FUNCTIONS OF RANDOM VARIABLE

Arranged to fullfil Introduction to Mathematical Statistics 2 course

Lecturer :
Dr. Iqbal Kharisudin S.Pd., M.Sc.

Arranged by :
Adelia Salsabila (4101418127)
FebriyantiErviMu’azzizah (4101418117)
Rembulan Permata Octalia (4101418067)

UNIVERSITAS NEGERI SEMARANG

SEMARANG
 TABLE OF CONTENT

COVER .................................................................................................................................. i

TABLE OF CONTENT ........................................................................................................ ii

CHAPTER I INTRODUCTION ........................................................................................... 1

1.1 Background ........................................................................................................ 1

1.2 Problems ............................................................................................................ 1
1.3 Objectives .......................................................................................................... 2

CHAPTER II DISCUSSION ................................................................................................ 3

2.1 Transformation Methods .................................................................................... 3

2.2 Sums of random variables ................................................................................. 10
2.3 Order Statistics .................................................................................................. 14
2.4 Exercises ............................................................................................................. 23

CHAPTER III CLOSING ..................................................................................................... 30

3.1 Conclusion ......................................................................................................... 30

3.2 Sugestion ............................................................................................................. 30

REFRENCES ......................................................................................................................... 31

ii
 CHAPTER I

INTRODUCTION

1.1 Background

The concept of a random variable then was introduced so that events could be
associated with sets of real numbers in the range space of the random variable. This makes
it possible to mathematically express the probability model for the population or
characteristic of interest in the form of a pdf or a CDF for the associated random variable,
say X. In this case, X represents the initial characteristic of interest, and the pdf,f(x), may
be referred to as the population pdf. It often maybe the case that some function of this
variable also is of interest. Thus, if X represents the age in days of some component,
another experimenter may be expressing the age, Y, in hours, so that Y = 24X. Similarly,
W = ln X or some other function of X may be of interest. Any function of a random
variable X is itself a random variable, and the probability distribution of a function of X is
determined by the probability distribution of X. For example, for Y above, ,
- , -, and so on. Clearly, probabilities concerningfunctions of a random
variable may be of interest, and it is useful to be able toexpress the pdf or CDF of a
function of a random variable in terms of the pdf orCDF of the original variable. Such pdf's
sometimes are referred to as "derived"distributions. Of course, a çertain pdf may represent
a population pdf in oneapplication, but correspond to a derived distribution in a different
application. In this paper we will disscuss about Fuctions of Random Variable such as
Transformation Methods, Sums of Random Variables, and Order Statistics.

1.2 Problems

There are some problems in this paper such as :

a. What is transformation methods?

b. What is sums of random variables?
c. What is order statistics?

1
1.3 Objectives

There are some objectives in this paper such as :

a. To know about transformation methods

b. To know about sums of random variables
c. To know about order statistics

2
 CHAPTER II
DISCUSSION

2.1 TRANSFORMATION METHODS

2.1.1 One-To-One Transformations
Theorem 2.1.1 (Discrete Case) Suppose that X is a discrete random variable with
pdf fx(x) and that Y = u(X) defines a one-to-one transformation. In other words, the
equation y = u(x) can be solved uniquely, say x = w(y) Then the pdf of Y is

( ) ( ( )) (6.3.1)
where * ( ) +
Proof :
This follows because ( ) , - , ( ) - , ( )- ( ( ))

Example 2.1.1
Let ( ), so that
( )
Another frequently encountered random variable that also is called geometric is
of the form so that ( ) , ( ) , and
( ) ( )
( )
which is nothing more than the pdf of the number of failures before the first success.

Theorem 2.1.2 (Continuous Case) Suppose that X is a continuous random variable

with pdf fx(x), and assume that Y = u(X) defines a one-to-one transformation from A
= {x | fx(x) > 0} on to B = {y | fy(y) > 0} with inverse transformation ( ) If
the derivative ( ) ( ) is continuous and nonzero on B, then the pdf of Y is
( ) ( ( )) | ( )| (6.3.2)

