6.

7W Transformation Methods to Obtain Distributions 1

6.7W Transformation Methods to Obtain Distributions-Continued

We give one more example of the distribution function method.

EXAMPLE If X is normal, then a X + b is normal

Let X have a normal distribution with mean X and standard deviation X . Use the distri-
bution function method to show that a X + b has a normal distribution with mean a X + b
and standard deviation | a | X for any constants a 6= 0 and b.

Solution Let FX ( x ) be the distribution function of X and let FZ ( z ) be the distribution function
of a standard normal variable. Then, for a > 0, Y = a X + b has distribution function

y b
G(y) = P ( a X + b y ) = P ( X
y b
) = P
X X
a X
a X X

But,

y b
a X = y a X b
 
y a X b
so G( y ) = FZ for all y
X a X | a | X

confirming that Y has a normal distribution with the specified mean and standard deviation.

If a < 0,

y b
y b X X a X
G(y) = P ( a X + b y ) = P ( X ) = P
a X X

But, since FZ ( z ) = 1 FZ ( z ) for all z, and

y b
a X = y a X b
 
y a X b
we have G( y ) = FZ for all y
X | a | X | a | X

which establishes the result.

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 2 6.7W Transformation Methods to Obtain Distributions

6.7.1W The Convolution Formula Approach

The convolution formula provides a direct approach to obtain the distribution of a sum of
independent random variables. This alternative approach has the advantage that it avoids
the introduction of moment generating functions. An example establishes that the sum of
independent normal variables has a normal distribution.

Sums of Independent Discrete Random Variables

Consider the sum of two independent discrete random variables X and Y whose values are
restricted to the non-negative integers. Let fX () denote the probability distribution of X
and fY () denote the probability distribution of Y . As established in the text on page 200,
their sum Z = X + Y has the probability distribution given by the discrete convolution
formula.

z
X
fZ (z) = fX+Y (z) = P ( Z = z ) = fX (x)fY (z x) for z = 0, 1, ...
x=0

EXAMPLE Sum of Binomial Random Variables is Binomial

Let X1 and X2 be independent binomial random variables where Xi has a Binomial(ni , p)
distribution for i = 1, 2. Show that

X1 + X2 has a Binomial ( n1 + n2 , p ) distribution.

Further, show that if X1 , X2 , ...Xk are independent binomial random variables where Xi has a
Binomial(ni , p) distribution for i = 1, 2, ..., k, then

X1 + X2 + Xk has a Binomial ( n1 + n2 + + nk , p ) distribution.

Solution By the discrete convolution formula, Z = X1 + X2 has probability distribution

z
X
P (X1 + X2 = z) = fZ (z) = fX1 (x)fX2 (z x)
x=0

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6.7W Transformation Methods to Obtain Distributions 3

so

z
X n1 n2
fZ (z) = px ( 1 p)n1 x pzx (1 p)n2 (zx)
x=0 x zx

z
X n1 n2
= pz (1 p)n1 +n2 z
x=0 x zx

Now, equating the coefficients of sy in the binomial expansion of both sides of

( 1 + s)n1 ( 1 + s)n2 = ( 1 + s)n1 +n+2

we conclude that
z
X n1 n2 n1 + n2
=
x=0 x zx z

The case for k binomial random variables follows by induction.

Remark: Note that the sample sizes add but the success probability remains the same.

Sums of Independent Continuous Random Variables

Consider the sum of two independent continuous random variables X and Y . Let fX (x ) denote
the probability density function of X and fY ( y) denote the probability density function of Y .
We now verify that the distribution fZ (z) of their sum Z = X + Y is given by the convolution
formula
Z
fZ (z) = fX+Y (z) = fX (x)fY (z x)dx for all z

By independence, the joint probability density function is given by fX (x)fY (y). Then, for
fixed z, the region of ( x, y ) values where x + y z is the same region where y z x for
any x. Consequently, the joint cumulative distribution function of Z = X + Y is

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 4 6.7W Transformation Methods to Obtain Distributions

RR
FZ ( Z z ) = x+yz fX (x)fY (y) dx dy

R  R zx 
= fX (x)fY (y) dy dx

Setting u = y + x, we find that

Z Z z 
FZ ( Z z ) = fX (x)fY (u x) du dx

Differentiation with respect to z gives the result.

Example Sum of Normal Random Variables is Normal

Let X1 and X2 be independent with Xi being distributed N ( i , i ) for i = 1, 2. Show that

X1 + X2 has a normal distribution with mean = 1 + 2 and variance 12 + 22

Further, show that if X1 , X2 , ..., Xk are independent normal random variables where Xi has a
N ( i , i ) distribution for i = 1, 2, ..., k, then

X1 + X2 + Xk has a normal distribution with

mean : 1 + 2 + + k
variance : 12 + 22 + + k2

Solution By the convolution formula, Z = X1 + X2 has probability density function

" 2 # " 2 #
 
1 1 x 1 1 z x 2
Z
fX+Y (z) = exp exp dx
21 2 2 1 2 2

Ignoring the factor 1/2, the exponent can be written as

 2  2 !2  2
x 1 z x 2 z 1 2 x
+ = p +
1 2 12 + 22

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6.7W Transformation Methods to Obtain Distributions 5

where
1 22 + (z 2 )12 12 22
= 2 =
12 + 22 12 + 22

To establish this identity, consider the coefficients of (z 2 )2 , (z 2 )x, x2 , x and terms not
involving any of the these. The result follows since
" 2 #

1 1 x
Z
exp dx = 1
2 2

The result for k independent random variables follows by induction.

