Gaussian CDF. Note that Q(0) = 0.5, Q(∞) = 0,
and that F
z
(−γ ) = Q(γ ). A very accurate approximation to Q(γ ) is presented in [1, p. 932]:
Q(γ ) ≈ e

1
2
γ
2
h(t), γ > 0, (5.78)
where
t =
1
1 +0.2316419γ
, (5.79)
and
h(t) =
1


t(a
1
+t(a
2
+t(a
3
+t(a
4
+a
5
t)))). (5.80)
The constants are
i a
i
1 0.31938153
2 −0.356563782
3 1.781477937
4 −1.821255978
5 1.330274429
The error in using this approximation is less than 7.5 ×10
−8
.
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26 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
A very useful bound for Q(α) is [1, p. 298]
_
2
π
e

1
2
α
2
α +

α
2
+4
< Q(α) ≤
_
2
π
e

1
2
α
2
α +

α
2
+0.5π
. (5.81)
The ratio of the upper bound to the lower bound is 0.946 when α = 3 and 0.967 when α = 4.
The bound improves as α increases.
Sometimes, it is desired to find the value of γ for which Q(γ ) = q. Helstrom [14] offers
an iterative procedure which begins with an initial guess γ
0
> 0. Then compute
t
i
=
1
1 +0.2316419γ
i
(5.82)
and
γ
i +1
=
_
2 ln
_
h(t
i
)
q
__
1/2
, i = 0, 1, . . . . (5.83)
The procedure is terminated when γ
i +1
≈ γ
i
to the desired degree of accuracy.
Drill Problem5.5.1. Students attend Fargo Polytechnic Institute for an average of four years with a
standard deviation of one-half year. Let the randomvariable x denote the length of attendance and as-
sume that x is Gaussian. Determine: (a) P(1 < x < 3), (b)P(x > 4), (c )P(x = 4), (d)F
x
(4.721).
Answers: 0.5, 0, 0.02275, 0.92535.
Drill Problem 5.5.2. The quality point averages of 2500 freshmen at Fargo Polytechnic Institute
follow a Gaussian distribution with a mean of 2.5 and a standard deviation of 0.7. Suppose grade
point averages are computed to the nearest tenth. Determine the number of freshmen you would expect
to score: (a) from 2.6 to 3.0, (b) less than 2.5, (c) between 3.0 and 3.5, (d) greater than 3.5.
Answers: 167, 322, 639, 1179.
Drill Problem5.5.3. Professor Rensselaer loves the game of golf. She has determined that the distance
the ball travels on her first shot follows a Gaussian distribution with a mean of 150 and a standard
deviation of 17. Determine the value of d so that the range, 150 ±d, covers 95% of the shots.
Answer: 33.32.
5.6 BIVARIATEGAUSSIANRANDOMVARIABLES
The previous section introduced the univariate Gaussian PDF along with some general char-
acteristics. Now, we discuss the joint Gaussian PDF and its characteristics by drawing on our
univariate Gaussian PDF experiences, and significantly expanding the scope of applications.
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STANDARDPROBABILITY DISTRIBUTIONS 27
Numerous applications of this joint PDF are found throughout the field of biomedical engi-
neering and, like the univariate case, the joint Gaussian PDF is considered the most important
joint distribution for biomedical engineers.
Definition 5.6.1. The bivariate RV z = (x, y) is a bivariate Gaussian RV if every linear combi-
nation of x and y has a univariate Gaussian distribution. In this case we also say that the RVs x and
y are jointly distributed Gaussian RVs.
Let the RV w = ax +by, and let x and y be jointly distributed Gaussian RVs. Then
w is a univariate Gaussian RV for all real constants a and b. In particular, x ∼ G(η
x
, σ
2
x
) and
y ∼ G(η
y
, σ
2
y
); i.e., the marginal PDFs for a joint Gaussian PDF are univariate Gaussian. The
above definition of a bivariate Gaussian RV is sufficient for determining the bivariate PDF,
which we now proceed to do.
The following development is significantly simplified by considering the standardized
versions of x and y. Also, we assume that |ρ
x,y
| < 1, σ
x
= 0, and σ
y
= 0. Let
z
1
=
x −η
x
σ
x
and z
2
=
y −η
y
σ
y
, (5.84)
so that z
1
∼ G(0, 1) and z
2
∼ G(0, 1). Below, we first find the joint characteristic function
for the standardized RVs z
1
and z
2
, then the conditional PDF f
z
2
|z
1
and the joint PDF f
z
1
,z
2
.
Next, the results for z
1
and z
2
are applied to obtain corresponding quantities φ
x,y
, f
y|x
and f
x,y
.
Finally, the special cases ρ
x,y
= ±1, σ
x
= 0, and σ
y
= 0 are discussed.
Since z
1
and z
2
are jointly Gaussian, the RV t
1
z
1
+t
2
z
2
is univariate Gaussian:
t
1
z
1
+t
2
z
2
∼ G
_
0, t
2
1
+2t
1
t
2
ρ +t
2
2
_
.
Completing the square,
t
2
1
+2t
1
t
2
ρ +t
2
2
= (t
1
+ρt
2
)
2
+(1 −ρ
2
)t
2
2
,
so that
φ
z
1
,z
2
(t
1
, t
2
) = E(e
j t
1
z
1
+j t
2
z
2
) = e

1
2
(1−ρ
2
)t
2
2
e

1
2
(t
1
+ρt
2
)
2
. (5.85)
From (6) we have
f
z
1
,z
2
(α, β) =
1


_
−∞
I(α, t
2
)e
−jβt
2
dt
2
, (5.86)
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28 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
where
I(α, t
2
) =
1


_
−∞
φ
z
1
,z
2
(t
1
, t
2
)e
−j αt
1
dt
1
.
Substituting (5.85) and letting τ = t
1
+t
2
ρ, we obtain
I(α, t
2
) = e

1
2
(1−ρ
2
)t
2
2
1


_
−∞
e

1
2
τ
2
e
−j α(τ−ρt
2
)
dτ,
or
I(α, t
2
) = φ(t
2
) f
z
1
(α),
where
φ(t
2
) = e
j αρt
2
e

1
2
(1−ρ
2
)t
2
2
.
Substituting into (5.86) we find
f
z
1
,z
2
(α, β) = f
z
1
(α)
1


_
−∞
φ(t
2
)e
−jβt
2
dt
2
and recognize that φ is the characteristic function for a Gaussian RVwith mean αρ and variance
1 −ρ
2
. Thus
f
z
1
,z
2
(α, β)
f
z
1
(α)
= f
z
2
|z
1
(β|α) =
1
_
2π(1 −ρ
2
)
exp
_

(β −ρα)
2
2(1 −ρ
2
)
_
, (5.87)
so that
E(z
2
| z
1
) = ρz
1
(5.88)
and
σ
2
z
2
|z
1
= 1 −ρ
2
. (5.89)
After some algebra, we find
f
z
1
,z
2
(α, β) =
1
2π(1 −ρ
2
)
1/2
exp
_

α
2
−2ραβ +β
2
2(1 −ρ
2
)
_
. (5.90)
We now turn our attention to using the above results for z
1
and z
2
to obtain similar results for
x and y. From (5.84) we find that
x = σ
x
z
1

x
and y = σ
y
z
2

y
,
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STANDARDPROBABILITY DISTRIBUTIONS 29
so that the joint characteristic function for x and y is
φ
x,y
(t
1
, t
2
) = E(e
j t
1
x+j t
2
y
) = E(e
j t
1
σ
x
z
1
+j t
2
σ
y
z
2
)e
j t
1
η
x
+j t
2
η
y
.
Consequently, the joint characteristic function for x and y can be found from the joint charac-
teristic function of z
1
and z
2
as
φ
x,y
(t
1
, t
2
) = φ
z
1
,z
2

x
t
1
, σ
y
t
2
)e
j η
x
t
1
e
j η
y
t
2
. (5.91)
Using (4.66), the joint characteristic function φ
x,y
can be transformed to obtain the joint PDF
f
x,y
(α, β) as
f
x,y
(α, β) =
1
(2π)
2

_
−∞

_
−∞
φ
z
1
,z
2

x
t
1
, σ
y
t
2
)e
−j (α−η
x
)t
1
e
−j (β−η
y
)t
2
dt
1
dt
2
. (5.92)
Making the change of variables τ
1
= σ
x
t
1
, τ
2
= σ
y
t
2
, we obtain
f
x,y
(α, β) =
1
σ
x
σ
y
f
z
1
,z
2
_
α −η
x
σ
x
,
β −η
y
σ
y
_
. (5.93)
Since
f
x,y
(α, β) = f
y|x
(β|α) f
x
(α)
and
f
x
(α) =
1
σ
x
f
z
1
_
α −η
x
σ
x
_
,
we may apply (5.93) to obtain
f
y|x
(β|α) =
1
σ
y
f
z
2
|z
1
_
β −η
y
σ
y
¸
¸
¸
¸
α −η
x
σ
x
_
. (5.94)
Substituting (5.90) and (5.87) into (5.93) and (5.94) we find
f
x,y
(α, β) =
exp
_

1
2(1−ρ
2
)
_
(α−η
x
)
2
σ
2
x

2ρ(α−η
x
)(β−η
y
)
σ
x
σ
y
+
(β−η
y
)
2
σ
2
y
__
2πσ
x
σ
y
(1 −ρ
2
)
1/2
(5.95)
and
f
y|x
(β|α) =
exp
_

_
β−η
y
−ρσ
y
α−η
x
σ
x
_
2
2(1−ρ
2

2
y
_
_
2πσ
2
y
(1 −ρ
2
)
. (5.96)
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30 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
It follows that
E(y|x) = η
y
+ρσ
y
x −η
x
σ
x
(5.97)
and
σ
2
y|x
= σ
2
y
(1 −ρ
2
). (5.98)
By interchanging x with y and α with β,
f
x|y
(α|β) =
exp



_
α−η
x
−ρσ
x
β−η
y
σ
y
_
2
2(1−ρ
2

2
y


_
2πσ
2
x
(1 −ρ
2
)
, (5.99)
E(x|y) = η
x
+ρσ
x
y −η
y
σ
y
, (5.100)
and
σ
2
x|y
= σ
2
x
(1 −ρ
2
). (5.101)
A three-dimensional plot of a bivariate Gaussian PDF is shown in Figure 5.11.
The bivariate characteristic function for x and y is easily obtained as follows. Since x and
y are jointly Gaussian, the RV t
1
x +t
2
y is a univariate Gaussian RV:
t
1
x +t
2
y ∼ G
_
t
1
η
x
+t
2
η
y
, t
2
1
σ
2
x
+2t
1
t
2
σ
x,y
+t
2
2
σ
2
y
_
.
x , y
f (α, β )
.265
α = −3
α = 3
β = −3
β = 3
FIGURE5.11: Bivariate Gaussian PDF f
x,y
(α, β) with σ
x
= σ
y
= 1, η
x
= η
y
= 0, and ρ = −0.8.
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STANDARDPROBABILITY DISTRIBUTIONS 31
Consequently, the joint characteristic function for x and y is
φ
x,y
(t
1
, t
2
) = e

1
2
(t
2
1
σ
2
x
+2t
1
t
2
σ
x,y
+t
2
2
σ
2
y
)
e
j t
1
η
x
+j t
2
η
y
, (5.102)
which is valid for all σ
x,y
, σ
x
and σ
y
.
We now consider some special cases of the bivariate Gaussian PDF. If ρ = 0 then (from
(5.95))
f
x,y
(α, β) = f
x
(α) f
y
(β); (5.103)
i.e., RVs x and y are independent.
As ρ →±1, from (5.97) and (5.98) we find
E(y|x) →η
y
±σ
y
x −η
x
σ
x
and σ
2
y|x
→0. Hence,
y →η
y
±σ
y
x −η
x
σ
x
in probability
1
. We conclude that
f
x,y
(α, β) = f
x
(α)δ
_
β −η
y
±σ
y
α −η
x
σ
x
_
(5.104)
for ρ = ±1. Interchanging the roles of x and y we find that the joint PDF for x and y may also
be written as
f
x,y
(α, β) = f
y
(β)δ
_
α −η
x
±σ
x
β −η
y
σ
y
_
(5.105)
when ρ = ±1. These results can also be obtained “directly” fromthe joint characteristic function
for x and y.
A very special property of jointly Gaussian RVs is presented in the following theorem.
Theorem5.6.1. The jointly Gaussian RVs x and y are independent iff ρ
x,y
= 0.
Proof. We showed previously that if x and y are independent, then ρ
x,y
= 0.
Suppose that ρ = ρ
x,y
= 0. Then f
y|x
(β|α) = f
y
(β).
Example 5.6.1. Let x and y be jointly Gaussian with zero means, σ
2
x
= σ
2
y
= 1, and ρ = ±1.
Find constants a and b such that v = ax +by ∼ G(0, 1) and such that v and x are independent.
1
As the variance of a RV decreases to zero, the probability that the RV deviates from its mean by more than an
arbitrarily small fixed amount approaches zero. This is an application of the Chebyshev Inequality.
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32 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
Solution. We have E(v) = 0. We require
σ
2
v
= a
2
+b
2
+2abρ
2
x,y
= 1
and
E(vx) = a +bρ
x,y
= 0.
Hence a = −bρ
x,y
and b
2
= 1/(1 −ρ
2
x,y
), so that
v =
y −ρ
x,y
x
_
1 −ρ
2
x,y
is independent of x and σ
2
v
= 1.
5.6.1 Constant Contours
Returning to the normalized jointly Gaussian RVs z
1
and z
2
, we now investigate the shape of
the joint PDF f
z
1
,z
2
(α, β) by finding the locus of points where the PDF is constant. We assume
that |ρ| < 1. By inspection of (5.90), we find that f
z
1
,z
2
(α, β) is constant for α and β satisfying
α
2
−2ραβ +β
2
= c
2
, (5.106)
where c is a positive constant.
If ρ = 0 the contours where the joint PDF is constant is a circle of radius c centered at
the origin.
Along the line β = qα we find that
α
2
(1 −2ρq +q
2
) = c
2
(5.107)
so that the constant contours are parameterized by
α =
±c
_
1 −2ρq +q
2
, (5.108)
and
β =
±c q
_
1 −2ρq +q
2
. (5.109)
The square of the distance from a point (α, β) on the contour to the origin is given by
d
2
(q) = α
2

2
=
c
2
(1 +q
2
)
1 −2ρq +q
2
. (5.110)
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STANDARDPROBABILITY DISTRIBUTIONS 33
Differentiating, we find that d
2
(q) attains its extremal values at q = ±1. Thus, the line β = α
intersects the constant contour at
±β = α =
±c
_
2(1 −ρ)
. (5.111)
Similarly, the line β = −α, intersects the constant contour at
±β = −α =
±c
_
2(1 −ρ)
. (5.112)
Consider the rotated coordinates α

= (α +β)/

2 and β

= (β −α)/

2, so that
α


2
= β (5.113)
and
α

−β


2
= α. (5.114)
The rotated coordinate system is a rotation by π/4 counterclockwise. Thus
α
2
−2ραβ +β
2
= c
2
(5.115)
is transformed into
α
2
1 +ρ
+
β
2
1 −ρ
=
c
2
1 −ρ
2
. (5.116)
The above equation represents an ellipse with major axis length 2c /

1 −|ρ| and minor axis
length 2c /

1 +|ρ|. In the α −β plane, the major and minor axes of the ellipse are along the
lines β = ±α.
From (5.93), the constant contours for f
x,y
(α, β) are solutions to
_
α −η
x
σ
x
_
2
−2ρ
_
α −η
x
σ
x
__
β −η
y
σ
y
_
+
_
β −η
y
σ
y
_
2
= c
2
. (5.117)
Using the transformation
α

=
1

2
_
α −η
x
σ
x
+
β −η
y
σ
y
_
, β

=
1

2
_
β −η
y
σ
y

α −η
x
σ
x
_
(5.118)
transforms the constant contour to (5.116). With α

= 0 we find that one axis is along
α −η
x
σ
x
= −
β −η
y
σ
y
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34 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
with endpoints at
α =
±c σ
x

2

1 +ρ

x
, β =
±c σ
y

2

1 +ρ

y
;
the length of this axis in the α −β plane is

2c
_
σ
2
x

2
y
1 +ρ
.
With β

= 0 we find that the other axis is along
α −η
x
σ
x
=
β −η
y
σ
y
with endpoints at
α =
±c σ
x

2

1 −ρ

x
, β =
±c σ
y

2

1 −ρ

y
;
the length of this axis in the α −β plane is

2c
_
σ
2
x

2
y
1 −ρ
.
Points on this ellipse in the α −β plane satisfy (5.117); the value of the joint PDF f
x,y
on this
curve is
1
2πσ
x
σ
y
_
1 −ρ
2
exp
_

c
2
2(1 −ρ
2
)
_
. (5.119)
A further transformation
α

=
α


1 +ρ
, β

=
β


1 −ρ
transforms the ellipse in the α

−β

plane to a circle in the α

−β

plane:
α
2

2
=
c
2
1 −ρ
2
.
This transformation provides a straightforward way to compute the probability that the joint
Gaussian RVs x and y lie within the region bounded by the ellipse specified by (5.117). Letting
A denote the region bounded by the ellipse in the α −β plane and A

denote the image (a circle)
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STANDARDPROBABILITY DISTRIBUTIONS 35
in the α

−β

plane, we have
_
A
_
f
x,y
(α, β) dα dβ =
_ _
1
2πσ
x
σ
y
_
1 −ρ
2
e

1
2

2

2
)
| J (α, β)|

,
where the Jacobian of the transformation is
J (α, β) =
¸
¸
¸
¸
¸
¸
¸
¸
∂α

∂α
∂α

∂β
∂β

∂α
∂β

∂β
¸
¸
¸
¸
¸
¸
¸
¸
.
Computing the indicated derivatives, we have
J (α, β) =
¸
¸
¸
¸
¸
¸
¸
¸
¸
1
σ
x

2

1 +ρ
1
σ
y

2

1 +ρ
−1
σ
x

2

1 −ρ
1
σ
y

2

1 −ρ
¸
¸
¸
¸
¸
¸
¸
¸
¸
,
so that
J (α, β) =
1
σ
x
σ
y
_
1 −ρ
2
.
Substituting and transforming to polar coordinates, we find
_
A
_
f
x,y
(α, β) dα dβ =
_
A

_
1

e

1
2

2

2
)

=
1


_
0
c /

1−ρ
2
_
0
r e

1
2
r
2
dr dθ
=
c
2
/(2−2ρ
2
)
_
0
e
−u
du
= 1 −e
−c
2
/(2−2ρ
2
)
.
This bivariate Gaussianprobability computationis one of the fewwhichis “easily” accomplished.
Additional techniques for treating these computations are given in [1, pp. 956–958].
Drill Problem5.6.1. Given that x and y are jointly distributed Gaussian random variables with
E(y|x) = 2 +1.5x, E(x|y) = 7/6 + y/6, and σ
2
x|y
= 0.75. Determine: (a) η
x
, (b) η
y
, (c) σ
2
x
, (d)
σ
2
y
, and (e) ρ
x,y
.
Answers: 0.5, 1, 9, 2, 5.
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36 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
Drill Problem 5.6.2. Random variables x and y are jointly Gaussian with η
x
= −2, η
y
= 3,
σ
2
x
= 21, σ
2
y
= 31, and ρ = −0.3394. With c
2
= 0.2212 in (154), find: (a) the smallest angle
that either the minor or major axis makes with the positive α axis in the α −β plane, (b) the length
of the minor axis, (c) the length of the major axis.
Answers: 3, 2, 30

.
Drill Problem 5.6.3. Random variables x and y are jointly Gaussian with η
x
= −2, η
y
= 3,
σ
2
x
= 21, σ
2
y
= 31, and ρ = −0.3394. Find: (a) E(y | x = 0), (b)P(1 < y ≤ 10 | x = 0),
(c )P(−1 < x < 7).
Answers: 0.5212, 0.3889, 2.1753.
5.7 SUMMARY
This chapter introduces certain probability distributions commonly encountered in biomedical
engineering. Special emphasis is placed on the exponential, Poisson and Gaussian distributions.
Important approximations to the Bernoulli PMF and Gaussian CDF are developed.
Bernoulli event probabilities may be approximated by the Poisson PMF when np < 10
or by the Gaussian PDF when npq > 3. For the Poisson approximation use η = np. For the
Gaussian approximation use η = np and σ
2
= npq.
Many important properties of jointly Gaussian random variables are presented.
Drill Problem 5.7.1. The length of time William Smith plays a video game is given by random
variable x distributed exponentially with a mean of four minutes. His play during each game is
independent from all other games. Determine: (a) the probability that William is still playing after
four minutes, (b) the probability that, out of five games, he has played at least one game for more than
four minutes.
Answers: exp(−1), 0.899.
5.8 PROBLEMS
1. Assume x is a Bernoulli random variable. Determine P(x ≤ 3) using the Bernoulli
CDF table if: (a) n = 5, p = 0.1; (b) n = 10, p = 0.1; (c) n = 20, p = 0.1; (d) n = 5,
p = 0.3; (e) n = 10, p = 0.3; (f ) n = 20, p = 0.3; (g) n = 5, p = 0.6; (h) n = 10,
p = 0.6; (i) n = 20, p = 0.6.
2. Suppose you are playing a game with a friend in which you roll a die 10 times. If the
die comes up with an even number, your friend gives you a dollar and if the die comes
up with an odd number you give your friend a dollar. Unfortunately, the die is loaded
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STANDARDPROBABILITY DISTRIBUTIONS 37
so that a 1 or a 3 are three times as likely to occur as a 2, a 4, a 5 or a 6. Determine:
(a) how many dollars your friend can expect to win in this game; (b) the probability of
your friend winning more than 4 dollars.
3. The probability that a basketball player makes a basket is 0.4. If he makes 10 attempts,
what is the probability he will make: (a) at least 4 baskets; (b) 4 baskets; (c) from 7 to
9 baskets; (d) less than 2 baskets; (e) the expected number of baskets.
4. The probability that Professor Rensselaer bowls a strike is 0.2. Determine the probability
that: (a) 3 of the next 20 rolls are strikes; (b) at least 4 of the next 20 rolls are strikes;
(c) from 3 to 7 of the next 20 rolls are strikes. (d) She is to keep rolling the ball until
she gets a strike. Determine the probability it will take more than 5 rolls. Determine
the: (e) expected number of strikes in 20 rolls; (f ) variance for the number of strikes in
20 rolls; (g) standard deviation for the number of strikes in 20 rolls.
5. The probability of a man hitting a target is 0.3. (a) If he tries 15 times to hit the target,
what is the probability of him hitting it at least 5 but less than 10 times? (b) What
is the average number of hits in 30 tries? (c) What is the probability of him getting
exactly the average number of hits in 30 tries? (d) How many times must the man try
to hit the target if he wants the probability of hitting it to be at least 2/3? (e) What is
the probability that no more than three tries are required to hit the target for the first
time?
6. In Junior Bioinstrumentation Lab, one experiment introduces students to the transistor.
Each student is given only one transistor to use. The probability of a student destroying
a transistor is 0.7. One lab class has 5 students and they will perform this experiment
next week. Let random variable x show the possible numbers of students who destroy
transistors. (a) Sketch the PMF for x. Determine: (b) the expected number of destroyed
transistors, (c) the probability that fewer than 2 transistors are destroyed.
7. On a frosty January morning in Fargo, North Dakota, the probability that a car parked
outside will start is 0.6. (a) If we take a sample of 20 cars, what is the probability that
exactly 12 cars will start and 8 will not? (b) What is the probability that the number of
cars starting out of 20 is between 9 and 15.
8. Consider Problem 7. If there are 20,000 cars to be started, find the probability that: (a)
at least 12,100 will start; (b) exactly 12,000 will start; (c) the number starting is between
11,900 and 12,150; (d) the number starting is less than 12,500.
9. A dart player has found that the probability of hitting the dart board in any one throw
is 0.2. How many times must he throw the dart so that the probability of hitting the
dart board is at least 0.6?
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38 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
10. Let random variable x be Bernoulli with n = 15 and p = 0.4. Determine E(x
2
).
11. Suppose x is a Bernoulli random variable with η = 10 and σ
2
= 10/3. Determine:
(a) q, (b) n, (c) p.
12. An electronics manufacturer is evaluating its quality control program. The current
procedure is to take a sample of 5 from 1000 and pass the shipment if not more than 1
component is found defective. What proportion of 20% defective components will be
shipped?
13. Repeat Problem 1, when appropriate, using the Poisson approximation to the Bernoulli
PMF.
14. Acertain intersection averages 3 traffic accidents per week. What is the probability that
more than 2 accidents will occur during any given week?
15. Suppose that on the average, a student makes 6 mistakes per test. Determine the
probability that the student makes: (a) at least 1 mistake; (b) from 3 to 5 mistakes;
(c) exactly 2 mistakes; (d) more than the expected number of mistakes.
16. On the average, Professor Rensselaer gives 11 quizzes per quarter in Introduction to
Random Processes. Determine the probability that: (a) from 8 to 12 quizzes are given
during the quarter; (b) exactly 11 quizzes are given during the quarter; (c) at least 10
quizzes are given during the quarter; (d) at most 9 quizzes are given during the quarter.
17. Suppose a typist makes an average of 30 mistakes per page. (a) If you give him a one
page letter to type, what is the probability that he makes exactly 30 mistakes? (b) The
typist decides to take typing lessons, and, after the lessons, he averages 5 mistakes per
page. You give him another one page letter to type. What is the probability of him
making fewer than 5 mistakes. (c) With the 5 mistakes per page average, what is the
probability of him making fewer than 50 mistakes in a 25 page report?
18. On the average, a sample of radioactive material emits 20 alpha particles per minute.
What is the probability of 10 alpha particles being emitted in: (a) 1 min, (b) 10 min?
(c) Many years later, the material averages 6 alpha particles emitted per minute. What
is the probability of at least 6 alpha particles being emitted in 1 min?
19. At Fargo Polytechnic Institute (FPI), a student may take a course as many times as
desired. Suppose the average number of times a student takes Introduction to Random
Processes is 1.5. (Professor Rensselaer, the course instructor, thinks so many students
repeat the course because they enjoy it so much.) (a) Determine the probability that a
student takes the course more than once. (b) The academic vice-president of FPI wants
to ensure that on the average, 80% of the students take the course at most one time. To
what value should the mean be adjusted to ensure this?
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STANDARDPROBABILITY DISTRIBUTIONS 39
20. Suppose 1% of the transistors in a box are defective. Determine the probability that
there are: (a) 3 defective transistors in a sample of 200 transistors; (b) more than 15
defective transistors in a sample of 1000 transistors; (c) 0 defective transistors in a
sample of 20 transistors.
21. A perfect car is assembled with a probability of 2 ×10
−5
. If 15,000 cars are produced
in a month, what is the probability that none are perfect?
22. FPI admits only 1000 freshmen per year. The probability that a student will major in
Bioengineering is 0.01. Determine the probability that fewer than 9 students major in
Bioengineering.
23. (a) Every time a carpenter pounds in a nail, the probability that he hits his thumb is
0.002. If in building a house he pounds 1250 nails, what is the probability of himhitting
his thumb at least once while working on the house? (b) If he takes five extra minutes
off every time he hits his thumb, how many extra minutes can he expect to take off in
building a house with 3000 nails?
24. The manufacturer of Leaping Lizards, a bran cereal with milk expanding (exploding)
marshmallow lizards, wants to ensure that on the average, 95% of the spoonfuls will
each have at least one lizard. Assuming that the lizards are randomly distributed in the
cereal box, to what value should the mean of the lizards per spoonful be set at to ensure
this?
25. The distribution for the number of students seeking advising help fromProfessor Rens-
selaer during any particular day is given by
P(x = k) =
3
k
e
−3
k!
, k = 0, 1, . . . .
The PDF for the time interval between students seeking help for Introduction to
Random Processes from Professor Rensselaer during any particular day is given by
f
t
(τ) = e
−τ
u(τ).
If random variable z equals the total number of students Professor Rensselaer helps
each day, determine: (a) E(z), (b) σ
z
.
26. This year, on its anniversary day, a computer store is going to run an advertising cam-
paign in which the employees will telephone 5840 people selected at random from the
population of North America. The caller will ask the person answering the phone
if it’s his or her birthday. If it is, then that lucky person will be mailed a brand
new programmable calculator. Otherwise, that person will get nothing. Assuming that
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40 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
the person answering the phone won’t lie and that there is no such thing as leap year,
find the probability that: (a) the computer store mails out exactly 16 calculators, (b) the
computer store mails out from 20 to 40 calculators.
27. Random variable x is uniform between −2 and 3. Event A = {0 < x ≤ 2} and B =
{−1 < x ≤ 0} ∪ {1 < x ≤ 2}. Find: (a) P(−1 < x < 0), (b) η
x
, (c) σ
x
, (d) f
x| A
(α| A),
(e) F
x| A
(α| A), (f ) f
x|B
(α|B), (g) F
x|B
(α|B).
28. The time it takes a runner to run a mile is equally likely to lie in an interval from 4.0 to
4.2 min. Determine: (a) the probability it takes the runner exactly 4 min to run a mile,
(b) the probability it takes the runner from 4.1 to 4.15 min.
29. Assume x is a standard Gaussian random variable. Using Tables A.9 and A.10, de-
termine: (a) P(x = 0), (b) P(x < 0), (c) P(x < 0.2), (d) P(−1.583 ≤ x < 1.471),
(e) P(−2.1 < x ≤ −0.5), (f ) P(x is an integer).
30. Repeat Problem 1, when appropriate, using the Gaussian approximation to the
Bernoulli PMF.
31. A light bulb manufacturer distributes light bulbs that have a length of life that is
normally distributed with a mean equal to 1200 h and a standard deviation of 40 h.
Find the probability that a bulb burns between 1000 and 1300 h.
32. A certain type of resistor has resistance values that are Gaussian distributed with a
mean of 50 ohms and a variance of 3. (a) Write the PDF for the resistance value. (b)
Find the probability that a particular resistor is within 2 ohms of the mean. (c) Find
P(49 < r < 54).
33. Consider Problem 32. If resistances are measured to the nearest ohm, find: (a) the
probability that a particular resistor is within 2 ohms of the mean, (b) P(49 < r < 54).
34. A battery manufacturer has found that 8.08% of their batteries last less than 2.3 years
and 2.5% of their batteries last more than 3.98 years. Assuming the battery lives are
Gaussian distributed, find: (a) the mean, (b) variance.
35. Assume that the scores on an examination are Gaussian distributed with mean 75 and
standard deviation 10. Grades are assigned as follows: A: 90–100, B: 80–90, C: 70–80,
D: 60–70, and F: below 60. In a class of 25 students, what is the probability that grades
will be equally distributed?
36. A certain transistor has a current gain, h, that is Gaussian distributed with a mean of 77
and a variance of 11. Find: (a) P(h > 74), (b) P(73 < h ≤ 80), (c) P(|h −η
h
| < 3σ
h
).
37. Consider Problem 36. Find the value of d so that the range 77 +d covers 95% of the
current gains.
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STANDARDPROBABILITY DISTRIBUTIONS 41
38. A250 question multiple choice final examis given. Each question has 5 possible answers
and only one correct answer. Determine the probability that a student guesses the correct
answers for 20–25 of 85 questions about which the student has no knowledge.
39. The average golf score for Professor Rensselaer is 78 with a standard deviation of 3.
Assuming a Gaussian distribution for random variable x describing her golf game,
determine: (a) P(x = 78), (b) P(x ≤ 78), (c) P(70 < x ≤ 80), (d) the probability that
x is less than 75 if the score is measured to the nearest unit.
40. Suppose a system contains a component whose length is normally distributed with a
mean of 2.0 and a standard deviation of 0.2. If 5 of these components are removed from
different systems, what is the probability that at least 2 have a length greater than 2.1?
41. A large box contains 10,000 resistors with resistances that are Gaussian distributed. If
the average resistance is 1000 ohms with a standard deviation of 200 ohms, how many
resistors have resistances that are within 10% of the average?
42. The RV x has PDF
f
x
(α) = a exp
_

1

2
(α −η)
2
_
.
(a) Find the constant a. (Hint: assume RV y is independent of x and has PDF f
y
(β) =
f
x
(β) and evaluate F
x,y
(∞, ∞).) (b) Using direct integration, find E(x). (c) Find σ
2
x
using direct integration.
43. Assume x and y are jointly distributed Gaussian random variables with x ∼ G(−2, 4),
y ∼ G(3, 9), and ρ
x,y
= 0. Find: (a) P(1 < y < 7 | x = 0), (b) P(1 < y < 7),
(c) P(−1 < x < 1, 1 < y < 7).
44. Suppose x and y are jointly distributed Gaussian random variables with E(y|x) =
2.8 +0.32x, E(x|y) = −1 +0.5y, and σ
y|x
= 3.67. Determine: (a) η
x
, (b) η
y
, (c) σ
x
,
(d) σ
y
, (e) ρ
x,y
, (f ) σ
x,y
.
45. Assume x ∼ G(3, 1), y ∼ G(−2, 1), and that x and y are jointly Gaussian with ρ
x,y
=
−0.5. Draw a sketch of the joint Gaussian contour equation showing the original and
the translated-rotated sets of axes.
46. Consider Problem45. Determine: (a) E(y|x =0), (b) f
y|x
(β|0), (c) P(0 < y <4|x =0),
(d) P(3 < x < 10).
47. Assume x and y are jointly Gaussian with x ∼ G(2, 13), y ∼ G(1, 8), and ρ
x,y
=
−5.8835. (a) Draw a sketch of the constant contour equation for the standardized RVs
z
1
and z
2
. (b) Using the results of (a), Draw a sketch of the joint Gaussian constant
contour for x and y.
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42 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
48. Consider Problem 47. Determine: (a) E(y | x =0), (b) f
y | x
(β | 0), (c) P(0 <
y <4|x =0), (d) P(3 < x < 10).
49. Assume x and y are jointly Gaussian with x ∼ G(−1, 4), y ∼ G(1.6, 7), and ρ
x,y
=
0.378. (a) Draw a sketch of the constant contour equation for the standardized RVs z
1
and z
2
. (b) Using the results of (a), Draw a sketch of the joint Gaussian contour for x
and y.
50. Consider Problem 49. Determine: (a) E(y | x =0), (b) f
y|x
(β | 0), (c) P(0 <
y <4|x =0), (d) P(−3 < x < 0).
51. A component with an exponential failure rate is 90% reliable at 10,000 h. Determine
the number of hours reliable at 95%.
52. Suppose a system has an exponential failure rate in years to failure with η = 2.5. De-
termine the number of years reliable at: (a) 90%, (b) 95%, (c) 99%.
53. Consider Problem 52. If 20 of these systems are installed, determine the probability
that 10 are operating at the end of 2.3 years.
54. In the circuit shown in Figure 5.12, each of the four components operate independently
of one another and have an exponential failure rate (in hours) with η = 10
5
. For suc-
cessful operation of the circuit, at least two of these components must connect A with
B. Determine the probability that the circuit is operating successfully at 10,000 h.
55. The survival rate of individuals with a certain type of cancer is assumed to be exponential
with η = 4 years. Five individuals have this cancer. Determine the probability that at
most three will be alive at the end of 2.0433 years.
56. Random variable t is exponential with η = 2. Determine: (a) P(t > η), (b) f
z
(α) if
z = t − T, where T is a constant.
57. William Smith is a varsity wrestler on his high school team. Without exception, if he
does not pin his opponent with his trick move, he loses the match on points. William’s
3
1 2
4
A
B
FIGURE5.12: Circuit for Problem 54.
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STANDARDPROBABILITY DISTRIBUTIONS 43
trick move also prevents him from ever getting pinned. The length of time it takes
William to pin his opponent in each period of a wrestling match is given by:
period 1 : f
x
(α) = 0.4598394 exp(−0.4598394α)u(α),
period 2 : f
x| A
(α| A) = 0.2299197 exp(−0.2299197α)u(α),
period 3 : f
x| A
(α| A) = 0.1149599 exp(−0.1149599α)u(α),
where A = {Smith did not pin his opponent during the previous periods}. Assume
each period is 2 min and the match is 3 periods. Determine the probability that William
Smith: (a) pins his opponent during the first period: (b) pins his opponent during the
second period: (c) pins his opponent during the third period: (d) wins the match.
58. Consider Problem 57. Find the probability that William Smith wins: (a) at least 4 of
his first 5 matches, (b) more matches than he is expected to during a 10 match season.
59. The average time between power failures in a Coop utility is once every 1.4 years.
Determine: (a) the probability that there will be at least one power failure during the
coming year, (b) the probability that there will be at least two power failures during the
coming year.
60. Consider Problem59 statement. Assume that a power failure will last at least 24 h. Sup-
pose Fargo Community Hospital has a backup emergency generator to provide auxilary
power during a power failure. Moreover, the emergency generator has an expected time
between failures of once every 200 h. What is the probability that the hospital will be
without power during the next 24 h?
61. The queue for the cash register at a popular package store near Fargo Polytechnic
Institute becomes quite long on Saturdays following football games. On the average,
the queue is 6.3 people long. Each customer takes 4 min to check out. Determine: (a)
your expected waiting time to make a purchase, (b) the probability that you will have
less than four people in the queue ahead of you, (c) the probability that you will have
more than five people in the queue ahead of you.
62. Outer Space Adventures, Inc. prints brochures describing their vacation packages as
“Unique, Unexpected and Unexplained.” The vacations certainly live up to their ad-
vertisement. In fact, they are so unexpected that the length of the vacations is random,
following an exponential distribution, having an average length of 6 months. Suppose
that you have signed up for a vacation trip that starts at the end of this quarter. What
is the probability that you will be back home in time for next fall quarter (that is, 9
months later)?
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44 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
63. A certain brand of light bulbs has an average life-expectancy of 750 h. The failure rate
of these light bulbs follows an exponential PDF. Seven-hundred and fifty of these bulbs
were put in light fixtures in four rooms. The lights were turned on and left that way for
a different length of time in each room as follows:
ROOM TIMEBULBS LEFTON, HOURS NUMBEROF BULBS
1 1000 125
2 750 250
3 500 150
4 1500 225
After the specified length of time, the bulbs were taken from the fixtures and placed
in a box. If a bulb is selected at random from the box, what is the probability that it is
burnt out?
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45
C H A P T E R 6
Transformations of RandomVariables
Functions of random variables occur frequently in many applications of probability theory. For
example, a full wave rectifier circuit produces an output that is the absolute value of the input.
The input/output characteristics of many physical devices can be represented by a nonlinear
memoryless transformation of the input.
The primary subjects of this chapter are methods for determining the probability dis-
tribution of a function of a random variable. We first evaluate the probability distribution of
a function of one random variable using the CDF and then the PDF. Next, the probability
distribution for a single random variable is determined from a function of two random variables
using the CDF. Then, the joint probability distribution is found from a function of two random
variables using the joint PDF and the CDF.
6.1 UNIVARIATECDF TECHNIQUE
This section introduces a method of computing the probability distribution of a function of
a random variable using the CDF. We will refer to this method as the CDF technique. The
CDF technique is applicable for all functions z = g(x), and for all types of continuous, discrete,
and mixed random variables. Of course, we require that the function z : S → R

, with z(ζ ) =
g(x(ζ )), is a random variable on the probability space (S, , P); consequently, we require z to
be a measurable function on the measurable space (S, ) and P(z(ζ ) ∈ {−∞, +∞}) = 0.
The ease of use of the CDF technique depends critically on the functional form of g(x).
To make the CDF technique easier to understand, we start the discussion of computing the
probability distribution of z = g(x) with the simplest case, a continuous monotonic function
g. (Recall that if g is a monotonic function then a one-to-one correspondence between g(x)
and x exists.) Then, the difficulties associated with computing the probability distribution of
z = g(x) are investigated when the restrictions on g(x) are relaxed.
6.1.1 CDF Technique with Monotonic Functions
Consider the problem where the CDF F
x
is known for the RV x, and we wish to find the CDF
for random variable z = g(x). Proceeding from the definition of the CDF for z, we have for a
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46 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
monotonic increasing function g(x)
F
z
(γ ) = P(z = g(x) ≤ γ ) = P(x ≤ g
−1
(γ )) = F
x
(g
−1
(γ )), (6.1)
where g
−1
(γ ) is the value of α for which g(α) = γ . As (6.1) indicates, the CDF of random
variable z is written in terms of F
x
(α), with the argument α replaced by g
−1
(γ ).
Similarly, if z = g(x) and g is monotone decreasing, then
F
z
(γ ) = P(z = g(x) ≤ γ ) = P(x ≥ g
−1
(γ )) = 1 − F
x
(g
−1
(γ )

). (6.2)
The following example illustrates this technique.
Example 6.1.1. Random variable x is uniformly distributed in the interval 0 to 4. Find the CDF
for random variable z = 2x +1.
Solution. Since random variable x is uniformly distributed, the CDF of x is
F
x
(α) =





0, α < 0
α/4, 0 ≤ α < 4
1, 4 ≤ α.
Letting g(x) = 2x +1, we see that g is monotone increasing and that g
−1
(γ ) = (γ −1)/2.
Applying (6.1), the CDF for z is given by
F
z
(γ ) = F
x
_
γ −1
2
_
=





0, (γ −1)/2 < 0
(γ −1)/8, 0 ≤ (γ −1)/2 < 4
1, 4 ≤ (γ −1)/2.
Simplifying, we obtain
F
z
(γ ) =





0, γ < 1
(γ −1)/8, 1 ≤ γ < 9
1, 9 ≤ γ,
which is also a uniform distribution.