Example 2.1.2

3
A distribution that is related to the normal distribution, but for which the random
variable assumes only positive values, is the lognormal distribution, whichis defined
by the pdf
( ) ( )
(6.3.3)
√

with parameters . This will be denoted by

( ), and it is related to the normal distribution by the relationship
( ) if and only if ( ).
In some cases, the lognormal distribution is reparameterized by letting ,
which gives
0 . /1
( ) (6.3.4)
√

and in this notation teta becomes a scale parameter. It is clear that cumulative
lognormal probabilities can be expressed in terms of normal probabilities, because if
relationship ( ) , then

( ) , - , -
( ) , - , -

( ) , - . / (6.3.5)

Example 2.1.3
If ( ), then the pdf of is

( )
( )
and the CDF is

( )

for all real z. 1f we introduce location and scale parameters and 0, respectively, by
the transformation ( ) , then the pdf of ( ) is
0 1
( ) (6.3.6)
2 0 13

4
for all real y. The distribution of Y is known as the logistic distribution, denoted by
( ). This is another example of a symmetric distribution, which follows by
noting that

. /
( ) ( )
( ) ( )
The transformation provides a general approach to introducing location
and scale parameters into a model.
Consider the case in which u(x) is an increasing function so that the inverse
transformation, x = w(y), also is increasing :

, ( )- ∫ ( ) ( )

, ( )- ∫ , ( )- , ( )- ( )

, ( )- ∫ ( )

, ( )- ( )
The case in which u(x) is decreasing is similar. A very useful special transformation
is given by the following theorem.

Theorem 2.1.3 (Probability Integral Transformation ) If X is continuous with

CDF F(x), then ( ) ( )
Proof :
We will prove the theorem in the case where F(x) is one-to-one, so that the inverse,
F-1(u), exists:
( ) , ( ) -
( ) , ( )-
( ) ( ( ))
( )
Because ( ) we have ( ) if and ( ) if .

5
Example 2.1.4 Let X be a continuous random variable with pdf

( ) {

The CDF of X, whose graph is shown in Figure 6.2, is not one-to-one, because it
assumes the value 1/2 for all .

The function G(u), for this example, is

( ) {

The function G(u) has another important application, which follows from the next
theorem.
Theorem 2.1.4 Let F(x) be a CDF and let G(u) be the function defined by (6.3.7). If
( ) then ( ) ( )
Example 2.1.5
If ( ), then

( ) {

and

( ) 2

6
2.1.2 Transformations That Are Not One-To-One
Theorem 2.1.5 Theorem 2.1.1 can be extended to functions that are not one-to-one
by replacing equation (6.3.1) with

( ) ∑ . ( )/ (6.3.9)

That is, ( ) ∑ ( ) where the sum is over all xj such that ( ) .

Example 2.1.6

Let ( ) . / and consider Clearly, * +

and
( ) ( )

( ) ( ) ( )

( ) ( ) ( )

Another way to express this is

( )

( ) 0. / . / 1

An expression analogous to equation (6.3.9) for the discrete case is obtained for
continuous functions that are not one-to-one by extending equation (6.3.2) to
( ) ∑ ( ( )) | ( )| (6.3.10)

If Y = X2 , then
( ) (√ ) ( √ )
and by taking derivatives
( ) [ (√ ) ( √ )] (6.3.11)
√

Equation (6.3.11) also follows directly by the transformation method now by

applying equation (6.3.10).

2.1.3 Joint Transformations

7
Theorem 2.1.6 If X is a vector of discrete random variables with joint pdf f x(x) and
Y = u(X) defines a one-to-one transformation, then the joint pdf of Y is
( ) ( ) (6.3.14)
where x1, x2 , ..., xk, are the solutions of y = u(x), and consequently depend on y 1 ,
Y2,,Yk
If the transformation is not one-to-one, and ifa partition exists, say A1 , A2 ,
such that the equation y = u(x) has a unique solution x = xj or
( ) (6.3.15)
over Aj, then the pdf of Y is
( ) ∑ ( ) (6.3.16)

Joint transformations of continuous random variables can be accomplished, although

the notion of the Jacobian must be generalized Suppose, for example, that u 1(x1, x2)
and u2(x1, x2) are functions, and x1 and x2 are unique solutions to the transformation
y1 = u1(x1, x2) and y2 = u2(x1 , x2). Then the Jacobian of the transformation is the
determinant

| | (6.3.17)

