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    distributions of functions

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    distributions of functions

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    © All Rights Reserved
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    29 views44 pages

    CHAP07 Compressed

    Uploaded by

    Fatima Hassan
    distributions of functions

    Copyright:

    © All Rights Reserved
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    of 44
    “f DISTRIBUTIONS OF 7 FUNCTIONS OF RANDOM VARIABLES © 7.1 Introduction In this chapter, we are interested in finding the distributions of r.v.’s. More precisely, we shall be concerned with the problem of finding the probability distributions or densities of functions of one or more r.v.’s. That is, given a set of r.v.’s’ X,, «., X, and their joint probability distribution or density, we shall be interested in finding the probability distribution or density of some r.v. .Y = u(X, ., X,). This means that the values of Y are related to those of the X ’s by means of the equation Y= U(X), ws, X,)- Here three techniques for finding the distributions of functions of r.v.’s will be presented. These three techniques are @) the cumulative distribution function_technique, (ii) the. transformation or change of variable technique, and (tii) the moment generating function technique. Although all three techniques can be used in some situations, in most problems one technique will be preferable (easier to use) than the others. These techniques will be used again in the next chapter to derive several distributions that are of fundamental importance in statistical inference. 7.2 Cumulative Distribution Function Technique A ©.apie method of obtaining the p.df. of a function of cent!..uuus r.v.’s consists of first finding its c.d.f. and then its p.d.f. by differentiation. Thus, if X,, ..., X,. are-continuous r.v.’s 250 Theory of Statistics with .a given joint probability density; the p.d.f of Y= uX, » Xp) is obtained by first determining an expression for the probability Fo) = PY sy) = Phu(X;,.., X,) < y} and i dF() then differentiating to get [0) =~. iy at colnet i Example 7.1 Tf the p.d.f. of the r.v. X is N(@, 1), then find the p.d.f. of Yuk, Solution 3 Fo) =P sy) =P? sy =P (sxsw) G =|" ods. oe de af Te? ot dy ag 2m ® Making the substitution z=", dz = 2x dx, wae 12-2! edz oe fer ee- [FE z one ie ee oe a] ye en Sh >0 Nox” x 1 W2-1 (9/2 = { Tr (AD y e y>0 Oo otherwise which can be recognized as the p.d.f. of a gamma distribution 1 1 with parameters a= 7 and n=O »Example 7.2 If y= XI, show that af Be y>0 otherwise gO)= where. f(x), is th Spat of X and g(y) is the p.d-f. of Y. Also use thi reslttiofind thepaf of Y=|X| when Xis N(, 1). Distributions of Functions of Random Variables 251 Solution For y>0 we have GO) =PY sy =PUXbsy=P(-y sX sy) | = FO) = F(-9), x and, upon differentiation, g(y) =f() + f(-») Also, since |x| ,cannot be negative, gy)'= 0 for y <0. Arbitrarily letting g (0) = 0, we can write = 4 fO)+F(-» y>0 &Q)= { 0 otherwise If X is N(O, 1) and Y= |X}, it follows that a ory 80)" Be e * Px on = an e Thus we have 2 -ye eo={ Yer" ye 0 otherwise yn " Some applications of the ¢.d.f. technique are given below. 7.2.1 Distribution of Minimum and Maximum Let X,, «., X, be n given r.v.'s. Define Y, =,min [X, ..., X;] and Y, = max [Xj, ..., X,]. we find the distributions of Y, and Y, in the following theorems. Theorem 7.1 . If X,, «, X, are i.id. continuous r.v.’s with common p.d.f. fe@) and cdf.’ Fy (+), then fegOV= MFO" FeO) ~~ and fy, O) = nll = Fr OI" Ae Proof ‘ - Fy,0)= PLY, <9] ere ed 252 Theory of Statistics Now, the largest of X’s is less than or equal to y.if and only if all the X’s are less than or equal to y. Thus we have n n Fy) = PIX, sy, X, sy] = TT P(X, so] = O Fy, 0) * ima ia Moreover, if it is assumed that all the Xj, ...,.X, ‘have the same cdf. say Fy(-), then Fy,0) = Fx Oo!” 15,0) = Fy) = FON FeO) Similarly, Fy,0) =P[Y, sy]=1~-P[%,> 9] Now. Y, is greater than.y if and only if every X;>y. Thus Fy) = 1 — PIX > 95 XP 9] i If X,,%..,X, are independent, then. Fy,Q)=1- a PIX > y= 1- a 11 - Fy, 0] Moreovey, if it is assumed that all the Xj, ..., X, have the same cdf, say Fx(-), then Fy,0)=1- (1 - Fx Oo!" fO)= Ze Fy) = nll — FeO fe) Example 7:3°\ ~ é Be . Suppose that the life of a certain light bulb is exponent#illy distributed with mean 100 hours, If 10 such light bulbs are installed simultaneously, what is the distribution of the life of the light bulb that fails first, and what is its expected life? | ~~ Solution Beer: Let X, denote the life of. the ith light bulb; then ¥, = min [X), «., X,]_ is the life of die light bulb that fails first. Distributions of Functions of Random Variables . 