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Functions of A Random Variable
Functions of A Random Variable
1/X Y = g( X ) |X |
X
log X
eX | X | U ( x)
2
Example 5.1: Y = aX + b (5-4)
Solution: Suppose a > 0 .
y b y b
FY ( y) = P(Y ( ) y ) = P(aX ( ) + b y ) = P X ( ) = FX . (5-5)
a a
and
1 y b
fY ( y) = f X . (5-6)
a a
FY ( y ) = P (Y ( ) y ) = P (X 2 ( ) y ). (5-11)
X
x1 x2
Fig. 5.1
4
Hence
FY ( y ) = P ( x1 < X ( ) x 2 ) = F X ( x 2 ) F X ( x1 )
= FX ( y ) FX ( y ), y > 0. (5-13)
6
In this case
P (Y = 0) = P ( c < X ( ) c ) = FX ( c ) FX ( c ). (5-18)
For y > 0 , we have x > c , and Y ( ) = X ( ) c so that
FY ( y ) = P (Y ( ) y ) = P ( X ( ) c y )
= P ( X ( ) y + c ) = FX ( y + c ), y > 0 . (5-19)
Similarly y < 0 , if x < c , and Y ( ) = X ( ) + c so that
FY ( y ) = P (Y ( ) y ) = P ( X ( ) + c y )
= P ( X ( ) y c ) = FX ( y c ), y < 0. (5-20)
Thus
f X ( y + c ), y > 0,
f Y ( y ) = [ FX ( c ) FX ( c )] ( y ), (5-21)
f ( y c ), y < 0.
X
g( X ) FX (x ) FY ( y )
c
c X
x y
(a) (b) (c)
Fig. 5.2 7
Example 5.4: Half-wave rectifier
x, x > 0,
Y = g ( X ); g ( x) = (5-22)
0, x 0. Y
In this case
X
P (Y = 0) = P ( X ( ) 0) = FX ( 0). (5-23)
Fig. 5.3
and for y > 0 , since Y = X ,
FY ( y ) = P (Y ( ) y ) = P( X ( ) y ) = FX ( y ). (5-24)
Thus
f X ( y ), y > 0,
f Y ( y ) = FX (0) ( y ) y = 0, = f X ( y )U ( y ) + FX (0) ( y ). (5-25)
y < 0,
0,
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Note: As a general approach, given Y = g ( X ), first sketch
the graph y = g ( x ), and determine the range space of y.
Suppose a < y < b is the range space of y = g ( x ).
Then clearly for y < a, FY ( y) = 0, and for y > b, FY ( y) = 1, so
that FY ( y) can be nonzero only in a < y < b. Next, determine
whether there are discontinuities in the range space of y. If
so evaluate P(Y ( ) = yi ) at these discontinuities. In the
continuous region of y, use the basic approach
FY ( y ) = P (g ( X ( )) y )
x
x 1 x1 + x1 x 3 x3 + x3
x2 + x2 x 2
Fig. 5.4
(Example 5.2) here for each y > 0, there are two solutions
given by x1 = y and x2 = + y . ( fY ( y ) = 0 for y < 0 ).
Moreover Y=X 2
dy dy y
= 2 x so that =2 y
dx dx x = xi
X
and using (5-30) we get x1 x2
Fig. 5.5
1
(
fY ( y ) = 2 y
)
f X ( y ) + f X ( y ) , y > 0,
(5-31)
0, otherwise ,
14
But (5-35) represents the p.d.f of a Cauchy r.v with
parameter 1 / . Thus if X C ( ), then 1 / X C (1 / ).
Example 5.6: Suppose f X ( x ) = 2 x / 2 , 0 < x < , and Y = sin X .
Determine fY ( y ).
Solution: Since X has zero probability of falling outside the
interval (0, ), y = sin x has zero probability of falling outside
the interval ( 0,1). Clearly fY ( y ) = 0 outside this interval. For
any 0 < y < 1, from Fig.5.6(b), the equation y = sin x has an
infinite number of solutions ", x1 , x2 , x3 ,", where x1 = sin 1 y
is the principal solution. Moreover, using the symmetry we
also get x2 = x1 etc. Further,
dy
= cos x = 1 sin 2 x = 1 y 2
dx
so that dy
= 1 y2 .
dx x = xi 15
fX (x)
x3
x
(a)
y = sin x
x
x 1 x1 x2 x3
(b)
Fig. 5.6
x 1
/2 /2 fY ( y ) =
1 + y2
(a)
y = tan x
y
y
/2 Fig. 5.9
x1 / 2 x
(b)
Fig. 5.8
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Functions of a discrete-type r.v
Suppose X is a discrete-type r.v with
P ( X = xi ) = pi , x = x1 , x2 ,", xi ," (5-39)
so that for j = k 2 + 1
j 1
(
P(Y = j ) = P X = )
j 1 = e
( j 1)!
, j = 1, 2,5,", k 2 + 1,". (5-42)
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