Example 2.1.7
It is desired to transform x1 and x2 into x1 and the product x1 x2 . Specifically, let
y1 = x1 and y2 = x1x2. The solution is x1 = y1 and x2 = y2 /y1, and the Jacobian is

| |

For a transformation of k variables ( ), with a unique solution

( ), the Jacobian is the determinant of the matrix of partial
derriatives:

|| ||

8
Theorem 2.1.7 Suppose that ( )is a vector of continuous random
variables with joint pdf ( ) on A, and ( ) is
defined by the one-to-one transformation
( ) i=1,2,...,k
If the Jacobian is continuous and nonzero over the range of the transformation, then
the joint pdf of Y is
( ) ( ) (6.3.19)
Where ( ) is the solution of ( )
Proof :
As noted earlier, the problem of finding the pdf of a function of a random vari able is related
to a change of variables in an integral. This approach extends readily to transformations of
k variables. Denote by B the range of a transformation y = u(x) with inverse x = w(y).
Assume D  B , and let C be the set of all points x = (x1, ..., xk) that map into D under the
transformation. We have

, - ∫ ∫ ( )

, - ∫ ∫ ( )

But this also can be written as

, - ∫ ∫ , ( ) ( )-

as the result of a standard theorem on change of variables in an integral. Because this

is true for arbitrary D  B , equation (6.3.19) follows.
Example 2.1.8
Let X1 and X2 be independent and exponential, ( ) Thus, the joint pdf is
( ) ( ) ,( )
Where *( ) + consider the random variables and
this corresponds to the transformation and
which has a unique solution, and . The jacobian is

| |

And thus

9
 ( ) ( )
( ) ,( )
and zero otherwise. The set B is obtained by transforming the set A, and this
corresponds to and . Thus
*( ) +, which is a triangular region in the plane with
boundaries and .
The marginal pdf’s of Y1 and Y2 are given as follows :
( ) ∫

( )

( ) ∫
( )
Note that ( )

2.2 SUMS OF RANDOM VARIABLES

We will discuss about special methods for dealing with the important special case of
sums of random variables.

2.2.1 Convolution Formula

If one is interested only in the pdf of a sum , where and
arecontinuous with joint pdff(x1 , x2), then a general formula can be derived using
the following approach,

( ) ∫ ( ) (2.2.1)

If and are independent, then this usually is referred to as the convolution

formula,

( ) ∫ ( ) ( ) (2.2.2)

Example 2.2.1
Let and X2 be independent and uniform, X iUNIF(0, 1), and let
. The region corresponding to the transformation and

10
 is *( ) + and this is shown in
Figure 2.2.1.
Regions corresponding to the transformation and

Figure 2.2.1

Thus, from equation (2.2.2), we get

( ) ∫

and zero otherwise.

Example 2.2.2

Suppose that and are independent gamma variables,

( )
( ) ( )

Let and ( ), with inverse transformations

and ( ) We have

| | ( ) ( )

and

11
 ( )
( ) [ ( )]
( ) ( )

( )
( ) ( )

If ( ) *( ) + and zero otherwise. The

boundary composed of the positive segment of the line maps into the
positive segment of the line , and the positive segment of the line
maps into the positive segment of the line , because ( )

and when . This does not completely bound ,

but consider the positive segment . As takes on values between 0 and
, all points in are included, and such a line maps into the line

, where ( ) goes between 0 and as .

( )

Thus, as goes from 0 to , is composed of all theparallel lines between

and

Sums of independent random variables often arise in practice. A technique

based on moment generating functions usually is much more convenient than
using transformations for determining the distribution of sums of independent
random variables.

2.2.2 Moment Generating Function Method

Theorem 2.2.1 If are independent random variables with MGF’s ( ),
then the MGF of ∑ is
( ) ( ) ( )
Proof
Notice that ( ) so,
( ) ( )
( )

12
 ( ) ( )
( ) ( )
▄

This has a special form when represents a random sample from a

population with common pdf ( ) and MGF ( ), namely

( ) , ( )-

The MGF of a random variable uniquely determines its distribution. It is clear that
the MGF can be used as a technique for determining the distribution of a function of
a random variable, and it is undoubtedly more important for this purpose than for
computing moments. The MGF approach is particularly useful for determining the
distribution of a sum of independent random variables, and it often will be much
more convenient than trying to carry out a joint transformation. If the MGF of a
variable is ascertained, then it is necessary to recognize what distribution has that
MGF.