6.1.2 CDF Technique with Arbitrary Functions
In general, the relationship between x and z can take on any form, including discontinuities.
Additionally, the function does not have to be monotonic, more than one solution of z = g(x)
can exist—resulting in a many-to-one mapping from x to z. In general, the only requirement
on g is that z = g(x) be a random variable. In this general case, F
z
(γ ) is no longer found by
simple substitution. In fact, under these conditions it is impossible to write a general expression
for F
z
(γ ) using the CDF technique. However, this case is conceptually no more difficult than
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TRANSFORMATIONS OF RANDOMVARIABLES 47
the previous case, and involves only careful book keeping.
Let
A(γ ) = {x : g(x) ≤ γ }. (6.3)
Note that A(γ ) = g
−1
((−∞, γ ]). Then
F
z
(γ ) = P(g(x) ≤ γ ) = P(x ∈ A(γ )). (6.4)
Partition A(γ ) into disjoint intervals {A
i
(γ ) : i = 1, 2, . . .} so that
A(γ ) =

_
i =1
A
i
(γ ). (6.5)
Note that the intervals as well as the number of nonempty intervals depends on γ . Since the
A
i
’s are disjoint,
F
z
(γ ) =

i =1
P(x ∈ A
i
(γ )). (6.6)
The above probabilities are easily found from the CDF F
x
. If interval A
i
(γ ) is of the form
A
i
(γ ) = (a
i
(γ ), b
i
(γ )], (6.7)
then
P(x ∈ A
i
(γ )) = F
x
(b
i
(γ )) − F
x
(a
i
(γ )). (6.8)
Similarly, if interval A
i
(γ ) is of the form
A
i
(γ ) = [a
i
(γ ), b
i
(γ )], (6.9)
then
P(x ∈ A
i
(γ )) = F
x
(b
i
(γ )) − F
x
(a
i
(γ )

). (6.10)
The success of this method clearly depends onour ability to partition A(γ ) into disjoint intervals.
Using this method, any function g and CDF F
x
is amenable to a solution for F
z
(γ ). The
following examples illustrate various aspects of this technique.
Example 6.1.2. Random variable x has the CDF
F
x
(α) =





0, α < −1
(3α −α
3
+2)/4, −1 ≤ α < 1
1, 1 ≤ α.
Find the CDF for the RV z = x
2
.
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48 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
Solution. Letting g(x) = x
2
, we find
A(γ ) = g
−1
((−∞, γ ]) =
_
∅, γ < 0
[−

γ ,

γ ], γ ≥ 0.
so that
F
z
(γ ) = F
x
(

γ ) − F
x
((−

γ )

).
Noting that F
x
(α) is continuous and has the same functional form for −1 < α < 1, we obtain
F
z
(γ ) =





0, γ < 0
(3

γ −(

γ )
3
)/2, 0 ≤ γ < 1
1 1 ≤ γ.

Example 6.1.3. Random variable x is uniformly distributed in the interval −3 to 3. Random
variable z is defined by
z = g(x) =













−1, x < −2
3x +5, −2 ≤ x < −1
−3x −1, −1 ≤ x < 0
3x −1, 0 ≤ x < 1
2, 1 ≤ x.
Find F
z
(γ ).
Solution. Plots for this example are given in Figure 6.1. The CDF for random variable x is
F
x
(α) =





0, α < −3
(α +3)/6, −3 ≤ α < 3
1, 3 ≤ α.
Let A(γ ) = g
−1
((−∞, ∞)). Referring to Figure 6.1 we find
A(γ ) =







∅, γ < −1
_
−∞,
γ −5
3
_

_
−γ −1
3
,
γ +1
3
_
, −1 ≤ γ < 2
R 2 ≤ γ.
Consequently,
F
z
(γ ) =









0, γ < −1
F
x
_
γ −5
3
_
+ F
x
_
γ +1
3
_
− F
x
_
_
−γ −1
3
_

_
, −1 ≤ γ < 2
1 2 ≤ γ.
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TRANSFORMATIONS OF RANDOMVARIABLES 49
−3 −1 1 3
1
z
F (γ)
−3 −1 1 3
1
x
F (α)
−3 −1 1 3
4
x
g(x)
2
−1
γ
α
FIGURE6.1: Plots for Example 6.1.3.
Substituting, we obtain
F
z
(γ ) =







0, γ < −1
1
6
_
γ −5
3
+3 +
γ +1
3

−γ −1
3
_
=
γ +2
6
, −1 ≤ γ < 2
1 2 ≤ γ.
Note that F
z
(γ ) has jumps at γ = −1 and at γ = 2.
Whenever random variable x is continuous and g(x) is constant over some interval or
intervals, then random variable z can be continuous, discrete or mixed, dependent on the CDF
for random variable x. As presented in the previous example, random variable z is mixed due to
the constant value of g(x) in the intervals −3 ≤ x < −2 and 1 ≤ x < 3. In fact, z is a mixed
random variable whenever g(α) is constant in an interval where f
x
(α) = 0. This results in a
jump in F
z
and an impulse function in f
z
. Moreover, z = g(x) is a discrete random variable if
g(α) changes values only on intervals where f
x
(α) = 0. Random variable z is continuous if x is
continuous and g(x) is not equal to a constant over any interval where f
x
(α) = 0.
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50 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
Example 6.1.4. Random variable x has the PDF
f
x
(α) =
_
(1 +α
2
)/6, −1 < α < 2
0, otherwise.
Find the PDF of random variable z defined by
z = g(x) =





x −1, x ≤ 0
0, 0 < x ≤ 0.5
1, 0.5 < x.
Solution. To find f
z
, we evaluate F
z
first, then differentiate this result. The CDF for random
variable x is
F
x
(α) =





0, α < −1

3
+3α +4)/18, −1 ≤ α < 2
1, 2 ≤ α.
Figure 6.2 shows a plot of g(x). With the aid of Figure 6.2, we find
A(γ ) = {x : g(x) ≤ γ } =









(−∞, γ +1], γ ≤ −1
(−∞, 0], −1 ≤ γ < 0
(−∞, 0.5], 0 ≤ γ < 1
(−∞, ∞), 1 ≤ γ.
Consequently,
F
z
(γ ) =









F
x
(γ +1), γ ≤ −1
F
x
(0), −1 ≤ γ < 0
F
x
(0.5), 0 ≤ γ < 1
1, 1 ≤ γ.
−1 1 2
x
1
−1
g( x)
−2
FIGURE6.2: Transformation for Example 6.1.4.
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TRANSFORMATIONS OF RANDOMVARIABLES 51
Substituting,
F
z
(γ ) =













0, γ < −2
((γ +1)
3
+3γ +7)/18, −2 ≤ γ < −1
2/9, −1 ≤ γ < 0
5/16, 0 ≤ γ < 1
1, 1 ≤ γ.
Note that F
z
(γ ) has jumps at γ = 0 and γ = 1 of heights 13/144 and 11/16, respectively.
Differentiating F
z
,
f
z
(γ ) =

2
+6γ +6
18
(u(γ +2) −u(γ +1)) +
13
144
δ(γ ) +
11
16
δ(γ −1).

Example 6.1.5. Random variable x is uniformly distributed in the interval from 0 to 10. Find the
CDF for random variable z = g(x) = −ln(x).
Solution. The CDF for x is
F
x
(α) =





0, α < 0
α/10, 0 ≤ α < 10
1, 10 ≤ α.
For γ > 0, we find
A(γ ) = {x : −ln(x) ≤ γ } = (e
−γ
, ∞),
so that F
z
(γ ) = 1 − F
x
((e
−γ
)

). Note that P(x ≤ 0) = 0, as required since g(x) = −ln(x) is
not defined (or at least not real–valued) for x ≤ 0. We find
F
z
(γ ) =
_
0, γ < ln(0.1)
1 −e
−0.1γ
, ln(0.1) ≤ γ.
The previous examples illustrated evaluating the probability distribution of a function
of a continuous random variable using the CDF technique. This technique is applicable for
all functions z = g(x), continuous and discontinuous. Additionally, the CDF technique is
applicable if random variable x is mixed or discrete. For mixed random variables, the CDF
technique is used without any changes or modifications as shown in the next example.
Example 6.1.6. Random variable x has PDF
f
x
(α) = 0.5(u(α) −u(α −1)) +0.5δ(α −0.5).
Find the CDF for z = g(x) = 1/x
2
.
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52 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
Solution. The mixed random variable x has CDF
F
x
(α) =









0, α < 0
0.5α, 0 ≤ α < 0.5
0.5 +0.5α, 0.5 ≤ α < 1
1, 1 ≤ α.
For γ < 0, F
z
(γ ) = 0. For γ > 0,
A(γ ) = {x : x
−2
≤ γ } =
_
−∞, −
1

γ
_

_
1

γ
, ∞
_
,
so that
F
z
(γ ) = F
x
(−1/

γ ) +1 − F
x
((1/

γ )

).
Since F
x
(−1/

γ ) = 0 for all real γ , we have
F
z
(γ ) = 1 −









0, (1/

γ )

< 0
0.5γ
−1/2
, 0 ≤ (1/

γ )

< 0.5
0.5 +0.5γ
−1/2
, 0.5 ≤ (1/

γ )

< 1
1, 1 ≤ (1/

γ )

.
After some algebra,
F
z
(γ ) =





0, γ < 1
0.5 −0.5γ
−1/2
, 1 ≤ γ < 4
1 −0.5γ
−1/2
, 4 ≤ γ.

Drill Problem6.1.1. Randomvariable x is uniformly distributed in the interval −1 to 4. Random
variable z = 3x +2. Determine: (a) F
z
(0), (b)F
z
(1), (c ) f
z
(0), (c ) f
z
(15).
Answers: 0, 2/15, 1/15, 1/15.
Drill Problem6.1.2. Random variable x has the PDF
f
x
(α) = 0.5α(u(α) −u(α −2)).
Random variable z is defined by
z =





−1, x < 1
x, −1 ≤ x ≤ 1
1, x > 1.
Determine: (a) F
z
(−1/2), (b)F
z
(1/2), (c )F
z
(3/2), (d) f
z
(1/2).
Answers: 0, 1, 1/16, 1/4.
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TRANSFORMATIONS OF RANDOMVARIABLES 53
Drill Problem6.1.3. Random variable x has the PDF
f
x
(α) = 0.5α(u(α) −u(α −2)).
Random variable z is defined by
z =





−1, x ≤ 0.5
x +0.5, 0.5 < x ≤ 1
3, x > 1.
Determine: (a) F
z
(−1), (b)F
z
(0), (c )F
z
(3/2), (d)F
z
(4).
Answers: 1/4, 1/16, 1/16, 1.
Drill Problem6.1.4. Random variable x has PDF
f
x
(α) = e
−α−1
u(α +1).
Random variable z = 1/x
2
. Determine: (a) F
z
(1/8), (b)F
z
(1/2), (c )F
z
(4), (d) f
z
(4).
Answers: 0.0519, 0.617, 0.089, 0.022.
6.2 UNIVARIATEPDF TECHNIQUE
The previous sectionsolvedthe problemof determining the probability distributionof a function
of a random variable using the cumulative distribution function. Now, we introduce a second
method for calculating the probability distribution of a function z = g(x) using the probability
density function, called the PDF technique. The PDF technique, however, is only applicable
for functions of randomvariables in which z = g(x) is continuous and does not equal a constant
in any interval in which f
x
is nonzero. We introduce the PDF technique for two reasons. First,
in many situations it is much simpler to use than the CDF technique. Second, we will find the
PDF method most useful in extensions to multivariate functions. In this section, we discuss
a wide variety of situations using the PDF technique with functions of continuous random
variables. Then, a method for handling mixed random variables with the PDF technique is
introduced. Finally, we consider computing the conditional PDF of a function of a random
variable using the PDF technique.
6.2.1 Continuous RandomVariable
Theorem 6.2.1. Let x be a continuous RV with PDF f
x
(α) and let the RV z = g(x) . Assume g
is continuous and not constant over any interval for which f
x
= 0 . Let
α
i
= α
i
(γ ) = g
−1
(γ ), i = 1, 2, . . . , (6.11)
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54 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
denote the distinct solutions to g(α
i
) = γ . Then
f
z
(γ ) =

i =1
f
x

i
(γ ))
|g
(1)

i
(γ ))|
, (6.12)
where we interpret
f
x

i
(γ ))
|g
(1)

i
(γ ))|
= 0,
if f
x

i
(γ ) = 0.
Proof. Let h > 0 and define
I(γ, h) = {x : γ −h < g(x) ≤ γ }.
Partition I(γ, h) into disjoint intervals of the form
I
i
(γ, h) = (a
i
(γ, h), b
i
(γ, h)), i = 1, 2, . . . ,
such that
I(γ, h) =

_
i =1
I
i
(γ, h).
Then
F
z
(γ ) − F
z
(γ −h) =

i =1
(F
x
(b
i
(γ, h)) − F
x
(a
i
(γ, h)))
By hypothesis,
lim
h→0
a
i
(γ, h) = lim
h→0
b
i
(γ, h) = α
i
(γ ).
Note that (for all γ with f
x

i
(γ )) = 0)
lim
h→0
b
i
(γ, h) −a
i
(γ, h)
h
= lim
h→0
b
i
(γ, h) −a
i
(γ, h)
|g(b
i
(γ, h)) − g(a
i
(γ, h))|
=
1
|g
(1)

i
(γ ))|
,
and that
lim
h→0
F
x
(b
i
(γ, h)) − F
x
(a
i
(γ, h))
b
i
(γ, h) −a
i
(γ, h)
= f
x

i
(γ )).
The desired result follows by taking the product of the above limits. The absolute value ap-
pears because by construction we have b
i
> a
i
and h > 0, whereas g
(1)
may be positive or
negative.
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TRANSFORMATIONS OF RANDOMVARIABLES 55
Example 6.2.1. Randomvariable x is uniformly distributed in the interval 0–4. Find the PDF for
random variable z = g(x) = 2x +1.
Solution. In this case, there is only one solution to the equation γ = 2α +1, given by α
1
=
(γ −1)/2. We easily find g
(1)
(α) = 2. Hence
f
z
(γ ) = f
x
((γ −1)/2)/2 =
_
1/8, 1 < γ < 9
0, otherwise.
Example 6.2.2. Random variable x has PDF
f
x
(α) = 0.75(1 −α
2
)(u(α +1) −u(α −1)).
Find the PDF for random variable z = g(x) = 1/x
2
.
Solution. For γ < 0, there are no solutions to g(α
i
) = γ , so that f
z
(γ ) = 0 for γ < 0. For
γ > 0 there are two solutions to g(α
i
) = γ :
α
1
(γ ) = −
1

γ
, and α
2
(γ ) =
1

γ
.
Since γ = g(α) = α
−2
, we have g
(1)
(α) = −2α
−3
; hence, |g
(1)

i
)| = 2/|α
i
|
3
= 2|γ |
3/2
, and
f
z
(γ ) =
f
x
(−γ
−1/2
) + f
x

−1/2
)

3/2
u(γ ).
Substituting,
f
z
(γ ) =
0.75(1 −γ
−1
)(u(1 −γ
−1/2
) −0 +1 −u(γ
−1/2
−1))

3/2
u(γ ).
Simplifying,
f
z
(γ ) =
0.75(1 −γ
−1
)(u(γ −1) −0 +1 −u(1 −γ ))

3/2
u(γ ),
or
f
z
(γ ) = 0.75(γ

3
2
−γ

5
2
)u(γ −1).
Example 6.2.3. Random variable x has PDF
f
x
(α) =
1
6
(1 +α
2
)(u(α +1) −u(α −2)).
Find the PDF for random variable z = g(x) = x
2
.
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56 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
Solution. For γ < 0 there are no solutions to g(α
i
) = γ , so that f
z
(γ ) = 0 for γ < 0. For
γ > 0 there are two solutions to g(α
i
) = γ :
α
1
(γ ) = −

γ , and α
2
(γ ) =

γ .
Since γ = g(α) = α
2
, we have g
(1)
(α) = 2α; hence, |g
(1)

i
)| = 2|α
i
| = 2

γ , and
f
z
(γ ) =
f
x
(−

γ ) + f
x
(

γ )
2

γ
u(γ ).
Substituting,
f
z
(γ ) =
1 +γ
12

γ
(u(1 −

γ ) −u(−2 −

γ ) +u(

γ +1) −u(

γ −2))u(γ ).
Simplifying,
f
z
(γ ) =
1 +γ
12

γ
(u(1 −γ ) −0 +1 −u(γ −4))u(γ ),
or
f
z
(γ ) =






−1/2

1/2
)/6, 0 < γ < 1

−1/2

1/2
)/12, 1 < γ < 4
0, elsewhere.
6.2.2 Mixed RandomVariable
Consider the problem where random variable x is mixed, and we wish to find the PDF for
z = g(x). Here, we treat the discrete and continuous portions of f
x
separately, and then combine
the results to yield f
z
. The continuous part of the PDF of x is handled by the PDF technique.
To illustrate the use of this technique, consider the following example.
Example 6.2.4. Random variable x has PDF
f
x
(α) =
3
8
(u(α +1) −u(α −1)) +
1
8
δ(α +0.5) +
1
8
δ(α −0.5).
Find the PDF for the RV z = g(x) = e
−x
.
Solution. There is only one solution to g(α) = γ :
α
1
(γ ) = −ln(γ ).
We have g
(1)

1
) = −e
ln(γ )
= −γ . The probability masses of 1/8 for x at −0.5 and 0.5 are
mapped to probability masses of 1/8 for z at e
0.5
and e
−0.5
, respectively. For all γ > 0 such that
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TRANSFORMATIONS OF RANDOMVARIABLES 57

1
(γ ) ±0.5| > 0 we have
f
z
(γ ) =
f
x
(−ln(γ ))
γ
.
Combining these results, we find
f
z
(γ ) =
3

(u(γ −e
−1
) −u(γ −e )) +
1
8
δ(γ −e
0.5
) +
1
8
δ(γ −e
−0.5
).

6.2.3 Conditional PDF Technique
Since a conditional PDF is also a PDF, the above techniques apply to find the conditional PDF
for z = g(x), given event A. Consider the problem where random variable x has PDF f
x
, and
we wish to evaluate the conditional PDF for random variable z = g(x), given that event A
occurred. Depending on whether the event A is defined on the range or domain of z = g(x),
one of the following two methods may be used to determine the conditional PDF of z using
the PDF technique.
(i) If A is an event defined for an interval on z, the conditional PDF, f
z| A
, is computed by first
evaluating f
z
using the technique in this section. Then, by the definition of a conditional
PDF, we have
f
z| A
(γ | A) =
f
z
(γ )
P(A)
, γ ∈ A, (6.13)
and f
z| A
(γ | A) = 0 for γ ∈A.
(ii) If A is an event defined for an interval on x, we will use the conditional PDF of x to evaluate
the conditional PDF for z as
f
z| A
(γ | A) =

i =1
f
z| A

i
(γ )| A)
|g
(1)

i
(γ ))|
. (6.14)
Example 6.2.5. Random variable x has the PDF
f
x
(α) =
1
6
(1 +α
2
)(u(α +1) −u(α −2)).
Find the PDF for random variable z = g(x) = x
2
, given A = {x : x > 0}.
Solution. First, we solve for the conditional PDF for x and then find the conditional PDF for
z, based on f
x| A
. We have
P(A) =
1
6
_
2
0
(1 +α
2
)dα =
7
9
,
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58 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
so that
f
x| A
(α| A) =
3
14
(1 +α
2
)(u(α) −u(α −2)).
There is only one solution to γ = g(α) = α
2
on the interval 0 < α < 2 where f
x| A
= 0. We
have α
1
(γ ) =

γ and |g
(1)

1
(γ ))| = 2

γ . Consequently,
f
z| A
(γ | A) =
3
28
_

γ +
1

γ
_
(u(γ ) −u(γ −4)).

Drill Problem6.2.1. Randomvariable x has a uniformPDFinthe interval 0–8. Randomvariable
z = 3x +1 .Use the PDF method to determine: (a) f
z
(0), (b) f
z
(6), (c )E(z), (d)σ
2
z
.
Answers: 13, 48, 0, 1/24.
Drill Problem6.2.2. Random variable x has the PDF
f
x
(α) =






2
, 0 ≤ α < 0.5
3(1 −α
2
), 0.5 ≤ α ≤ 1
0, otherwise.
Random variable z = x
3
.Use the PDF method to determine: (a) f
z
(1/27), (b) f
z
(1/4), (c ) f
z|z>1/8
(1/4|z > 1/8), (d) f
z
(2).
Answers: 1.52, 0, 3, 2.43.
Drill Problem6.2.3. Random variable x has the PDF
f
x
(α) =
2
9
α(u(α) −u(α −3)).
Random variable z = (x −1)
2
. Use the PDF method to determine: (a) f
z
(1/4), (b) f
z
(9/4), (c )
f
z|z≤1
(1/4|z ≤ 1), (d)E(z|z ≤ 1).
Answers: 4/9, 5/27, 1/3, 1.
Drill Problem6.2.4. Random variable x has the PDF
f
x
(α) =
2
9
(α +1)(u(α +1) −u(α −2)).
Random variable z = 2x
2
and event A = {x : x ≥ 0}. Determine: (a) P(A), (b) f
x| A
(1| A), (c )
f
z| A
(2| A),(d) f
z| A
(9| A).
Answers: 0, 1/2, 1/8, 8/9.
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TRANSFORMATIONS OF RANDOMVARIABLES 59
6.3 ONEFUNCTIONOF TWORANDOMVARIABLES
Consider a random variable z = g(x, y) created from jointly distributed random variables x
and y. In this section, the probability distribution of z = g(x, y) is computed using a CDF
technique similar to the one at the start of this chapter. Because we are dealing with regions in
a plane instead of intervals on a line, these problems are not as straightforward and tractable as
before.
With z = g(x, y), we have
F
z
(γ ) = P(z ≤ γ ) = P(g(x, y) ≤ γ ) = P((x, y) ∈ A(γ )), (6.15)
where
A(γ ) = {(x, y) : g(x, y) ≤ γ }. (6.16)
The CDF for the RV z can then be found by evaluating the integral
F
z
(γ ) =
_
A(γ )
dF
x,y
(α, β). (6.17)
This result cannot be continued further until a specific F
x,y
and g(x, y) are considered. Re-
member that in the case of a single random variable, our efforts primarily dealt with algebraic
manipulations. Here, our efforts are concentrated on evaluating F
z
through integrals, with the
ease of solution critically dependent on g(x, y).
The ease in solution for F
z
is dependent on transforming A(γ ) into proper limits of
integration. Sketching the support region for f
x,y
(the region where f
x,y
= 0, or F
x,y
is not
constant) and the region A(γ ) is often most helpful, even crucial, in the problem solution. Pay
careful attention to the limits of integration to determine the range of integration in which the
integrand is zero because f
x,y
= 0. Let us consider several examples to illustrate the mechanics
of the CDF technique and also to provide further insight.
Example 6.3.1. Random variables x and y have joint PDF
f
x,y
(α, β) =
_
1/4, 0 < α < 2, 0 < β < 2
0, otherwise.
Find the CDF for z = x + y.
Solution. We have A(γ ) = {(α, β) : α +β ≤ γ }. We require the volume under the surface
f
x,y
(α, β) where α ≤ γ −β:
F
z
(γ ) =
_

−∞
_
γ −β
−∞
f
x,y
(α, β)dα dβ.
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60 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
( a) 0 < γ < 2 ( b) 2 < γ < 4
α 0
β
2
2
γ
γ
2
2 − γ
β
0 α
2
2
γ
γ
− γ
FIGURE6.3: Plots for Example 6.3.1.
For γ < 0 we have F
z
(γ ) = 0. For 0 ≤ γ < 2, with the aid of Figure 6.3(a) we obtain
F
z
(γ ) =
_
2
0
_
γ −β
0
1
4
dαdβ =
1
8
γ
2
.
For 2 ≤ γ < 4, referring to Figure 6.3(b), we consider the complementary region (to save some
work):
F
z
(γ ) = 1 −
_
2
γ −2
_
2
γ −β
1
4
dαdβ = 1 −
1
8
(4 −γ )
2
.
Finally, for 4 ≤ γ , F
z
(γ ) = 1.

Example 6.3.2. Random variables x and y have joint PDF
f
x,y
(α, β) =
_
1, 0 < α < 1, 0 < β < 1
0, otherwise.
Find the PDF for z = x − y.
Solution. We have A(γ ) = {(α, β) : α −β ≤ γ }. We require the volume under the surface
f
x,y
(α, β) where α ≤ γ +β:
F
z
(γ ) =
_

−∞
_
γ +β
−∞
f
x,y
(α, β)dαdβ.
For γ < −1 we have F
z
(γ ) = 0 and f
z
(γ ) = 0. With the aid of Figure 6.4(a), for −1 ≤ γ < 0,
F
z
(γ ) =
_
1
−γ
_
γ +β
0
dαdβ =
1
2
(1 +γ )
2
,
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TRANSFORMATIONS OF RANDOMVARIABLES 61
β
0 α
1
1
1
γ
γ
β
0
α
1
1 1+
−γ − γ
(a) −1 < γ < 0 (b) 0 < γ < 1
FIGURE6.4: Plots for Example 6.3.2.
so that f
z
(γ ) = 1 +γ . For 0 ≤ γ < 1, we consider the complementary region shown in Fig-
ure 6.4(b) (to save some work):
F
z
(γ ) = 1 −
_
1−γ
0
_
1
γ +β
dαdβ = 1 −
1
2
(1 −γ )
2
,
so that f
z
(γ ) = 1 −γ . Finally, for 1 ≤ γ , F
z
(γ ) = 1, so that f
z
(γ ) = 0.

Example 6.3.3. Find the CDF for z = x/y, where x and y have the joint PDF
f
x,y
(α, β) =
_
1/α, 0 < β < α < 1
0, otherwise.
Solution. We have A(γ ) = {(α, β) : α/β ≤ γ }. Inside the support region for f
x,y
, we have
α/β > 1; hence, for γ < 1 we have F
z
(γ ) = 0. As shown in Figure 6.5 it is easiest to integrate
with respect to β first: for 1 ≤ γ ,
F
z
(γ ) =
_
1
0
_
α
α/γ
1
α
dβdα = 1 −
1
γ
.

β
γ
0 α
1
1
1
FIGURE6.5: Integration region for Example 6.3.3.
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62 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
Example 6.3.4. Find the CDF for z = x
2
+ y
2
, where x and y have the joint PDF
f
x,y
(α, β) =
_
3α, 0 < β < α < 1
0, otherwise.
Solution. We have A(γ ) = {(α, β) : α
2

2
≤ γ }. For γ < 0, we obtain F
z
(γ ) = 0. Trans-
forming to polar coordinates: α = r cos(θ), β = r sin(θ),
F
z
(γ ) =
_

0
_
r
2
≤γ
f
x,y
(r cos(θ), r sin(θ))r dr dθ.
Referring to Figure 6.6(a), for 0 ≤ γ < 1,
F
z
(γ ) =
_
π/4
0
_

γ
0
3r
2
cos(θ)dr dθ =
1

2
γ
3
2
.
For 1 ≤ γ < 2, we split the integral into two parts: one with polar coordinates, the other using
rectangular coordinates. With
sin(θ
1
) =

γ −1

γ
,
we find with the aid of Figure 6.6(b) that
F
z
(γ ) =
_
π/4
θ
1
_

γ
0
3r
2
cos(θ)dr dθ +
_
1
0
_
α

γ −1
0
3αdβ dα,
or
F
z
(γ ) =
1

2
γ
3
2
−(γ −1)
3
2
.
Finally, we have F
z
(γ ) = 1 for 2 ≤ γ .

(a) 0 < γ < 1 (b) 1 < γ < 2
β
0 α
1
1
γ
γ
α 0
β
1
1
γ
γ
1 − γ
FIGURE6.6: Integration regions for Example 6.3.4.
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TRANSFORMATIONS OF RANDOMVARIABLES 63
Drill Problem6.3.1. Random variables x and y have joint PDF
f
x,y
(α, β) = e
−α
e
−β
u(α)u(β).
Random variable z = x − y . Find (a) F
z
(−1/3), (b) f
z
(−1), (c )F
z
(1), and (d) f
z
(1).
Answers:
1
4
e
−1
,
3
4
e
−1
, 1 −
3
4
e
−1
,
3
4
e
−1
.
6.4 BIVARIATETRANSFORMATIONS
In this section, we find the joint distribution of random variables z = g(x, y) and w = h(x, y)
fromjointly distributed randomvariables x and y. First, we consider a bivariate CDF technique.
Then, the joint PDF technique for finding the joint PDF for random variables z and w formed
from x and y is described. Next, the case of one function of two random variables is treated by
using the joint PDF technique with an auxiliary random variable. Finally, the conditional joint
PDF is presented.
6.4.1 Bivariate CDF Technique
Let x and y be jointly distributed RVs on the probability space (S, , P), and let z = g(x, y)
and w = h(x, y). Define A(γ, ψ) to be the region of the x − y plane for which z = g(x, y) ≤ γ
and w = h(x, y) ≤ ψ; i.e.,
A(γ, ψ) = {(x, y) : g(x, y) ≤ γ, h(x, y) ≤ ψ}. (6.18)
Note that
A(γ, ψ) = g
−1
((−∞, γ ]) ∩ h
−1
((−∞, ψ]). (6.19)
Then
F
z,w
(γ, ψ) =
_
A(γ,ψ)
_
dF
x,y
(α, β). (6.20)
It is often difficult to perform the integration indicated in (6.20).
Example 6.4.1. Random variables x and y have the joint PDF
f
x,y
(α, β) =
_
0.25, 0 ≤ α ≤ 2, 0 ≤ β ≤ 2
0, otherwise.
With z = g(x, y) = x + y and w = h(x, y) = y, find the joint PDF f
z,w
.
Solution. We have
g
−1
((−∞, γ ]) = {(x, y) : x + y ≤ γ }
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64 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
y
x
ψ
γ
γ ψ −
FIGURE6.7: Integration region for Example 6.4.1.
and
h
−1
((−∞, ψ]) = {(x, y) : y ≤ ψ}.
The intersection of these regions is
A(γ, ψ) = {(x, y) : y ≤ min(γ − x, ψ)},
which is illustrated in Figure. 6.7. With the aid of Figure 6.7 and (6.20) we find
F
z,w
(γ, ψ) =
_
ψ
−∞
_
γ −β
−∞
d F
x,y
(α, β).
Instead of carrying out the above integration and then differentiating the result, we differentiate
the above integral to obtain the PDF f
z,w
directly. We find
∂ F
z,w
(γ, ψ)
∂γ
= lim
h
1
→0
1
h
1
_
ψ
−∞
_
γ −β
γ −h
1
−β
d F
x,y
(α, β),
and

2
F
z,w
(γ, ψ)
∂ψ ∂γ
= lim
h
2
→0
lim
h
1
→0
1
h
1
h
2
_
ψ
ψ−h
2
_
γ −β
γ −h
1
−β
dF
x,y
(α, β).
Performing the indicated limits, we find that f
z,w
(γ, ψ) = f
x,y
(γ −ψ, ψ); substituting, we
obtain
f
z,w
(γ, ψ) =
_
0.25, 0 < γ −ψ < 2, 0 < ψ < 2
0, otherwise.

