2.

8 Transformation of Random Variables

Often we have a random variable X whose pdf and or cdf is known and we define a second
random variable Y = g(X) and we wish to determine its pdf and/or cdf. To demonstrate how this
is done, let us consider the case where g(X) is monotonically increasing or monotonically
decreasing as X goes from -∞ to ∞. This is shown in Figure 2.3 for a monotonically increasing
function.

Figure 2.3: A Typical Monotonically Increasing Transformation of a Random Variable.

From Figure 2.3, we see that if x-dx < X < x then y-dy < Y < y. Therefore P(x-dx < X < x) = P(y-
dy < Y < y). If dx and dy are infinitesimally small then this means that

( ) ( ) (2.41)

If g(X) is monotonically decreasing, then it can be shown that

( ) ( ) (2.42)

Keeping in mind that when g(X) is monotonically decreasing dx/dy is negative, then fY(y) is given
by:

( ) ( )| | (2.43)
( )

Example 2.4

Let X be a random variable that is uniformly distributed on the range

(0,2). Let Y = 3X+2. Find fY(y).
 Solution

The pdf of X is

( ) {

g(X) = 3X+2 and g-1(Y) = and dx/dy = (1/3).

Therefore fY(y) is given by

( )
( ) |
( )

( ) { ,

( ) {

This means that Y is uniformly distributed between 2 and 8, which is

not surprising since the transformation g(X) is linear.

Next we consider the case where g(X) is nonmonotonic. An example of a nonmonotonic

transformation is shown in Figure 2.4.

Figure 2.4: Nonmontonic transformation.

Since there are multiple solutions to x=g-1(y), as seen in Figure 2.4, then

( ) ∑ ( )| | (2.44)
( )
 Example 2.5

The random variable X is a 0 mean Gaussian random variable with a

variance of 1. Y = X2. Find fY(y).

Solution

It often helps to sketch the transformation. This is shown in Figure

2.5.

Figure 2.5: Nonmonotonic Transformation of Example 2.5.

Here we see that although -∞ < X < ∞, the random variable Y only has
positive values. Also there are two solutions to g-1(y), g1-1(y) = -√
and g2-1(y) = √ . Therefore

( ) ( √ ) (√ )
√ √

Inserting fX(x) in the above equation we get:

( ) ,0<y<∞ (2.45)
√

Equation (2.45) is the pdf of a chi-square distribution with one degree

of freedom.

We can extend this to multiple random variables that are transformations of multiple random
variables. For example if we know fXY(x,y) and we are given U = g1(X,Y) and V = g2(X,Y) then
 ( )
( ) ( )| | (2.46)
( ) ( ) ( )

where g1-1(u,v) is the function that returns x from u and v and g2-1(u,v) is the function that returns
y from u and v and

( )
| | | | (2.47)
( )

is called the Jacobian.

Example 2.6

Let X and Y be two independent Gaussian random variables with 0

mean and variance 2, which represent the Cartesian coordinates some
random process. Rather than Cartesian coordinates, we would like to
represent this process by polar coordinates. Therefore we define R and
 which are given by:

√ (2.48)
And

( ) (2.49)
What is the joint pdf of X and Y and what is the joint pdf of R and ?
Find the marginal pdfs of R and  as well.

Solution

In this case X = Rcos and Y=Rsin. X and Y are independent

Gaussian random variables so their joint pdf is the multiplication of
their marginal pdfs.

( ) (2.50)

( )
| | | | (2.51)
( )

and from (2.46)

 ( ) (2.51)

Since -∞ ≤ x,y ≤ ∞, then from the definition of R and , 0 ≤ r ≤ ∞ and 0

≤  ≤ ∞.

Then

( ) ∫ (2.52)

and

( ) ∫ (2.53)

We can see that R and  are independent and that R has a Rayleigh
distribution while  is uniformly distributed on the interval 0 to 2.
This is the model used to describe the amplitude gain and phase
response of a signal that encounters frequency nonselective Rayleigh
fading in a wireless channel.

2.9 Statistical Averages

The pdf and the cdf provide us with the information needed to statistically describe a random
variable or a set of random variables. Often, we need to describe a random variable by a set of
statistical averages or mean values.

Averages of the random variable or of its square, for example, can be estimated by observing a
large number of outcomes of the random experiment and averaged over the series of outcomes.
Or we can determine the expected values of these averages using the random variable’s pdf (or
the joint pdf in the case of a set of random variables).

2.9.1 The Expected Value of a Random Variable

The statistical average, or expected value, of a discrete random variable X is given by:

[ ] ∑ ( ) (2.54)

If X is a continuous or mixed random variable, the expected value of X is given by:

[ ] ∫ ( ) (2.55)
2.9.2 The Expected Value of a Function of a Random Variable

If we wish to find the mean of Y = g(X), we could find the pdf of Y using (2.44) and then finding
the average of Y by:

[ ] ∫ ( ) (2.56)

But from (2.43)

[ ] [ ( )] ∫ ( )| |
=∫ ( ) ( ) (2.57)

Often it is more convenient to use (2.57).

Example 2.7

The random variable X is uniformly distributed between a and b (where

b > a). Find E[X] and E[X2].