Example 2.2.3

Let be independent binomial random variables with respective parameters

and , ( ), and let ∑ . It follows that

( ) ( ) ( )

( ) ( )

( )

We recognize that this is the binomial MGF with parameters and , and
thus, ( ).

Example 2.2.4

Let be independent. Poisson-distributed random variables, ( ),

and let . The MGF of is ( ) , ( )-,and
consequently the MGF of Y is

13
 ( ) , ( )- , ( )-

,( )( )-

Which shows that ( )

2.3 ORDER STATISTICS

The concept of a random sample of size n was discussed earlier, and the joint density
function of the associated n independent random variables, say is given by
( ) ( ) ( ) (6.5.1)
The joint distribution of the ordered variables is not the same as the joint density of the
unordered variables. This suggests the result of the following theorem We will consider a
transformation that orders the values . For example,
( ) ( )
( ) ( )
and in general ( ) represents the ith smallest of .
For an example of this transformation see the above light bulb data Sometimes we will use
the notation , for ( ), but ordinarily we will use the simpler notation .
Similarly, when this transformation is applied to a random sample we will
obtain a set of ordered random variables, called the order statistics and denoted by either
or .

Theorem 2.3.1 If is a random sample from a population with continuous

pdf ( ), then the joint pdf of the order statistic is

( ) ( ) ( ) ( ) (6.5.2)
if , and zero otherwise.
▄

Example 2.3.1
Suppose that and represent a random sample of size 3 from a population
with pdf
( )

14
It follows that the joint pdf of the order statistics and is
( ) ( ) ( ) ( )

and zero otherwise.

Quite often one may be interested in the marginal density of a single order statistic, say
, and this density can be obtained in the usual fashion by integrating over the other
variables. In this example, let us find the marginal pdf of the smallest order statistic, :

( ) ∫ ∫

( )

If we want to know the probability that the smallest observation is below some value, say
0.1, it follows that

, - ∫ ( )

It is possible to derive an explicit general formula for the distribution of the k-th order
statistic in terms of the pdf, f(x), and CDF, F(x), of the population random variable X. If X
is a continuous random variable with ( ) on (a may be and b may
be ), then, for example, for n = 3,

( ) ∫ ∫ ( ) ( ) ( )

( )∫ ( ), ( ) ( )-
, ( )-
( ) |

( ), ( )-

Similarly,

( ) ∫ ∫ ( ) ( ) ( )

( ), ( ) ( )- ∫ ( )

( ), ( )- ( )
where ( ) and ( ) .

15
These results may be generalized to the n-dimensional case to obtain the following
theorem.
Theorem 2.3.2 Suppose that denotes a random sample of size n from a
continuous pdf, f(x), where ( ) for . Then the pdf of the kth order
statistic , is given by

( ) , ( )- , ( )- ( ) (6.5.3)
( )( )

if , and zero otherwise.

To have one must have observations less than , one at and

observations greater than , where , - ( ) , , - ( ) and
the likelihood of an observation at is ( ). There are ( ) ( )
possible orderings of the n independent observations, and ( ) is given by the
multinomial expression (6.5.3). This is illustrated in Figure 6.6

Figure 6.6
The multinomial form gives the joint pdf for and as

( ) , ( )- ( )
( ) ( ) ( )

[ ( ) ( )] [ ( )] ( ) (6.5.4)
if , and zero otherwise. This is illustrated by Figure 6.7.

16
 Figure 6.7
The smallest and largest order statistics are of special importance, as are certain functions
of order statistics known as the sample median and range.
The sample median is the middle observation of
where ( ) , if n = odd
and where , if n =even
The sample range is the difference of the smallest from the largest,
.
For continuous random variables, the pdf's of the minimum and maximum, and ,
which are special cases of equation (6.5.3) are
( ) , ( )- ( ) (6.5.5)
and
( ) , ( )- ( ) (6.5.6)

For discrete and continuous random variables, the CDF of the minimum or maximum of
the sample can be derived directly by following the CDF technique.
For the minimum.
( ) , -
, -
, -
, ( )- (6.5.7)

For the maximum

( ) , -
, -

17
 , ( )- (6.5.8)

Theorem 2.3.3 For a random sample of size n from a discrete or continuous CDF, F(x), the
marginal CDF of the k-th order statistic is given by

( ) ∑ . /, ( )- , ( )- (6.5.9)

Example 2.3.2
Consider a random sample of size n from a distribution with pdf and CDF given by
( ) and ( ) ; . From equations (6.5.5) and (6.5.6), we
have that
( ) ( )
And
( ) ( )

The corresponding CDF’s may be obtained by integration or directly from equations

(6.5.7) and (6.5.8).