When the RVs x and y are jointly continuous, it is usually easier to find the joint PDF
f
z,w
than to carry out the integral indicated in (6.20).
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TRANSFORMATIONS OF RANDOMVARIABLES 65
6.4.2 Bivariate PDF Technique
A very important special case of bivariate transformations is when the RVs x and y are jointly
continuous RVs and the mapping determined by g and h is continuous with g and h having
continuous partial derivatives. Let h
1
> 0, h
2
> 0 and define
I(γ, h
1
, ψ, h
2
) = g
−1
((γ −h
1
, γ ]) ∩ h
−1
((ψ −h
2
, ψ]). (6.21)
Partition I into disjoint regions so that
I(γ, h
1
, ψ, h
2
) =
_
i
I
i
(γ, h
1
, ψ, h
2
). (6.22)
Let (α
i
, β
i
) denote the unique element of
lim
h
1
→0
lim
h
2
→0
I
i
(γ, h
1
, ψ, h
2
).
Then for small h
1
and small h
2
we have
h
1
h
2
f
v,w
(γ, ψ) ≈

i
f
x,y

i
, β
i
)
_
I
i
(γ,h
1
,ψ,h
2
)
dα dβ. (6.23)
Dividing both sides of the above by h
1
h
2
and letting h
1
→ 0 and h
2
→ 0, the approximation
becomes an equality. The result is summarized by the theorem below.
Theorem 6.4.1. Let x and y be jointly continuous RVs with PDF f
x,y
, and let z = g(x, y) and
w = h(x, y) . Let

i
(γ, ψ), β
i
(γ, ψ)), i = 1, 2, . . . , (6.24)
be the distinct solutions to the simultaneous equations
g(α
i
, β
i
) = γ (6.25)
and
h(α
i
, β
i
) = ψ. (6.26)
Define the Jacobian
J (α, β) =
¸
¸
¸
¸
¸
¸
¸
¸
¸
∂g(α, β)
∂α
∂g(α, β)
∂β
∂h(α, β)
∂α
∂h(α, β)
∂β
¸
¸
¸
¸
¸
¸
¸
¸
¸
, (6.27)
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66 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
where the indicated partial derivatives are assumed to exist. Then
f
z,w
(γ, ψ) =

i =1
f
x,y

i
, β
i
)
¸
¸
J (α
i
, β
i
)
¸
¸
. (6.28)
The most difficult aspects to finding f
z,w
using the joint PDF technique are solving the si-
multaneous equations γ = g(α
i
, β
i
) and ψ = h(α
i
, β
i
) for α
i
and β
i
, and determining the
support region for f
z,w
. Let us consider several examples to illustrate the mechanics of this
PDF technique.
Example 6.4.2. Random variables x and y have the joint PDF
f
x,y
(α, β) =
_
1/4, 0 < α < 2, 0 < β < 2
0, otherwise.
Find the joint PDF for z = g(x, y) = x + y and w = h(x, y) = y.
Solution. There is only one solution to γ = α +β and ψ = β: α
1
= γ −ψ and β
1
= ψ. The
Jacobian of the transformation is
J =
¸
¸
¸
¸
¸
1 1
0 1
¸
¸
¸
¸
¸
= 1 · 1 −1 · 0 = 1.
Applying Theorem 1, we find
f
z,w
(γ, ψ) =
f
x,y

1
, β
1
)
| J |
= f
x,y
(γ −ψ, ψ).
Substituting, we obtain
f
z,w
(γ, ψ) =
_
1/4, 0 < γ −ψ < 2, 0 < ψ < 2
0, otherwise.
The region of support for f
z,w
is illustrated in Figure 6.8.

Example 6.4.3. Random variables x and y have the joint PDF
f
x,y
(α, β) =
_
12αβ(1 −α), 0 < α < 1, 0 < β < 1
0, otherwise.
Find the joint PDF for z = g(x, y) = x
2
y and w = h(x, y) = y.
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TRANSFORMATIONS OF RANDOMVARIABLES 67
ψ
1 2 3 4
γ 0
1
2
FIGURE6.8: Support region for Example 6.4.2.
Solution. Solving γ = α
2
β and ψ = β, we find α
1
=

γ/ψ and β
1
= ψ. The other solution
α
2
= −α
1
is not needed since f
x,y
(α, β) = 0 for α < 0. The Jacobian is
J
1
=
¸
¸
¸
¸
¸

1
β
1
α
2
1
0 1
¸
¸
¸
¸
¸
= 2α
1
β
1
= 2
_
γ ψ.
Applying Theorem 1, we find
f
z,w
(γ, ψ) =
f
x,y
(

γ/ψ, ψ)
2

γ ψ
=
_
6(1 −

γ/ψ), 0 <

γ/ψ < 1, 0 < ψ < 1
0, otherwise.

Example 6.4.4. Random variables x and y have the joint PDF
f
x,y
(α, β) =
_
0.25(α +1), −1 < α < 1, −1 < β < 1
0, otherwise.
Find the joint PDF for z = g(x, y) = xy and w = h(x, y) = y/x.
Solution. Solving γ = αβ and ψ = β/α, we find α = γ/β = β/ψ, so that β
2
= γ ψ. Let-
ting β
1
=

γ ψ we have α
1
=

γ/ψ. Then β
2
= −

γ ψ and α
2
= −

γ/ψ. Note that the
solution (α
1
, β
1
) is in the first quadrant of the α −β plane; the solution (α
2
, β
2
) is in the third
quadrant of the α −β plane. We find
J =
¸
¸
¸
¸
¸
β α
−β/α
2
1/α
¸
¸
¸
¸
¸
= 2
β
α
,
so that J
1
= 2ψ = J
2
. Hence
f
z,w
(γ, ψ) =
f
x,y
(

γ/ψ,

γ ψ)
2|ψ|
+
f
x,y
(−

γ/ψ, −

γ ψ)
2|ψ|
.
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68 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
In the γ −ψ plane,
f
x,y
(

γ/ψ,

γ ψ)
2|ψ|
has support region specified by
0 <
_
γ/ψ < 1 and 0 <
_
γ ψ < 1,
or
0 <
γ
ψ
< 1 and 0 < γ ψ < 1.
Similarly,
f
x,y
(−

γ/ψ, −

γ ψ)
2|ψ|
has support region specified by
−1 < −
_
γ/ψ < 0 and −1 < −
_
γ ψ < 0,
or
0 <
γ
ψ
< 1 and 0 < γ ψ < 1.
Consequently, the two components of the PDF f
z,w
have identical regions of support in
the γ −ψ plane. In the first quadrant of the γ −ψ plane, this support region is easily seen to be
0 < γ < ψ < γ
−1
. Similarly, in the third quadrant, the support region is γ
−1
< ψ < γ < 0.
This support region is illustrated in Figure 6.9. Finally, we find
f
z,w
(γ, ψ) =
_
1/(4|ψ|), 0 < γ < ψ < γ
−1
, or γ
−1
< ψ < γ < 0
0, otherwise.
Auxiliary RandomVariables
The joint PDF technique can also be used to transform random variables x and y with joint
PDF f
x,y
to randomvariable z = g(x, y) by introducing auxiliary randomvariable w = h(x, y)
to find f
z,w
and then finding the marginal PDF f
z
using
f
z
(γ ) =
_

−∞
f
z,w
(γ, ψ)dψ. (6.29)
It is usually advisable to let the auxiliary random variable w equal a quantity which allows
a convenient solution of the Jacobian and/or the inverse equations. This method is an alternative
to the CDF technique presented earlier.
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TRANSFORMATIONS OF RANDOMVARIABLES 69
3
2
1
−1
−2
−3
−3 −2 −1
1 2 3
ψ
γ
FIGURE6.9: Support region for Example 6.4.4.
Example 6.4.5. Random variables x and y have the joint PDF
f
x,y
(α, β) =
_
4αβ, 0 < α < 1, 0 < β < 1
0, otherwise.
Find the PDF for z = g(x, y) = x
2
.
Solution. Let auxiliary variable w = h(x, y) = y. Solving γ = α
2
and ψ = β, we find α =
±

γ and β = ψ. The only solution inside the support region for f
x,y
is α =

γ and β = ψ.
The Jacobian of the transformation is
J =
¸
¸
¸
¸
¸
2α 0
0 1
¸
¸
¸
¸
¸
= 2α,
so that
f
z,w
(γ, ψ) =
f
x,y
(

γ , ψ)
2

γ
=



4

γ ψ
2

γ
= 2ψ, 0 < γ < 1, 0 < ψ < 1
0, otherwise.
We find the marginal PDF for z as
f
z
(γ ) =
_

−∞
f
z,w
(γ, ψ)dψ =
_
1
0
2ψ dψ.
for 0 < γ < 1 and f
z
(γ ) = 0, otherwise.

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70 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
1 2 0
1
γ
ψ
FIGURE6.10: Support region for Example 6.4.6.
Example 6.4.6. Random variables x and y have the joint PDF
f
x,y
(α, β) =
_
4αβ, 0 < α < 1, 0 < β < 1
0, otherwise.
Find the PDF for z = g(x, y) = x + y.
Solution. Let auxiliary variable w = h(x, y) = y. Solving γ = α +β and ψ = β, we find
α = γ −ψ and β = ψ. We find
J =
¸
¸
¸
¸
¸
1 1
0 1
¸
¸
¸
¸
¸
= 1,
so that
f
z,w
(γ, ψ) = f
x,y
(γ −ψ, ψ) =
_
4(γ −ψ)ψ, 0 < γ −ψ < 1, 0 < ψ < 1
0, otherwise.
The support region for f
z,w
is shown in Figure 6.10. Referring to Figure 6.10, for 0 < γ < 1,
f
z
(γ ) =
_
γ
0
4(γ −ψ)ψ dψ =
2
3
γ
3
.
For 1 < γ < 2,
f
z
(γ ) =
_
1
γ −1
4(γ −ψ)ψ dψ = −
2
3
γ
3
+4γ −
8
3
.
Otherwise, f
z
= 0.

Conditional PDF Technique
Since a conditional PDF is also a PDF, the above techniques apply to find the conditional PDF
for z = g(x, y), given event A. Consider the problemwhere randomvariables x and y have joint
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TRANSFORMATIONS OF RANDOMVARIABLES 71
PDF f
x,y
, and we wish to evaluate the conditional PDF for random variable z = g(x, y), given
that event A occurred. Depending on whether the event A is defined on the range or domain of
z = g(x, y), one of the following two methods may be used to determine the conditional PDF
of z using the bivariate PDF technique.
i. If A is an event defined for an interval on z, the conditional PDF, f
z| A
, is computed by first
evaluating f
z
using the technique in this section. Then, by the definition of a conditional
PDF, we have
f
z| A
(γ | A) =
f
z
(γ )
P(A)
, γ ∈ A. (6.30)
ii. If A is an event defined for a region in the x − y plane, we will use the conditional PDF
f
x,y| A
to evaluate the conditional PDF f
z| A
as follows. First, introduce an auxiliary random
variable w = h(x, y), and evaluate
f
z,w| A
(γ, ψ| A) =

i =1
f
x,y| A

i
(γ, ψ), β
i
(γ, ψ)| A)
| J (α
i
(γ, ψ), β
i
(γ, ψ))|
, (6.31)
where (α
i
, β
i
), i = 1, 2, . . ., are the solutions to γ = g(α, β) and ψ = h(α, β) in region
A. Then evaluate the marginal conditional PDF
f
z| A
(γ | A) =
_

−∞
f
z,w| A
(γ, ψ| A)dψ. (6.32)
Example 6.4.7. Random variables x and y have joint PDF
f
x,y
(α, β) =
_
3α, 0 < β < α < 1
0, otherwise.
Find the PDF for z = x + y, given event A = {max(x, y) ≤ 0.5}.
Solution. We begin by finding the conditional PDF for x and y, given A. From Figure 6.11(a)
we find
P(A) =
_
A
_
f
x,y
(α, β)dα dβ =
_
0.5
0
_
α
0
3α dβ dα =
1
8
;
consequently,
f
x,y| A
(α, β| A) =



f
x,y
(α, β)
P(A)
= 24α, 0 < β < α < 0.5
0, otherwise.
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72 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
FIGURE6.11: Support region for Example 6.4.7.
Letting the auxiliary random variable w = h(x, y) = y, the only solution to γ = g(α, β) =
α +β and ψ = h(α, β) = β is α = γ −ψ and β = ψ. The Jacobian of the transformation is
J = 1 so that
f
z,w| A
(γ, ψ| A) =
f
x,y| A
(γ −ψ, ψ| A)
1
.
Substituting, we find
f
z,w| A
(γ, ψ| A) =
_
24(γ −ψ), 0 < ψ < γ −ψ < 0.5
0, otherwise.
The support region for f
z,w| A
is illustrated in Figure 6.11(b). The conditional PDF for z, given
A, can be found from
f
z| A
(γ | A) =
_

−∞
f
z,w| A
(γ, ψ| A)dψ.
The integration is easily carried out with the aid of Figure 6.11(b). For 0.5 < γ < 1 we have
f
z| A
(γ | A) =
_
0.5γ
0
24(γ −ψ)dψ = 9γ
2
.
For 0.5 < γ < 1 we obtain
f
z| A
(γ | A) =
_
0.5γ
γ −0.5
24(γ −ψ)dψ = 3(1 −γ
2
).
For γ < 0 or γ > 1, f
z| A
(γ | A) = 0.

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TRANSFORMATIONS OF RANDOMVARIABLES 73
Drill Problem6.4.1. Random variables x and y have joint PDF
f
x,y
(α, β) = e
−α−β
u(α)u(β).
Random variable z = x and w = xy. Find: (a) f
z,w
(1, 1), (b) f
z,w
(−1, 1).
Answers: 0, e
−2
.
Drill Problem6.4.2. Random variables x and y have joint PDF
f
x,y
(α, β) =
_
4αβ, 0 < α < 1, 0 < β < 1
0, otherwise.
Random variable z = x + y and w = y
2
. Determine: (a) f
z,w
(1, 1/4), (b) f
z
(−1/2), (c ) f
z
(1/2),
(d) f
z
(3/2).
Answers: 0, 1/12, 1, 13/12.
Drill Problem6.4.3. Random variables x and y have joint PDF
f
x,y
(α, β) =
_
1.2(α
2
+β), 0 < α < 1, 0 < β < 1
0, otherwise.
Random variable z = x
2
y. Determine: (a) f
z
(−1), (b) f
z
(1/4), (c ) f
z
(1/2), (d) f
z
(3/2).
Answers: 0.7172, 0, 0, 1.3.
Drill Problem6.4.4. Random variables x and y have joint PDF
f
x,y
(α, β) =
_
2β, 0 < α < 1, 0 < β < 1
0, otherwise.
Random variable z = x − y and event A = {(x, y) : x + y ≤ 1}. Determine: (a) f
z| A
(−3/
2| A), (b) f
z| A
(−1/2| A), (c )F
z| A
(0| A), (d) f
z| A
(1/2| A).
Answers: 0, 3/4, 15/16, 3/16.
6.5 SUMMARY
This chapter presented a number of different approaches to find the probability distribution of
functions of random variables.
Two methods are presentedto findthe probability distributionof a functionof one random
variable, z = g(x). The first, and the most general approach, is called the CDF technique. From
the definition of the CDF, we write
F
z
(γ ) = P(z ≤ γ ) = P(g(x) ≤ γ ) = P(x ∈ A(γ )), (6.33)
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74 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
where A(γ ) = {x : g(x) ≤ γ }. By partitioning A(γ ) into disjoint intervals, the CDF F
z
may be
found using the CDF F
x
. The second approach, called the PDF technique, involves evaluating
f
z
(γ ) =

i =1
f
x

i
(γ ))
¸
¸
g
(1)

i
(γ ))
¸
¸
, (6.34)
where
α
i
= α
i
(γ ) = g
−1
(γ ), i = 1, 2, . . . , (6.35)
denote the distinct solutions to g(α
i
) = γ . Typically, the PDF technique is much simpler to
use than the CDF technique. However, the PDF technique is applicable only when z = g(x)
is continuous and does not equal a constant in any interval in which f
x
is nonzero.
Next, we evaluated the probability distribution of a random variable z = g(x, y) created
from jointly distributed random variables x and y using two approaches. The first approach, a
CDF technique, involves evaluating
F
z
(γ ) = P(z ≤ γ ) = P(g(x, y) ≤ γ ) = P((x, y) ∈ A(γ )), (6.36)
where
A(γ ) = {(x, y) : g(x, y) ≤ γ }. (6.37)
The CDF for the RV z can then be found by evaluating the integral
F
z
(γ ) =
_
A(γ )
dF
x,y
(α, β). (6.38)
The ease of solution here involves transforming A(γ ) into proper limits of integration. We wish
to remind the reader that the special case of a convolution integral is obtained when random
variables x and y are independent and z = x + y. The second approach involves introducing
an auxiliary random variable and using the PDF technique applied to two functions of two
random variables.
To find the joint probability distribution of randomvariables z = g(x, y) and w = h(x, y)
from jointly distributed random variables x and y, a bivariate CDF as well as a joint PDF
technique were presented. Using the joint PDF technique, the joint PDF for z and w can be
found as
f
z,w
(γ, ψ) =

i =1
f
x,y

i
, β
i
)
¸
¸
J (α
i
, β
i
)
¸
¸
, (6.39)
where

i
(γ, ψ), β
i
(γ, ψ)), i = 1, 2, . . . , (6.40)
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TRANSFORMATIONS OF RANDOMVARIABLES 75
are the distinct solutions to the simultaneous equations
g(α
i
, β
i
) = γ (6.41)
and
h(α
i
, β
i
) = ψ. (6.42)
The Jacobian
J (α, β) =
¸
¸
¸
¸
¸
¸
¸
¸
∂g(α, β)
∂α
∂g(α, β)
∂β
∂h(α, β)
∂α
∂h(α, β)
∂β
¸
¸
¸
¸
¸
¸
¸
¸
, (6.43)
where the indicated partial derivatives are assumed to exist. Typically, the most difficult aspect
of the joint PDF technique is in solving the simultaneous equations. The joint PDF technique
can also be used to find the probability distribution for z = g(x, y) from f
x,y
by introducing an
auxiliary random variable w = h(x, y) to find f
z,w
, and then integrating to obtain the marginal
PDF f
z
.
6.6 PROBLEMS
1. Let random variable x be uniform between 0 and 2 with z = exp(x). Find F
z
using the
CDF technique.
2. Given
f
x
(α) =
_
0.5(1 +α), −1 < α < 1
0, otherwise,
and
z =
_
x −1, x < 0
x +1, x > 0.
Use the CDF technique to find F
z
.
3. Suppose random variable x has the CDF
F
x
(α) =





0, α < 0
α
2
, 0 ≤ α < 1
1, 1 ≤ α
and z = exp(−x). Using the CDF technique, find F
z
.
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76 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
4. The PDF of random variable x is
f
x
(α) =
1
2
e

1
2
(α+2)
u(α +2).
Find F
z
using the CDF technique when z = |x|.
5. Suppose random variable x has the PDF
f
x
(α) =
_
2α, 0 < α < 1
0, otherwise.
Random variable z is defined by
z =





−1, x ≤ −1
x, −1 < x < 1
1, x ≥ 1.
Using the CDF method, determine F
z
.
6. Random variable x represents the input to a half-wave rectifier and z represents the
output, so that z = u(x). Given that x is uniformly distributed between −2 and 2, find:
(a) E(z) using f
x
, (b) F
z
using the CDF method, (c) f
z
, (d) E(z) using f
z
(compare
with the answer to part a).
7. Random variable x represents the input to a full-wave rectifier and z represents the
output, so that z = |x|. Given that x is uniformly distributed between −2 and 2, find:
(a) E(z) using f
x
, (b) F
z
using the CDF method, (c) f
z
, (d) E(z) using f
z
(compare
with the answer to part a).
8. Random variable x has the PDF f
x
(α) = e
−α
u(α). Find F
z
for z = x
2
using the CDF
method.
9. Given
f
x
(α) =
a
1 +α
2
and
z =





−1, x < −1
x, −1 ≤ x ≤ 2
2, x > 2.
Determine: (a) a, (b) F
z
.
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TRANSFORMATIONS OF RANDOMVARIABLES 77
10. Random variables x and z are the input and output of a quantizer. The relationship
between them is defined by:
z =













0, x < 0.5
1, 0.5 ≤ x < 1.5
2, 1.5 ≤ x < 2.5
3, 2.5 ≤ x < 3.5
4, x ≥ 3.5.
Given that the input follows a Gaussian distribution with x ∼ G(2.25, 0.49), find f
z
using the CDF method.
11. Random variable x has the PDF f
x
(α) = e
−α
u(α). With z = 100 −25x, find: (a) F
z
using the CDF technique, (b) F
z
using the PDF technique.
12. Random variable x has the following PDF
f
x
(α) =
_

3
, 0 < α < 1
0, otherwise.
Find the PDFs for the following random variables: (a) z = x
3
, (b) z = (x −1/2)
2
, (c)
z = (x −1/4)
2
.
13. Random variable x has the CDF
F
x
(α) =





0, α < −1

2
+2α +1)/9, −1 ≤ α < 2
1, 2 ≤ α
and
z =





x, x < −0.5
0, −0.5 ≤ x ≤ 0
x, 0 < x.
Determine F
z
.
14. Suppose
f
x
(α) =
_
(1 +α
2
)/6, −1 < α < 2
0, otherwise.
Let z = 1/x
2
. Use the CDF technique to determine F
z
.
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78 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
z g( x ) =
x
3
1
−1
2 1 −1 −2
FIGURE6.12: Plot for Problem 15.
15. Random variable x has the CDF
F
x
(α) =





0, α < −1
0.25(α +1), −1 ≤ α < 3
1, 3 ≤ α.
Find the CDF F
z
, with RV z = g(x), and g(x) shown in Figure 6.12. Assume that
g(x) is a second degree polynomial for x ≥ 0.
16. The voltage x in Figure 6.13 is a random variable which is uniformly distributed from
−1 to 2. Find the PDF f
z
. Assume the diode is ideal.
17. The voltage x in Figure 6.14 is a Gaussian random variable with mean η
x
= 0 and
standard deviation σ
x
= 3. Find the PDF f
z
. Assume the diodes are ideal.
18. The voltage x in Figure 6.15 is a Gaussian random variable with mean η
x
= 1 and
standard deviation σ
x
= 1. Find the PDF f
z
. Assume the diode and the operational
amplifier are ideal.
19. Randomvariable x is Gaussian with mean η
x
= 0 and standard deviation σ
x
= 1. With
z = g(x) shown in Figure 6.16, find the PDF f
z
.
+
z

+
x

3KΩ
1K Ω
FIGURE6.13: Circuit for Problem 16.
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TRANSFORMATIONS OF RANDOMVARIABLES 79
+
z

+
x

R
2 V 3 V
FIGURE6.14: Circuit for Problem 17.
20. Random variable x has the following PDF
f
x
(α) =
_
α +0.5δ(α −0.5), 0 < α < 1
0, otherwise.
Find F
z
if z = x
2
.
21. Random variable x is uniform in the interval 0 to 12. Random variable z = 4x +2.
Find f
z
using the PDF technique.
22. Find f
z
if z = 1/x
2
and x is uniform on −1 to 2.
23. Random variable x has the PDF
f
x
(α) =
_
2(α +1)/9, −1 < α < 2
0, otherwise.
Find the PDF of z = 2x
2
using the PDF technique.
24. Let z = cos(x). Find f
z
if:
(a) f
x
(α) =
_
1/π, |α| < π/2
0, otherwise.
1K Ω
5K Ω
x
z
FIGURE6.15: Circuit for Problem 18.
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80 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
−2 −1 1
x
1.4
z g( x ) =
2
−0.5
FIGURE6.16: Transformation for Problem 19.
(b) f
x
(α) =
_
8α/π
2
, 0 < α < π/2
0, otherwise.
25. Given that x has the CDF
F
x
(α) =





0, α < 0
α, 0 ≤ α < 1
1, 1 ≤ α.
Find the PDF of z = −2 ln(x) using the PDF technique.
26. Random variable x has the PDF
f
x
(α) =
_
2α/9, 0 < α < 3
0, otherwise.
Random variable z = (x −1)
2
and event A = {x : x ≥ 1/2}. Find the PDF of random
variable z, given event A.
27. Random variable x is uniform between −1 and 1. Random variable
z =
_
x
2
, x < 0
x, x ≥ 0.
Using the PDF technique, find f
z
.
28. A voltage v is a Gaussian random variable with η
v
= 0 and σ
v
= 2. Random variable
w = v
2
/R represents the power dissipated in a resistor of R with v volts across the
resistor. Find (a) f
w
, (b) f
w| A
if A = {v ≥ 0}.
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TRANSFORMATIONS OF RANDOMVARIABLES 81
29. Random variable x has an exponential distribution with mean one. If z = e
−x
, use
the PDF technique to determine: (a) f
z| A
(γ | A) if A = {x : x > 2}, (b) f
z|B
(γ |B) if
B = {z : z < 1/2}.
30. Find f
z
if z = 1/x and
f
x
(α) =
1
π(α
2
+1)
.
31. Given that random variable x has the PDF
f
x
(α) =





α, 0 < α < 1
2 −α, 1 < α < 2
0, otherwise.
Using the PDF technique, find the PDF of z = x
2
.
32. Suppose
f
x
(α) =
_
2α, 0 < α < 1
0, otherwise,
and z = 8x
3
. Determine f
z
using the PDF technique.
33. Given
f
x
(α) =






2
, 0 < α < 0.5
3(1 −α
2
), 0.5 < α < 1
0, otherwise,
and z = −2 ln(x). Determine: (a) f
z
, (b) F
z
, (c) E(z), (d) E(z
2
).
34. Using the PDF technique, find f
z
if z = |x| and x is a standard Gaussian random
variable.
35. Suppose RV x has PDF f
x
(α) = 0.5α(u(α) −u(α −2)). Find a transformation g such
that z = g(x) has PDF
f
z
(γ ) = c γ
2
(u(γ ) −u(γ −1)).
36. Let
f
x
(α) =
_
0.75(1 −α
2
), −1 < α < 1
0, otherwise,
and z = x
2
. Determine f
z
using the PDF technique.
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82 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
37. Find f
z
if z = sin(x) and
f
x
(α) =
_
1/(2π), 0 ≤ α < 2π
0, otherwise.
38. Random variable x has the PDF
f
x
(α) =





0.5, −1 < α < 0
0.5 −0.25α, 0 < α < 2
0, otherwise.
(a) Find the transformation z = g(x) so that
f
z
(γ ) =





1 −0.25γ, 0 < γ < 1
0.5 −0.25γ, 1 < γ < 2
0, otherwise.
(b) Determine f
z
if z = (2x +2)u(x).
39. Let random variable x have the PDF
f
x
(α) =
_
1/12, −2 < α < 1
1/4, 1 < α < 2;
in addition, P(x = −2) = P(x = 2) = 0.25. If z = 1/x, find f
z
.
40. Random variable x has PDF
f
x
(α) =
1
4
δ(α +1) +
1
4
δ(α) +(u(α) −u(α −2)).
Random variable z = g(x), with g shown in Figure 6.17. Find the PDF f
z
.
41. Random variable x has PDF
f
x
(α) =
α
2
3
(u(α +1) −u(α −2)).
−1 1
x
2
z = g(x)
2
1
0
FIGURE6.17: Transformation for Problem 40.
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TRANSFORMATIONS OF RANDOMVARIABLES 83
−1 1
2
z = g( x)
2
1
0
x
FIGURE6.18: Transformation for Problem 41.
Random variable z = g(x), with g shown in Figure 6.18. Use the PDF technique to
find: (a) f
z
, (b) f
z| A
with A = {x > 0}.
42. The PDF for random variable x is f
x
(α) = e
−α
u(α). With z = e
−x
, determine: (a)
f
z| A
(γ | A) where A = {x : x > 2}, (b) f
z|B
(γ |B) where B = {z : z < 1/2}.
43. The joint PDF of x and y is
f
x,y
(α, β) =
_
e
−α
, 0 < β < α
0, otherwise.
With z = x + y, write an expression(s) for F
z
(γ ) (do not solve, just write the integral(s)
necessary to find F
z
.
44. If z = x/y, find F
z
when x and y have the joint PDF
f
x,y
(α, β) =
_
0.25α, 0 < β < α < 1
0, otherwise.
45. Resistors R
1
and R
2
have values r
1
and r
2
which are independent RVs uniformly
distributed between 1 and 2 . With r denoting the equivalent resistance of a series
connection of R
1
and R
2
, find the PDF f
r
using convolution.
46. Resistors R
1
and R
2
have values r
1
and r
2
which are independent RVs uniformly
distributed between 1 and 2 . With g denoting the equivalent conductance of a
parallel connection of R
1
and R
2
, find the PDF f
g
using convolution.
47. Suppose the voltage v across a resistor is a random variable with PDF
f
v
(α) =
_
6α(1 −α), 0 < α < 1
0, otherwise,
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84 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
and that resistance r is a random variable with PDF
f
r
(β) =
_
1/12, 94 < β < 106
0, otherwise.
Moreover, suppose that v and r are independent random variables. Find the PDF for
power, p = v
2
/r .
48. The joint PDF for random variables x and y is
f
x,y
(α, β) =
_
α +β, 0 < α < 1, 0 < β < 1
0, otherwise.
Let z = 2x + y and w = x +2y. Find f
z,w
.
49. The joint PDF for random variables x and y is
f
x,y
(α, β) =
_
4αβ, 0 < α < 1, 0 < β < 1
0, otherwise.
Let z = x
2
and w = xy. Find: (a) f
z,w
, (b) f
z
.
50. The joint PDF for random variables x and y is
f
x,y
(α, β) =
_
3(α
2

2
), 0 < β < α < 1
0, otherwise.
Find the joint PDF for random variables z = x + y and w = x − y.
51. The joint PDF for random variables x and y is
f
x,y
(α, β) =
_
0.5βe
−α
, 0 < α, 0 < β < 2
0, otherwise.
With z = y/x, find f
z
.
52. The joint PDF for random variables x and y is
f
x,y
(α, β) =
_
8αβ, 0 < α
2