Solution

The pdf of X is given by:

( ) {

Therefore

[ ] ∫ (2.58)
( )

and

[ ] ∫ (2.59)
( )

2.9.3 Average of a Function of a Random Variable

The expectation of a function of two random variables, g(X,Y), is found using the joint pdf of the
two variables.

[ ( )] ∫ ∫ ( ) ( ) (2.60)
The generalization to the case when there are more than two variables should be obvious.

Example 2.8

The random variables X and Y have the joint pdf

( ) {

Find E[XY].

Solution

[ ] ∫ ∫

∫ |

2.9.4 Variance of a Random Variable

The variance of a random variable gives a measure about how much the random variable varies
around its mean. It is given by:

[( [ ]) ] (2.61)

If we expand the square in (2.61) we get

[ [ ] ( [ ]) ] (2.62)

Due to the linearity of the expectation function we can rewrite (2.62) as

[ ] [ [ ] ] [( [ ]) ] (2.63)

The mean of a random variable, E[X], is a constant therefore (2.63) becomes:

 [ ] [ ] [ ] ( [ ]) [ ] ( [ ]) (2.64)

Example 2.9

Find the variance of a random variable that is uniformly distributed

between a and b.

Solution

From Example 2.7, E[X2] = (b2+ab+a2)/3 and E[X] = (a+b)/2.

Therefore

( )
(2.65)

2.9.5 The Mean of a Linear Combination of Random Variables

Let X and Y be two random variables with joint pdf fXY(x.y). Let Z = aX+bY where a and b are
constants. Then E[Z] is given by:

[ ] ∫ ∫ ( ) ( )
∫ ∫ ( ) ∫ ∫ ( ) (2.66)
∫ (∫ ( ) ) ∫ (∫ ( ) )

We can see in (2.66) that

∫ ( ) ( ) (2.67)

And

∫ ( ) ( ) (2.68)

Inserting (2.67) and (2.68) into (2.66) we get

[ ] ∫ ( ) ∫ ( )
(2.69)
[ ] [ ]

This result can be extended to a linear combination of more than two random variables as well.
Therefore the mean of a linear combination or random variables, whether they are independent
or not, is a linear combination of the means of the individual random variables.
2.9.6 The Variance of a Linear combination of Independent Random Variables

Let Z = aX+bY where X and Y are independent random variables and a and b are constants. The
mean and variance of X are X and X2 while the mean and variance of Y are given by Y and Y2.
The variance of Z, Z2 is given by:

[( ) ] ( ) (2.70)

Expanding the two terms, we get:

[ ] (2.71)

The first term is given by

[ ] [ ] [ ] [ ] (2.72)

And since X and Y are independent, then E[XY]=E[X]E[Y]=XY. Therefore (2.71) becomes

[ ] [ ] (2.73)

Again, we can demonstrate that this result can be extended to more than two random variables.
However, this result is not true if X and Y are dependent.

Exercise 2.6

The random variables X and Y are independent. The pdf of X is

( ) ( )

and the pdf of Y is

( ) {

(a) Find E[X] and E[Y]

(b) Find E[X2] and E[Y2]
(c) Find the variances of X and Y
(d) Find the mean of Z = 3X + 2Y
(e) Find the variance of Z.
2.10 The Characteristic Function

The characteristic function of a random variable X is the mean of g(X) = ejvX. It is defined as
MX(jv) and it is given by:

( ) [ ] ∫ ( ) (2.74)

Comparing (2.74) to the Fourier transform, we see that MX(jv) is essentially the Fourier
transform of fX(x) with 2f replaced by –v.

Conversely, the pdf of a random variable can be found from its characteristic function by taking
the appropriate inverse transform.

( ) ∫ ( ) (2.75)

Equation (2.75) can be used in cases where it is simpler to obtain the characteristic function of a
random variable and then taking the inverse Fourier transform to find the pdf of that random
variable.

Another use of the characteristic function is to generate the nth moment of the random variable
X. The nth moment of X is defined as E[Xn]. This is achieved by differentiating the
characteristic function.

( )
∫ ( ) (2.76)

Setting v = 0 and multiplying by –j, we get:

( )
| ∫ ( ) [ ] (2.77)

For the nth moment we have:

( )
( ) | [ ] (2.78)

Exercise 2.7

The random variable X has pdf fX(x) = e-xu(x). Find its characteristic
function and use it to find E[X], E[X2], E[X3].
2.11 The PDF of the Sum of Two Independent Random Variables

Let X and Y be two independent random variables. Let Z = X+Y. The characteristic function of Z
is given by E[ejv(X+Y)] which is given by:

( ) ( )
[ ] ∫ ∫ ( ) (2.79)

In (2.79) ejv(x+y) = ejvxejvy, and fXY(x,y) = fX(x)fY(y) since X and Y are independent. Therefore (2.79)
becomes:

( )
[ ] ∫ ∫ ( ) ( )
∫ ( ) ∫ ( )
( ) ( ) (2.80)

Since the characteristic function of the pdf of the sum of independent random variables is the
multiplication of the characteristic functions of the individual random variables, and the
characteristic function is the Fourier transform of its pdf, then it follows from (2.80) that the pdf
of Z is

( ) ( ) ( ) (2.81)

where * indicates convolution.

Exercise 2.8

X and Y are two independent random variables. X is uniformly

distributed on the interval 0 to 3 and Y is uniformly distributed on the
interval 0 to 4. Z = X + Y. Find the pdf of Z.