Example 2.3.3
Suppose that in Example 2.3.2 we are interested in the density of the range of the sample,
. From expression (6.5.4), we have

( ) , - ( )
( )

Making the transformation , , yields the inverse transforrmation

, , and . Thus, the joint pdf of R and S is

( ) ( )
( ), -

The regions A and B of the transformation are shown in Figure 6.8.

18
 Figure 6.8

The marginal density of the range then is given by

( ) ∫ ( )

For example, for the case n = 2, we have

( ) ∫ ( )
( )( )( ) (6.5.10)
For .
An interesting general expression can be obtained for the marginal CDF of R, because
( ) ∫ ∫ ( )

∫ ∫ ( ), ( ) ( )- ( )
( )

∫ ( ), ( ) ( )- (6.5.11)
Note, however, that great care must be taken in applying this formula to an example where
the region with ( ) has finite limits.

2.3.1 Cencored Sampling

19
Theorem 2.3.4 Type II Censored Sampling The joint marginal density function
of the first r order statistics from a random sample of size n from a continuous
pdf, f(x), is given by

( ) , ( )- ∏ ( ) (6.5.12)
( )

If and zero otherwise.

Type I censored sampling is related to the concept of truncated sampling and

truncated distributions. Consider a random variable X with pdf ( ) and CDF
( ). If it is given that a random variable from this distribution has a value less
than , then the CDF of X given is referred to as the truncated
distribution of X, truncated on the right at , and is given by
, -
( ) , -
( )
( )
(6.5.14)

and
( )
( ) ( )

Distributions truncated on the left are defined similarly.

Theorem 2.3.5 Type I Censored Sampling If , denote the observed

values of a random sample of size n from f(x) that is Type I censored on the right
at , then the joint pdf of is given by

( ) , ( )- ∏ ( ) (6.5.17)
( )

if and r=1,2,3,...,n , and

, - , ( )-
Proof
This follows by factoring the joint pdf into the product of the marginal pdf of R
with the conditional pdf of given . Specifically,
( ) ( ) ( ( ))
∏ ( )
, ( )- , ( )-
, ( )-

20
which simplifies to equation (6.5.17).

Example 2.3.4
We will assume that failure times of airplane air conditioners follow an
exponential model EXP( ). We will study properties of random variables in the
next chapter that will help us characterize a distribution and interpret the physical
meaning of parameters such as . However, for illustration purposes, suppose the
manufacturer claims that an exponential distribution with = 200 provides a good
model for the failure times of such air conditioners, but the mechanics feel =
150 provides a better model. Thirteen airplanes were placed in service, and the
first 10 air conditioner failure times were as follows (Proschan, 1963):
23, 50, 50, 55, 74, 90, 97, 102, 130, 194
For Type II censored sampling, the likelihood function for the exponential
distribution is given by equation (6.512) as
( )
g( ) ( )
0 1 0 ∑ 1

[ (∑ ( ) ) ]
( )

For the above data, , and

∑ ( )

It would be interesting to compare the likelihoods of the observed data assuming

= 200 and = 150. The ratio of the likelihoods is
( )
( ) [ ( )]
( )
Thus we see that the observed data values are more likely under the assumption
= 150 than when = 200. Based on these data, it would be reasonable to infer that
the exponential model with = 150 provides the better model. Indeed, it is
possible to show that the value of that yields the maximum value of the
likelihood is the value

21
Thus, if one wished to choose a value of based on these data, the value =
144.7 seems reasonable.
For illustration purposes, suppose that Type I censoring had been used and that
the experiment had been conducted for 200 flying hours for each plane to obtain
the preceding data. The likelihood function now is given by equation (6.5.17):

( ) [ (∑ ( ) ) ]
( )