2
< 1, 0 < α, 0 < β
0, otherwise.
Let A = {(x, y) : x > y}, z = x and w = x
2
+ y
2
. Find: (a) f
z,w| A
, (b) f
z| A
.
53. The joint PDF for random variables x and y is
f
x,y
(α, β) =
_
1/α, 0 < β < α < 1
0, otherwise.
Let z = x/y and w = y. Find f
z,w
.
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TRANSFORMATIONS OF RANDOMVARIABLES 85
54. The joint PDF for random variables x and y is
f
x,y
(α, β) =
_
α sin(β), 0 < α < 1, 0 < β < π
0, otherwise.
Let z = x
2
and w = cos(y). Find f
z,w
.
55. The joint PDF for random variables x and y is
f
x,y
(α, β) =
_
12αβ(1 −α), 0 < α < 1, 0 < β < 1
0, otherwise.
Let z = x
2
y. Find f
z
.
56. The joint PDF for random variables x and y is
f
x,y
(α, β) =
_
e
−α−β
, 0 < α, 0 < β
0, otherwise.
Let z = x + y and w = x/(x + y). Find: (a) f
z,w
, (b) f
z
.
57. The joint PDF for random variables x and y is
f
x,y
(α, β) =
_
0.25(α +β), |α| < 1, |β| < 1
0, otherwise.
Let z = xy and w = y/x. Find f
z,w
using the joint CDF technique.
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87
A P P E N D I X A
Distribution Tables
TABLEA.1: Bernoulli CDF for n = 5 and n = 10
n = 5
p k +0 +1 +2 +3 +4
0.05 0 0.773781 0.977408 0.998842 0.999970 1.000000
0.1 0 0.590490 0.918540 0.991440 0.999540 0.999990
0.15 0 0.443705 0.835210 0.973388 0.997773 0.999924
0.2 0 0.327680 0.737280 0.942080 0.993280 0.999680
0.25 0 0.237305 0.632813 0.896484 0.984375 0.999023
0.3 0 0.168070 0.528220 0.836920 0.969220 0.997570
0.35 0 0.116029 0.428415 0.764831 0.945978 0.994748
0.4 0 0.077760 0.336960 0.682560 0.912960 0.989760
0.45 0 0.050328 0.256218 0.593127 0.868780 0.981547
0.5 0 0.031250 0.187500 0.500000 0.812500 0.968750
n = 10
p k +0 +1 +2 +3 +4
0.05 0 0.598737 0.913862 0.988496 0.998971 0.999936
5 0.999997 1.000000 1.000000 1.000000 1.000000
0.1 0 0.348678 0.736099 0.929809 0.987205 0.998365
5 0.999853 0.999991 1.000000 1.000000 1.000000
0.15 0 0.196874 0.544300 0.820197 0.950030 0.990126
5 0.998617 0.999865 0.999991 1.000000 1.000000
(Continued )
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TABLEA.1: Bernoulli CDF for n = 5 and n = 10 (Continued)
n = 10
p k +0 +1 +2 +3 +4
0.2 0 0.107374 0.375810 0.677800 0.879126 0.967206
5 0.993631 0.999136 0.999922 0.999996 1.000000
0.25 0 0.056314 0.244025 0.525593 0.775875 0.921873
5 0.980272 0.996494 0.999584 0.999970 0.999999
0.3 0 0.028248 0.149308 0.382783 0.649611 0.849732
5 0.952651 0.989408 0.998410 0.999856 0.999994
0.35 0 0.013463 0.085954 0.261607 0.513827 0.751495
5 0.905066 0.973976 0.995179 0.999460 0.999972
0.4 0 0.006047 0.046357 0.167290 0.382281 0.633103
5 0.833761 0.945238 0.987705 0.998322 0.999895
0.45 0 0.002533 0.023257 0.099560 0.266038 0.504405
5 0.738437 0.898005 0.972608 0.995498 0.999659
0.5 0 0.000977 0.010742 0.054688 0.171875 0.376953
5 0.623047 0.828125 0.945313 0.989258 0.999023
TABLEA.2: Bernoulli CDF for n = 15
n = 15
p k +0 +1 +2 +3 +4
0.05 0 0.463291 0.829047 0.963800 0.994533 0.999385
5 0.999947 0.999996 1.000000 1.000000 1.000000
10 1.000000 1.000000 1.000000 1.000000 1.000000
0.1 0 0.205891 0.549043 0.815939 0.944444 0.987280
5 0.997750 0.999689 0.999966 0.999997 1.000000
10 1.000000 1.000000 1.000000 1.000000 1.000000
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TABLEA.2: Bernoulli CDF for n = 15 (Continued)
n = 15
p k +0 +1 +2 +3 +4
0.15 0 0.087354 0.318586 0.604225 0.822655 0.938295
5 0.983190 0.996394 0.999390 0.999919 0.999992
10 0.999999 1.000000 1.000000 1.000000 1.000000
0.2 0 0.035184 0.167126 0.398023 0.648162 0.835766
5 0.938949 0.981941 0.995760 0.999215 0.999887
10 0.999988 0.999999 1.000000 1.000000 1.000000
0.25 0 0.013363 0.080181 0.236088 0.461287 0.686486
5 0.851632 0.943380 0.982700 0.995807 0.999205
10 0.999885 0.999988 0.999999 1.000000 1.000000
0.3 0 0.004748 0.035268 0.126828 0.296868 0.515491
5 0.721621 0.868857 0.949987 0.984757 0.996347
10 0.999328 0.999908 0.999991 1.000000 1.000000
0.35 0 0.001562 0.014179 0.061734 0.172696 0.351943
5 0.564282 0.754842 0.886769 0.957806 0.987557
10 0.997169 0.999521 0.999943 0.999996 1.000000
0.4 0 0.000470 0.005172 0.027114 0.090502 0.217278
5 0.403216 0.609813 0.786897 0.904953 0.966167
10 0.990652 0.998072 0.999721 0.999975 0.999999
0.45 0 0.000127 0.001692 0.010652 0.042421 0.120399
5 0.260760 0.452160 0.653504 0.818240 0.923071
10 0.974534 0.993673 0.998893 0.999879 0.999994
0.5 0 0.000031 0.000488 0.003693 0.017578 0.059235
5 0.150879 0.303619 0.500000 0.696381 0.849121
10 0.940765 0.982422 0.996307 0.999512 0.999969
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TABLEA.3: Bernoulli CDF for n = 20
n = 20
p k +0 +1 +2 +3 +4
0.05 0 0.358486 0.735840 0.924516 0.984098 0.997426
5 0.999671 0.999966 0.999997 1.000000 1.000000
10 1.000000 1.000000 1.000000 1.000000 1.000000
15 1.000000 1.000000 1.000000 1.000000 1.000000
0.1 0 0.121577 0.391747 0.676927 0.867047 0.956825
5 0.988747 0.997614 0.999584 0.999940 0.999993
10 0.999999 1.000000 1.000000 1.000000 1.000000
15 1.000000 1.000000 1.000000 1.000000 1.000000
0.15 0 0.038760 0.175558 0.404896 0.647725 0.829847
5 0.932692 0.978065 0.994079 0.998671 0.999752
10 0.999961 0.999995 0.999999 1.000000 1.000000
15 1.000000 1.000000 1.000000 1.000000 1.000000
0.2 0 0.011529 0.069175 0.206085 0.411449 0.629648
5 0.804208 0.913307 0.967857 0.990018 0.997405
10 0.999437 0.999898 0.999985 0.999998 1.000000
15 1.000000 1.000000 1.000000 1.000000 1.000000
0.25 0 0.003171 0.024313 0.091260 0.225156 0.414842
5 0.617173 0.785782 0.898188 0.959075 0.986136
10 0.996058 0.999065 0.999816 0.999970 0.999996
15 1.000000 1.000000 1.000000 1.000000 1.000000
0.3 0 0.000798 0.007637 0.035483 0.107087 0.237508
5 0.416371 0.608010 0.772272 0.886669 0.952038
10 0.982855 0.994862 0.998721 0.999739 0.999957
15 0.999994 0.999999 1.000000 1.000000 1.000000
0.35 0 0.000181 0.002133 0.012118 0.044376 0.118197
5 0.245396 0.416625 0.601027 0.762378 0.878219
10 0.946833 0.980421 0.993985 0.998479 0.999689
15 0.999950 0.999994 0.999999 1.000000 1.000000
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TABLEA.3: Bernoulli CDF for n = 20 (Continued)
n = 20
p k +0 +1 +2 +3 +4
0.4 0 0.000037 0.000524 0.003611 0.015961 0.050952
5 0.125599 0.250011 0.415893 0.595599 0.755337
10 0.872479 0.943474 0.978971 0.993534 0.998388
15 0.999683 0.999953 0.999995 1.000000 1.000000
0.45 0 0.000006 0.000111 0.000927 0.004933 0.018863
5 0.055334 0.129934 0.252006 0.414306 0.591361
10 0.750711 0.869235 0.941966 0.978586 0.993566
15 0.998469 0.999723 0.999964 0.999997 1.000000
0.5 0 0.000001 0.000020 0.000201 0.001288 0.005909
5 0.020695 0.057659 0.131588 0.251722 0.411901
10 0.588099 0.748278 0.868412 0.942341 0.979305
15 0.994091 0.998712 0.999799 0.999980 0.999999
TABLEA.4: Poisson CDF for λ = 0.1, 0.2, . . . , 1, 1.5, 2, . . . , 4.5
λ k +0 +1 +2 +3 +4
0.1 0 0.904837 0.995321 0.999845 0.999996 1.000000
0.2 0 0.818731 0.982477 0.998852 0.999943 0.999998
0.3 0 0.740818 0.963064 0.996400 0.999734 0.999984
0.4 0 0.670320 0.938448 0.992074 0.999224 0.999939
0.5 0 0.606531 0.909796 0.985612 0.998248 0.999828
5 0.999986 0.999999 1.000000 1.000000 1.000000
0.6 0 0.548812 0.878099 0.976885 0.996642 0.999605
5 0.999961 0.999997 1.000000 1.000000 1.000000
0.7 0 0.496585 0.844195 0.965858 0.994247 0.999214
5 0.999910 0.999991 0.999999 1.000000 1.000000
(Continued )
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TABLEA.4: Poisson CDF for λ = 0.1, 0.2, . . . , 1, 1.5, 2, . . . , 4.5 (Continued)
λ k +0 +1 +2 +3 +4
0.8 0 0.449329 0.808792 0.952577 0.990920 0.998589
5 0.999816 0.999979 0.999998 1.000000 1.000000
0.9 0 0.406570 0.772482 0.937143 0.986541 0.997656
5 0.999656 0.999957 0.999995 1.000000 1.000000
1 0 0.367879 0.735759 0.919699 0.981012 0.996340
5 0.999406 0.999917 0.999990 0.999999 1.000000
1.5 0 0.223130 0.557825 0.808847 0.934358 0.981424
5 0.995544 0.999074 0.999830 0.999972 0.999996
2 0 0.135335 0.406006 0.676676 0.857123 0.947347
5 0.983436 0.995466 0.998903 0.999763 0.999954
2.5 0 0.082085 0.287297 0.543813 0.757576 0.891178
5 0.957979 0.985813 0.995753 0.998860 0.999723
10 0.999938 0.999987 0.999998 1.000000 1.000000
3 0 0.049787 0.199148 0.423190 0.647232 0.815263
5 0.916082 0.966491 0.988095 0.996197 0.998897
10 0.999708 0.999929 0.999984 0.999997 0.999999
3.5 0 0.030197 0.135888 0.320847 0.536633 0.725445
5 0.857614 0.934712 0.973261 0.990126 0.996685
10 0.998981 0.999711 0.999924 0.999981 0.999996
4 0 0.018316 0.091578 0.238103 0.433470 0.628837
5 0.785130 0.889326 0.948866 0.978637 0.991868
10 0.997160 0.999085 0.999726 0.999924 0.999980
4.5 0 0.011109 0.061099 0.173578 0.342296 0.532104
5 0.702930 0.831051 0.913414 0.959743 0.982907
10 0.993331 0.997596 0.999195 0.999748 0.999926
15 0.999980 0.999995 0.999999 1.000000 1.000000
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TABLEA.5: Poisson CDF for λ = 5, 5.5, . . . , 8.5
λ k +0 +1 +2 +3 +4
5 0 0.006738 0.040428 0.124652 0.265026 0.440493
5 0.615961 0.762183 0.866628 0.931906 0.968172
10 0.986305 0.994547 0.997981 0.999302 0.999774
15 0.999931 0.999980 0.999995 0.999999 1.000000
5.5 0 0.004087 0.026564 0.088376 0.201699 0.357518
5 0.528919 0.686036 0.809485 0.894357 0.946223
10 0.974749 0.989012 0.995549 0.998315 0.999401
15 0.999800 0.999937 0.999981 0.999995 0.999999
6 0 0.002479 0.017351 0.061969 0.151204 0.285057
5 0.445680 0.606303 0.743980 0.847238 0.916076
10 0.957379 0.979908 0.991173 0.996372 0.998600
15 0.999491 0.999825 0.999943 0.999982 0.999995
6.5 0 0.001503 0.011276 0.043036 0.111850 0.223672
5 0.369041 0.526524 0.672758 0.791573 0.877384
10 0.933161 0.966120 0.983973 0.992900 0.997044
15 0.998840 0.999570 0.999849 0.999949 0.999984
7 0 0.000912 0.007295 0.029636 0.081765 0.172992
5 0.300708 0.449711 0.598714 0.729091 0.830496
10 0.901479 0.946650 0.973000 0.987189 0.994283
15 0.997593 0.999042 0.999638 0.999870 0.999956
7.5 0 0.000553 0.004701 0.020257 0.059145 0.132062
5 0.241436 0.378155 0.524639 0.661967 0.776408
10 0.862238 0.920759 0.957334 0.978435 0.989740
15 0.995392 0.998041 0.999210 0.999697 0.999889
20 0.999961 0.999987 0.999996 0.999999 1.000000
(Continued )
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94 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
TABLEA.5: Poisson CDF for λ = 5, 5.5, . . . , 8.5 (Continued)
λ k +0 +1 +2 +3 +4
8 0 0.000335 0.003019 0.013754 0.042380 0.099632
5 0.191236 0.313374 0.452961 0.592547 0.716624
10 0.815886 0.888076 0.936203 0.965819 0.982743
15 0.991769 0.996282 0.998406 0.999350 0.999747
20 0.999906 0.999967 0.999989 0.999996 0.999999
8.5 0 0.000203 0.001933 0.009283 0.030109 0.074364
5 0.149597 0.256178 0.385597 0.523105 0.652974
10 0.763362 0.848662 0.909083 0.948589 0.972575
15 0.986167 0.993387 0.996998 0.998703 0.999465
20 0.999789 0.999921 0.999971 0.999990 0.999997
TABLEA.6: Poisson CDF for λ = 9, 9.5, 10, 11, 12, 13
λ k +0 +1 +2 +3 +4
9 0 0.000123 0.001234 0.006232 0.021226 0.054964
5 0.115691 0.206781 0.323897 0.455653 0.587408
10 0.705988 0.803008 0.875773 0.926149 0.958534
15 0.977964 0.988894 0.994680 0.997574 0.998944
20 0.999561 0.999825 0.999933 0.999975 0.999991
9.5 0 0.000075 0.000786 0.004164 0.014860 0.040263
5 0.088528 0.164949 0.268663 0.391824 0.521826
10 0.645328 0.751990 0.836430 0.898136 0.940008
15 0.966527 0.982273 0.991072 0.995716 0.998038
20 0.999141 0.999639 0.999855 0.999944 0.999979
10 0 0.000045 0.000499 0.002769 0.010336 0.029253
5 0.067086 0.130141 0.220221 0.332820 0.457930
10 0.583040 0.696776 0.791556 0.864464 0.916542
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TABLEA.6: Poisson CDF for λ = 9, 9.5, 10, 11, 12, 13 (Continued)
λ k +0 +1 +2 +3 +4
15 0.951260 0.972958 0.985722 0.992813 0.996546
20 0.998412 0.999300 0.999704 0.999880 0.999953
11 0 0.000017 0.000200 0.001211 0.004916 0.015105
5 0.037520 0.078614 0.143192 0.231985 0.340511
10 0.459889 0.579267 0.688697 0.781291 0.854044
15 0.907396 0.944076 0.967809 0.982313 0.990711
20 0.995329 0.997748 0.998958 0.999536 0.999801
25 0.999918 0.999967 0.999987 0.999995 0.999998
12 0 0.000006 0.000080 0.000522 0.002292 0.007600
5 0.020341 0.045822 0.089505 0.155028 0.242392
10 0.347229 0.461597 0.575965 0.681536 0.772025
15 0.844416 0.898709 0.937034 0.962584 0.978720
20 0.988402 0.993935 0.996953 0.998527 0.999314
25 0.999692 0.999867 0.999944 0.999977 0.999991
13 0 0.000002 0.000032 0.000223 0.001050 0.003740
5 0.010734 0.025887 0.054028 0.099758 0.165812
10 0.251682 0.353165 0.463105 0.573045 0.675132
15 0.763607 0.835493 0.890465 0.930167 0.957331
20 0.974988 0.985919 0.992378 0.996028 0.998006
25 0.999034 0.999548 0.999796 0.999911 0.999962
TABLEA.7: Poisson CDF for λ = 14, 15, 16, 17, 18
λ k +0 +1 +2 +3 +4
14 0 0.000001 0.000012 0.000094 0.000474 0.001805
5 0.005532 0.014228 0.031620 0.062055 0.109399
10 0.175681 0.260040 0.358458 0.464448 0.570437
(Continued )
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96 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
TABLEA.7: Poisson CDF for λ = 14, 15, 16, 17, 18 (Continued)
λ k +0 +1 +2 +3 +4
15 0.669360 0.755918 0.827201 0.882643 0.923495
20 0.952092 0.971156 0.983288 0.990672 0.994980
25 0.997392 0.998691 0.999365 0.999702 0.999864
30 0.999940 0.999974 0.999989 0.999996 0.999998
15 0 0.000000 0.000005 0.000039 0.000211 0.000857
5 0.002792 0.007632 0.018002 0.037446 0.069854
10 0.118464 0.184752 0.267611 0.363218 0.465654
15 0.568090 0.664123 0.748859 0.819472 0.875219
20 0.917029 0.946894 0.967256 0.980535 0.988835
25 0.993815 0.996688 0.998284 0.999139 0.999582
30 0.999803 0.999910 0.999960 0.999983 0.999993
16 0 0.000000 0.000002 0.000016 0.000093 0.000400
5 0.001384 0.004006 0.010000 0.021987 0.043298
10 0.077396 0.126993 0.193122 0.274511 0.367527
15 0.466745 0.565962 0.659344 0.742349 0.812249
20 0.868168 0.910773 0.941759 0.963314 0.977685
25 0.986881 0.992541 0.995895 0.997811 0.998869
30 0.999433 0.999724 0.999869 0.999940 0.999973
17 0 0.000000 0.000001 0.000007 0.000041 0.000185
5 0.000675 0.002062 0.005433 0.012596 0.026125
10 0.049124 0.084669 0.135024 0.200873 0.280833
15 0.371454 0.467738 0.564023 0.654958 0.736322
20 0.805481 0.861466 0.904728 0.936704 0.959354
25 0.974755 0.984826 0.991166 0.995016 0.997273
30 0.998552 0.999253 0.999626 0.999817 0.999913
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TABLEA.7: Poisson CDF for λ = 14, 15, 16, 17, 18 (Continued)
λ k +0 +1 +2 +3 +4
18 0 0.000000 0.000000 0.000003 0.000018 0.000084
5 0.000324 0.001043 0.002893 0.007056 0.015381
10 0.030366 0.054887 0.091669 0.142598 0.208077
15 0.286653 0.375050 0.468648 0.562245 0.650916
20 0.730720 0.799124 0.855090 0.898890 0.931740
25 0.955392 0.971766 0.982682 0.989700 0.994056
30 0.996669 0.998187 0.999040 0.999506 0.999752
TABLEA.8: Marcum’s Q function for α = 0, 0.01, . . . , 1.99
α +0.00 +0.01 +0.02 +0.03 +0.04
0.00 0.500000 0.496011 0.492022 0.488033 0.484046
0.05 0.480061 0.476078 0.472097 0.468119 0.464144
0.10 0.460172 0.456205 0.452242 0.448283 0.444330
0.15 0.440382 0.436441 0.432505 0.428576 0.424655
0.20 0.420740 0.416834 0.412936 0.409046 0.405165
0.25 0.401294 0.397432 0.393580 0.389739 0.385908
0.30 0.382089 0.378281 0.374484 0.370700 0.366928
0.35 0.363169 0.359424 0.355691 0.351973 0.348268
0.40 0.344578 0.340903 0.337243 0.333598 0.329969
0.45 0.326355 0.322758 0.319178 0.315614 0.312067
0.50 0.308538 0.305026 0.301532 0.298056 0.294598
0.55 0.291160 0.287740 0.284339 0.280957 0.277595
0.60 0.274253 0.270931 0.267629 0.264347 0.261086
0.65 0.257846 0.254627 0.251429 0.248252 0.245097
(Continued )
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98 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
TABLEA.8: Marcum’s Q function for α = 0, 0.01, . . . , 1.99 (Continued)
α +0.00 +0.01 +0.02 +0.03 +0.04
0.70 0.241964 0.238852 0.235762 0.232695 0.229650
0.75 0.226627 0.223627 0.220650 0.217695 0.214764
0.80 0.211855 0.208970 0.206108 0.203269 0.200454
0.85 0.197662 0.194894 0.192150 0.189430 0.186733
0.90 0.184060 0.181411 0.178786 0.176186 0.173609
0.95 0.171056 0.168528 0.166023 0.163543 0.161087
1.00 0.158655 0.156248 0.153864 0.151505 0.149170
1.05 0.146859 0.144572 0.142310 0.140071 0.137857
1.10 0.135666 0.133500 0.131357 0.129238 0.127143
1.15 0.125072 0.123024 0.121001 0.119000 0.117023
1.20 0.115070 0.113140 0.111233 0.109349 0.107488
1.25 0.105650 0.103835 0.102042 0.100273 0.098525
1.30 0.096801 0.095098 0.093418 0.091759 0.090123
1.35 0.088508 0.086915 0.085344 0.083793 0.082264
1.40 0.080757 0.079270 0.077804 0.076359 0.074934
1.45 0.073529 0.072145 0.070781 0.069437 0.068112
1.50 0.066807 0.065522 0.064256 0.063008 0.061780
1.55 0.060571 0.059380 0.058208 0.057053 0.055917
1.60 0.054799 0.053699 0.052616 0.051551 0.050503
1.65 0.049471 0.048457 0.047460 0.046479 0.045514
1.70 0.044565 0.043633 0.042716 0.041815 0.040929
1.75 0.040059 0.039204 0.038364 0.037538 0.036727
1.80 0.035930 0.035148 0.034379 0.033625 0.032884
1.85 0.032157 0.031443 0.030742 0.030054 0.029379
1.90 0.028716 0.028067 0.027429 0.026803 0.026190
1.95 0.025588 0.024998 0.024419 0.023852 0.023295
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TABLEA.9: Marcum’s Q function for α = 3, 3.01, . . . , 3.99
α +0.00 +0.01 +0.02 +0.03 +0.04
2.00 0.022750 0.022216 0.021692 0.021178 0.020675
2.05 0.020182 0.019699 0.019226 0.018763 0.018309
2.10 0.017864 0.017429 0.017003 0.016586 0.016177
2.15 0.015778 0.015386 0.015003 0.014629 0.014262
2.20 0.013903 0.013553 0.013209 0.012874 0.012545
2.25 0.012224 0.011911 0.011604 0.011304 0.011011
2.30 0.010724 0.010444 0.010170 0.009903 0.009642
2.35 0.009387 0.009137 0.008894 0.008656 0.008424
2.40 0.008198 0.007976 0.007760 0.007549 0.007344
2.45 0.007143 0.006947 0.006756 0.006569 0.006387
2.50 0.006210 0.006037 0.005868 0.005703 0.005543
2.55 0.005386 0.005234 0.005085 0.004940 0.004799
2.60 0.004661 0.004527 0.004397 0.004269 0.004145
2.65 0.004025 0.003907 0.003793 0.003681 0.003573
2.70 0.003467 0.003364 0.003264 0.003167 0.003072
2.75 0.002980 0.002890 0.002803 0.002718 0.002635
2.80 0.002555 0.002477 0.002401 0.002327 0.002256
2.85 0.002186 0.002118 0.002052 0.001988 0.001926
2.90 0.001866 0.001807 0.001750 0.001695 0.001641
2.95 0.001589 0.001538 0.001489 0.001441 0.001395
3.00 0.001350 0.001306 0.001264 0.001223 0.001183
3.05 0.001144 0.001107 0.001070 0.001035 0.001001
3.10 0.000968 0.000936 0.000904 0.000874 0.000845
3.15 0.000816 0.000789 0.000762 0.000736 0.000711
3.20 0.000687 0.000664 0.000641 0.000619 0.000598
3.25 0.000577 0.000557 0.000538 0.000519 0.000501
3.30 0.000483 0.000467 0.000450 0.000434 0.000419
(Continued )
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100 ADVANCEDPROBABILITY THEORY FORBIOMEDICAL ENGINEERS
TABLEA.9: Marcum’s Q function for α = 3, 3.01, . . . , 3.99 (Continued)
α +0.00 +0.01 +0.02 +0.03 +0.04
3.35 0.000404 0.000390 0.000376 0.000362 0.000350
3.40 0.000337 0.000325 0.000313 0.000302 0.000291
3.45 0.000280 0.000270 0.000260 0.000251 0.000242
3.50 0.000233 0.000224 0.000216 0.000208 0.000200
3.55 0.000193 0.000185 0.000179 0.000172 0.000165
3.60 0.000159 0.000153 0.000147 0.000142 0.000136
3.65 0.000131 0.000126 0.000121 0.000117 0.000112
3.70 0.000108 0.000104 0.000100 0.000096 0.000092
3.75 0.000088 0.000085 0.000082 0.000078 0.000075
3.80 0.000072 0.000070 0.000067 0.000064 0.000062
3.85 0.000059 0.000057 0.000054 0.000052 0.000050
3.90 0.000048 0.000046 0.000044 0.000042 0.000041
3.95 0.000039 0.000037 0.000036 0.000034 0.000033

Copyright © 2006 by Morgan & Claypool

All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means—electronic, mechanical, photocopy, recording, or any other except for brief quotations in printed reviews, without the prior permission of the publisher. Advanced Probability Theory for Biomedical Engineers John D. Enderle, David C. Farden, and Daniel J. Krause www.morganclaypool.com ISBN-10: 1598291505 ISBN-13: 9781598291506 ISBN-10: 1598291513 ISBN-13: 9781598291513 paperback paperback ebook ebook

DOI 10.2200/S00063ED1V01Y200610BME011 A lecture in the Morgan & Claypool Synthesis Series SYNTHESIS LECTURES ON BIOMEDICAL ENGINEERING #11 Lecture #11 Series Editor: John D. Enderle, University of Connecticut

Series ISSN: 1930-0328 Series ISSN: 1930-0336 First Edition 10 9 8 7 6 5 4 3 2 1

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Printed in the United States of America

Advanced Probability Theory for Biomedical Engineers
John D. Enderle
Program Director & Professor for Biomedical Engineering, University of Connecticut

David C. Farden
Professor of Electrical and Computer Engineering, North Dakota State University

Daniel J. Krause
Emeritus Professor of Electrical and Computer Engineering, North Dakota State University

SYNTHESIS LECTURES ON BIOMEDICAL ENGINEERING #11

M &C

Mor gan

& Cl aypool

Publishers

straightforward exercises designed to reinforce concepts and develop problem solution skills. KEYWORDS Probability Theory. Poisson distributions. Poisson and Gaussian distributions are introduced. the probability distribution for a single random variable is determined from a function of two random variables using the CDF. This book focuses on standard probability distributions commonly encountered in biomedical engineering. We first evaluate the probability distribution of a function of one random variable using the CDF and then the PDF. Pertinent biomedical engineering examples are throughout the text. Many important properties of jointly Gaussian random variables are presented. engineers and researchers presenting applications of this theory to a wide variety of problems—as well as pursuing these topics at a more advanced level. Probability and Statistics for Biomedical Engineers. as well as important approximations to the Bernoulli PMF and Gaussian CDF. Then. The exponential.iv ABSTRACT This is the third in a series of short books on probability theory and random processes for biomedical engineers. the joint probability distribution is found from a function of two random variables using the joint PDF and the CDF. Random Processes. The theory material is presented in a logical manner—developing special mathematical skills as needed. Engineering Statistics. Gaussian distributions Bernoulli PMF and Gaussian CDF. Drill problems. Exponential distributions. The mathematical background required of the reader is basic knowledge of differential calculus. The aim of all three books is as an introduction to probability theory. Next. The primary subjects of the final chapter are methods for determining the probability distribution of a function of a random variable. follow most sections. Gaussian random variables . The audience includes students.

. . . . . .4. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .5. . 20 5. . . . .2 Mixed Random Variable . . . . . 65 6. . . . . . . . . . . . . . . . . . . . . . . . . . . .18 5. . . . . . . . . . . . . . . . . . . . . . .2 CDF Technique with Arbitrary Functions .1 Marcum’s Q Function . . . . . . . . . . . . .2 Bivariate PDF Technique . . . . . . . . . . . . . . . . . . . . . . . .3. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .3. . 45 6. . . . . 6 5. . . . . . . .6 Problems . . . . . . . 1 5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 5. . . . . . . . . . .8 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .2 Exponential Distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 5. .1 Constant Contours. . . . . . . . . . . . . . . . . .1 Univariate CDF Technique . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1. . . . . . . .5 Summary . . . . . . . . . . . . . .4 Poisson Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .4. . . . . . . . Standard Probability Distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . 63 6. . . . . . . . . . . . . . . . . . . .2 Gaussian Approximation to Bernoulli . . . . . . . . . . . . . . . . . . . . . . . . . . 46 6. . . . . . . . . . . . . . . . . . 53 6. . . . . . . . 63 6. . . . . . . . . . . 36 Transformations of Random Variables . . . .1 Bivariate CDF Technique . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .7 Summary . . . . . . . . . . . . . . . . .2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75 6. . . . . . . . .3 Bernoulli Trials . .1 Poisson Approximation to Bernoulli . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1 Interarrival Times. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26 5. . . . . .6. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1 CDF Technique with Monotonic Functions . . . . . . . . . . . . . . . . . . . . .5 Univariate Gaussian Distribution . . . . . . . 56 6. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .2. . .v Contents 5. . . . . . . . . . . . .2. . . . . . . . . . 73 6. . . . . 57 6. . . . . . . . . . . . . . . .4. . . . .1 Continuous Random Variable . 25 5. 4 5. . . . . . . . . . . . .1 Uniform Distributions . . .3 Conditional PDF Technique . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .6 Bivariate Gaussian Random Variables . . . . . 45 6. . . .1. . . . . . . . . . . . . . . . . .4 Bivariate Transformations . . . . 36 5. . . . . . . . . . . . . . . . . . . . . . . . . 12 5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .32 5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45 6. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14 5. . . . . . . . . . . . . . 59 6. . . . . . . . . . .3 One Function of Two Random Variables . . . . . . . . .2 Univariate PDF Technique . . . . . . . . . . . . . . . . . . . . . . . . 53 6. .

.

In addition. Poisson and Gaussian distributions are introduced.vii Preface This is the third in a series of short books on probability theory and random processes for biomedical engineers. A considerable effort has been made to develop the theory in a logical manner . The third chapter focuses on expectation.developing special mathematical skills as needed. The primary subjects of Chapter 6 are methods for determining the probability distribution of a function of a random variable. Convolution is also developed. junior or senior level for the application of this theory to a wide variety of problems .as well as pursue these topics at a more advanced level. conditional moments and the conditional characteristic function are also discussed. The mathematical background required of the reader is basic knowledge of differential calculus. conditional expectation. Many important properties of jointly distributed Gaussian random variables are presented. These key concepts are all presented in the first chapter. Next. joint moments. The fourth chapter introduces jointly distributed random variables. We first evaluate the probability distribution of a function of one random variable using the CDF and then the PDF. We have found it best to introduce this material using simple examples such as dice and cards. the probability distribution for a single random variable is determined from a function of two random variables using the CDF. Our approach is to present a unified treatment of the subject. This text is written as an introduction to probability theory. the exponential. The goal was to prepare students at the sophomore. The applications and examples given reflect the authors’ background in teaching probability theory and random processes for many years. Then. moments. There are only a few key concepts involved in the basic theory of probability theory. standard deviation. and the characteristic function. the joint probability distribution is found from a function of two random variables using the joint PDF and the CDF. along with joint expectation. Later chapters simply expand upon these key ideas and extend the range of application. rather than more complex biological . Every effort has been made to be consistent with commonly used notation and terminology—both within the engineering community as well as the probability and statistics literature. and the joint characteristic function. This short book focuses on standard probability distributions commonly encountered in biomedical engineering. as well as important approximations to the Bernoulli PMF and Gaussian CDF. The second chapter introduces the topic of random variables. Here in Chapter 5.

Drill problems. follow most sections. presented in the same general order as covered in the textbook. We acknowledge and thank William Pruehsner for the technical illustrations. The answers to the drill problems follow the problem statement in random order. At the end of each chapter is a wide selection of problems.viii PREFACE and biomedical phenomena. Students in other fields should also find the approach useful. ranging from simple to difficult. However. straightforward exercises designed to reinforce concepts and develop problem solution skills. Many of the examples and end of chapter problems are based on examples from the textbook by Drake [9]. . we do introduce some pertinent biomedical engineering examples throughout the text.

12 n − 1 (5. In some instances.1: ηx = and 2 σx = 1 n n−1 (kh + a) = k=0 [2] 1 b − a n(n − 1) b +a h γn +a = +a = . k = 0. The discrete RV x has a uniform distribution over n points (n > 1) on the interval [a. 2 (n − 1) n−1 4 (5. .1) The mean and variance of a discrete uniform RV are easily computed with the aid of Lemma 2. 1. n − 1 otherwise.1. Each section introduces a new PMF or PDF.3.1. 2 σx = (b − a)2 n + 1 . We will see that many random variables and their corresponding experiments have similar properties and can be described by the same probability distribution.1 UNIFORM DISTRIBUTIONS Definition 5. we cannot possibly discuss them all here in this chapter. special properties are pointed out along with relationships among other probability distributions. the PMF or PDF is derived according to the characteristics of the experiment. . Because of the vast number of probability distributions. 5.3) Simplifying. Additionally. variance. b] if x is a lattice RV with span h = (b − a)/(n − 1) and PMF p x (α) = 1/n. (5. Following this.1 CHAPTER 5 Standard Probability Distributions A surprisingly small number of probability distributions describe many natural probabilistic phenomena. 0. the mean. . α = kh + a. n 2 nn−1 2 2 (5.4) . This chapter presents some of these discrete and continuous probability distributions that occur often enough in a variety of problems to deserve special mention. .2) 1 n n−1 kh − k=0 b −a 2 2 = (b − a)2 n n−1 k=0 k 1 k2 − + . and characteristic function are found.

b] if x has PDF f x (α) = 1/(b − a).5 (a) 1 α 10 30 (b) 50 t FIGURE 5.8) . The continuous RV x has a uniform distribution on the interval [a.1 illustrates one-half period of |φx (·)|. φx (t) = exp j a +b t 2 sin n sin b−a n t 2 n−1 b−a 1 t 2 n−1 . Figure 5. (5.2 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS px ( α ) .1. Definition 5. n 1 − e jht (5. (5.1 illustrates the PMF and the magnitude of the characteristic function for a discrete RV which is uniformly distributed over 20 points on [0.5) Simplifying with the aid of Euler’s identity. 0. 1].3 that φx (−t) = φx (t) and that φx (t) is periodic in t with period 2π /h. The characteristic function can be found using the sum of a geometric series: φx (t) = e jat n n−1 (e jht )k = k=0 e jat 1 − e jhnt . 1].7) The mean and variance of a continuous uniform RV are easily computed directly: 1 ηx = b −a b αd α = a b2 − a2 b +a = .6) Figure 5.1: (a) PMF and (b) characteristic function magnitude for discrete RV with uniform distribution over 20 points on [0. π /h]. where the span h = 1/19.2. The characteristic function is plotted ∗ over [0. Recall from Section 3.05 1 φ x (t ) 0 . Thus. a ≤α≤b otherwise. 2(b − a) 2 (5.

2 illustrates the PDF and the magnitude of the characteristic function for a continuous RV uniformly distributed on [0. . (d) σx . 5].STANDARD PROBABILITY DISTRIBUTIONS f x (α) 1 1 3 φx (t ) 0 . 0. −(b−a)/2 Simplifying with the aid of Euler’s identity.2.2. (b) P(10 ≤ x ≤ 50).8. 1]. 1]. Note that the characteristic function in this case is not ∗ periodic but φx (−t) = φx (t). 1/6. 12 (5. and 2 σx 1 = b −a b α− a b +a 2 2 dα = (b − a)2 . (d) σx . A pentahedral die (with faces labeled 0. Answers: 20. Random variable x is uniformly distributed on the interval [−1. Let x be a random variable equaling ten times the number tossed. 3. Answers: 1.2.2: (a) PDF and (b) characteristic function magnitude for continuous RV with uniform distribution on [0.1.1.4) is tossed once. 2.10) Figure 5. (b) Fx (5).9) The characteristic function can be found as 1 φx (t) = b −a b a exp j b+a t 2 e dα = b −a jαt (b−a)/2 e jαt d α. 0.1. Drill Problem 5. φx (t) = exp a +b j t 2 sin b−a t 2 b−a t 2 . Deter2 mine: (a) Fx (0). (c) ηx . Determine: (a) p x (20).1. 200. 2 (c) E(x). Drill Problem 5. (5.3.5 (a) 1 10 30 (b) 50 t FIGURE 5.

≥ 0. px (α) .4 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS 5.15) φx (t ) . α = 1. otherwise. (5. . .11) The characteristic function can be found using the sum of a geometric series (q = 1 − p): p φx (t) = q ∞ k=1 q e jt k = pe j t . 2. The results are ηx = 1 . p and 2 σx = q .2.12) The mean and variance of a discrete RV with a geometric distribution can be computed using the moment generating property of the characteristic function.2. where u(·) is the unit step function.13) Figure 5.18127]. 1 − q e jt (5. The discrete RV x has a geometric distribution or discrete exponential distribution with parameter p(0 < p < 1) if x has PMF p x (α) = p(1 − p)α−1 .3 illustrates the PMF and the characteristic function magnitude for a discrete RV with geometric distribution and parameter p = 0.09 0 10 (a) 20 α 0 1 (b) 2 3 t FIGURE 5. It can be shown that a discrete exponentially distributed RV has a memoryless property: p x|x> (α|x > ) = p x (α − ).14) Definition 5.2. . p2 (5.18 1 (5.3: (a) PMF and (b) characteristic function magnitude for discrete RV with geometric distribution [ p = 0.2 EXPONENTIAL DISTRIBUTIONS Definition 5. .1. 0. The continuous RV x has an exponential distribution with parameter λ(λ > 0) if x has PDF f x (α) = λe −λα u(α). (5.18127.

2. The results are ηx = 1 . (5.2 1 5 φx (t ) . like its discrete counterpart. Queuing theory describes the waiting times between events. The characteristic function can be found as ∞ φx (t) = λ 0 e α( j t−λ) d α = λ . arising in situations involving reliability theory and queuing problems.4: (a) PDF and (b) characteristic function magnitude for continuous RV with exponential distribution and parameter λ = 0. . The mean and variance of a continuous exponentially distributed RV can be obtained using the moment generating property of the characteristic function.17) A continuous exponentially distributed RV. Reliability theory.2. τ ≥ 0. λ2 (5. The exponential probability distribution is also a very important probability density function in biomedical engineering applications. λ − jt (5.2. Reliability engineers determined its reliability at 5000 hours to be 95%.1.4 illustrates the PDF and the magnitude of the characteristic function for a continuous RV with exponential distribution and parameter λ = 0.18) Example 5. λ 2 σx = 1 . Suppose a system contains a component that has an exponential failure rate.STANDARD PROBABILITY DISTRIBUTIONS f x (α) .1 0 5 10 (a) 15 α 10 30 (b) 50 t FIGURE 5. which describes the time to failure for a system or component. grew primarily out of military applications and experiences with multicomponent systems. Determine the number of hours reliable at 99%. satisfies a memoryless property: f x|x>τ (α|x > τ ) = f x (α − τ ).16) Figure 5.

Determine the average examination grade. has PDF 4 4 f x (α) = e − 3 α u(α). 2. The events for each trial can be thought of as any two events which partition the sample space. (c) 99%. the parameter λ is determined from ∞ 0. to determine the number of hours reliable at 99%. ⎪ ⎩ 0. Suppose a system has an exponential failure rate in years to failure with λ = 0.3. (b) 95%. Thus λ= − ln(0. 5. 3 The examination results are given by ⎧ ⎪ 75. Random variable x. Answers: 0.2.2.6.95 = P (x > 5000) = 5000 λe −λα d α = e −5000λ .6 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS Solution. Determine the number of years reliable at: (a) 90%.95) = 1. 5000 Then. First.5.2. Answer: 80. λ Drill Problem 5. ⎨ g (x) = 75 + 39.02. representing the length of time in hours to complete an examination in Introduction to Random Processes.03 × 10−5 . 0 < x < 4/3 x ≥ 4/3 otherwise.1. such as a head and a tail in a coin toss. 5. we solve for α from P (x > α) = e −λα = 0. Drill Problem 5.44(x − 4/3).99) = 980 hours. a zero or one in a computer .99 or α= − ln(0.3 BERNOULLI TRIALS A Bernoulli experiment consists of a number of repeated (independent) trials with only two possible events for each trial.

(5. For biomedical engineers. n p x (k) = k ⎪ ⎩ 0. The Bernoulli PMF describes the probability of k successes in n trials of a Bernoulli experiment.2.1. where p = probability of success and q = 1 − p.09 0 10 (a) 20 α 0 1 (b) 2 t FIGURE 5. or an even and odd number in a die toss. The characteristic function can be found using the binomial theorem: n (5. the mean and variance of a Bernoulli RV can be shown to be ηx = np. the Bernoulli distribution is used in infectious disease problems and other applications.5: (a) PMF and (b) characteristic function magnitude for discrete RV with Bernoulli distribution. . k (5. . A discrete RV x is Bernoulli distributed if the PMF for x is ⎧ ⎪ n ⎨ p k q n−k . Definition 5.STANDARD PROBABILITY DISTRIBUTIONS 7 bit. The first two chapters used this PMF repeatedly in problems dealing with games of chance and in situations where there were only two possible outcomes in any given trial.19) φx (t) = k=0 n ( pe j t )k q n−k = (q + pe j t )n .3. k = 0. p = 0. The Bernoulli distribution is also known as a Binomial distribution.21) φx (t ) .5 illustrates the PMF and the characteristic function magnitude for a discrete RV with Bernoulli distribution. . p = 0. Let us call one of the events a success. px (α) . . . and n = 30.20) Figure 5.2 and n = 30. Using the moment generating property of characteristic functions. otherwise. the other a failure. 1.18 1 2 σx = npq .

The probability that Fargo Polytechnic Institute wins a game is 0.1.3. c) p x (11) = Fx (11) − Fx (10) = 0. . In a 15 game season. . k.22) with n = 15. n − k − 1.7031 − 0.8 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS Unlike the preceding distributions. Solution. using (5. G(n. k. 0.4845 = 0.0 − 0. we consult Table A. p) = m=n−k n n−m p n−m (1 − p)m . b) P (9 ≤ x ≤ 12) = Fx (12) − Fx (8) = 0. Tables A.2186. 15. . With x a Bernoulli random variable. . 10. .2. 2 d) ηx = np = 10.15. 0.2784 = 0. what is the probability that they win: (a) at least 10 games. Let k ∈ {0.8732 − 0. σx = np(1 − p) = 3.15. k. .1–A.3 in the Appendix list values of the Bernoulli CDF for p = 0. p) = 1 − G(n. . Making the change of variable m = n − yields n G(n. p) = m=0 n m n−k−1 p n−m (1 − p) − m m=0 n m p n−m (1 − p)m .5 from Tables A.1.7216. Now.05.7.22) This result is easily applied to obtain values of the Bernoulli CDF for values of p > 0. 1 − p).7421. and 20. Using the Binomial Theorem. n − 1} and define k G(n. .3. p) = =0 n p (1 − p)n− . Example 5.1311 = 0. (5. since n n−m = n! = m! (n − m)! n m .7.5. and p = 0. (c) exactly 2 11 games? (d) With x denoting the number of games won. 0. . (b) from 9 to 12 games. a closed form expression for the Bernoulli CDF is not easily obtained. 1. n G(n.1–A. we find a) P (x ≥ 10) = 1 − Fx (9) = 1.5 and n = 5. k = 9. k. find ηx and σx .

1.25) .STANDARD PROBABILITY DISTRIBUTIONS 9 We now consider the number of trials needed for k successes in a sequence of Bernoulli trials. e λr p r ∞ (m + r − 1)(m + r − 2) · · · (m + 1)(q e λ )m . . r + 1. Let RV nr represent the number of trials to obtain exactly r successes (r ≥ 1). for = r. . . The moment generating function for nr can be expressed as Mnr (λ) = Letting m = − r . . we obtain Mnr (λ) = With s (x) = ∞ k=0 ∞ =r ( − 1)( − 2) · · · ( − r + 1) r p q (r − 1)! −r λ e . hence. n = k ⎪ ⎩ 0. = r. The PMF for the RV nr is called the negative binomial distribution. (5. . . . (5. also known as the P´ lya and the Pascal distribution. − 1) p. Discrete RV nr thus has PMF p nr ( ) = ⎧ ⎪ ⎨ ⎪ ⎩ −1 r −1 0. k = 0. . 1−x |x| < 1. . we have P (nr = ) = p(r − 1.23) where p = p(1. r + 1. . Let p(k. n) = ⎧(k successes in n trials) P ⎪ n ⎨ p k q n−k . (r − 1)! m=0 xk = 1 . Note that P (success in th trial |r − 1 successes in previous − 1 trials) = p.24) (5. . otherwise.26) where the parameter r is a positive integer. pr q −r (5. otherwise. 1) and q = 1 − p. Note that with o r = 1 the negative binomial PMF is the geometric PMF. .