Remark We can also conclude that, if X1 and X2 are independent and Xi has a normal
distribution with mean i and variance i , for i = 1, 2 then a1 X1 + a2 X2 + b has a normal
distribution with mean a1 1 + a2 2 + b and variance a21 12 + a22 22 . This follows because,
according to the first example in this web section, both a1 X1 + b and a2 X2 have normal
distributions. These two random variables are independent so, by the last example, their sum
a1 X1 + a2 X2 + b has a normal distribution with the specified mean and variance.

6.7.2W Density Function of the Ratio Independent Random

Variables.

Let X have probability density function fX ( x ), Y have probability density function fY ( y )

and let the two be independent. We will now verify the result, stated in Theorem 6.9, that
their ratio Z = Y / X has probability density function fZ () given by

Z
fZ (z) = fY / X (z) = | x | fX (x)fY (x z ) d x for all z

By independence, the joint probability density function is given by fX (x)fY (y). For fixed z,

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 6 6.7W Transformation Methods to Obtain Distributions

the region of ( x, y ) values where y / x z is the union of the region y z x for any x > 0 and
the region y x z for any x < 0. Consequently, the joint cumulative distribution function of
Z = Y / X is

RR
FZ ( Z z ) = y/xz fX (x)fY (y) dx dy

R Rzx  R0 R

= 0 fX (x)fY (y) dy dx + z x fX (x)fY (y) dy dx

Differentiation with respect to z gives the result.

The F distribution is of fundamental importance in applied statistics. We now obtain its

density function using the formula for the ratio.

Example The F distribution with ( 1 , 2 ) degrees of freedom

Let X and Y be independent and let Y have a chi square distribution with 1 degrees of
freedom and let X have a chi square distribution with 2 degrees of freedom. Show that the
probability density function of the F 1 , 2 random variable

Y / 1
X / 2

is given by

/ 2 2 / 2
( ( 1 + 2 ) / 2 ) 1 1 2 z 1 / 2 1
for z > 0
( 1 / 2 ) ( 2 / 2 ) ( 2 + 1 z ) ( 1 + 2 ) / 2

Solution By the cumulative distribution method,

Y Y
P( y ) = P ( Y 1 y ) = FY ( 1 y ) so has the density function 1 fY (1 y ) .
1 1

That is, Y / 1 and X /2 have probability density functions

1 ( 1 y )1 / 2 1 e1 y / 2
f1 ( y ) = for y > 0
( / 2 ) 21 / 2
1

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 6.7W Transformation Methods to Obtain Distributions 7

2 ( 2 x )2 / 2 1 e2 x / 2
f2 ( x ) = for x > 0
( / 2 ) 22 / 2
2

The formula for the density of the ratio becomes

Z
fZ ( z ) = x f2 ( x ) f1 ( z x ) d x =
0

2 ( 2 x )2 / 2 1 e2 x / 2 1 ( 1 z x )1 / 2 1 e1 z x / 2
! !
Z
x dx
0 ( / 2 ) 22 / 2
2 ( / 2 ) 21 / 2
1

( 1 / 2 )1 / 2 ( 2 / 2 )2 / 2 1 / 2 1 ( ( 1 + 2 / 2 ) 1 x ( 2 + 1 z ) / 2
Z
= z x e dx
( 1 / 2 ) ( 2 / 2 ) 0

Under the change of variable v = x ( 2 + 1 z ) / 2, the integral

Z
x( ( 1 + 2 ) / 2 ) 1 ex ( 2 + 1 z ) / 2 d x
0

 (1 + 2 ) / 2
2
= ( ( 1 + 2 ) / 2 )
2 + 1 z

Substituting this expression in the right hand side above yields

/ 2 2 / 2
( ( 1 + 2 ) / 2 ) 1 1 2 z 1 / 2 1
fZ ( z ) =
( 1 / 2 ) ( 2 / 2 ) ( 2 + 1 z ) ( 1 + 2 ) / 2

for all z > 0 as claimed.



Exercises

6W.1 Let X be normal with mean 1 and standard deviation 2. Let Y be independent of X
and be normal with mean 1 and standard deviation 4. Using the convolution formula,
follow the general steps in the example to obtain the distribution of X + Y . Identify this
distribution.

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8 6.7W Transformation Methods to Obtain Distributions

6W.2 Let X and Y be independent random variables each having probability density function

1, for 0 < x < 1
f (x) =
0, otherwise

(a) Find the cumulative distribution function and probability density function of X.

(b) Use the convolution formula to find the probability density function of X + Y

6W.3 As in Exercise 6W.2, let X and Y be independent random variables each uniformly
distributed on ( 0, 1 ). Obtain the distribution of Y / X.

6W.4 Let F have the F distribution with ( 1 , 2 ) degrees of freedom. Use Theorem 6.6 to
show that
1
Y = h(F ) =
1 + 12 F

has the beta distribution with parameters (2 / 2, 1 / 2).

6W.5 let X and Y be independent and both have the same gamma distribution. Start with
the distribution for Y / X obtained in Exercise 6.9 and show that

X 1
=
X +Y 1 + Y /X

has a beta distribution with parameters ( , ).

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