For our example, r = 10, n = 13, and = 200.

h is Interesting that the likelihood function is maximized in this case by the value
of given by

(∑ ( ) )

As a final illustration, suppose that a large fleet of planes is placed in service and a
repair depot decides to record the failure times that occur before 200 hours.
However, some units in service may be taken to a different depot for repair, so it
is unknown how many units have not failed after 200 hours. That is, the sample
size n is unknown. Given that r ordered observations have been recorded, the
conditional likelihood is given by equation (6.5.16):
( ∑ )
( )
, ( )-
where r = 10 and = 200.
The value of that maximizes this joint pdf cannot be expressed in closed form;
however, the approximate value for this case based on the given data is = 245.
This value is not too close to the other values obtained, but of course the data were
not actually obtained under this mode of sampling. If two different assumptions
are made about the same data, then one cannot expect to always get similar results
(although the Type I and Type II censoring formulas are quite similar).

22
2.4 EXERCISE
1. Let be independentnormally distributed random variables, ( ),

and let ∑ . The MGF of is ( ) 0 1, determine the

MGF of Y!
Solution :

( ) 4 5 4 5

4 5

( )
,( ) -

Then we get ( ).

2. Suppose that are independent gamma-distributed random variables with

respective shape parameters and common scale parameter ,
( ) for . The MGF of is

( ) ( )

If ∑ , then determined the MGF of Y!

Solution:
( ) ( ) ( )

( ) ( )

So consequently, ( ).

3. Suppose that ( ); i.e., the pdf of Y is

( ) {

Let ( ) √ , Use the method of transformations to find the pdf of U.

Solution:

23
 First, we find the inverse transformation:
( )
( ) √ (by inverse transformation) and its
derivative:
( )

Thus, for

( ) , ( )- | ( )|

( )

( )

So, the PDF of U is

( ) {

4. Suppose that ~ (0,1). Find the distribution of 𝑈=( )=−ln .

Solution. The cdf of ~ (0,1) is given by

( ) {

The domain (*domain is the region where the pdf is non-zero) for ( ) is
* +; thus, because , it follows that the domain for U is
* +.
The cdf of U is:
( ) (𝑈 ) ( )
( ) (𝑈 ) ( )
( ) (𝑈 ) ( )
( ) (𝑈 ) ( )
( ) (𝑈 ) ( )
Because
( ) ( )

24
 Taking derrivatives, we get for u > 0,

( ) ( ) ( )

So, we get the we get the PDF of U is

( ) {

5. Suppose that ( ) i.e., the pdf of Y is given by

( ) { ( )

What is the distribution of U = g(Y ) = 1 −Y ?

Solution :
First, we note that the transformation ( ) is a continuous decreasing
function of y over * +, and, thus, g(y) is one-to-one. Next, we need
to find the domain of U. This is easy since 0 < y < 1 clearly implies 0 < u < 1. Thus,
* +. Now, we find the inverse transformation:
( ) ( ) (by inverse transformation)
and its derivative:
( ) ( )

( ) , ( )- | ( )|

( ) ( ) , ( )-
( ) ( )
So, we get the PDF of U is,

( ) ( )
{

6. Let X1 and X2 be a random sample of size n = 2 from a continuous distribution with

pdf of the form f(x) = 2x if 0<x < 1 and zero otherwise.
a. Find the marginal pdfs of the smallest and largest order statistics, Y1 and Y2.
b. Find the joint pdf of Y1 and Y2.

25
c. Find the pdf of the sample range R = Y2 − Y1

Solution :

a. The marginal pdf of the smallest and largest order statistics from a sample of size
n = 2 can be derived by using the marginal pdf formula, but we first need the
CDF of X :
( ) ∫
Now, we use the marginal pdf of formula :

( ) , ( )- , ( )- ( )
( ) ( )
, ( ) -
, ( ) -
and

( ) , ( )- , ( )- ( )
( ) ( )
,( ) -
( )

b. The joint pdf of Y1 and Y2 can be obtained from the pdf f (x) (the joint pdf can be
written as ( ) ( ) ( ) for n independently sampled
observations from the distribution defined by f(x)) taking into account the
permutations of and :

( )
( ) ( )