φx (t ) 1 px (α) . (5.28) We note that the characteristic function is simply r φnr (t) = Mnr ( j t) = φx (t).29) where RV x has a discrete geometric distribution. r = 3. p2 (5. and p = 0.6: (a) PMF and (b) magnitude characteristic function for discrete RV with negative binomial distribution. and p = 0. . p and 2 σn r = rq .27) The mean and variance for nr are found to be ηn r = r . Figure 5.18127. r = 3. q e λ < 1.10 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS we have s (x) = ( ) ∞ k= ∞ m=0 k(k − 1) · · · (k − + 1)x k− (m + )(m + − 1) · · · (m + 1)x m ! +1 = = Hence (1 − x) . (5.06 .03 0 20 (a) 40 α 0 1 (b) 2 t FIGURE 5.18127. Mnr (λ) = pe λ 1 − qeλ r .6 illustrates the PMF and the characteristic function magnitude for a discrete RV with negative binomial distribution.

n→∞. 1. . so that p(k) = lim Now. Lemma 5.30) Proof. .1 Poisson Approximation to Bernoulli When n becomes large in the Bernoulli PMF in such a way that np = λ = constant. We have p(k) = lim n k p k q n−k ⎧ k −λ ⎨λ e . n λ k k 1 p(k) = lim n→∞ k! Note that 1− λ n n−k k−1 (n − i). Satisfactory results are obtained with np < 10. We note that the limiting value p(k) may be used as an approximation for the Bernoulli PMF when p is small by substituting λ = np.3. = k! ⎩ 0. The Poisson PMF is treated in the following section.np=λ λ n (5. While there are no prescribed rules regarding the values of n and p for this approximation. The motivation for using this approximation is that when n is large. .1–A. Tables A. the better the approximation. Substituting p = and q = 1 − λ .3. i=0 n→∞ lim n−k 1 − λ n −k k−1 i=0 (n − i) = 1. otherwise.1.3 are useless for finding values for the Bernoulli CDF.STANDARD PROBABILITY DISTRIBUTIONS 11 5. . λ lim ln 1 − n→∞ n so that n→∞ n λk n→∞ k! 1− λ n n . the Bernoulli PMF approaches another important PMF known as the Poisson PMF. k = 0. the larger the value of n and the smaller the value of p. = lim ln 1 − 1 n λ n n→∞ = −λ lim 1− λ n n = e −λ . from which the desired result follows.

and npq > 3. . Our solution involves approximating the Bernoulli PMF with the Poisson PMF since n is quite large (and the Bernoulli CDF table is useless). when n is large. φ y (t) = exp − j Simplifying. Lemma 5. np t q q + p exp t j√ npq n . We have np t φx φ y (t) = exp − j √ npq Substituting for φx (t). which results in a value of p close to zero—see (5. Notice that in some circumstances np < 10 and npq > 3. we find from Table A.2.001. that is.22). p is small and np < 10.2.5 (the Poisson CDF table is covered in Section 4) that P (x ≤ 5) = 0. Find P (x ≤ 5). p is close to 1/2. if p is close to one.31) /2 . φ y (t) = q exp − j t p qn + p exp jt q np n t √ npq .32) Proof. The accuracy of this approximation is best when n is large. and p is very close to zero. The Gaussian PDF (see Section 5. Then the characteristic function for y satisfies φ(t) = lim φ y (t) = e −t n→∞ 2 (5. Then either the Poisson or the Gaussian approximation will yield good results.3. . This approximation is quite useful since the Bernoulli table lists only CDF values for n up to 20. Let x − np y= √ .12 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS Example 5. we can still use this approximation by reversing our definition of success and failure in the Bernoulli experiment. Incidentally.3. Since λ = np = 5. the Poisson PMF was used to approximate a Bernoulli PMF under certain conditions. Solution. Suppose x is a Bernoulli random variable with n = 5000 and p = 0.3.2 Gaussian Approximation to Bernoulli Previously. 5. (5. npq where x is a Bernoulli RV.5) is also used to approximate a Bernoulli PMF under certain conditions.6160.

. With np = 2000. Evaluation of the above integral as well as the Gaussian PDF are treated in Section 5. p and α= 1 .35) γ (5. n lim ln φ y (t) = lim ln( pβ 2 e − j tα/β + pe j tβα ) .34) and Q(·) is Marcum’s Q function which is tabulated in Tables A.39.5. α→0 2α 2 2 lim φ y (t) = exp lim ln φ y (t) = e −t n→∞ /2 Consequently.39) = 0. α→0 α2 Applying L’Hˆ spital’s Rule twice. we find from Table A.9 of the Appendix.641 = 1. Solution.3.8 and A.4. Example 5.3. The solution involves approximating the Bernoulli CDF with the Gaussian CDF since npq = 1200 > 3. Find P (x ≤ 2048).33) e −α −∞ 2 /2 d α = 1 − Q(γ ) (5. 2 n→∞ . npq b − np b = √ .STANDARD PROBABILITY DISTRIBUTIONS 13 Letting β= we obtain n→∞ q . where 1 F(γ ) = √ 2π is the standard Gaussian CDF. The limiting φ(t) in the above lemma is the characteristic function for a Gaussian RV with zero mean and unit variance.91774.39) = 1 − Q(1. o α→0 lim ln φ y (t) = lim −t 2 p − t 2 β 2 p t2 − j tpβe − j tα/β + j tpβe j tβα = =− . Suppose x is a Bernoulli random variable with n = 5000 and p = 0. npq (5. for large n and a < b P (a < x < b) = P (a < y < b ) ≈ F(b ) − F(a ). a − np a = √ .8 that P (x ≤ 2048) ≈ F(1. npq = 1200 and b = (2048 − 2000)/34. Hence.

Suppose x is a Bernoulli random variable with n = 20 and p = 0. (b) the standard deviation for 15 shots. or within a given region. From the Bernoulli table.67. hence.3. Since npq = 5 > 3. 0.1789. a Poisson random variable might represent the number of telephone calls per hour. A survey of residents in Fargo.12007. 5. a = (7.14 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS When approximating the Bernoulli CDF with the Gaussian CDF.5 − 10)/ 5 = −1.4. we have p x (8) = P (7. 1. p x (8).1201.3. we found that the limit (as n → ∞ and constant mean np) of a Bernoulli PMF is a Poisson PMF.3. Drill Problem 5. (b) at least five of the next twenty cars purchased will be white. Example 5.12. Find P (x = 8).13136. North Dakota revealed that 30% preferred a white automobile over all other colors.25143 − 0.2. In the previous section. npq = 5. a continuous distribution is used to calculate probabilities for a discrete RV.12) = 0. Determine: (a) the expected number of hits scored in 15 shots. Operationally. 4. Prof. . or the number of errors per page in this textbook.4088. the Gaussian approximation is used to evaluate the Bernoulli √ PMF. It is important to note that while the approximation is excellent in terms of the CDFs—the PDF of any discrete RV is never approximated with a continuous PDF. Drill Problem 5. The probability she will hit the target is only 0. typically a time interval.5. Solution.5 < x < 8. to compute the probability that a Bernoulli RV takes an integer value using the Gaussian approximation we must round off to the nearest integer. For example.7748. which is very close to the above approximation.5. 0. Determine the probability that: (a) exactly five of the next 20 cars purchased will be white. we derive the Poisson probability distribution from two fundamental assumptions about the phenomenon based on physical characteristics. In this section. With np = 10.4 POISSON DISTRIBUTION A Poisson PMF describes the number of successes occurring on a continuous line.5 − 10)/ √ 5 = −0. Answers: 0.3. p x (8) = 0. (c) from two to five of the next twenty cars purchased will be white. p x (8) ≈ 0.1. Rensselaer is an avid albeit inaccurate marksman.5) ≈ F(−0. (c) the number of times she must fire so that the probability of hitting the target at least once is greater than 1/2. and b = (8.67) − F(−1. Answers: 2.7625.

h→0 h lim For example. with A = {k successes in interval I1 }. each with a probability of success p = λh + o (h). τ ]).40) (5.41) This second property indicates that for a series of very small intervals. we have p(0.39) (5. and B = { successes in interval I2 }. (5. We use the notation p(k. h) = 1 − λh + o (h). Hence p(1. Thus.STANDARD PROBABILITY DISTRIBUTIONS 15 The following development makes use of the order notation o (h) to denote any function g (h) which satisfies g (h) = 0. τ ) = P (k successes in interval [0. τ ] ∪ (τ. τ + h] = [0. The probability of more than one success occurring during an interval vanishes as the length of the interval approaches zero.37) (5. The longer the interval. (5. τ + h) = p(0. (2) The probability of a single success during a very small time interval is proportional to the length of the interval. h) = λh + o (h). τ ) p(0. the Poisson process is composed of a series of Bernoulli trials. g (h) = 15h 2 + 7h 3 = o (h).42) (5. the number of successes depends only on the length of the time interval and not the location of the interval on the time axis. and p(0. τ + h] = . if I1 ∩ I2 = . (5. τ )(1 − λh + o (h)). τ ] ∩ (τ. τ + h] and [0. h) = p(0. we have P (A ∩ B) = P (A)P (B). Since [0.38) As we will see. .36) The Poisson probability distribution is characterized by the following two properties: (1) The number of successes occurring in a time interval or region is independent of the number of successes occurring in any other non-overlapping time interval or region. the greater the probability of success.

we replace the parameter λτ with λ. 0) = 1.44) k = 1. . 8]) that τ p(0. (5. .46) (λτ )k e −λτ u(τ ). . τ ) −λh p(0. τ ) p(0. dτ with p(k. τ ) = e −λτ u(τ ). . τ ) + o (h) = h h and taking the limit as h → 0. dτ This differential equation has solution p(0. Applying the above properties. it is readily seen that p(k. For ease in subsequent development. The characteristic function for a Poisson RV x with parameter λ is found as (with parameter λ. τ + h) − p(0. τ ) + . h) + o (h). 1. τ ). so that o (h) p(k.43) (5. τ ). 2. d p(0. τ ) p(1. τ + h) = p(k − 1. τ )(1 − λh) + o (h).47) The RV x = number of successes thus has a Poisson distribution with parameter λτ and PMF p x (k) = p(k. (5. . τ ) + λp(k. k! k = 0.16 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS Noting that p(0. p x (k) = p(k. τ ) = λe and hence that p(k. . τ + h) − p(k. τ ) = −λp(0. τ ) = −λτ 0 e λt p(k − 1. . τ )λh + p(k. τ ) = λp(k − 1. τ ) = λp(k − 1. . The rate of the Poisson process is λ and the interval length is τ . or p(k. t)d t (5. k! (5.48) . 0) = 0. h) + p(k. h h Taking the limit as h → 0 d p(k.45) p(k. τ ) + λp(k. (5. τ + h) = p(k − 1. τ ). 1)) φx (t) = e −λ ∞ k=0 (λe j t )k = e −λ exp(λe j t ) = exp(λ(e j t − 1)). It can be shown ([7.

The moments of a Poisson RV are tedious to compute using techniques we have seen so far.50) (x − i) . (5. then φx1 +x2 (t) = exp((λ1 + λ2 )(e j t − 1)).06 0 10 (a) 20 α 0 1 (b) 2 t FIGURE 5. (5. then ψx (γ ) = e λ(γ −1) .7 illustrates the PMF and characteristic function magnitude for a discrete RV with Poisson distribution and parameter λ = 10. (5.7: (a) PMF and (b) magnitude characteristic function for Poisson distributed RV with parameter λ = 10.52) . x1 + x2 is also a Poisson with parameter λ1 + λ2 . Figure 5.49) i.e. respectively.12 1 φx (t ) 17 . so that (k) ψx (γ ) = λk e λ(γ −1) . so that k−1 E i=0 (k) (x − i) = ψx (1).STANDARD PROBABILITY DISTRIBUTIONS px (α) .51) If x is Poisson distributed with parameter λ. It is of interest to note that if x1 and x2 are independent Poisson RVs with parameters λ1 and λ2 . Consider the function ψx (γ ) = E(γ x ) and note that k−1 (k) ψx (γ ) = E γ x−k i=0 (5..

53) 2 In particular. hand computation of the CDF is quite tedious. we consult the Poisson CDF table with λ = 10.1126. On the average. (b) 8–10 problems are graded.3628.2202 = 0. Example 5.1 to 18. Here. For example.4. we will briefly examine the subject of interarrival times from the basis of the Poisson PMF. From the Poisson CDF table. note that the table is written with a finite number of entries for each value of λ because the PMF values are written with six decimal place accuracy. the length of time between successes. b) P (8 ≤ x ≤ 10) = Fx (10) − Fx (7) = 0.2202 = 0.0835.3328 − 0. τ − h) p(1. E(x) = λ. E(x(x − 1)) = λ2 = E(x 2 ) − λ. With x a Poisson random variable. we note that the value of the Poisson PMF increases as the number of successes k increases from zero to the mean.1.9165 = 0. known as an interarrival time. While it is quite easy to calculate the value of the Poisson PMF for a particular number of successes.18 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS hence. (5.7 of the Appendix for selected values of λ ranging from 0. c) P (x ≥ 15) = 1 − Fx (14) = 1 − 0. the subject of reliability theory is so important that entire textbooks are devoted to the topic. however. and (c) at least 15 problems are graded? Solution. h) = p(r − 1. the time to failure is far more significant to the biomedical engineer than the fact that the device failed.5830 − 0. Therefore. the Poisson CDF is tabulated in Tables A. and then decreases in value as k increases from the mean. τ − h)λh + o (h) . Let RV tr denote the length of the time interval from zero to the r th success. 5. Indeed. What is the probability that on a given day (a) 8 problems are graded.1 Interarrival Times In many instances. Professor Rensselaer grades 10 problems per day. k−1 E i=0 (x − i) = λk . of a Poisson random variable is more important than the actual number of successes. Additionally.4-A. even though an infinite number of Poisson successes are theoretically possible. and find a) p x (8) = Fx (8) − Fx (7) = 0.4. in evaluating the reliability of a medical device. so that σx = λ2 + λ − λ2 = λ. Then p(τ − h < tr ≤ τ ) = p(r − 1.

STANDARD PROBABILITY DISTRIBUTIONS

19

so that o (h) Ftr (τ ) − Ftr (τ − h) = λp(r − 1, τ − h) + . h h Taking the limit as h → 0 we find that the PDF for the r th order interarrival time, that is, the time interval from any starting point to the r th success after it, is f tr (τ ) = λr τ r −1 e −λτ u(τ ), (r − 1)! r = 1, 2, . . . . (5.54)

This PDF is known as the Erlang PDF. Clearly, with r = 1, we have the exponential PDF: f t (τ ) = λe −λτ u(τ ). The RV t is called the first-order interarrival time. The Erlang PDF is a special case of the gamma PDF: f x (α) = for any real r > 0, λ > 0, where λr αr −1 e −λα u(α), (r ) (5.56) (5.55)

is the gamma function

(r ) =
0

αr −1 e −α d α.

(5.57)

Straightforward integration reveals that (1) = 1 and (r + 1) = r (r ) so that if r is a positive integer then (r ) = (r − 1)!—for this reason the gamma function is often called the factorial function. Using the above definition for (r ), it is easily shown that the moment generating function for a gamma-distributed RV is Mx (η) = The characteristic function is thus φx (t) = It follows that the mean and variance are r ηx = , λ λ λ − jt
r

λ λ−η

r

,

for η < λ.

(5.58)

.

(5.59)

and

2 σx =

r . λ2

(5.60)

Figure 5.8 illustrates the PDF and magnitude of the characteristic function for a RV with gamma distribution with r = 3 and λ = 0.2.

20

ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS
f x (α) .06 1 φx (t )

.03

0

20 (a)

40

α

0

1 (b)

2

t

FIGURE 5.8: (a) PDF and (b) magnitude characteristic function for gamma distributed RV with r = 3 and parameter λ = 0.2.

Drill Problem 5.4.1. On the average, Professor S. Rensselaer makes five blunders per lecture. Determine the probability that she makes (a) less than six blunders in the next lecture: (b) exactly five blunders in the next lecture: (c) from three to seven blunders in the next lecture: (d) zero blunders in the next lecture. Answers: 0.6160, 0.0067, 0.7419, 0.1755. Drill Problem 5.4.2. A process yields 0.001% defective items. If one million items are produced, determine the probability that the number of defective items exceeds twelve. Answer: 0.2084. Drill Problem 5.4.3. Professor S. Rensselaer designs her examinations so that the probability of at least one extremely difficult problem is 0.632. Determine the average number of extremely difficult problems on a Rensselaer examination. Answer: 1.

5.5

UNIVARIATE GAUSSIAN DISTRIBUTION

The Gaussian PDF is the most important probability distribution in the field of biomedical engineering. Plentiful applications arise in industry, research, and nature, ranging from instrumentation errors to scores on examinations. The PDF is named in honor of Gauss (1777–1855), who derived the equation based on an error study involving repeated measurements of the same quantity. However, De Moivre is first credited with describing the PDF in 1733. Applications also abound in other areas outside of biomedical engineering since the distribution fits the observed data in many processes. Incidentally, statisticians refer to the Gaussian PDF as the normal PDF.

STANDARD PROBABILITY DISTRIBUTIONS

21

Definition 5.5.1. A continuous RV z is a standardized Gaussian RV if the PDF is 1 1 2 f z(α) = √ e − 2 α . 2π (5.61)

The moment generating function for a standardized Gaussian RV can be found as follows: 1 Mz(λ) = √ 2π 1 =√ 2π

e λα− 2 α d α
1 2

−∞ ∞

e − 2 ((α−λ) −λ ) d α.
1 2 2

−∞

Making the change of variable β = α − λ we find

Mz(λ) = e

1 2 2λ

f z(β)dβ = e 2 λ ,
1 2

(5.62)

−∞

for all real λ. We have made use of the fact that the function f z is a bona fide PDF, as treated in Problem 42. Using the Taylor series expansion for an exponential, e 2λ =
1 2

∞ k=0

λ2k = 2k k!

∞ n=0

Mx(n) (0)λn , n!

so that all moments of z exist and E(z 2k ) = and E(z 2k+1 ) = 0, k = 0, 1, 2, . . . . (5.64) (2k)! , 2k k! k = 0, 1, 2, . . . , (5.63)

Consequently, a standardized Gaussian RV has zero mean and unit variance. Extending the range of definition of Mz(λ) to include the finite complex plane, we find that the characteristic function is φz(t) = Mz( j t) = e − 2 t .
1 2

(5.65)

2 Letting the RV x = σ z + η we find that E(x) = η and σx = σ 2 . For σ > 0

Fx (α) = P (σ z + η ≤ α) = Fz((α − η)/σ ),

As can be seen.08 . centered now at 25 instead of 75. with σ > 0 and x = −σ z + η we find Fx (α) = P (−σ z + η ≤ α) = 1 − Fz((η − α)/σ ). η = 25. a closed form expression does not exist for the Gaussian CDF. We will have occasion to use the shorthand notation x ∼ G(η. the larger the value of the variance. Naturally. 1 2 2 (5. 2σ 2 (5. Unfortunately. σ 2 ) then (x = σ z + η) φx (t) = e j ηt e − 2 σ t . If. identically shaped curves could be drawn. (2πσ 2 )−1/2 . the Gaussian PDF is symmetrical about the vertical axis through the expected value. so that f x is as above. 25. the Gaussian PDF curve must be symmetrical as previously described. Rather than attempting to tabulate the general Gaussian CDF. σ 2 ) to denote that the RV has a Gaussian PDF with mean η and variance σ 2 .9. is a bell-shaped curve completely determined by its mean and variance. illustrated with η = 75 and σ 2 = 25. as well as with η = 75 and σ 2 = 9 in Figure 5. the maximum value of the Gaussian PDF. the more spread in the distribution and the smaller the maximum value of the PDF.67) The Gaussian PDF.04 65 75 85 α FIGURE 5. .12 . For any combination of the mean and variance.66) Similarly.9: Gaussian probability density function for η = 75 and σ 2 = 9. The PDF approaches zero asymptotically as α approaches ±∞. a normalization is performed to obtain a standardized Gaussian RV (with zero mean f x (α) . Note that if x ∼ G(η. occurs at α = η. in fact. Additionally.22 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS so that x has the general Gaussian PDF f x (α) = √ 1 2πσ 2 exp − 1 (α − η)2 . which necessitates numerical integration. and the area under the curve must equal one.

69) e − 2 τ d τ = 1 − Q(α). 1 2 (5.5.1. using the fact that Fx (α) = Fz((α − η)/σ ). A simple change of variable reveals that √ erfc(α) = 2Q(α/ 2).75) Example 5. The error and complementary error functions. Note that 1 Fz(α) = √ 2π where Q(·) is Marcum’s Q function: 1 Q(α) = √ 2π ∞ α (5. the RV z = (x − η)/σ is a standardized Gaussian RV: z ∼ G(0. It is easy to show that Q(−α) = 1 − Q(α) = Fz(α).73) 0 e −t d t = 1 − erf(α) 2 (5. Compute Fz(−1.70) −∞ e − 2 τ d τ. (5. This transformation is always applied when using standard tables for computing probabilities for Gaussian RVs. 1 2 (5. σ 2 ).71) α Marcum’s Q function is tabulated in Tables A.68) (5. defined by 2 erf(α) = π and 2 erfc(α) = π ∞ α (5. .9 for 0 ≤ α < 4 using the approximation presented in Section 5. 1).5.74) α are also often used to evaluate the standard normal integral. 1).72) e −t d t 2 (5. The probability P (α1 < x ≤ α2 ) can be obtained as P (α1 < x ≤ α2 ) = Fx (α2 ) − Fx (α1 ).8 and A. where z ∼ G(0.74).STANDARD PROBABILITY DISTRIBUTIONS 23 and unit variance). If x ∼ G(η.1.

10: PDF for Example 5.04093. From Table A. Indicate this probability on the sketch. While the value a Gaussian random variable takes on is any real number between negative infinity and positive infinity.0 and 3.2).74) = Q(1.02 . Hence P (37 ≤ x ≤ 51) = Q(0. The sketch of this PDF is shown in Figure 5. To compute Fz(−1. the range of values random variable x takes on is then approximately η ± 3σ .2.04 . we find Fz(−1.5. Sketch the PDF and then find P (37 ≤ x ≤ 51). using (5. η + 3σ ] = [5.0027).8. With z= we have P (37 ≤ x ≤ 51) = P (0.6) = 0.01 0 30 60 α FIGURE 5.2 ≤ z ≤ 1. .74). This notion does not imply that random variable x cannot take on a value outside this interval.6) = Fz(1. The PDF is essentially zero outside the interval [η − 3σ.10 along with the indicated probability.9. we note that 99. but the probability of it occurring is really very small (2Q(3) = 0. Suppose x is a Gaussian random variable with η = 35 and σ = 10.74) = 0. x − 35 10 f x (α) .0. Example 5. Solution. From the transformation z = (x − η)/σ .2.5. 65].72) and Table A.6) − Fz(0. the realistic range of values is much smaller.73% of the area under the curve is contained between −3.9.03 .24 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS Solution.36594 from Table A.74) = 1 − Q(−1.2) − Q(1.

330274429 (5. and that Fz(−γ ) = Q(γ ).78) where t= and 1 h(t) = √ t(a 1 + t(a 2 + t(a 3 + t(a 4 + a 5 t)))). 5. defined by 1 Q(γ ) = √ 2π e−2α dα 1 2 (5.5.e. Let the RV x denote the value of a capacitor. Q(γ ) is the complement of the standard Gaussian CDF.77) i.2316419γ (5. (5. 2π The constants are i 1 2 3 4 5 ai 0. Since we are measuring to the nearest μF. where z = (x − 25)/6 ∼ G(0. This result is determined by linear interpolation of the CDF between equal 1.083) = 0. find the probability that the value of capacitance exceeds 31 μF if capacitance is measured to the nearest μF.821255978 1. (5. 1).3.09. A machine makes capacitors with a mean value of 25 μF and a standard deviation of 6 μF. Assuming that capacitance follows a Gaussian distribution. A very accurate approximation to Q(γ ) is presented in [1. .STANDARD PROBABILITY DISTRIBUTIONS 25 Example 5.5. Solution..5 × 10−8 .13941.80) 1 .31938153 −0. 1) then Q(γ ) = 1 − Fz(γ ).5.08 and 1. Note that Q(0) = 0.781477937 −1.5 ≤ x) = P (1.79) The error in using this approximation is less than 7. If the RV z ∼ G(0.083 ≤ z) = Q(1.76) γ has been extensively studied. the probability that the measured value exceeds 31 μF is P (31.1 Marcum’s Q Function ∞ Marcum’s Q function. p. Q(∞) = 0.356563782 1. 1 2 γ > 0. 932]: Q(γ ) ≈ e − 2 γ h(t). 1 + 0.

Helstrom [14] offers an iterative procedure which begins with an initial guess γ0 > 0. Now. She has determined that the distance the ball travels on her first shot follows a Gaussian distribution with a mean of 150 and a standard deviation of 17. Determine: (a) P (1 < x < 3). . 0. it is desired to find the value of γ for which Q(γ ) = q . (c )P (x = 4).7. . Suppose grade point averages are computed to the nearest tenth. we discuss the joint Gaussian PDF and its characteristics by drawing on our univariate Gaussian PDF experiences. The bound improves as α increases. 5. (b) less than 2. 1179.6 to 3. √ π α + α 2 + 0. Professor Rensselaer loves the game of golf.92535. (b)P (x > 4). and significantly expanding the scope of applications.82) .2. covers 95% of the shots. 1.32.721). Answers: 0.5. Drill Problem 5. 298] e−2α 2 < Q(α) ≤ √ π α + α2 + 4 1 2 e−2α 2 . 150 ± d . i = 0.3.946 when α = 3 and 0.2316419γi (5.81) The ratio of the upper bound to the lower bound is 0.1.02275.5. Let the random variable x denote the length of attendance and assume that x is Gaussian.5. 0.6 BIVARIATE GAUSSIAN RANDOM VARIABLES The previous section introduced the univariate Gaussian PDF along with some general characteristics.83) The procedure is terminated when γi+1 ≈ γi to the desired degree of accuracy. (d) greater than 3. Then compute ti = and γi+1 h(ti ) = 2 ln q 1/2 1 1 + 0. Drill Problem 5.0.967 when α = 4. Determine the number of freshmen you would expect to score: (a) from 2. (c) between 3.5 and a standard deviation of 0.5π 1 2 (5. Students attend Fargo Polytechnic Institute for an average of four years with a standard deviation of one-half year. p. 639.5. . (5. The quality point averages of 2500 freshmen at Fargo Polytechnic Institute follow a Gaussian distribution with a mean of 2. 322.5.5. Answers: 167. Sometimes.0 and 3. Answer: 33. Determine the value of d so that the range. (d )Fx (4.26 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS A very useful bound for Q(α) is [1.5. . . Drill Problem 5. 0.

the results for z1 and z2 are applied to obtain corresponding quantities φx.z2 (α. t1 + 2t1 t2 ρ + t2 . t2 )e − jβt2 d t2 . t2 ) = E(e j t1 z1 + j t2 z2 ) = e − 2 (1−ρ 1 2 2 )t2 − 1 (t1 +ρt2 )2 2 e . The above definition of a bivariate Gaussian RV is sufficient for determining the bivariate PDF. σx ) and 2 y ∼ G(η y .y | < 1. Definition 5. y) is a bivariate Gaussian RV if every linear combination of x and y has a univariate Gaussian distribution.86) .e. 2 2 2 t1 + 2t1 t2 ρ + t2 = (t1 + ρt2 )2 + (1 − ρ 2 )t2 . and σ y = 0 are discussed. the special cases ρx.y = ±1. then the conditional PDF f z2 |z1 and the joint PDF f z1 . i. f y|x and f x. Since z1 and z2 are jointly Gaussian.85) From (6) we have 1 f z1 .y . In particular. σy (5. like the univariate case. Then 2 w is a univariate Gaussian RV for all real constants a and b. σx = 0. Finally. Let the RV w = ax + by.z2 . The following development is significantly simplified by considering the standardized versions of x and y.. Below.y . In this case we also say that the RVs x and y are jointly distributed Gaussian RVs.1. σx = 0. x ∼ G(ηx . Also. Completing the square. β) = 2π ∞ I (α. the joint Gaussian PDF is considered the most important joint distribution for biomedical engineers. The bivariate RV z = (x. we assume that |ρx. so that φz1 . −∞ (5. the marginal PDFs for a joint Gaussian PDF are univariate Gaussian. 1) and z2 ∼ G(0. which we now proceed to do. and σ y = 0.STANDARD PROBABILITY DISTRIBUTIONS 27 Numerous applications of this joint PDF are found throughout the field of biomedical engineering and. Let z1 = x − ηx σx and z2 = y − ηy .z2 (t1 . 1). (5. Next. σ y ).84) so that z1 ∼ G(0. and let x and y be jointly distributed Gaussian RVs.6. the RV t1 z1 + t2 z2 is univariate Gaussian: 2 2 t1 z1 + t2 z2 ∼ G 0. we first find the joint characteristic function for the standardized RVs z1 and z2 .

z2 (α. 2(1 − ρ 2 ) (5.87) (5. t2 ) = e or I (α.88) (5. t2 ) = 2π ∞ φz1 . t2 ) = φ(t2 ) f z1 (α).90) We now turn our attention to using the above results for z1 and z2 to obtain similar results for x and y. we find f z1 . Substituting into (5.85) and letting τ = t1 + t2 ρ. Thus f z1 . . β) = 1 α 2 − 2ραβ + β 2 exp − . 1 2π (1 − ρ 2 ) exp − (β − ρα)2 . β) = f z2 |z1 (β|α) = f z1 (α) so that E(z2 | z1 ) = ρz1 and 2 σz2 |z1 = 1 − ρ 2 . where φ(t2 ) = e j αρt2 e − 2 (1−ρ 1 2 2 )t2 2 − 1 (1−ρ 2 )t2 2 1 2π ∞ e − 2 τ e − j α(τ −ρt2 ) d τ.z2 (α.86) we find 1 f z1 . β) = f z1 (α) 2π ∞ φ(t2 )e − jβt2 d t2 −∞ and recognize that φ is the characteristic function for a Gaussian RV with mean αρ and variance 1 − ρ 2 . t2 )e − j αt1 d t1 .28 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS where 1 I (α. we obtain I (α. From (5. 1 2 −∞ . −∞ Substituting (5.89) After some algebra. 2π (1 − ρ 2 )1/2 2(1 − ρ 2 ) (5.z2 (t1 .z2 (α.84) we find that x = σx z1 + ηx and y = σ y z2 + η y .

90) and (5.y (α. (5. (5. the joint characteristic function φx.93) Substituting (5.91) Using (4.z2 (σx t1 . t2 ) = φz1 .93) to obtain f y|x (β|α) = 1 f z |z σy 2 1 β − η y α − ηx σy σx .94) we find f x. (5. Consequently. β) = Since f x.87) into (5.y (α.66). τ2 = σ y t2 . β) as 1 f x. β) = (2π)2 ∞ ∞ φz1 . the joint characteristic function for x and y can be found from the joint characteristic function of z1 and z2 as φx.96) . β) = and exp − f y|x (β|α) = β−η y −ρσ y α−ηx σx 2 2(1−ρ 2 )σ y 2 1 exp − 2(1−ρ 2 ) (α−ηx )2 2 σx − 2ρ(α−ηx )(β−η y ) σx σ y + (β−η y )2 2 σy 2πσx σ y (1 − ρ 2 )1/2 (5.y (α.y (α.y (t1 .92) Making the change of variables τ1 = σx t1 .93) and (5.94) 1 fz σx 1 α − ηx σx .z σx σ y 1 2 α − ηx β − η y .z2 (σx t1 .STANDARD PROBABILITY DISTRIBUTIONS 29 so that the joint characteristic function for x and y is φx. t2 ) = E(e j t1 x+ j t2 y ) = E(e j t1 σx z1 + j t2 σ y z2 )e j t1 ηx + j t2 η y . 1 f z .y (t1 . σx σy .95) 2 2πσ y (1 − ρ 2 ) .y can be transformed to obtain the joint PDF f x. β) = f y|x (β|α) f x (α) and f x (α) = we may apply (5. we obtain f x. σ y t2 )e j ηx t1 e j η y t2 . (5. σ y t2 )e − j (α−ηx )t1 e − j (β−η y )t2 d t1 d t2 .y (α. −∞ −∞ (5.

8.98) ⎞ ⎠ .y + t2 σ y . and ρ = −0.101) A three-dimensional plot of a bivariate Gaussian PDF is shown in Figure 5.99) By interchanging x with y and α with β.100) 2 2 σx|y = σx (1 − ρ 2 ).11.y (α. .97) (5. (5.y (α. t1 σx + 2t1 t2 σx. β ) . Since x and y are jointly Gaussian.30 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS It follows that E(y|x) = η y + ρσ y and 2 2 σ y|x = σ y (1 − ρ 2 ). x − ηx σx (5. β) with σx = σ y = 1.11: Bivariate Gaussian PDF f x. the RV t1 x + t2 y is a univariate Gaussian RV: 2 2 2 2 t1 x + t2 y ∼ G t1 ηx + t2 η y . ⎛ exp ⎝− f x|y (α|β) = α−ηx −ρσx β−η y σy 2 2(1−ρ 2 )σ y 2 2 2πσx (1 − ρ 2 ) E(x|y) = ηx + ρσx and y − ηy .265 β =3 α = −3 β = −3 α =3 FIGURE 5. σy (5. (5. The bivariate characteristic function for x and y is easily obtained as follows. fx . ηx = η y = 0.

1) and such that v and x are independent. 1 2 2 2 2 (5. Suppose that ρ = ρx.y . We now consider some special cases of the bivariate Gaussian PDF. This is an application of the Chebyshev Inequality. Find constants a and b such that v = ax + by ∼ G(0.y = 0.105) when ρ = ±1.y +t2 σ y ) e j t1 ηx + j t2 η y .1. the joint characteristic function for x and y is φx. The jointly Gaussian RVs x and y are independent iff ρx. A very special property of jointly Gaussian RVs is presented in the following theorem. Interchanging the roles of x and y we find that the joint PDF for x and y may also be written as f x. β) = f x (α)δ β − η y ± σ y (5. the probability that the RV deviates from its mean by more than an arbitrarily small fixed amount approaches zero.y (α. (5. β) = f x (α) f y (β). Proof.y (t1 . 1 As the variance of a RV decreases to zero.1. RVs x and y are independent.6.97) and (5. .e. β) = f y (β)δ α − ηx ± σx β − ηy σy (5.y = 0.104) for ρ = ±1.STANDARD PROBABILITY DISTRIBUTIONS 31 Consequently.95)) f x. from (5.102) which is valid for all σx. These results can also be obtained “directly” from the joint characteristic function for x and y. Theorem 5.y = 0. t2 ) = e − 2 (t1 σx +2t1 t2 σx.y (α. and ρ = ±1. σx = σ y = 1.. Hence. σx and σ y . Let x and y be jointly Gaussian with zero means. 2 2 Example 5. then ρx. Then f y|x (β|α) = f y (β).y (α. We conclude that x − ηx σx α − ηx σx f x.6. i. If ρ = 0 then (from (5.103) x − ηx σx y → ηy ± σy in probability1 . We showed previously that if x and y are independent. As ρ → ±1.98) we find E(y|x) → η y ± σ y 2 and σ y|x → 0.

90).y x 2 1 − ρx.1 Constant Contours Returning to the normalized jointly Gaussian RVs z1 and z2 . We have E(v) = 0.z2 (α. so that v= 2 is independent of x and σv = 1.107) The square of the distance from a point (α. Along the line β = q α we find that α 2 (1 − 2ρq + q 2 ) = c 2 so that the constant contours are parameterized by α= and β= ±c q 1 − 2ρq + q 2 . β) by finding the locus of points where the PDF is constant.y and b 2 = 1/(1 − ρx.y = 0. We require 2 2 σv = a 2 + b 2 + 2abρx.y 5.y ).110) . By inspection of (5.z2 (α. (5. 2 Hence a = −bρx. β) is constant for α and β satisfying α 2 − 2ραβ + β 2 = c 2 . y − ρx. (5.6.y = 1 and E(vx) = a + bρx. β) on the contour to the origin is given by d 2 (q ) = α 2 + β 2 = c 2 (1 + q 2 ) . We assume that |ρ| < 1. (5.108) (5. 1 − 2ρq + q 2 (5. we now investigate the shape of the joint PDF f z1 .106) where c is a positive constant. we find that f z1 . If ρ = 0 the contours where the joint PDF is constant is a circle of radius c centered at the origin.32 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS Solution.109) ±c 1 − 2ρq + q 2 .

(5.112) √ √ Consider the rotated coordinates α = (α + β)/ 2 and β = (β − α)/ 2.114) (5. (5. 1+ρ 1−ρ 1 − ρ2 (5. the line β = −α.STANDARD PROBABILITY DISTRIBUTIONS 33 Differentiating. so that α +β =β √ 2 and α −β = α.116) (5.115) (5.111) 2(1 − ρ) Similarly.y (α.113) √ The above equation represents an ellipse with major axis length 2c / 1 − |ρ| and minor axis √ length 2c / 1 + |ρ|.117) transforms the constant contour to (5. √ 2 The rotated coordinate system is a rotation by π/4 counterclockwise. With α = 0 we find that one axis is along β − ηy α − ηx =− σx σy . the constant contours for f x. we find that d 2 (q ) attains its extremal values at q = ±1. β) are solutions to α − ηx σx Using the transformation 1 α =√ 2 β − ηy α − ηx + σx σy . From (5.93).116). (5. the line β = α intersects the constant contour at ±c ±β = α = .118) 2 − 2ρ α − ηx σx β − ηy σy + β − ηy σy 2 = c 2. Thus. intersects the constant contour at ±β = −α = ±c 2(1 − ρ) . the major and minor axes of the ellipse are along the lines β = ±α. Thus α 2 − 2ραβ + β 2 = c 2 is transformed into β2 c2 α2 + = . In the α − β plane. 1 β =√ 2 β − ηy α − ηx − σy σx (5.

y on this curve is 1 2πσx σ y 1 − ρ 2 A further transformation α . 2 1+ρ the length of this axis in the α − β plane is √ 2c 2 2 σx + σ y ±c σ y β=√ √ + ηy . 2(1 − ρ 2 ) (5. 2 1+ρ 1+ρ . 2 1−ρ 1−ρ .119) transforms the ellipse in the α − β plane to a circle in the α − β plane: α 2 +β 2 = c2 .34 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS with endpoints at ±c σx α=√ √ + ηx . the value of the joint PDF f x. Points on this ellipse in the α − β plane satisfy (5. 2 1−ρ the length of this axis in the α − β plane is √ 2c 2 2 σx + σ y ±c σ y β=√ √ + ηy .117). 1 − ρ2 This transformation provides a straightforward way to compute the probability that the joint Gaussian RVs x and y lie within the region bounded by the ellipse specified by (5. Letting A denote the region bounded by the ellipse in the α − β plane and A denote the image (a circle) .117). With β = 0 we find that the other axis is along β − ηy α − ηx = σx σy with endpoints at ±c σx α=√ √ + ηx . α =√ 1+ρ β =√ β 1−ρ exp − c2 .

. 1 √ √ σy 2 1 + ρ . Additional techniques for treating these computations are given in [1. we find f x. β) = −1 √ √ σx 2 1 − ρ so that J (α. (c) σx . 5. β) d α dβ = A A 1 = 2π = 2π c / 1 − 1 (α 2 +β 2 ) e 2 d α dβ 2π √ 2 1−ρ r e − 2 r dr d θ 1 2 0 c 2 /(2−2ρ 2 ) 0 e −u d u 0 2 = 1 − e −c /(2−2ρ 2 ) .75. β) d α dβ = A 1 2πσx σ y e − 2 (α +β ) d α dβ . This bivariate Gaussian probability computation is one of the few which is “easily” accomplished.5. Answers: 0. β)| 1 2 2 where the Jacobian of the transformation is ∂α ∂α J (α. Drill Problem 5.6. Given that x and y are jointly distributed Gaussian random variables with 2 2 E(y|x) = 2 + 1. (d) 2 σ y . 9. 1 √ √ σy 2 1 − ρ ∂α ∂β ∂β ∂β .y . (b) η y . β) = ∂β ∂α Computing the indicated derivatives. and (e) ρx. we have f x.5x. we have 1 √ √ σx 2 1 + ρ J (α. β) = 1 σx σ y 1 − ρ 2 .y (α.1. 1. 1 − ρ 2 |J (α.y (α. E(x|y) = 7/6 + y/6. Determine: (a) ηx .STANDARD PROBABILITY DISTRIBUTIONS 35 in the α − β plane. 956–958]. pp. and σx|y = 0. 2. Substituting and transforming to polar coordinates.

(e) n = 10. Assume x is a Bernoulli random variable. For the Gaussian approximation use η = np and σ 2 = npq . p = 0. out of five games.1.2. Special emphasis is placed on the exponential. Answers: exp(−1). p = 0.8 PROBLEMS 1.6.36 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS Drill Problem 5. His play during each game is independent from all other games. (c) the length of the major axis. and ρ = −0. (b) n = 10. the die is loaded . Determine P (x ≤ 3) using the Bernoulli CDF table if: (a) n = 5. (b)P (1 < y ≤ 10 | x = 0). Find: (a) E(y | x = 0). your friend gives you a dollar and if the die comes up with an odd number you give your friend a dollar. (g) n = 5. p = 0. Determine: (a) the probability that William is still playing after four minutes. 2.1753. 2 2 σx = 21. σ y = 31. 0. Important approximations to the Bernoulli PMF and Gaussian CDF are developed.3. (f ) n = 20.3394. p = 0. 2. η y = 3. and ρ = −0.899.6. With c 2 = 0. Suppose you are playing a game with a friend in which you roll a die 10 times. If the die comes up with an even number. (c )P (−1 < x < 7). (b) the probability that.3394. he has played at least one game for more than four minutes.5212.7 SUMMARY This chapter introduces certain probability distributions commonly encountered in biomedical engineering. Random variables x and y are jointly Gaussian with ηx = −2.3.2212 in (154). (b) the length of the minor axis. σ y = 31. Answers: 0.6.1. (i) n = 20. (d) n = 5.3. 0. Drill Problem 5. The length of time William Smith plays a video game is given by random variable x distributed exponentially with a mean of four minutes. (h) n = 10. Many important properties of jointly Gaussian random variables are presented.1. p = 0.1.3889.7. 30◦ . Random variables x and y are jointly Gaussian with ηx = −2. Unfortunately. p = 0. p = 0. For the Poisson approximation use η = np. find: (a) the smallest angle that either the minor or major axis makes with the positive α axis in the α − β plane. 2. η y = 3.6. p = 0.6. 5. p = 0. 2 2 σx = 21. Answers: 3. Drill Problem 5. (c) n = 20. Poisson and Gaussian distributions.3. Bernoulli event probabilities may be approximated by the Poisson PMF when np < 10 or by the Gaussian PDF when npq > 3. 5.

(c) the number starting is between 11.150. Let random variable x show the possible numbers of students who destroy transistors. On a frosty January morning in Fargo.3. one experiment introduces students to the transistor.2. (c) from 3 to 7 of the next 20 rolls are strikes.STANDARD PROBABILITY DISTRIBUTIONS 37 so that a 1 or a 3 are three times as likely to occur as a 2. (b) exactly 12. (a) If we take a sample of 20 cars.100 will start. (c) from 7 to 9 baskets. Determine: (a) how many dollars your friend can expect to win in this game. The probability that a basketball player makes a basket is 0. a 5 or a 6. find the probability that: (a) at least 12. The probability of a student destroying a transistor is 0. If he makes 10 attempts. 3.000 will start. In Junior Bioinstrumentation Lab. what is the probability of him hitting it at least 5 but less than 10 times? (b) What is the average number of hits in 30 tries? (c) What is the probability of him getting exactly the average number of hits in 30 tries? (d) How many times must the man try to hit the target if he wants the probability of hitting it to be at least 2/3? (e) What is the probability that no more than three tries are required to hit the target for the first time? 6. (f ) variance for the number of strikes in 20 rolls. Determine the probability it will take more than 5 rolls. Each student is given only one transistor to use. One lab class has 5 students and they will perform this experiment next week. (d) less than 2 baskets.000 cars to be started. Consider Problem 7. (b) 4 baskets. Determine: (b) the expected number of destroyed transistors. (d) She is to keep rolling the ball until she gets a strike. If there are 20. North Dakota. The probability that Professor Rensselaer bowls a strike is 0. (e) the expected number of baskets. The probability of a man hitting a target is 0. A dart player has found that the probability of hitting the dart board in any one throw is 0. (d) the number starting is less than 12.7. Determine the probability that: (a) 3 of the next 20 rolls are strikes.900 and 12. (b) at least 4 of the next 20 rolls are strikes.6. a 4. (g) standard deviation for the number of strikes in 20 rolls. 8. 5. what is the probability that exactly 12 cars will start and 8 will not? (b) What is the probability that the number of cars starting out of 20 is between 9 and 15. (a) If he tries 15 times to hit the target. what is the probability he will make: (a) at least 4 baskets. 7. (b) the probability of your friend winning more than 4 dollars.6? .4. 9. (a) Sketch the PMF for x. How many times must he throw the dart so that the probability of hitting the dart board is at least 0.2.500. the probability that a car parked outside will start is 0. Determine the: (e) expected number of strikes in 20 rolls. 4. (c) the probability that fewer than 2 transistors are destroyed.

the material averages 6 alpha particles emitted per minute. What is the probability that more than 2 accidents will occur during any given week? 15. Determine the probability that the student makes: (a) at least 1 mistake. when appropriate. a sample of radioactive material emits 20 alpha particles per minute. thinks so many students repeat the course because they enjoy it so much. You give him another one page letter to type. 80% of the students take the course at most one time. The current procedure is to take a sample of 5 from 1000 and pass the shipment if not more than 1 component is found defective. 17. (c) at least 10 quizzes are given during the quarter. What is the probability of at least 6 alpha particles being emitted in 1 min? 19. (c) p. a student makes 6 mistakes per test. the course instructor. (d) more than the expected number of mistakes. Suppose that on the average. (b) 10 min? (c) Many years later. (c) With the 5 mistakes per page average. Determine the probability that: (a) from 8 to 12 quizzes are given during the quarter. Determine: (a) q. (b) n. What is the probability of 10 alpha particles being emitted in: (a) 1 min. and. Let random variable x be Bernoulli with n = 15 and p = 0. Suppose a typist makes an average of 30 mistakes per page. (Professor Rensselaer. 12. 11. (d) at most 9 quizzes are given during the quarter.4. (a) If you give him a one page letter to type.5. What proportion of 20% defective components will be shipped? 13. Professor Rensselaer gives 11 quizzes per quarter in Introduction to Random Processes. What is the probability of him making fewer than 5 mistakes. he averages 5 mistakes per page. A certain intersection averages 3 traffic accidents per week. On the average. 16.38 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS 10. 14. Repeat Problem 1. Suppose x is a Bernoulli random variable with η = 10 and σ 2 = 10/3. (c) exactly 2 mistakes. At Fargo Polytechnic Institute (FPI). Determine E(x 2 ).) (a) Determine the probability that a student takes the course more than once. using the Poisson approximation to the Bernoulli PMF. An electronics manufacturer is evaluating its quality control program. a student may take a course as many times as desired. On the average. To what value should the mean be adjusted to ensure this? . what is the probability that he makes exactly 30 mistakes? (b) The typist decides to take typing lessons. Suppose the average number of times a student takes Introduction to Random Processes is 1. what is the probability of him making fewer than 50 mistakes in a 25 page report? 18. (b) exactly 11 quizzes are given during the quarter. after the lessons. (b) from 3 to 5 mistakes. (b) The academic vice-president of FPI wants to ensure that on the average.

If random variable z equals the total number of students Professor Rensselaer helps each day. Determine the probability that there are: (a) 3 defective transistors in a sample of 200 transistors. .002. 21. 26.STANDARD PROBABILITY DISTRIBUTIONS 39 20. If in building a house he pounds 1250 nails. that person will get nothing. Suppose 1% of the transistors in a box are defective. A perfect car is assembled with a probability of 2 × 10−5 . 95% of the spoonfuls will each have at least one lizard. . The caller will ask the person answering the phone if it’s his or her birthday. (a) Every time a carpenter pounds in a nail. If it is. k! k = 0. (b) more than 15 defective transistors in a sample of 1000 transistors. Determine the probability that fewer than 9 students major in Bioengineering. The manufacturer of Leaping Lizards. a computer store is going to run an advertising campaign in which the employees will telephone 5840 people selected at random from the population of North America. a bran cereal with milk expanding (exploding) marshmallow lizards. the probability that he hits his thumb is 0. to what value should the mean of the lizards per spoonful be set at to ensure this? 25. 1. . The PDF for the time interval between students seeking help for Introduction to Random Processes from Professor Rensselaer during any particular day is given by f t (τ ) = e −τ u(τ ). If 15. 23. FPI admits only 1000 freshmen per year. The distribution for the number of students seeking advising help from Professor Rensselaer during any particular day is given by P (x = k) = 3k e −3 . Assuming that .000 cars are produced in a month. then that lucky person will be mailed a brand new programmable calculator. on its anniversary day. Assuming that the lizards are randomly distributed in the cereal box. what is the probability that none are perfect? 22. what is the probability of him hitting his thumb at least once while working on the house? (b) If he takes five extra minutes off every time he hits his thumb. Otherwise. This year. wants to ensure that on the average. The probability that a student will major in Bioengineering is 0. how many extra minutes can he expect to take off in building a house with 3000 nails? 24. (b) σz. . (c) 0 defective transistors in a sample of 20 transistors. determine: (a) E(z).01.

Using Tables A. Random variable x is uniform between −2 and 3. 30.0 to 4. (b) the computer store mails out from 20 to 40 calculators.3 years and 2. (e) P (−2. Event A = {0 < x ≤ 2} and B = {−1 < x ≤ 0} ∪ {1 < x ≤ 2}. when appropriate. h. (a) Write the PDF for the resistance value. Consider Problem 32. using the Gaussian approximation to the Bernoulli PMF. A battery manufacturer has found that 8.1 to 4. A certain transistor has a current gain. (d) f x|A (α|A). (g) Fx|B (α|B). (d) P (−1.5% of their batteries last more than 3. 29.10. (c) P (x < 0. find: (a) the mean. 37. 33.5). (b) variance. 28. (e) Fx|A (α|A). B: 80–90. (b) ηx . (f ) f x|B (α|B). (b) the probability it takes the runner from 4.15 min. D: 60–70. find: (a) the probability that a particular resistor is within 2 ohms of the mean.08% of their batteries last less than 2.98 years. In a class of 25 students. Find the probability that a bulb burns between 1000 and 1300 h. (c) σx . determine: (a) P (x = 0). (b) Find the probability that a particular resistor is within 2 ohms of the mean. 27. Consider Problem 36. Assume x is a standard Gaussian random variable. and F: below 60.2). 35.2 min. 31. Find: (a) P (−1 < x < 0). find the probability that: (a) the computer store mails out exactly 16 calculators. (b) P (49 < r < 54). (f ) P (x is an integer). Find: (a) P (h > 74).40 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS the person answering the phone won’t lie and that there is no such thing as leap year. 34. (c) Find P (49 < r < 54). that is Gaussian distributed with a mean of 77 and a variance of 11.471). what is the probability that grades will be equally distributed? 36.1 < x ≤ −0. A light bulb manufacturer distributes light bulbs that have a length of life that is normally distributed with a mean equal to 1200 h and a standard deviation of 40 h. If resistances are measured to the nearest ohm. 32. . Grades are assigned as follows: A: 90–100. (b) P (x < 0). Assuming the battery lives are Gaussian distributed.583 ≤ x < 1. C: 70–80. (c) P (|h − ηh | < 3σh ). A certain type of resistor has resistance values that are Gaussian distributed with a mean of 50 ohms and a variance of 3. Repeat Problem 1. The time it takes a runner to run a mile is equally likely to lie in an interval from 4. Assume that the scores on an examination are Gaussian distributed with mean 75 and standard deviation 10. (b) P (73 < h ≤ 80).9 and A. Determine: (a) the probability it takes the runner exactly 4 min to run a mile. Find the value of d so that the range 77 + d covers 95% of the current gains.

5y. A 250 question multiple choice final exam is given.32x. 13). 9). (c) Find σx using direct integration. find E(x). 46.) (b) Using direct integration. 45. and that x and y are jointly Gaussian with ρx.5.y . (Hint: assume RV y is independent of x and has PDF f y (β) = 2 f x (β) and evaluate Fx. 4). how many resistors have resistances that are within 10% of the average? 42. 8). The RV x has PDF f x (α) = a exp − 1 (α − η)2 . Assume x ∼ G(3. . 47. (c) σx . (d) the probability that x is less than 75 if the score is measured to the nearest unit. Assume x and y are jointly Gaussian with x ∼ G(2. 1 < y < 7). Assuming a Gaussian distribution for random variable x describing her golf game. 39. (c) P (0 < y < 4|x = 0). A large box contains 10. Determine: (a) E(y|x = 0). y ∼ G(1.y . (c) P (−1 < x < 1. Draw a sketch of the joint Gaussian contour equation showing the original and the translated-rotated sets of axes.67. (b) P (1 < y < 7). 44. (b) Using the results of (a). (b) f y|x (β|0). and σ y|x = 3. 40. (d) σ y .1? 41. y ∼ G(3. Determine: (a) ηx . ∞). and ρx. Assume x and y are jointly distributed Gaussian random variables with x ∼ G(−2. 1).STANDARD PROBABILITY DISTRIBUTIONS 41 38. Suppose x and y are jointly distributed Gaussian random variables with E(y|x) = 2. (e) ρx. If 5 of these components are removed from different systems.0 and a standard deviation of 0. what is the probability that at least 2 have a length greater than 2. (c) P (70 < x ≤ 80).y = −5.y = −0. 1).2. Determine the probability that a student guesses the correct answers for 20–25 of 85 questions about which the student has no knowledge. The average golf score for Professor Rensselaer is 78 with a standard deviation of 3. 43. Consider Problem 45. determine: (a) P (x = 78).000 resistors with resistances that are Gaussian distributed. If the average resistance is 1000 ohms with a standard deviation of 200 ohms. y ∼ G(−2. Find: (a) P (1 < y < 7 | x = 0). 2σ 2 (a) Find the constant a.8 + 0. (a) Draw a sketch of the constant contour equation for the standardized RVs z1 and z2 . (b) P (x ≤ 78). Each question has 5 possible answers and only one correct answer.y = 0. (b) η y .8835. and ρx. E(x|y) = −1 + 0. Draw a sketch of the joint Gaussian constant contour for x and y. Suppose a system contains a component whose length is normally distributed with a mean of 2.y (∞. (f ) σx. (d) P (3 < x < 10).

4). Draw a sketch of the joint Gaussian contour for x and y. (b) f z(α) if z = t − T. (b) 95%. 53. Determine the number of years reliable at: (a) 90%. Determine the number of hours reliable at 95%. Consider Problem 52. (c) 99%. 57. 7). A component with an exponential failure rate is 90% reliable at 10. Without exception. If 20 of these systems are installed. In the circuit shown in Figure 5. . 54. he loses the match on points. where T is a constant. William’s 1 A 3 2 B 4 FIGURE 5. determine the probability that 10 are operating at the end of 2.6.5. if he does not pin his opponent with his trick move. Five individuals have this cancer.y = 0.0433 years. Consider Problem 49. y ∼ G(1. 56.3 years. For successful operation of the circuit. (d) P (−3 < x < 0). and ρx. (c) P (0 < y < 4|x = 0). Assume x and y are jointly Gaussian with x ∼ G(−1. 52. Determine the probability that the circuit is operating successfully at 10. Determine: (a) E(y | x = 0). Random variable t is exponential with η = 2. Suppose a system has an exponential failure rate in years to failure with η = 2. 49. William Smith is a varsity wrestler on his high school team. (b) Using the results of (a). Determine: (a) P (t > η). 50. at least two of these components must connect A with B.12: Circuit for Problem 54.12.42 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS 48. each of the four components operate independently of one another and have an exponential failure rate (in hours) with η = 105 .000 h. Determine: (a) E(y | x = 0).378. (b) f y|x (β | 0). 51. (d) P (3 < x < 10). Consider Problem 47. (a) Draw a sketch of the constant contour equation for the standardized RVs z1 and z2 .000 h. (c) P (0 < y < 4|x = 0). The survival rate of individuals with a certain type of cancer is assumed to be exponential with η = 4 years. (b) f y | x (β | 0). Determine the probability that at most three will be alive at the end of 2. 55.

Determine the probability that William Smith: (a) pins his opponent during the first period: (b) pins his opponent during the second period: (c) pins his opponent during the third period: (d) wins the match. In fact. they are so unexpected that the length of the vacations is random. Moreover. Each customer takes 4 min to check out. Unexpected and Unexplained. Determine: (a) the probability that there will be at least one power failure during the coming year. Outer Space Adventures.4 years. 62. period 2 : f x|A (α|A) = 0. prints brochures describing their vacation packages as “Unique. Determine: (a) your expected waiting time to make a purchase. Consider Problem 57. the queue is 6. having an average length of 6 months. Assume each period is 2 min and the match is 3 periods. The queue for the cash register at a popular package store near Fargo Polytechnic Institute becomes quite long on Saturdays following football games.3 people long. Find the probability that William Smith wins: (a) at least 4 of his first 5 matches.1149599α)u(α). Consider Problem 59 statement. 59. (b) the probability that there will be at least two power failures during the coming year. 9 months later)? . 60.STANDARD PROBABILITY DISTRIBUTIONS 43 trick move also prevents him from ever getting pinned. The average time between power failures in a Coop utility is once every 1. following an exponential distribution. (b) the probability that you will have less than four people in the queue ahead of you.2299197α)u(α). Suppose that you have signed up for a vacation trip that starts at the end of this quarter.4598394α)u(α). (b) more matches than he is expected to during a 10 match season.4598394 exp(−0. where A = {Smith did not pin his opponent during the previous periods}. On the average. What is the probability that the hospital will be without power during the next 24 h? 61. (c) the probability that you will have more than five people in the queue ahead of you. Assume that a power failure will last at least 24 h. 58.2299197 exp(−0. Suppose Fargo Community Hospital has a backup emergency generator to provide auxilary power during a power failure. period 3 : f x|A (α|A) = 0.1149599 exp(−0. The length of time it takes William to pin his opponent in each period of a wrestling match is given by: period 1 : f x (α) = 0.” The vacations certainly live up to their advertisement. Inc. What is the probability that you will be back home in time for next fall quarter (that is. the emergency generator has an expected time between failures of once every 200 h.

Seven-hundred and fifty of these bulbs were put in light fixtures in four rooms. the bulbs were taken from the fixtures and placed in a box. what is the probability that it is burnt out? .44 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS 63. The lights were turned on and left that way for a different length of time in each room as follows: ROOM 1 2 3 4 TIME BULBS LEFT ON. If a bulb is selected at random from the box. A certain brand of light bulbs has an average life-expectancy of 750 h. The failure rate of these light bulbs follows an exponential PDF. HOURS 1000 750 500 1500 NUMBER OF BULBS 125 250 150 225 After the specified length of time.

1. ) and P (z(ζ ) ∈ {−∞. and for all types of continuous.1 CDF Technique with Monotonic Functions Consider the problem where the CDF Fx is known for the RV x. we require that the function z : S → R∗ .45 CHAPTER 6 Transformations of Random Variables Functions of random variables occur frequently in many applications of probability theory. P ). is a random variable on the probability space (S. Of course. We will refer to this method as the CDF technique. discrete. 6. +∞}) = 0. with z(ζ ) = g (x(ζ )). The ease of use of the CDF technique depends critically on the functional form of g (x). we start the discussion of computing the probability distribution of z = g (x) with the simplest case. We first evaluate the probability distribution of a function of one random variable using the CDF and then the PDF. a continuous monotonic function g . and mixed random variables. To make the CDF technique easier to understand. Then. the difficulties associated with computing the probability distribution of z = g (x) are investigated when the restrictions on g (x) are relaxed. For example. 6. the probability distribution for a single random variable is determined from a function of two random variables using the CDF. The primary subjects of this chapter are methods for determining the probability distribution of a function of a random variable. we have for a . the joint probability distribution is found from a function of two random variables using the joint PDF and the CDF. and we wish to find the CDF for random variable z = g (x).) Then. we require z to be a measurable function on the measurable space (S. . consequently. Next. The CDF technique is applicable for all functions z = g (x). The input/output characteristics of many physical devices can be represented by a nonlinear memoryless transformation of the input.1 UNIVARIATE CDF TECHNIQUE This section introduces a method of computing the probability distribution of a function of a random variable using the CDF. Proceeding from the definition of the CDF for z. (Recall that if g is a monotonic function then a one-to-one correspondence between g (x) and x exists. a full wave rectifier circuit produces an output that is the absolute value of the input.

Additionally. under these conditions it is impossible to write a general expression for Fz(γ ) using the CDF technique. we obtain Fz(γ ) = which is also a uniform distribution. 4 ≤ (γ − 1)/2. γ <1 1≤γ <9 9 ≤ γ. Applying (6. (6. Simplifying. (γ − 1)/2 < 0 ⎨ γ −1 Fz(γ ) = Fx = (γ − 1)/8. Solution. then Fz(γ ) = P (z = g (x) ≤ γ ) = P (x ≥ g −1 (γ )) = 1 − Fx (g −1 (γ )− ).1.1. the CDF of random variable z is written in terms of Fx (α).2 CDF Technique with Arbitrary Functions In general. 0 ≤ α < 4 ⎪ ⎩ 1. if z = g (x) and g is monotone decreasing. The following example illustrates this technique. with the argument α replaced by g −1 (γ ). In this general case. Similarly. the relationship between x and z can take on any form. the CDF of x is ⎧ ⎪ 0. the CDF for z is given by ⎧ ⎪ 0. Since random variable x is uniformly distributed. including discontinuities.2) 0.1) indicates. However. Fz(γ ) is no longer found by simple substitution. Example 6.1) where g −1 (γ ) is the value of α for which g (α) = γ .46 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS monotonic increasing function g (x) Fz(γ ) = P (z = g (x) ≤ γ ) = P (x ≤ g −1 (γ )) = Fx (g −1 (γ )). the only requirement on g is that z = g (x) be a random variable.1. 0 ≤ (γ − 1)/2 < 4 ⎪ 2 ⎩ 1. ⎧ ⎪ ⎨ (6. Find the CDF for random variable z = 2x + 1. In fact. Random variable x is uniformly distributed in the interval 0 to 4. Letting g (x) = 2x + 1. (γ − 1)/8. As (6. more than one solution of z = g (x) can exist—resulting in a many-to-one mapping from x to z. the function does not have to be monotonic. we see that g is monotone increasing and that g −1 (γ ) = (γ − 1)/2. ⎪ ⎩ 1.1). α<0 ⎨ Fx (α) = α/4. this case is conceptually no more difficult than . In general. 6. 4 ≤ α.

.4) Ai (γ ). b i (γ )].8) (6. Using this method. then P (x ∈ Ai (γ )) = Fx (b i (γ )) − Fx (a i (γ )). Example 6.7) The success of this method clearly depends on our ability to partition A(γ ) into disjoint intervals. and involves only careful book keeping. Since the Ai ’s are disjoint. γ ]). i=1 (6.9) (6. Random variable x has the CDF ⎧ ⎪ 0. Partition A(γ ) into disjoint intervals {Ai (γ ) : i = 1. Let A(γ ) = {x : g (x) ≤ γ }. Note that A(γ ) = g −1 ((−∞.} so that A(γ ) = ∞ (6. Fz(γ ) = ∞ i=1 P (x ∈ Ai (γ )). Similarly.1. Then Fz(γ ) = P (g (x) ≤ γ ) = P (x ∈ A(γ )). The following examples illustrate various aspects of this technique. then P (x ∈ Ai (γ )) = Fx (b i (γ )) − Fx (a i (γ )− ). ⎨ Fx (α) = (3α − α 3 + 2)/4. .6) The above probabilities are easily found from the CDF Fx . (6. If interval Ai (γ ) is of the form Ai (γ ) = (a i (γ ).2.5) Note that the intervals as well as the number of nonempty intervals depends on γ . 2. any function g and CDF Fx is amenable to a solution for Fz(γ ). Find the CDF for the RV z = x 2 . b i (γ )].10) (6.3) (6. . .TRANSFORMATIONS OF RANDOM VARIABLES 47 the previous case. if interval Ai (γ ) is of the form Ai (γ ) = [a i (γ ). α < −1 −1 ≤ α < 1 1 ≤ α. (6. ⎪ ⎩ 1.

Letting g (x) = x 2 . −1 ≤ x < 0 ⎪ ⎪ 3x − 1. we find A(γ ) = g −1 ((−∞. −3 ≤ α < 3 ⎪ ⎩ 1. Let A(γ ) = g −1 ((−∞. ⎪ −2 ≤ x < −1 ⎨ z = g (x) = −3x − 1. γ ]) = so that ∅. 0≤γ <1 ⎪ ⎩ 1 1 ≤ γ.1 we find ⎧ ∅. −1 ≤ γ < 2 2 ≤ γ. γ ].48 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS Solution. γ <0 γ ≥ 0. Example 6. α < −3 ⎨ Fx (α) = (α + 3)/6.1. Referring to Figure 6. ⎪ ⎪ ⎪ 3x + 5. . Noting that Fx (α) is continuous and has the same functional form for −1 < α < 1. γ < −1 . ⎪ ⎪ ⎨ γ −5 −γ − 1 γ + 1 A(γ ) = −∞.1. γ <0 ⎨ √ √ Fz(γ ) = (3 γ − ( γ )3 )/2. Solution. The CDF for random variable x is ⎧ ⎪ 0. 1 ≤ x. Random variable z is defined by ⎧ x < −2 ⎪ −1. √ √ [− γ .3. ∞)). ⎪ 3 3 3 ⎪ ⎩ R Consequently. √ √ Fz(γ ) = Fx ( γ ) − Fx ((− γ )− ). Plots for this example are given in Figure 6. we obtain ⎧ ⎪ 0. 3 ≤ α. Random variable x is uniformly distributed in the interval −3 to 3. ⎧ ⎪ ⎪ ⎪ ⎨ ⎪ ⎪ ⎪ ⎩ Fx γ −5 3 0. ∪ . ⎪ 0≤x<1 ⎪ ⎪ ⎩ 2. Fz(γ ) = + Fx . γ +1 − Fx 3 1 −γ − 1 3 − γ < −1 −1 ≤ γ < 2 2 ≤ γ. Find Fz(γ ).

3. Moreover. . we obtain ⎧ ⎪ ⎪ ⎨1 ⎪6 ⎪ ⎩ 0. discrete or mixed. z = g (x) is a discrete random variable if g (α) changes values only on intervals where f x (α) = 0. random variable z is mixed due to the constant value of g (x) in the intervals −3 ≤ x < −2 and 1 ≤ x < 3. Fz(γ ) = Note that Fz(γ ) has jumps at γ = −1 and at γ = 2. Whenever random variable x is continuous and g (x) is constant over some interval or intervals.1: Plots for Example 6. z is a mixed random variable whenever g (α) is constant in an interval where f x (α) = 0. dependent on the CDF for random variable x. As presented in the previous example. Random variable z is continuous if x is continuous and g (x) is not equal to a constant over any interval where f x (α) = 0.1. This results in a jump in Fz and an impulse function in f z. In fact. γ −5 γ + 1 −γ − 1 +3+ − 3 3 3 1 γ +2 = . 6 γ < −1 −1 ≤ γ < 2 2 ≤ γ. Substituting.TRANSFORMATIONS OF RANDOM VARIABLES g(x) 4 2 x 49 −3 −1 −1 Fx (α) 1 1 3 −3 −1 Fz (γ) 1 1 3 α −3 −1 1 3 γ FIGURE 6. then random variable z can be continuous.

0].5). −1 < α < 2 otherwise. γ + 1].1. ⎨ z = g (x) = 0. Random variable x has the PDF f x (α) = (1 + α 2 )/6. we evaluate Fz first.1.5 0. we find ⎧ ⎪ (−∞. The CDF for random variable x is ⎧ ⎪ 0.4.5]. To find f z. ∞). α < −1 ⎨ 3 Fx (α) = (α + 3α + 4)/18. −1 ≤ γ < 0 A(γ ) = {x : g (x) ≤ γ } = ⎪ (−∞. x≤0 0 < x ≤ 0. −1 ≤ α < 2 ⎪ ⎩ 1. 0. 0≤γ <1 ⎪ ⎪ ⎩ (−∞. With the aid of Figure 6.4. 1 ≤ γ.2: Transformation for Example 6. Figure 6. then differentiate this result.2. γ ≤ −1 ⎪ ⎪ ⎨ (−∞. Consequently. 0.2 shows a plot of g (x). ⎪ ⎪ ⎩ 1. ⎪ ⎩ 1. ⎧ ⎪ Fx (γ + 1).50 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS Example 6. . ⎪ ⎪ ⎨ F (0). 2 ≤ α.5 < x. Find the PDF of random variable z defined by ⎧ ⎪ x − 1. g( x ) 1 x γ ≤ −1 −1 ≤ γ < 0 0≤γ <1 1 ≤ γ. x Fz(γ ) = ⎪ Fx (0. −1 −1 −2 1 2 FIGURE 6. Solution.

⎧ 0. as required since g (x) = − ln(x) is not defined (or at least not real–valued) for x ≤ 0. Note that P (x ≤ 0) = 0. Random variable x has PDF f x (α) = 0. The previous examples illustrated evaluating the probability distribution of a function of a continuous random variable using the CDF technique. γ < −2 −2 ≤ γ < −1 −1 ≤ γ < 0 0≤γ <1 1 ≤ γ.1) ≤ γ . Find the CDF for random variable z = g (x) = − ln(x). ∞). Differentiating Fz. For γ > 0. Additionally. the CDF technique is applicable if random variable x is mixed or discrete. the CDF technique is used without any changes or modifications as shown in the next example. Solution. This technique is applicable for all functions z = g (x). 18 144 16 Example 6. Find the CDF for z = g (x) = 1/x 2 . We find Fz(γ ) = 0. f z(γ ) = 13 11 3γ 2 + 6γ + 6 (u(γ + 2) − u(γ + 1)) + δ(γ ) + δ(γ − 1).5(u(α) − u(α − 1)) + 0. α<0 0 ≤ α < 10 10 ≤ α. ⎪ ⎪ ⎪ ⎪ ((γ + 1)3 + 3γ + 7)/18.1γ .TRANSFORMATIONS OF RANDOM VARIABLES 51 Substituting.5. respectively. ⎪ ⎨ Fz(γ ) = 2/9. For mixed random variables. Random variable x is uniformly distributed in the interval from 0 to 10.1.5δ(α − 0. ⎨ Fx (α) = α/10. The CDF for x is ⎧ ⎪ 0. Note that Fz(γ ) has jumps at γ = 0 and γ = 1 of heights 13/144 and 11/16.1. continuous and discontinuous.6. Example 6.1) ln(0. ⎪ ⎪ ⎩ 1. ⎪ ⎩ 1. γ < ln(0. 1 − e −0. . so that Fz(γ ) = 1 − Fx ((e −γ )− ). ⎪ ⎪ ⎪ 5/16. we find A(γ ) = {x : − ln(x) ≤ γ } = (e −γ .5).

√ (1/ γ )− < 0 √ 0 ≤ (1/ γ )− < 0.5α. Random variable x is uniformly distributed in the interval −1 to 4. α<0 ⎪ ⎪ ⎨ 0. Fz(γ ) = 0. γ <1 −1/2 Fz(γ ) = 0. 1. Random variable x has the PDF f x (α) = 0. Fz(γ ) = 1 − ⎪ 0. For γ > 0.5 + 0. 1/16. The mixed random variable x has CDF ⎧ ⎪ 0. Determine: (a) Fz(0). Answers: 0. ⎧ ⎪ ⎨ √ √ Fz(γ ) = Fx (−1/ γ ) + 1 − Fx ((1/ γ )− ).1. Determine: (a) Fz(−1/2).5 + 0. γ √ Since Fx (−1/ γ ) = 0 for all real γ . .2. (c )Fz(3/2).5 √ 0.1. 1≤γ <4 ⎪ ⎩ 1 − 0.∞ . − √ γ so that 1 ∪ √ .5α.5γ −1/2 . (b)Fz(1/2). we have ⎧ ⎪ 0. Drill Problem 6. ⎪ ⎪ ⎨ 0. 2/15. 0 ≤ α < 0. For γ < 0. ⎪ ⎩ 1.5 ≤ (1/ γ )− < 1 √ − 1 ≤ (1/ γ ) . ⎨ z= x. Drill Problem 6. 1/4. 1 A(γ ) = {x : x −2 ≤ γ } = −∞. (c ) f z(15). Random variable z is defined by ⎧ ⎪ −1.1. 0. 1 ≤ α.5α(u(α) − u(α − 2)).5γ . x<1 −1 ≤ x ≤ 1 x > 1. Answers: 0. (d ) f z(1/2). 1/15. 4 ≤ γ.5γ −1/2 . 1/15. (b)Fz(1).52 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS Solution.5 ≤ α < 1 ⎪ ⎪ ⎩ 1. 0.5γ −1/2 . Random variable z = 3x + 2.5 − 0. After some algebra. ⎪ ⎪ ⎩ 1.5 Fx (α) = ⎪ 0. (c ) f z(0).