( )( )

c. The pdf of the sample range is just a transformation of the joint PDF, similar to all
of the convolutions that we've been doing. Consider the inverse transforms: Y1 =
Y1 and Y2 = R +Y1. Then we can use the transform methods:
( ) ( )

Where | | So, applying the formula for the joint from point b. So we

get:

26
 ( ) ( )
which we now use to integrate out yl to get the marginal of R. We proceed, paying
careful attention to the change in bounds (draw a picture to convince yourself-first
with Y1 and Y2 and then with R and Y1)
( ) ∫ ( )

0 . /1

. ( ) ( ) /

( ( ) ( ))

7. Consider a random sample of size n from a distribution with pdf ( ) if

; zero otherwise.
a. Give the joint pdf of the order statistics.
b. Give the pdf of the smallest order statistic, Y 1.
c. Give the pdf of the largest order statistic, Y n.
d. Derive the pdf of the sample range, R = Yn−Y1, for n= 2.
e. Give the pdf of the sample median, Yr, assuming that n is odd so that (
) .

Solution:

a. The joint pdf can be represented as a relabeling of the original joint pdf of X1
through Xn , the random variables representing the sample.
In particular, we can write:
( ) ( ) ( )

b. The pdf of the smallest order statistic is the PDF when we integrate out all of the
other order statistics. We already have a formula for this, so we'll use it, rather
than deriving it all over again. We use k = 1 and n:

27
 ( ) , ( )- , ( )- ( )
( ) ( )
( ) , ( )- ( )

[ ∫ (̃ ) ̃ ] ( )

0 . /1

0 1

c. The pdf for the largest order statistic is computed from the same formula as for
the smallest order statistic:

( ) , ( )- , ( )- ( )
( ) ( )
( ) , ( )- ( )

[∫ (̃ ) ̃ ] ( )

0. /1

0 1

d. We again define two random variables. Call them S = Y1 and R = Yn –Y1 and the
inverse transforms of S = Y1 and Y2 = R +S. The joint pdf from part a can now be
used:

( )

We use the transformation formula, noting that the Jacobian has a determinant of

1: | | .

( ) ( )

( )

( ) ∫ ( )

28
 This is the partial fraction decomposition:

( ) ( ) ( )

which we can now integrate. The solution we obtain for the pdf is

( ) ∫ 0 1
( ) ( )

( )
6 7
( )

[ . / ]
( )

. /
( )

[ ( )]

where r > 0. The PDF of the sample range and the first and second order statistics
in a sample of size n = 2 are plotted below, and compared to the kernel estimates
from 1 million samples of size n = 2 to benchmark the theory.

e. The sample median is the order statistic with r = k = (n+ 1)/2. We can compute
this in the same way as before, using the formula:

( ) , ( )- , ( )- ( )
( ) ( )
( )
[ ] [ ]
( ) ( )
( ) ( )
,( )-

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 CHAPTER III

CLOSING

3.1 CONCLUSION
The main purpose of this chapter was to develop methods for deriving the distribution
of a function of one or more random variables. The CDF technique is a general method
that involves expressing the CDF of the "new" random variable in terms of the
distribution of the "old random variable (or variables). When one k-dimensional vector of
random variables (new variables) is defined as a function of another k-dimensional vector
of random variables (old variables) by means of a set of equations, transformation
methods make it possible to express the joint pdf of the new random variables in terms of
the joint pdf of the old random variables. The continuous case also involves multiplying
by a function called the Jacobian of the transformation. A special transformation, called
the probability integral transformation, and its inverse are useful in applications such as
computer simulation of data.
The transformation that orders the values in a random sample from smallest to largest
can be used to define the order statistics. A set of order statistics in which a specified
subset is not observed is termed a censored sample. This concept is useful in applications
such as life-testing of manufactured components, where it is not feasible to wait for all
components to fail before analyzing the data.

3.2 SUGGESTION
The reader advised to look more examples and do more exercises to enrich of
knowledge about functions of random variable.

30
 REFRENCES

Bain, L. J., & Engelhardt, M. (1993). Introduction to Probability and Mathematical Statistics. In
Biometrics (Vol. 49, Issue 2). https://doi.org/10.2307/2532587

Rohatgi, V. K., & Saleh, E. (2015). AN INTRODUCTION TO PROBABILITY AND STATISTICS

(Third).

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