In this section. Random variable x has PDF f x (α) = e −α−1 u(α + 1).5 < x ≤ 1 x > 1. .022. Answers: 1/4. . Then.0519. (c )Fz(4). Random variable z is defined by z= ⎧ ⎪ ⎨ −1. x + 0. we consider computing the conditional PDF of a function of a random variable using the PDF technique.TRANSFORMATIONS OF RANDOM VARIABLES 53 Drill Problem 6. we discuss a wide variety of situations using the PDF technique with functions of continuous random variables. 0. Let αi = αi (γ ) = g −1 (γ ). Answers: 0. we will find the PDF method most useful in extensions to multivariate functions.1. called the PDF technique. Drill Problem 6. . (b)Fz(0). (d )Fz(4). Random variable x has the PDF f x (α) = 0. Second.1. (d ) f z(4). Let x be a continuous RV with PDF f x (α) and let the RV z = g (x) . 1/16. Now.617. (b)Fz(1/2). Assume g is continuous and not constant over any interval for which f x = 0 . First. 0.4.3.11) . 1. 1/16.5 0. we introduce a second method for calculating the probability distribution of a function z = g (x) using the probability density function. Determine: (a) Fz(−1). is only applicable for functions of random variables in which z = g (x) is continuous and does not equal a constant in any interval in which f x is nonzero.2. Finally.089. x ≤ 0. 6.2.5α(u(α) − u(α − 2)). ⎪ ⎩ 3. The PDF technique.1. (6. Random variable z = 1/x 2 .2 UNIVARIATE PDF TECHNIQUE The previous section solved the problem of determining the probability distribution of a function of a random variable using the cumulative distribution function. 2.1 Continuous Random Variable Theorem 6. Determine: (a) Fz(1/8). (c )Fz(3/2). We introduce the PDF technique for two reasons. however. in many situations it is much simpler to use than the CDF technique. a method for handling mixed random variables with the PDF technique is introduced. 6. 0. i = 1.5. .

. h) = Then Fz(γ ) − Fz(γ − h) = By hypothesis. h→0 ∞ i=1 ∞ i=1 ∞ i=1 f x (αi (γ )) . h→0 Note that (for all γ with f x (αi (γ )) = 0) 1 b i (γ . h))) lim a i (γ . whereas g (1) may be positive or negative. h) − a i (γ . h))| h |g (αi (γ ))| lim and that h→0 lim Fx (b i (γ . |g (1) (αi (γ ))| if f x (αi (γ ) = 0.54 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS denote the distinct solutions to g (αi ) = γ . h) . h). b i (γ . h) − a i (γ . Ii (γ . Proof. h) The desired result follows by taking the product of the above limits. h) = {x : γ − h < g (x) ≤ γ }. h) − a i (γ . . (Fx (b i (γ . 2. h) b i (γ . h) = (a i (γ . h)) = f x (αi (γ )). . Then f z(γ ) = where we interpret f x (αi (γ )) = 0. . h)).12) i = 1. b i (γ . . Let h > 0 and define I (γ . The absolute value appears because by construction we have b i > a i and h > 0. h)) − g (a i (γ . h) into disjoint intervals of the form Ii (γ . = lim = (1) h→0 h→0 |g (b i (γ . h). h) = αi (γ ). h)) − Fx (a i (γ . h)) − Fx (a i (γ . h) = lim b i (γ . such that I (γ . |g (1) (αi (γ ))| (6. Partition I (γ .

|g (1) (αi )| = 2/|αi |3 = 2|γ |3/2 . Random variable x has PDF 3 5 f x (−γ −1/2 ) + f x (γ −1/2 ) u(γ ). We easily find g (1) (α) = 2. hence. 2γ 3/2 0. .TRANSFORMATIONS OF RANDOM VARIABLES 55 Example 6. γ 1/8.2. f z(γ ) = or f z(γ ) = 0. In this case. 6 Find the PDF for random variable z = g (x) = x 2 . and f z(γ ) = Substituting. γ and 1 α2 (γ ) = √ . Random variable x has PDF f x (α) = 0. Example 6. Since γ = g (α) = α −2 . there are no solutions to g (αi ) = γ . there is only one solution to the equation γ = 2α + 1. For γ < 0.2. Hence f z(γ ) = f x ((γ − 1)/2)/2 = Example 6. Random variable x is uniformly distributed in the interval 0–4. For γ > 0 there are two solutions to g (αi ) = γ : 1 α1 (γ ) = − √ .75(1 − α 2 )(u(α + 1) − u(α − 1)). 2γ 3/2 1 f x (α) = (1 + α 2 )(u(α + 1) − u(α − 2)). 0.2.75(γ − 2 − γ − 2 )u(γ − 1). 1<γ <9 otherwise. Find the PDF for random variable z = g (x) = 1/x 2 . Solution.75(1 − γ −1 )(u(γ − 1) − 0 + 1 − u(1 − γ )) u(γ ). Solution.3. given by α1 = (γ − 1)/2. f z(γ ) = Simplifying. Find the PDF for random variable z = g (x) = 2x + 1. we have g (1) (α) = −2α −3 . 2γ 3/2 0. so that f z(γ ) = 0 for γ < 0.2.1.75(1 − γ −1 )(u(1 − γ −1/2 ) − 0 + 1 − u(γ −1/2 − 1)) u(γ ).

For γ > 0 there are two solutions to g (αi ) = γ : √ √ α1 (γ ) = − γ . √ Since γ = g (α) = α 2 . we have g (1) (α) = 2α. and then combine the results to yield f z.5) + δ(α − 0. consider the following example.2 Mixed Random Variable Consider the problem where random variable x is mixed. f z(γ ) = √ 2 γ Substituting. Here. so that f z(γ ) = 0 for γ < 0. f z(γ ) = or 1+γ √ (u(1 − γ ) − 0 + 1 − u(γ − 4))u(γ ). For all γ > 0 such that .5 and e −0. respectively.5 are mapped to probability masses of 1/8 for z at e 0.2.5 . To illustrate the use of this technique. 12 γ 0<γ <1 1<γ <4 elsewhere. ⎨ f z(γ ) = (γ −1/2 + γ 1/2 )/12. |g (1) (αi )| = 2|αi | = 2 γ . hence.56 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS Solution. Solution. and α2 (γ ) = γ . 12 γ ⎧ ⎪ (γ −1/2 + γ 1/2 )/6. 6. Random variable x has PDF 1 1 3 f x (α) = (u(α + 1) − u(α − 1)) + δ(α + 0. We have g (1) (α1 ) = −e ln(γ ) = −γ . and √ √ f x (− γ ) + f x ( γ ) u(γ ). The continuous part of the PDF of x is handled by the PDF technique. 8 8 8 Find the PDF for the RV z = g (x) = e −x . f z(γ ) = Simplifying. For γ < 0 there are no solutions to g (αi ) = γ . and we wish to find the PDF for z = g (x). The probability masses of 1/8 for x at −0.5). 1+γ √ √ √ √ √ (u(1 − γ ) − u(−2 − γ ) + u( γ + 1) − u( γ − 2))u(γ ).4. Example 6. we treat the discrete and continuous portions of f x separately. There is only one solution to g (α) = γ : α1 (γ ) = − ln(γ ).2.5 and 0. ⎪ ⎩ 0.

5| > 0 we have f z(γ ) = Combining these results. First.2. We have P (A) = 1 6 2 0 7 (1 + α 2 )d α = .5 ). we find f z(γ ) = 3 1 1 (u(γ − e −1 ) − u(γ − e )) + δ(γ − e 0. we have f z|A (γ |A) = f z(γ ) . Random variable x has the PDF 1 f x (α) = (1 + α 2 )(u(α + 1) − u(α − 2)). Consider the problem where random variable x has PDF f x . Solution. (i) If A is an event defined for an interval on z.14) Example 6. (6.13) and f z|A (γ |A) = 0 for γ ∈A. given event A. γ 6. Depending on whether the event A is defined on the range or domain of z = g (x). the conditional PDF.3 Conditional PDF Technique Since a conditional PDF is also a PDF. given A = {x : x > 0}. Then. given that event A occurred.5 ) + δ(γ − e −0. is computed by first evaluating f z using the technique in this section. based on f x|A . the above techniques apply to find the conditional PDF for z = g (x). P (A) γ ∈ A. 6 Find the PDF for random variable z = g (x) = x 2 . one of the following two methods may be used to determine the conditional PDF of z using the PDF technique.2. we solve for the conditional PDF for x and then find the conditional PDF for z. by the definition of a conditional PDF. |g (1) (αi (γ ))| (6. we will use the conditional PDF of x to evaluate the conditional PDF for z as f z|A (γ |A) = ∞ i=1 f z|A (αi (γ )|A) . f z|A . 9 . and we wish to evaluate the conditional PDF for random variable z = g (x). 8γ 8 8 f x (− ln(γ )) .TRANSFORMATIONS OF RANDOM VARIABLES 57 |α1 (γ ) ± 0.5. (ii) If A is an event defined for an interval on x.

Answers: 4/9. 0. 9 Random variable z = (x − 1)2 . 14 There is only one solution to γ = g (α) = α 2 on the interval 0 < α < 2 where f x|A = 0. otherwise.3.2. Random variable x has a uniform PDF in the interval 0–8. (d )E(z|z ≤ 1). Answers: 1.43.(d ) f z|A (9|A).2. . Random variable z = x 3 . Answers: 0. 1/3. 9 Random variable z = 2x 2 and event A = {x : x ≥ 0}.Use the PDF method to determine: (a) f z(0). 48.2. (b) f z(6).2. 2.Use the PDF method to determine: (a) f z(1/27).5 ≤ α ≤ 1 ⎪ ⎩ 0.52. (c ) f z|A (2|A). (d ) f z(2). Drill Problem 6. (b) f z(9/4). (b) f z(1/4). 0. 1.58 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS so that f x|A (α|A) = 3 (1 + α 2 )(u(α) − u(α − 2)). Random variable 2 z = 3x + 1 . 3. Random variable x has the PDF 2 f x (α) = α(u(α) − u(α − 3)). Determine: (a) P (A). Use the PDF method to determine: (a) f z(1/4). Drill Problem 6. Drill Problem 6. (c ) f z|z>1/8 (1/4|z > 1/8).1. 1/24.4. (c )E(z). (c ) f z|z≤1 (1/4|z ≤ 1).5 ⎨ 2 f x (α) = 3(1 − α ). 5/27. f z|A (γ |A) = 3 √ 1 γ+√ 28 γ (u(γ ) − u(γ − 4)). Consequently.2. Random variable x has the PDF 2 f x (α) = (α + 1)(u(α + 1) − u(α − 2)). 1/2. 0. (d )σz . Drill Problem 6. We √ √ have α1 (γ ) = γ and |g (1) (α1 (γ ))| = 2 γ . (b) f x|A (1|A). 8/9. Random variable x has the PDF ⎧ ⎪ 9α 2 . 1/8. 0 ≤ α < 0. Answers: 13.

f x. β)d α dβ.y is not constant) and the region A(γ ) is often most helpful. or Fx. (6. β) where α ≤ γ − β: Fz(γ ) = ∞ −∞ γ −β −∞ 1/4. Here. We have A(γ ) = {(α. β) : α + β ≤ γ }.y and g (x. With z = g (x.y (α. .17) This result cannot be continued further until a specific Fx. our efforts primarily dealt with algebraic manipulations.3 ONE FUNCTION OF TWO RANDOM VARIABLES Consider a random variable z = g (x.y (α. y) : g (x. y) are considered. with the ease of solution critically dependent on g (x. Solution. the probability distribution of z = g (x. y) is computed using a CDF technique similar to the one at the start of this chapter.y (α. In this section. y) ∈ A(γ )). even crucial. we have Fz(γ ) = P (z ≤ γ ) = P (g (x. y) ≤ γ }. 0 < α < 2.y = 0. Remember that in the case of a single random variable. y) ≤ γ ) = P ((x. We require the volume under the surface f x. β). Because we are dealing with regions in a plane instead of intervals on a line. our efforts are concentrated on evaluating Fz through integrals. where A(γ ) = {(x. y) created from jointly distributed random variables x and y.y (α. Example 6.3. 0 < β < 2 otherwise.1.y (the region where f x.16) dFx. Let us consider several examples to illustrate the mechanics of the CDF technique and also to provide further insight.15) (6. The ease in solution for Fz is dependent on transforming A(γ ) into proper limits of integration. 0.TRANSFORMATIONS OF RANDOM VARIABLES 59 6. β) = Find the CDF for z = x + y. The CDF for the RV z can then be found by evaluating the integral Fz(γ ) = A(γ ) (6. these problems are not as straightforward and tractable as before. y).y = 0. y). Pay careful attention to the limits of integration to determine the range of integration in which the integrand is zero because f x. Random variables x and y have joint PDF f x. in the problem solution. Sketching the support region for f x.

2 .60 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS γ β γ 2 2 β γ −2 2 (a)0 < γ < 2 0 γ α 0 γ −2 2 (b)2 < γ < 4 γ α FIGURE 6.3. For 0 ≤ γ < 2.3(a) we obtain Fz(γ ) = 0 2 0 γ −β 1 1 d αdβ = γ 2 . for 4 ≤ γ .4(a). with the aid of Figure 6.3. 0 < β < 1 otherwise. We have A(γ ) = {(α. β) where α ≤ γ + β: Fz(γ ) = ∞ −∞ γ +β −∞ 2 γ −2 2 γ −β 1 1 d αdβ = 1 − (4 − γ )2 . 0 < α < 1. We require the volume under the surface f x. we consider the complementary region (to save some work): Fz(γ ) = 1 − Finally. Example 6.y (α. For γ < −1 we have Fz(γ ) = 0 and f z(γ ) = 0. referring to Figure 6. 0. f x. For γ < 0 we have Fz(γ ) = 0. Random variables x and y have joint PDF f x. β) = Find the PDF for z = x − y. β)d αdβ.3(b).y (α.1. With the aid of Figure 6. Fz(γ ) = 1 −γ 0 γ +β 1 d αdβ = (1 + γ )2 .3: Plots for Example 6. Solution. 4 8 1. Fz(γ ) = 1. for −1 ≤ γ < 0. β) : α − β ≤ γ }.y (α. 4 8 For 2 ≤ γ < 4.2.

Find the CDF for z = x/y. so that f z(γ ) = 0.y . for γ < 1 we have Fz(γ ) = 0.3. 0. β) : α/β ≤ γ }. Fz(γ ) = 1. 0<β<α<1 otherwise.2.3. we consider the complementary region shown in Figure 6.y (α.4: Plots for Example 6. As shown in Figure 6. we have α/β > 1.TRANSFORMATIONS OF RANDOM VARIABLES 61 β 1 1 1− γ 1+ γ β −γ 0 1 (a) −1 < γ < 0 α 0 1 (b) 0 < γ < 1 γ α FIGURE 6.3. We have A(γ ) = {(α. for 1 ≤ γ . Solution. .3.5 it is easiest to integrate with respect to β first: for 1 ≤ γ . α γ β 1 1 γ 0 1 α FIGURE 6. 2 γ +β 1 so that f z(γ ) = 1 − γ . Finally. so that f z(γ ) = 1 + γ . hence.5: Integration region for Example 6.3. Fz(γ ) = 0 1 α α/γ 1 1 dβd α = 1 − . Inside the support region for f x. β) = 1/α. For 0 ≤ γ < 1.4(b) (to save some work): Fz(γ ) = 1 − 0 1−γ 1 d αdβ = 1 − (1 − γ )2 . where x and y have the joint PDF f x. Example 6.

Solution.6(a). With √ γ −1 sin(θ1 ) = √ . Find the CDF for z = x 2 + y 2 .y (α. . Finally.6: Integration regions for Example 6. γ we find with the aid of Figure 6. otherwise. 2 π/4 θ1 0 √ γ √ α γ −1 0 3r cos(θ)dr d θ + 2 0 1 3αdβ d α. Transforming to polar coordinates: α = r cos(θ ).4. β) = 3α. Referring to Figure 6. r sin(θ))r dr d θ. 2 For 1 ≤ γ < 2.y (r cos(θ). we have Fz(γ ) = 1 for 2 ≤ γ . we split the integral into two parts: one with polar coordinates. β γ γ −1 1 β γ 1 0 γ 1 α 0 (b) 1 < γ < 2 1 γ α (a) 0 < γ < 1 FIGURE 6. We have A(γ ) = {(α. for 0 ≤ γ < 1.3. Fz(γ ) = 0 π/4 0 √ γ 1 3 3r 2 cos(θ)dr d θ = √ γ 2 .3. we obtain Fz(γ ) = 0. where x and y have the joint PDF f x. For γ < 0. 0 < β < α < 1 0. β) : α 2 + β 2 ≤ γ }.6(b) that Fz(γ ) = or 3 1 3 Fz(γ ) = √ γ 2 − (γ − 1) 2 . Fz(γ ) = 0 2π r 2 ≤γ f x.4.62 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS Example 6. β = r sin(θ). the other using rectangular coordinates.

y) ≤ ψ}. Random variable z = x − y . y) from jointly distributed random variables x and y. γ ]) = {(x. ψ) = {(x. and (d) f z(1).. the case of one function of two random variables is treated by using the joint PDF technique with an auxiliary random variable. Find (a) Fz(−1/3). (c )Fz(1). y) ≤ γ . y) : g (x. Note that A(γ . β). 4 4 4 4 6. A(γ . and let z = g (x. 0.ψ) (6. the conditional joint PDF is presented. y) ≤ ψ. Then.y (α. ψ]). 0 ≤ α ≤ 2. 1 − 3 e −1 . y) ≤ γ and w = h(x.w (γ .18) (6. ψ) = g −1 ((−∞. . (b) f z(−1). 6.4 BIVARIATE TRANSFORMATIONS In this section.1. y) = x + y and w = h(x.y (α. i. y) and w = h(x. γ ]) ∩ h −1 ((−∞. P ). 3 e −1 . y) and w = h(x. y) : x + y ≤ γ } .1.1 Bivariate CDF Technique Let x and y be jointly distributed RVs on the probability space (S. Finally.3. 3 e −1 . β) = e −α e −β u(α)u(β). Define A(γ . (6. Next. ψ) = A(γ . Random variables x and y have joint PDF f x. h(x. Answers: 1 e −1 .e.20) It is often difficult to perform the integration indicated in (6. Example 6. Then Fz. y) = y.20).w . Solution.y (α. β) = 0. ψ) to be the region of the x − y plane for which z = g (x.4. we consider a bivariate CDF technique. 0 ≤ β ≤ 2 otherwise. y). find the joint PDF f z. With z = g (x. Random variables x and y have the joint PDF f x.TRANSFORMATIONS OF RANDOM VARIABLES 63 Drill Problem 6.19) dFx. we find the joint distribution of random variables z = g (x. We have g −1 ((−∞.4. the joint PDF technique for finding the joint PDF for random variables z and w formed from x and y is described.25. First.

Performing the indicated limits. 0 < ψ < 2 otherwise. 0.20) we find Fz.w (γ .w When the RVs x and y are jointly continuous. and h −1 ((−∞. β). ψ) = {(x.w (γ . β).7: Integration region for Example 6. y) : y ≤ min(γ − x. dFx.20). 0 < γ − ψ < 2.1.y (α. it is usually easier to find the joint PDF than to carry out the integral indicated in (6. we obtain f z.w (γ .y (α. β). ψ]) = {(x. ψ) 1 = lim lim h 2 →0 h 1 →0 h 1 h 2 ∂ψ ∂γ ψ ψ−h 2 γ −β γ −h 1 −β ψ −∞ γ −β γ −h 1 −β d Fx. we differentiate the above integral to obtain the PDF f z. The intersection of these regions is A(γ . y) : y ≤ ψ}.w (γ . ψ) = 0. Instead of carrying out the above integration and then differentiating the result. ψ) = lim h 1 →0 h 1 ∂γ and ∂ 2 Fz. With the aid of Figure 6. 6. ψ)}. .7 and (6.7. we find that f z.w (γ .25. ψ) = ψ −∞ γ −β −∞ d Fx.y (γ − ψ. ψ). ψ) = f x. substituting. We find 1 ∂ Fz.y (α.64 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS y ψ γ γ −ψ x FIGURE 6. which is illustrated in Figure. f z.4.w directly.

. βi ) Ii (γ . the approximation becomes an equality.y (αi .24) J (α.y . β) ∂β (6.h 2 ) d α dβ. h 2 ). Let h 1 > 0. 2.h 1 . h 2 ) = g −1 ((γ − h 1 . ψ.w (γ . (6. h 2 > 0 and define I (γ . ψ).22) Let (αi . ψ. y) and w = h(x. βi ) = γ and h(αi . (6. β) = . ψ. βi ) denote the unique element of h 1 →0 h 2 →0 lim lim Ii (γ .ψ. h 1 . β) ∂α ∂h(α. h 2 ).25) i = 1. Define the Jacobian ∂g (α. βi ) = ψ. Then for small h 1 and small h 2 we have h 1 h 2 f v. .1.TRANSFORMATIONS OF RANDOM VARIABLES 65 6. h 1 . h 1 . Let x and y be jointly continuous RVs with PDF f x.27) . h 1 . ψ)). (6.4. h 2 ) = i (6.26) (6.23) Dividing both sides of the above by h 1 h 2 and letting h 1 → 0 and h 2 → 0.2 Bivariate PDF Technique A very important special case of bivariate transformations is when the RVs x and y are jointly continuous RVs and the mapping determined by g and h is continuous with g and h having continuous partial derivatives. . ψ]). β) ∂β ∂h(α. γ ]) ∩ h −1 ((ψ − h 2 . y) . Partition I into disjoint regions so that I (γ . βi (γ . Theorem 6. (6. β) ∂α ∂g (α. and let z = g (x. . ψ) ≈ i f x. be the distinct solutions to the simultaneous equations g (αi .4. The result is summarized by the theorem below. Let (αi (γ . ψ.21) Ii (γ .

Solution.3. βi ) for αi and βi . Example 6. β1 ) = f x.w . 0 < β < 2 otherwise. . ψ). Let us consider several examples to illustrate the mechanics of this PDF technique.2. ψ) = 1/4.4. we find f z.y (α1 . βi ) (6. we obtain f z.w (γ .66 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS where the indicated partial derivatives are assumed to exist.y (α.w is illustrated in Figure 6. 0 < β < 1 otherwise. |J | 1 0 1 = 1 · 1 − 1 · 0 = 1. 0. Example 6.w using the joint PDF technique are solving the simultaneous equations γ = g (αi . ψ) = ∞ i=1 f x. Find the joint PDF for z = g (x. 0 < γ − ψ < 2. The Jacobian of the transformation is J = Applying Theorem 1. y) = x + y and w = h(x.w (γ . Random variables x and y have the joint PDF f x. 0. f x. Random variables x and y have the joint PDF f x. β) = 12αβ(1 − α).w (γ . y) = y. 1 The region of support for f z.y (αi . 0 < ψ < 2 otherwise.8. y) = x 2 y and w = h(x. βi ) .y (α. ψ) = Substituting.28) The most difficult aspects to finding f z. βi ) and ψ = h(αi . 0. There is only one solution to γ = α + β and ψ = β: α1 = γ − ψ and β1 = ψ. J (αi . 0 < α < 2. 0 < α < 1.4. Find the joint PDF for z = g (x. β) = 1/4.y (γ − ψ. and determining the support region for f z. Then f z. y) = y.

8: Support region for Example 6.w (γ . = 0. β) = 0. ψ) = + . we find 2α1 β1 0 2 α1 = 2α1 β1 = 2 γ ψ. β) = 0 for α < 0. Solving γ = αβ and ψ = β/α. −1 < α < 1.4. The other solution α2 = −α1 is not needed since f x. γ ψ) f x. Solving γ = α 2 β and ψ = β. so that β 2 = γ ψ.y (− γ /ψ. Example 6.25(α + 1). √ Solution.y ( γ /ψ. 0. The Jacobian is J1 = Applying Theorem 1.y ( γ /ψ. y) = xy and w = h(x. we find α1 = γ /ψ and β1 = ψ. y) = y/x. Let√ √ √ √ ting β1 = γ ψ we have α1 = γ /ψ. the solution (α2 . 1 √ f x.y (α. Random variables x and y have the joint PDF f x. Hence β −β/α 2 β α =2 . ψ) f z. − γ ψ) f z. ψ) = √ 2 γψ √ 6(1 − γ /ψ). 1/α α √ √ √ √ f x.4. We find J = so that J 1 = 2ψ = J 2 . 2|ψ| 2|ψ| .2. Solution. 0< √ γ /ψ < 1.y (α.4. β2 ) is in the third quadrant of the α − β plane. Then β2 = − γ ψ and α2 = − γ /ψ. we find α = γ /β = β/ψ. 0 < ψ < 1 otherwise. −1 < β < 1 otherwise.TRANSFORMATIONS OF RANDOM VARIABLES 67 ψ 2 1 0 1 2 3 4 γ FIGURE 6. β1 ) is in the first quadrant of the α − β plane. Note that the solution (α1 .w (γ . Find the joint PDF for z = g (x.

or γ −1 < ψ < γ < 0 otherwise. 0. we find f z. ψ) = 1/(4|ψ|). This method is an alternative to the CDF technique presented earlier. . γ <1 ψ and 0 < γ ψ < 1.29) It is usually advisable to let the auxiliary random variable w equal a quantity which allows a convenient solution of the Jacobian and/or the inverse equations.w have identical regions of support in the γ − ψ plane. This support region is illustrated in Figure 6. √ √ f x. ψ)d ψ.w (γ . the two components of the PDF f z. γ ψ) 2|ψ| has support region specified by 0< or 0< Similarly.w (γ . √ √ f x. Similarly.y (− γ /ψ. 0 < γ < ψ < γ −1 . y) to find f z. the support region is γ −1 < ψ < γ < 0. In the first quadrant of the γ − ψ plane. in the third quadrant. − 1 < − γ ψ < 0. − γ ψ) 2|ψ| has support region specified by −1 < − γ /ψ < 0 and or 0< γ <1 ψ and 0 < γ ψ < 1. this support region is easily seen to be 0 < γ < ψ < γ −1 . γ /ψ < 1 and 0 < γ ψ < 1.w and then finding the marginal PDF f z using f z(γ ) = ∞ −∞ f z.9. Finally.y to random variable z = g (x. Consequently. y) by introducing auxiliary random variable w = h(x.y ( γ /ψ.68 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS In the γ − ψ plane. Auxiliary Random Variables The joint PDF technique can also be used to transform random variables x and y with joint PDF f x. (6.

The only solution inside the support region for f x. . 1 4αβ. Example 6. We find the marginal PDF for z as f z(γ ) = ∞ −∞ f z. for 0 < γ < 1 and f z(γ ) = 0.4. Random variables x and y have the joint PDF f x. Solving γ = α 2 and ψ = β.5. 0. y) = y.y is α = γ and β = ψ. Solution. ⎧ √ 4 γψ √ f x. ψ) = = √ ⎩ 2 γ 0. 2 γ f z. 0 < α < 1. we find α = √ √ ± γ and β = ψ. Let auxiliary variable w = h(x.w (γ . 0 < β < 1 otherwise. 0 < γ < 1. y) = x 2 .w (γ . ψ) ⎨ √ = 2ψ. ψ)d ψ = 0 1 2ψ d ψ. The Jacobian of the transformation is J = so that 2α 0 0 = 2α.y ( γ .9: Support region for Example 6.y (α.4.4. otherwise. β) = Find the PDF for z = g (x. 0 < ψ < 1 otherwise.TRANSFORMATIONS OF RANDOM VARIABLES 69 ψ 3 2 1 −3 −2 −1 1 2 3 γ −1 −2 −3 FIGURE 6.

3 3 γ −1 1 . Example 6. 0 < α < 1. 0 < γ − ψ < 1. Conditional PDF Technique Since a conditional PDF is also a PDF.10.y (α. Solving γ = α + β and ψ = β. 0.10: Support region for Example 6.w (γ . Let auxiliary variable w = h(x. we find α = γ − ψ and β = ψ. for 0 < γ < 1. f z(γ ) = Otherwise. ψ) = 4(γ − ψ)ψ. We find J = so that f z. Find the PDF for z = g (x. y). given event A. the above techniques apply to find the conditional PDF for z = g (x.6. Solution. 1 The support region for f z. 1 0 1 = 1. 0 < β < 1 otherwise.10.4. f z(γ ) = 0 γ 2 4(γ − ψ)ψ d ψ = γ 3 .w is shown in Figure 6.4.y (γ − ψ. Referring to Figure 6. Random variables x and y have the joint PDF f x. y) = x + y. 0. Consider the problem where random variables x and y have joint 2 8 4(γ − ψ)ψ d ψ = − γ 3 + 4γ − . 3 For 1 < γ < 2. ψ) = f x. y) = y.70 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS ψ 1 0 1 2 γ FIGURE 6. 0 < ψ < 1 otherwise. f z = 0.6. β) = 4αβ.

βi (γ . the conditional PDF. given event A = {max(x.5 0 α 1 3α dβ d α = .7. y) ≤ 0. |J (αi (γ . ψ|A)d ψ.y|A (αi (γ .y|A (α. ψ). Find the PDF for z = x + y.y (α. we have f z|A (γ |A) = f z(γ ) . Depending on whether the event A is defined on the range or domain of z = g (x.32) Example 6. Random variables x and y have joint PDF f x. ψ))| (6. 0<β<α<1 otherwise. we will use the conditional PDF f x.31) where (αi . We begin by finding the conditional PDF for x and y. Solution.w|A (γ . P (A) γ ∈ A. From Figure 6.y (α.y|A to evaluate the conditional PDF f z|A as follows.30) ii.5}.w|A (γ . by the definition of a conditional PDF.4. .y . y). and evaluate f z. β) in region A. First. (6. β) = 3α. is computed by first evaluating f z using the technique in this section. given that event A occurred. i. ψ|A) = ∞ i=1 f x. f z|A .. f x. Then evaluate the marginal conditional PDF f z|A (γ |A) = ∞ −∞ f z. ⎧ ⎨ f x. ψ)|A) .11(a) we find P (A) = A f x. βi (γ .y (α. . 0 < β < α < 0. 8 consequently. and we wish to evaluate the conditional PDF for random variable z = g (x. If A is an event defined for an interval on z. Then. β|A) = P (A) ⎩ 0. . . (6. ψ). are the solutions to γ = g (α.5 otherwise. β)d α dβ = 0 0. y). If A is an event defined for a region in the x − y plane. y). β) = 24α.TRANSFORMATIONS OF RANDOM VARIABLES 71 PDF f x. β) and ψ = h(α. introduce an auxiliary random variable w = h(x. 0. βi ). one of the following two methods may be used to determine the conditional PDF of z using the bivariate PDF technique. 2. i = 1. given A.

f z|A (γ |A) = 0.w|A (γ . f x. 0. Letting the auxiliary random variable w = h(x.5 24(γ − ψ)d ψ = 3(1 − γ 2 ).w|A (γ .5 < γ < 1 we obtain f z|A (γ |A) = For γ < 0 or γ > 1. the only solution to γ = g (α. ψ|A) . The integration is easily carried out with the aid of Figure 6. 0 < ψ < γ − ψ < 0. 1 The support region for f z. ψ|A) = 24(γ − ψ).11(b).5 < γ < 1 we have f z|A (γ |A) = 0 0.5γ 24(γ − ψ)d ψ = 9γ 2 . The conditional PDF for z. The Jacobian of the transformation is J = 1 so that f z. ψ|A)d ψ. β) = β is α = γ − ψ and β = ψ. β) = α + β and ψ = h(α.4.11: Support region for Example 6. 0.7.5γ γ −0. For 0.y|A (γ − ψ. ψ|A) = Substituting. can be found from f z|A (γ |A) = ∞ −∞ f z. we find f z. For 0.72 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS FIGURE 6.w|A is illustrated in Figure 6. .5 otherwise. y) = y.11(b).w|A (γ . given A.

Drill Problem 6. we write Fz(γ ) = P (z ≤ γ ) = P (g (x) ≤ γ ) = P (x ∈ A(γ )).7172. (d ) f z(3/2). Determine: (a) f z.5 SUMMARY This chapter presented a number of different approaches to find the probability distribution of functions of random variables. 0 < α < 1. Answers: 0. Answers: 0. 1. Drill Problem 6. 3/4. Answers: 0. (b) f z(−1/2). 6. z = g (x). 1. Random variable z = x + y and w = y 2 . (c ) f z(1/2). 0 < α < 1. (6. β) = e −α−β u(α)u(β). Random variable z = x − y and event A = {(x. 1).4. 3/16.w (−1. 1/4).y (α. 13/12. β) = 2β. 0 < β < 1 otherwise.w (1. Random variables x and y have joint PDF f x. (d ) f z|A (1/2|A). 0.3. 15/16. (b) f z|A (−1/2|A). (c ) f z(1/2). and the most general approach. 1/12.4. Answers: 0.4. (d ) f z(3/2).3. 0. Determine: (a) f z|A (−3/ 2|A). (c )Fz|A (0|A). β) = 4αβ. Two methods are presented to find the probability distribution of a function of one random variable. 0. Random variables x and y have joint PDF f x. 0 < β < 1 otherwise. β) = 1. 0. Random variable z = x and w = xy. 1). Find: (a) f z.w (1.TRANSFORMATIONS OF RANDOM VARIABLES 73 Drill Problem 6.1. Drill Problem 6. 0 < β < 1 otherwise.4. e −2 . From the definition of the CDF. (b) f z(1/4).2. Random variables x and y have joint PDF f x. y) : x + y ≤ 1}.33) . (b) f z.2(α 2 + β).4. 0.y (α. 0 < α < 1. Determine: (a) f z(−1).y (α.y (α. is called the CDF technique. Random variables x and y have joint PDF f x. The first. Random variable z = x 2 y.

ψ) = where (αi (γ . βi ) . . involves evaluating Fz(γ ) = P (z ≤ γ ) = P (g (x.36) (6. 2. we evaluated the probability distribution of a random variable z = g (x. ψ). βi (γ . The CDF for the RV z can then be found by evaluating the integral Fz(γ ) = A(γ ) (6.y (α.38) The ease of solution here involves transforming A(γ ) into proper limits of integration. y) ≤ γ ) = P ((x. . i = 1. where A(γ ) = {(x.34) denote the distinct solutions to g (αi ) = γ . y) : g (x. the PDF technique is much simpler to use than the CDF technique.39) . (6. the joint PDF for z and w can be found as f z. . Next. a CDF technique.35) ∞ i=1 f x (αi (γ )) . βi ) (6. To find the joint probability distribution of random variables z = g (x. J (αi .74 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS where A(γ ) = {x : g (x) ≤ γ }. . The second approach. g (1) (αi (γ )) (6. y) ≤ γ }. (6. i = 1. called the PDF technique. the CDF Fz may be found using the CDF Fx . a bivariate CDF as well as a joint PDF technique were presented. y) from jointly distributed random variables x and y.y (αi . y) and w = h(x. . β).40) ∞ i=1 f x.37) dFx. We wish to remind the reader that the special case of a convolution integral is obtained when random variables x and y are independent and z = x + y. However. By partitioning A(γ ) into disjoint intervals. (6. Using the joint PDF technique. . y) created from jointly distributed random variables x and y using two approaches. Typically. The second approach involves introducing an auxiliary random variable and using the PDF technique applied to two functions of two random variables. ψ)). . the PDF technique is applicable only when z = g (x) is continuous and does not equal a constant in any interval in which f x is nonzero. involves evaluating f z(γ ) = where αi = αi (γ ) = g −1 (γ ). The first approach. 2.w (γ . . y) ∈ A(γ )).

⎪ ⎩ 1. Typically. ⎨ Fx (α) = α 2 .w . 3. βi ) = γ and h(αi . y) to find f z. 0. and then integrating to obtain the marginal PDF f z.5(1 + α). x + 1.6 PROBLEMS 1. The joint PDF technique can also be used to find the probability distribution for z = g (x. Given f x (α) = and z= Use the CDF technique to find Fz. β) = ∂h(α. −1 < α < 1 otherwise. Suppose random variable x has the CDF ⎧ ⎪ 0.43) where the indicated partial derivatives are assumed to exist.41) (6. find Fz. β) ∂α ∂g (α. β) ∂β (6. ∂h(α. 6. 0. y) from f x. βi ) = ψ. x<0 x > 0. β) ∂α J (α. β) ∂β . . Let random variable x be uniform between 0 and 2 with z = exp(x). x − 1.TRANSFORMATIONS OF RANDOM VARIABLES 75 are the distinct solutions to the simultaneous equations g (αi . Using the CDF technique. 2. Find Fz using the CDF technique. The Jacobian ∂g (α. the most difficult aspect of the joint PDF technique is in solving the simultaneous equations.42) (6. α<0 0≤α<1 1≤α and z = exp(−x).y by introducing an auxiliary random variable w = h(x.

Random variable x represents the input to a half-wave rectifier and z represents the output. Determine: (a) a. 8. 5. Given that x is uniformly distributed between −2 and 2. 6. Find Fz for z = x 2 using the CDF method. . The PDF of random variable x is 1 1 f x (α) = e − 2 (α+2) u(α + 2). 2α. x < −1 −1 ≤ x ≤ 2 x > 2. Given that x is uniformly distributed between −2 and 2. (b) Fz using the CDF method. ⎪ ⎩ 2. (d) E(z) using f z (compare with the answer to part a). (b) Fz using the CDF method. 0<α<1 otherwise. Suppose random variable x has the PDF f x (α) = Random variable z is defined by ⎧ ⎪ −1. ⎨ z= x. (b) Fz. Random variable x has the PDF f x (α) = e −α u(α). ⎨ z= x. ⎪ ⎩ 1. so that z = |x|. 2 Find Fz using the CDF technique when z = |x|. (c) f z. find: (a) E(z) using f x . (d) E(z) using f z (compare with the answer to part a). Using the CDF method. so that z = u(x). 9. ⎧ ⎪ −1. Given f x (α) = and a 1 + α2 x ≤ −1 −1 < x < 1 x ≥ 1. 7. 0. Random variable x represents the input to a full-wave rectifier and z represents the output. (c) f z.76 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS 4. determine Fz. find: (a) E(z) using f x .

Given that the input follows a Gaussian distribution with x ∼ G(2. x < 0. Random variable x has the CDF ⎧ ⎪ 0.5 x ≥ 3. α < −1 −1 ≤ α < 2 2≤α x < −0. ⎪ ⎪ 3. Find the PDFs for the following random variables: (a) z = x 3 . and ⎧ ⎪ x. 0.25. (b) z = (x − 1/2)2 . −1 < α < 2 otherwise. 13. ⎪ ⎩ 1. ⎨ z = 0. ⎪ ⎪ ⎪ ⎩ 4. ⎪ ⎪ ⎪ 1. 0.5 1. 14. With z = 100 − 25x.5 ≤ x < 2. ⎪ ⎩ x.5 ≤ x < 1. Random variable x has the PDF f x (α) = e −α u(α).5 −0.5 ≤ x ≤ 0 0 < x.5 2. 0<α<1 otherwise. Use the CDF technique to determine Fz. find f z using the CDF method. Random variable x has the following PDF f x (α) = 4α 3 .5. Random variables x and z are the input and output of a quantizer.49). (c) z = (x − 1/4)2 . (b) Fz using the PDF technique.TRANSFORMATIONS OF RANDOM VARIABLES 77 10. ⎪ ⎨ z = 2. Determine Fz. Let z = 1/x 2 .5 0. Suppose f x (α) = (1 + α 2 )/6. . 12. ⎨ Fx (α) = (α 2 + 2α + 1)/9. 11. 0.5 ≤ x < 3. The relationship between them is defined by: ⎧ ⎪ 0. find: (a) Fz using the CDF technique.

Find the PDF f z. with RV z = g (x). Assume the diode and the operational amplifier are ideal. Find the CDF Fz. find the PDF f z. 19.12. + 1K Ω + x 3K Ω z − − FIGURE 6.14 is a Gaussian random variable with mean ηx = 0 and standard deviation σx = 3. 15. ⎧ ⎪ ⎨ α < −1 −1 ≤ α < 3 3 ≤ α. . Fx (α) = 0. Assume the diode is ideal. 17. 18.16.13 is a random variable which is uniformly distributed from −1 to 2. Find the PDF f z. ⎪ ⎩ 1. With z = g (x) shown in Figure 6. 16. The voltage x in Figure 6. The voltage x in Figure 6. and g (x) shown in Figure 6.78 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS z = g( x ) 1 −2 −1 −1 1 2 3 x FIGURE 6.12: Plot for Problem 15. Random variable x has the CDF 0. Find the PDF f z.25(α + 1).13: Circuit for Problem 16. Assume the diodes are ideal. Random variable x is Gaussian with mean ηx = 0 and standard deviation σx = 1.15 is a Gaussian random variable with mean ηx = 1 and standard deviation σx = 1. The voltage x in Figure 6. Assume that g (x) is a second degree polynomial for x ≥ 0.

α + 0. Random variable z = 4x + 2.14: Circuit for Problem 17. 21. Random variable x has the following PDF f x (α) = Find Fz if z = x 2 .5).5δ(α − 0. 23. Find f z if z = 1/x 2 and x is uniform on −1 to 2. −1 < α < 2 otherwise. Random variable x is uniform in the interval 0 to 12. Random variable x has the PDF f x (α) = 2(α + 1)/9. Let z = cos(x). 5K Ω 1K Ω x z FIGURE 6. 22. Find f z using the PDF technique. 0. 0<α<1 otherwise. 20. Find the PDF of z = 2x 2 using the PDF technique.TRANSFORMATIONS OF RANDOM VARIABLES + R + 79 x 2V 3V z − − FIGURE 6.15: Circuit for Problem 18. Find f z if: (a) f x (α) = 1/π. 0. . 0. 24. |α| < π/2 otherwise.

(b) f w|A if A = {v ≥ 0}. Random variable w = v2 /R represents the power dissipated in a resistor of R with v volts across the resistor. A voltage v is a Gaussian random variable with ηv = 0 and σv = 2.4 −2 −1 −0. Find the PDF of z = −2 ln(x) using the PDF technique. 27. 0 < α < π/2 otherwise. x<0 x ≥ 0. Find the PDF of random variable z. Random variable x has the PDF f x (α) = 2α/9. 0. Find (a) f w . ⎨ Fx (α) = α. Random variable z= Using the PDF technique. . 0<α<3 otherwise. ⎪ ⎩ 1. Given that x has the CDF f x (α) = 8α/π 2 . ⎧ ⎪ 0. x. Random variable x is uniform between −1 and 1. 0.80 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS z = g( x ) 1. 26. 28.5 1 2 x FIGURE 6. x 2. α<0 0≤α<1 1 ≤ α. given event A. (b) 25. find f z. Random variable z = (x − 1)2 and event A = {x : x ≥ 1/2}.16: Transformation for Problem 19.

(b) f z|B (γ |B) if B = {z : z < 1/2}. −1 < α < 1 otherwise. and z = 8x 3 . Let f x (α) = 0. f x (α) = 3(1 − α 2 ).TRANSFORMATIONS OF RANDOM VARIABLES −x 81 29. find f z if z = |x| and x is a standard Gaussian random variable. 0. and z = x 2 . Suppose f x (α) = 2α. Find f z if z = 1/x and f x (α) = π(α 2 1 . Random variable x has an exponential distribution with mean one. find the PDF of z = x 2 . 30. Determine: (a) f z. (d) E(z2 ). 32. Determine f z using the PDF technique.75(1 − α 2 ). Suppose RV x has PDF f x (α) = 0. and z = −2 ln(x). Find a transformation g such that z = g (x) has PDF f z(γ ) = c γ 2 (u(γ ) − u(γ − 1)). ⎪ ⎩ 0. 0<α<1 1<α<2 otherwise. If z = e . 35. 33. Using the PDF technique. 34. + 1) 31. 36. 0<α<1 otherwise. ⎧ ⎪ ⎨ 0 < α < 0.5 < α < 1 otherwise.5α(u(α) − u(α − 2)). (b) Fz. Determine f z using the PDF technique. ⎪ ⎩ 0. (c) E(z). .5 0. Given that random variable x has the PDF ⎧ ⎪ α. Using the PDF technique. Given 9α 2 . use the PDF technique to determine: (a) f z|A (γ |A) if A = {x : x > 2}. ⎨ f x (α) = 2 − α. 0.

5 − 0.17. ⎪ ⎩ 0.82 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS 37. 39. 1/4. Find the PDF f z. ⎨ f x (α) = 0. Random variable x has PDF f x (α) = α2 (u(α + 1) − u(α − 2)). ⎨ f z(γ ) = 0. −2 < α < 1 1 < α < 2. 0 ≤ α < 2π otherwise. Random variable x has the PDF ⎧ ⎪ 0. Find f z if z = sin(x) and f x (α) = 1/(2π). 41. Random variable x has PDF 1 1 f x (α) = δ(α + 1) + δ(α) + (u(α) − u(α − 2)). Let random variable x have the PDF f x (α) = 1/12.17: Transformation for Problem 40.25γ . P (x = −2) = P (x = 2) = 0. ⎪ ⎩ 0.5.25α. 0.25.25γ . in addition. 40. (b) Determine f z if z = (2x + 2)u(x). with g shown in Figure 6.5 − 0. 3 z = g(x) 2 1 x −1 0 1 2 FIGURE 6. 38. (a) Find the transformation z = g (x) so that ⎧ ⎪ 1 − 0. If z = 1/x. 0<γ <1 1<γ <2 otherwise. 4 4 Random variable z = g (x). −1 < α < 0 0<α<2 otherwise. . find f z.

0. With z = x + y. (b) f z|B (γ |B) where B = {z : z < 1/2}. 46. With g denoting the equivalent conductance of a parallel connection of R1 and R2 . find the PDF f g using convolution.25α. 44. 0<α<1 otherwise.18: Transformation for Problem 41. Resistors R1 and R2 have values r 1 and r 2 which are independent RVs uniformly distributed between 1 and 2 . just write the integral(s) necessary to find Fz. With r denoting the equivalent resistance of a series connection of R1 and R2 . Random variable z = g (x).y (α.TRANSFORMATIONS OF RANDOM VARIABLES z = g( x ) 2 1 x 83 −1 0 1 2 FIGURE 6. 45. 0. 43. find Fz when x and y have the joint PDF f x. 0<β<α otherwise. find the PDF fr using convolution. The PDF for random variable x is f x (α) = e −α u(α). β) = 0. 0<β<α<1 otherwise. 42.18. With z = e −x . If z = x/y. The joint PDF of x and y is f x. with g shown in Figure 6. Suppose the voltage v across a resistor is a random variable with PDF f v (α) = 6α(1 − α). write an expression(s) for Fz(γ ) (do not solve. determine: (a) f z|A (γ |A) where A = {x : x > 2}.y (α. Use the PDF technique to find: (a) f z. . β) = e −α . 0. (b) f z|A with A = {x > 0}. Resistors R1 and R2 have values r 1 and r 2 which are independent RVs uniformly distributed between 1 and 2 . 47.

Find f z. 0. 0 < β < 2 otherwise. Find: (a) f z. The joint PDF for random variables x and y is f x. Let A = {(x.w . Let z = 2x + y and w = x + 2y. 0.y (α. β) = Let z = x/y and w = y. The joint PDF for random variables x and y is f x. 0 < α. 0. 0. 50. 0 < α 2 + β 2 < 1. 0 < β otherwise. β) = α + β. The joint PDF for random variables x and y is f x. 0 < β < 1 otherwise. Find f z. 0 < α. find f z. 0 < α < 1. 0. 49.y (α. 0 < α < 1.y (α.y (α.w . β) = 4αβ. (b) f z. 0<β<α<1 otherwise. The joint PDF for random variables x and y is f x. 53. Find: (a) f z. (b) f z|A . 51. The joint PDF for random variables x and y is f x. The joint PDF for random variables x and y is f x. y) : x > y}. 1/α. z = x and w = x 2 + y 2 . p = v2 /r . 0. 52. 48. 94 < β < 106 otherwise. .w . Let z = x 2 and w = xy. β) = 8αβ. 0.5βe −α .y (α. suppose that v and r are independent random variables. Moreover. β) = With z = y/x. β) = 3(α 2 + β 2 ). 0. 0<β<α<1 otherwise. Find the joint PDF for random variables z = x + y and w = x − y.w|A .84 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS and that resistance r is a random variable with PDF fr (β) = 1/12. 0 < β < 1 otherwise. Find the PDF for power.y (α.

β) = α sin(β).y (α. . 0. Find: (a) f z. The joint PDF for random variables x and y is f x.y (α.w . 0 < β otherwise. Let z = x + y and w = x/(x + y).TRANSFORMATIONS OF RANDOM VARIABLES 85 54. 0. 0 < α < 1. 0 < β < π otherwise.y (α. 0 < α < 1.w . 0 < α. 0. (b) f z. 57. β) = e −α−β . 0. The joint PDF for random variables x and y is f x. 56.y (α. 12αβ(1 − α). |α| < 1. 55. β) = 0. The joint PDF for random variables x and y is f x. Find f z. 0 < β < 1 otherwise.w using the joint CDF technique. Find f z. Find f z. Let z = xy and w = y/x. Let z = x 2 and w = cos(y). The joint PDF for random variables x and y is f x. |β| < 1 otherwise. β) = Let z = x 2 y.25(α + β).

.

977408 0.336960 0.2 0.999853 0.593127 0.000000 0.987205 1.05 0.1 0.994748 0.000000 (Continued ) +2 0.998971 1.000000 0.984375 0.031250 +0 0.918540 0.000000 0.5 p 0.598737 0.764831 0.999991 0.35 0.000000 +4 0.868780 0.05 0.15 k 0 0 0 0 0 0 0 0 0 0 k 0 5 0 5 0 5 +0 0.993280 0.187500 n = 10 +1 0.256218 0.835210 0.050328 0.929809 1.590490 0.998365 1.168070 0.945978 0.999990 0.990126 1.896484 0.000000 0.950030 1.998617 +1 0.196874 0.4 0.999997 0.912960 0.997570 0.999924 0.999970 0.077760 0.000000 0.989760 0.116029 0.942080 0.973388 0.500000 +3 0.991440 0.632813 0.968750 .237305 0.988496 1.15 0.87 APPENDIX A Distribution Tables TABLE A.45 0.999936 1.000000 0.000000 0.682560 0.443705 0.528220 0.999865 +2 0.736099 0.544300 0.1: Bernoulli CDF for n = 5 and n = 10 n=5 p 0.737280 0.3 0.348678 0.773781 0.327680 0.913862 1.998842 0.997773 0.999680 0.428415 0.000000 0.969220 0.820197 0.812500 +4 1.981547 0.999991 +3 0.1 0.999540 0.999023 0.836920 0.25 0.

999972 0.006047 0.375810 0.996494 0.999895 0.244025 0.525593 0.382783 0.987705 0.549043 0.999460 0.1 0 5 10 +0 0.000000 1.945313 +3 0.2 0.376953 0.513827 0.828125 +2 0.167290 0.999970 0.997750 1.999385 1.000000 0.995179 0.815939 0.35 0.000000 1.000000 0.013463 0.000000 +1 0.05 k 0 5 10 0.999994 0.972608 0.45 0.999966 1.171875 0.945238 0.504405 0.999999 0.989408 0.633103 0.963800 1.000000 +2 0.849732 0.995498 0.054688 0.25 0.88 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS TABLE A.987280 1.999856 0.952651 0.5 k 0 5 0 5 0 5 0 5 0 5 0 5 0 5 +0 0.266038 0.002533 0.000000 0.046357 0.999922 0.829047 0.099560 0.000000 0.000000 1.4 0.107374 0.023257 0.000977 0.1: Bernoulli CDF for n = 5 and n = 10 (Continued) n = 10 p 0.028248 0.000000 0.879126 0.056314 0.973976 0.623047 +1 0.085954 0.010742 0.000000 1.833761 0.998410 0.999584 0.649611 0.944444 0.775875 0.3 0.000000 +3 0.967206 1.999659 0.999996 0.382281 0.905066 0.993631 0.261607 0.751495 0.000000 0.000000 .898005 0.999996 1.999689 1.999023 TABLE A.989258 +4 0.999136 0.2: Bernoulli CDF for n = 15 n = 15 p 0.205891 0.738437 0.677800 0.999997 1.994533 1.000000 +4 0.463291 0.999947 1.998322 0.921873 0.149308 0.980272 0.

999969 .999988 0.150879 0.604225 0.943380 0.868857 0.653504 0.000488 0.995807 1.982422 +2 0.696381 0.351943 0.904953 0.999205 1.999991 0.886769 0.949987 0.940765 +1 0.318586 0.990652 0.027114 0.236088 0.126828 0.974534 0.648162 0.303619 0.609813 0.818240 0.999919 1.999215 1.001692 0.957806 0.167126 0.999521 0.DISTRIBUTION TABLES 89 TABLE A.010652 0.000031 0.035268 0.993673 0.000000 0.835766 0.851632 0.938295 0.686486 0.500000 0.25 0 5 10 0.999721 0.398023 0.014179 0.3 0 5 10 0.4 0 5 10 0.721621 0.966167 0.999908 0.2 0 5 10 0.999999 0.45 0 5 10 0.004748 0.984757 1.999994 0.000000 0.403216 0.754842 0.998893 0.000470 0.000000 0.999887 1.296868 0.564282 0.999999 0.017578 0.999328 0.080181 0.000127 0.999879 0.983190 0.000000 0.35 0 5 10 0.2: Bernoulli CDF for n = 15 (Continued) n = 15 p 0.981941 0.995760 1.999885 0.013363 0.996347 1.260760 0.461287 0.090502 0.000000 0.217278 0.001562 0.999390 1.042421 0.059235 0.172696 0.005172 0.999996 0.999943 0.5 0 5 10 +0 0.938949 0.999999 0.998072 0.999992 1.996307 +3 0.822655 0.003693 0.515491 0.999512 +4 0.786897 0.120399 0.987557 1.000000 0.997169 0.000000 0.849121 0.996394 1.000000 0.087354 0.000000 0.000000 0.999975 0.000000 0.982700 0.061734 0.000000 0.999999 0.035184 0.452160 0.923071 0.999988 0.15 k 0 5 10 0.

2 0 5 10 15 0.999995 1.000000 0.980421 0.867047 0.091260 0.762378 0.956825 0.000000 0.05 k 0 5 10 15 0.225156 0.000000 0.998721 1.107087 0.000000 0.121577 0.999999 1.804208 0.25 0 5 10 15 0.967857 0.997614 1.3 0 5 10 15 0.000000 0.000000 1.000000 0.35 0 5 10 15 +0 0.038760 0.245396 0.999994 +2 0.000000 0.000000 1.998479 1.011529 0.999999 1.997426 1.608010 0.3: Bernoulli CDF for n = 20 n = 20 p 0.984098 1.990018 0.000000 1.000000 0.999752 1.175558 0.003171 0.000000 1.999994 0.617173 0.986136 0.000000 1.000000 +4 0.000000 1.913307 0.000000 1.994079 0.997405 1.829847 0.999996 1.994862 0.000000 0.982855 0.237508 0.996058 1.000000 0.000000 0.999437 1.601027 0.000181 0.898188 0.391747 0.000000 0.206085 0.000000 .000798 0.924516 0.999671 1.999898 1.000000 0.000000 0.024313 0.999993 1.772272 0.002133 0.15 0 5 10 15 0.007637 0.000000 1.886669 0.000000 1.999957 1.735840 0.999998 1.90 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS TABLE A.999689 1.999816 1.952038 0.416371 0.785782 0.012118 0.000000 0.000000 0.000000 0.998671 1.999950 +1 0.000000 0.959075 0.999065 1.999584 1.999966 1.044376 0.000000 0.069175 0.000000 1.000000 0.404896 0.999940 1.999970 1.999985 1.000000 1.993985 0.000000 0.999739 1.411449 0.000000 1.000000 0.035483 0.629648 0.416625 0.000000 1.676927 0.999997 1.988747 0.000000 0.000000 0.1 0 5 10 15 0.000000 0.000000 0.878219 0.414842 0.118197 0.000000 0.946833 0.999999 +3 0.647725 0.358486 0.978065 0.999961 1.000000 0.000000 1.932692 0.999999 0.

000000 0.998852 0.588099 0.1 0.125599 0.131588 0.818731 0.999828 1.5 λ 0.595599 0. . .000000 0.250011 0.055334 0.740818 0.998248 1.999799 +3 0.606531 0.057659 0. 0.000927 0.6 0.000111 0.998469 0.999734 0.872479 0.000000 0.755337 0.999997 0.965858 0.748278 0.251722 0.942341 0.000000 0.3 0.993534 1.985612 1.7 k 0 0 0 0 0 5 0 5 0 5 +0 0.670320 0. 2.050952 0.000000 0.999980 +4 0.000000 0.000524 0.978971 0.415893 0.978586 0.963064 0.5.999910 +1 0.548812 0.000001 0.591361 0.000006 0.411901 0.000201 0. .999214 1.252006 0.999953 0.999999 TABLE A.5 0 5 10 15 +0 0.998388 1.976885 1.750711 0.018863 0.999998 0. .999999 0.4 k 0 5 10 15 0.000000 +4 1.909796 0.996400 0.001288 0.999997 0. .2 0.015961 0.999605 1.999943 0.3: Bernoulli CDF for n = 20 (Continued) n = 20 p 0.DISTRIBUTION TABLES 91 TABLE A.998712 +2 0.000000 0.979305 0.999995 0.999683 0.000000 0.414306 0.4: Poisson CDF for λ = 0.869235 0.003611 0.844195 0.999939 0.000000 0.999964 0.000020 0.878099 0.000037 0.868412 0.992074 0.5 0.496585 0.943474 0.941966 0. 1.2.999991 +2 0.000000 0. 4. .999996 0.994091 +1 0.999723 0.45 0 5 10 15 0. 1.999986 0.904837 0.982477 0.004933 0.999845 0.999224 0.938448 0.995321 0. . .020695 0.129934 0.4 0.994247 1.996642 1.000000 (Continued ) .999984 0.993566 1.005909 0.1.999999 +3 0.999961 0.

757576 0. .957979 0.990920 1.000000 0.5 k 0 5 0 5 0 5 0 5 0 5 0 5 10 +0 0.135335 0.5 0 5 10 15 .999195 0.999748 1.030197 0.091578 0.831051 0.406570 0.367879 0.998903 0. 1.000000 0.999926 1.889326 0. .808792 0.999996 0.999074 0.995753 0.996197 0.808847 0.999979 0.916082 0.000000 0.996685 0.999924 0.999972 0.543813 0.011109 0.999998 0.995466 0.000000 0.676676 0.998897 0.999726 0.857614 0.982907 0.999957 0.999917 0.999708 0.999996 0.999954 0.999816 0.2.937143 0.999995 +2 0.785130 0.999723 1.997656 1.948866 0.983436 0. .999929 0.891178 0.997160 0.988095 0.999924 0.999998 0.223130 0.952577 0.991868 0.999980 +1 0.998981 0.199148 0.018316 0.000000 3 0 5 10 3.966491 0.772482 0.725445 0. .993331 0.999999 +3 0.999406 0.981012 0.999999 0. 2.978637 0.082085 0.532104 0.647232 0.815263 0.320847 0.999085 0.999984 0.92 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS TABLE A.049787 0.999987 0.999763 0. .999997 0.999995 0.061099 0.5. 1.1.735759 0.999656 0.959743 0.406006 0. .8 0.9 1 1. 0.934712 0.990126 0.999990 0.999938 0.5 2 2.947347 0.342296 0.433470 0.702930 0. .000000 0.999981 0.173578 0.5 (Continued) λ 0.999999 0.999711 0.995544 0.628837 0.449329 0.4: Poisson CDF for λ = 0.000000 +4 0.238103 0.998589 1.997596 0.287297 0.000000 0.423190 0.986541 1.998860 1.981424 0.934358 0.996340 1. 4.536633 0.557825 0.999980 0.135888 0.999830 0.919699 0. .000000 0.5 0 5 10 4 0 5 10 4.913414 0.973261 0.985813 0.857123 0.

974749 0.999849 0.357518 0.124652 0.440493 0.973000 0.172992 0. .933161 0.847238 0.999995 0.877384 0.011276 0.081765 0.999491 0.999999 0.061969 0.5 0 5 10 15 7 0 5 10 15 7.598714 0.916076 0.999949 0.5: Poisson CDF for λ = 5.989012 0.528919 0.999825 0.999961 +1 0.043036 0.265026 0.111850 0.686036 0.000553 0.526524 0.998600 0.776408 0.979908 0.968172 0.999889 1.285057 0.791573 0.999995 0.762183 0.006738 0.809485 0.999996 +3 0.994283 0.5.989740 0.524639 0.017351 0.729091 0.5 λ 5 k 0 5 10 15 +0 0.999697 0.957379 0.040428 0.606303 0.999984 0.661967 0.378155 0.300708 0.995549 0.999401 0.999638 0.999210 0. .862238 0.000000 (Continued ) 5.987189 0.999302 0.743980 0.445680 0.966120 0.998041 0.920759 0.002479 0.998840 0.957334 0.931906 0.026564 0.994547 0.999570 0.999774 1.5 0 5 10 15 20 .672758 0.999931 0.999870 0.223672 0.999800 0. .999937 0.991173 0.088376 0.998315 0.997044 0.029636 0.132062 0.004087 0.369041 0.DISTRIBUTION TABLES 93 TABLE A.241436 0.000000 0.992900 0.999042 0.999943 0.615961 0. .449711 0.999980 0.059145 0.830496 0.995392 0.999982 0.151204 0.999995 0.5 0 5 10 15 6 0 5 10 15 6.978435 0.983973 0.999999 0.007295 0.999981 0.946223 0.999956 0.999987 +2 0.894357 0.997593 0.201699 0.866628 0. 8.020257 0.999999 +4 0.946650 0.997981 0.000912 0.901479 0.986305 0.996372 0. 5.001503 0.004701 0.

999141 0.999921 +2 0.014860 0.791556 +3 0. 10.455653 0.000123 0.999906 0. 9.206781 0.268663 0.999350 0.999465 0.999991 0.067086 0.995716 0.521826 0.000499 0.991072 0.999975 0.94 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS TABLE A. .993387 0.999561 0.042380 0. .988894 0.001234 0.898136 0.999825 0.966527 0.000786 0.999789 +1 0. . 13 λ 9 k 0 5 10 15 20 +0 0.999855 0.5: Poisson CDF for λ = 5.313374 0.029253 0.5 0 5 10 15 20 TABLE A.583040 +1 0.909083 0.010336 0.888076 0.705988 0.054964 0.385597 0.115691 0.001933 0.5 0 5 10 15 20 10 0 5 10 .149597 0.256178 0.999979 0. 8.996998 0.002769 0.716624 0.074364 0.999997 8.088528 0.997574 0.6: Poisson CDF for λ = 9.999967 0.998703 0.000045 0.916542 9.803008 0.998038 0.848662 0. .030109 0. 12.457930 0.994680 0.940008 0.998944 0.021226 0.751990 0.5.5.999999 0.000075 0.003019 0.004164 0.645328 0.523105 0.000203 0.652974 0.323897 0.220221 0.040263 0.587408 0.332820 0.999996 0.986167 0.996282 0.130141 0.452961 0.763362 0.977964 0.006232 0.958534 0.998406 0.836430 0.696776 +2 0.948589 0.191236 0.875773 0. 11.999990 +4 0.013754 0.592547 0.982273 0.5 (Continued) λ 8 k 0 5 10 15 20 +0 0.999944 0.009283 0.926149 0.972575 0.864464 +4 0.999639 0.164949 0.965819 0.815886 0.099632 0.000335 0.999989 0.982743 0.999747 0.936203 0.991769 0.999971 +3 0.391824 0. 5.999933 0.

DISTRIBUTION TABLES

95

TABLE A.6: Poisson CDF for λ = 9, 9.5, 10, 11, 12, 13 (Continued)

λ

k 15 20

+0 0.951260 0.998412 0.000017 0.037520 0.459889 0.907396 0.995329 0.999918 0.000006 0.020341 0.347229 0.844416 0.988402 0.999692 0.000002 0.010734 0.251682 0.763607 0.974988 0.999034

+1 0.972958 0.999300 0.000200 0.078614 0.579267 0.944076 0.997748 0.999967 0.000080 0.045822 0.461597 0.898709 0.993935 0.999867 0.000032 0.025887 0.353165 0.835493 0.985919 0.999548

+2 0.985722 0.999704 0.001211 0.143192 0.688697 0.967809 0.998958 0.999987 0.000522 0.089505 0.575965 0.937034 0.996953 0.999944 0.000223 0.054028 0.463105 0.890465 0.992378 0.999796

+3 0.992813 0.999880 0.004916 0.231985 0.781291 0.982313 0.999536 0.999995 0.002292 0.155028 0.681536 0.962584 0.998527 0.999977 0.001050 0.099758 0.573045 0.930167 0.996028 0.999911

+4 0.996546 0.999953 0.015105 0.340511 0.854044 0.990711 0.999801 0.999998 0.007600 0.242392 0.772025 0.978720 0.999314 0.999991 0.003740 0.165812 0.675132 0.957331 0.998006 0.999962

11

0 5 10 15 20 25

12

0 5 10 15 20 25

13

0 5 10 15 20 25

TABLE A.7: Poisson CDF for λ = 14, 15, 16, 17, 18

λ 14

k 0 5 10

+0 0.000001 0.005532 0.175681

+1 0.000012 0.014228 0.260040

+2 0.000094 0.031620 0.358458

+3 0.000474 0.062055 0.464448

+4 0.001805 0.109399 0.570437 (Continued )

96

ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS

TABLE A.7: Poisson CDF for λ = 14, 15, 16, 17, 18 (Continued)

λ

k 15 20 25 30

+0 0.669360 0.952092 0.997392 0.999940 0.000000 0.002792 0.118464 0.568090 0.917029 0.993815 0.999803 0.000000 0.001384 0.077396 0.466745 0.868168 0.986881 0.999433 0.000000 0.000675 0.049124 0.371454 0.805481 0.974755 0.998552

+1 0.755918 0.971156 0.998691 0.999974 0.000005 0.007632 0.184752 0.664123 0.946894 0.996688 0.999910 0.000002 0.004006 0.126993 0.565962 0.910773 0.992541 0.999724 0.000001 0.002062 0.084669 0.467738 0.861466 0.984826 0.999253

+2 0.827201 0.983288 0.999365 0.999989 0.000039 0.018002 0.267611 0.748859 0.967256 0.998284 0.999960 0.000016 0.010000 0.193122 0.659344 0.941759 0.995895 0.999869 0.000007 0.005433 0.135024 0.564023 0.904728 0.991166 0.999626

+3 0.882643 0.990672 0.999702 0.999996 0.000211 0.037446 0.363218 0.819472 0.980535 0.999139 0.999983 0.000093 0.021987 0.274511 0.742349 0.963314 0.997811 0.999940 0.000041 0.012596 0.200873 0.654958 0.936704 0.995016 0.999817

+4 0.923495 0.994980 0.999864 0.999998 0.000857 0.069854 0.465654 0.875219 0.988835 0.999582 0.999993 0.000400 0.043298 0.367527 0.812249 0.977685 0.998869 0.999973 0.000185 0.026125 0.280833 0.736322 0.959354 0.997273 0.999913

15

0 5 10 15 20 25 30

16

0 5 10 15 20 25 30

17

0 5 10 15 20 25 30

DISTRIBUTION TABLES

97

TABLE A.7: Poisson CDF for λ = 14, 15, 16, 17, 18 (Continued)

λ 18

k 0 5 10 15 20 25 30

+0 0.000000 0.000324 0.030366 0.286653 0.730720 0.955392 0.996669

+1 0.000000 0.001043 0.054887 0.375050 0.799124 0.971766 0.998187

+2 0.000003 0.002893 0.091669 0.468648 0.855090 0.982682 0.999040

+3 0.000018 0.007056 0.142598 0.562245 0.898890 0.989700 0.999506

+4 0.000084 0.015381 0.208077 0.650916 0.931740 0.994056 0.999752

TABLE A.8: Marcum’s Q function for α = 0, 0.01, . . . , 1.99

α 0.00 0.05 0.10 0.15 0.20 0.25 0.30 0.35 0.40 0.45 0.50 0.55 0.60 0.65

+0.00 0.500000 0.480061 0.460172 0.440382 0.420740 0.401294 0.382089 0.363169 0.344578 0.326355 0.308538 0.291160 0.274253 0.257846

+0.01 0.496011 0.476078 0.456205 0.436441 0.416834 0.397432 0.378281 0.359424 0.340903 0.322758 0.305026 0.287740 0.270931 0.254627

+0.02 0.492022 0.472097 0.452242 0.432505 0.412936 0.393580 0.374484 0.355691 0.337243 0.319178 0.301532 0.284339 0.267629 0.251429

+0.03 0.488033 0.468119 0.448283 0.428576 0.409046 0.389739 0.370700 0.351973 0.333598 0.315614 0.298056 0.280957 0.264347 0.248252

+0.04 0.484046 0.464144 0.444330 0.424655 0.405165 0.385908 0.366928 0.348268 0.329969 0.312067 0.294598 0.277595 0.261086 0.245097 (Continued )

220650 0.25 1.50 1.238852 0.045514 0.032157 0.232695 0. .217695 0.052616 0.069437 0.072145 0. .076359 0.184060 0.203269 0.085344 0.70 0.068112 0.028716 0.060571 0.023852 +0.214764 0.053699 0.073529 0.181411 0.070781 0.026190 0.037538 0.100273 0.146859 0.163543 0.041815 0.025588 +0.077804 0.050503 0.171056 0.173609 0.45 1.90 1.95 1.194894 0.178786 0.096801 0.168528 0.065522 0.046479 0.031443 0.192150 0.058208 0.095098 0.140071 0.093418 0.01.117023 0.60 1.99 (Continued) α 0.033625 0.079270 0.95 +0.135666 0.057053 0.109349 0.15 1.151505 0.105650 0.091759 0.047460 0.113140 0.039204 0.20 1.024419 +0.75 1.023295 .040059 0.166023 0.186733 0.80 1.03 0.036727 0.35 1.226627 0.131357 0.01 0.200454 0.127143 0.026803 0. .10 1.206108 0.8: Marcum’s Q function for α = 0.00 1.158655 0.107488 0.034379 0.051551 0.04 0. .102042 0.197662 0.040929 0. 1.030054 0.65 1.80 0.129238 0.048457 0.028067 0.156248 0.049471 0.235762 0.044565 0.125072 0.208970 0.029379 0.133500 0.061780 0.176186 0.035148 0.063008 0.090123 0.043633 0.064256 0.00 0.223627 0.70 1.149170 0.30 1.080757 0.144572 0.211855 0.02 0.85 1.035930 0.027429 0.55 1.103835 0.05 1.083793 0.153864 0.082264 0.032884 0.137857 0.241964 0.75 0.161087 0. 0.098525 0.142310 0.90 0.038364 0.074934 0.086915 0.024998 +0.40 1.030742 0.98 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS TABLE A.054799 0.229650 0.119000 0.85 0.042716 0.111233 0.059380 0.066807 0.055917 0.123024 0.115070 0.121001 0.189430 0.088508 0.

000419 (Continued ) .007549 0.003167 0.000816 0.000904 0.000968 0.009137 0.9: Marcum’s Q function for α = 3.003907 0.002555 0.017864 0.003793 0.012545 0.000519 0. 3.010724 0.002256 0.022216 0.20 3.015003 0.014629 0.015386 0.005085 0.001183 0.000762 0.016177 0.000619 0.021692 0.018763 0.55 2.20 2.001264 0.004397 0.001395 0.006210 0.001988 0.000789 0.000557 0.006037 0.02 0.005386 0.00 2.008656 0.25 2.019699 0.003467 0.008198 0.50 2.001107 0. .00 3.011604 0.000467 +0.001695 0.007344 0.35 2.003072 0. .010170 0.000874 0.002635 0.65 2.005543 0.000687 0.006947 0.003264 0.017429 0.10 2.011304 0.018309 0.004269 0.002186 0.017003 0.001035 0.012874 0.001807 0.001144 0.85 2.006569 0. .40 2.007760 0.75 2.001589 0.000483 +0.010444 0.001223 0.002477 0. 3.012224 0.002401 0.009387 0.011911 0.002118 0.013553 0.003681 0.016586 0.00 0.008894 0.015778 0.020182 0.05 3.005234 0.011011 0.000736 0.70 2.DISTRIBUTION TABLES 99 TABLE A.002980 0.15 2.004940 0.001641 0.001001 0.002327 0.01.000538 0.001750 0.60 2.006387 0.002890 0.004661 0.001350 0.003573 0.009903 0.021178 0.001926 0.022750 0.01 0.005703 0.013903 0.95 3.008424 0.000598 0.004145 0.000577 0.002803 0.006756 0.04 0.001866 0.004799 0.000450 +0.000641 0.009642 0.99 α 2.10 3.005868 0.30 2.001306 0.001441 0.000711 0.80 2.25 3.001489 0.001538 0.000845 0.003364 0.000936 0.002052 0.019226 0.013209 0.007976 0.000664 0.30 +0.03 0.004025 0.007143 0.90 2.05 2. .001070 0.014262 0.020675 0.004527 0.45 2.002718 0.15 3.000434 +0.000501 0.

000350 0.000057 0.000291 0.85 3.000070 0.000088 0.000193 0.000208 0.000096 0.000224 0.60 3.000092 0.000037 +0.000159 0.000142 0.000172 0.000313 0.000185 0.03 0. 3.000048 0.000072 0.65 3.000078 0.000039 +0.000046 0.000131 0. 3. . .000067 0.000179 0.00 0.01 0.000126 0.45 3.000216 0. .75 3.50 3.01.35 3.000100 0.000280 0.000050 0.000034 +0.000062 0.000376 0.000147 0.000041 0.000270 0.000036 +0.000260 0.000242 0.000200 0.99 (Continued) α 3.000153 0.000075 0. .000362 0.000044 0.000233 0.000059 0.000112 0.000337 0.000104 0.100 ADVANCED PROBABILITY THEORY FOR BIOMEDICAL ENGINEERS TABLE A.70 3.000390 0.000082 0.000117 0.000054 0.000251 0.000064 0.000052 0.80 3.02 0.000302 0.55 3.000325 0.000085 0.40 3.000136 0.000121 0.000165 0.9: Marcum’s Q function for α = 3.000108 0.90 3.000404 0.000042 0.000033 .04 0.95 +0.

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