253 Assume that the X/s are independent. Now fat) =e” x>0 and Fy, @) = 1 em So, fr, OMALL = FeO" fe) nikeomnym (ees) =f O0, z—x>0 or x0,y>0 FEN= 19 otherwise and Z=(X+ Y)/2, find the p.df. of Z by the c.f. technique. Solution F@ =P@s2)=P((X+ V2) <2 P+ ¥ 5 20) be ena = fj evae=[ ie e” dy dx ety s 2 Ocbees O0 Thus, f@) = { 0 otherwise ° as te [SP ge Check: | daze de =4| -Zer | Pad] tae Example 7.6 Let X,, X,, X, be three iid. r.v.’s, each from a distribution having mat O0,9>Qand + 2y.<2 fe = {? otherwise Find the p.d.f. of Z=X+ Y. Solution f@= in fe-y,9) dy “ Since x>0, ¢-y>0 or yO f@= { 0 otherwise Find the p.c-f. of the r.v. Y= VX. Solution The equation y =~Vx has the unique inverse x=", which yields w @) = - Therefore £0) =e" 12y] = 26 Thus the p.c.f. of Y is given by . sqyef{ wer —-y>0 éo={? otherwise Note that this is the Weibull distribution. The two diagrams of Fig. 7.2 illustrate the transformation from X to Y. As in the discrete case, the probabilities remain the Distribution of Functions of Random Variables 263 same, but they pertain to different interval of values of the respective r.v.'s. In the diagram on the left, the 0.85 probability- pertain to the interval (1,4) of X, and in the diagram on the right, the 0.35 probability pertains to the interval (1,2) of Y. Example 7.12 ‘The r.v. 0 has ‘the uniform p.df. : { a Roget f®=3 = 2 2 0 otherwise Determine the p.c.f. of X= a tan 8. Solution . 4 : aX The equation x= tan @ has the unique inverse @=tan "> a a and Ge" P+e’ Thus a 1 = 1 e@ay loz =F Hence the p.df. of X is ~ fists 00 0,%>0 = e 1 iy Fy) = { 0 otherwise x | X, +X" find the pALf. of Y Distribution of Functions of Random Variables 267 Solution Since y decreases when x, increases and x, is held constant, we can use Theorem 7.3 (as modified in (1) and (2)) to find the x = joint p.d.f. of X, and Y. Since y "Fe gives x)= 2, 7 and 2 Xs a hy | -4| fay &(t,, =e" Bl aye AP 00<¥<1 Integrating out x, we get WX eh hO= j se" de =), ¥* 1 Substitution u=.x,/y, and dx, =y du yields “ 1 O0 and x.>0 in the x,x,—plane into the region y,>0 and O0,00,%,>0,%,>0 -fe 1 > 0, X2> 0, Xs Fin ay 9) = { 0 otherwise : Find (i) the joint p.df. of Y, =X, +X,+Xz, Yp=Xz, and ¥, = Xy; (ii) the marginal p.d.f. of Y,. Solution (i) Solving the system of equations 9, = x, + 2+ 4%, Yo = Xp, and ys;=x3 for x,, x, and x3, we get x; = 9; — ¥2 — Ys, %,=Y_ and xy=y3. The Jacobian is Oy, Ay, sy t =) 21 Ox, Oy Oxy = ‘ a T= lay, 3, a [fo 1 Oo fat By xg Oy 0-0 1 &, Fn Bh 270 Theory of Statistics Since the transformation is one-to-one, we obtain the joint p.df. of Y,, Y:, and Y; as B0v¥nI9) =e" 11) = { eo y2> 0,930," > 92+ Is 0 otherwise (ii) Integrating out y, and ys, we get Hy PAs Ly2om = 1 fre n>0 ho f 5 J 5 8 a2 bys { 0 otherwise The marginal p.d.f. of Y, can also be determined by using the method based on Theorem 7.3 as modified in (1) and (2). The joint p.d.f. of Y,, X, and X;, is mm 11ibse Ox, £0 2) =n %n 99 || Integrating out x, and xg, we get. WEN hod= =f" f o* dezdey= fe "yy, ~ x3) dy - x =e” (ves - =) = { hyve” 170 a) aoe 2 my 0 oi Example 7.18 (sles N Let X, and X, be two independent standard normal variables. Let Y, =X, +X, and Y, = X,/X,. Find the marginal p.d.f. of Y». Solution Solving y, =x, +x, and y,=x,/x, for x, and xp, we get Yi Pe aad Ral 1 T+ ys a Ty, \ Distribution of Functions of Random Variables 271 Ye My ga [itm Groot 1 nN : T+3a +99" \ ~7Ge+ Dm \ “ata? +99" The joint p.d-f. of X, and X, is fee Se) = Lex [-@? + 2/2] ‘The joint p.d-f. of Y, and Ys is given by Oy ot ty }] Lop fod ru99 = 300 [2 Crest Geant S| Too? ~1 [ 1a todo | TP ty) PET 2 ty Integrating out y,, we get the marginal p.d.f. of Y, £02) = Er FO 9d ay : __ 4 w [-2.¢+se] a f “Bad tyeJ-w OP LB” ayy? 1 1a+y-) sy): Let u=3 oy, enn then du= aan dy, Qty? fle 109 =Be Gao 145 © TO 1 -{*TH# =0 0, Yo > —2y1 0 otherwise Thus the p.d-f. of Y, is given by foo =f r germ dyp=38" — -eo =xJe8 1x, 2n(1 + x97/x;2) Qn(1 + 30/307) xi tm x2 + x, -( + x,2/x,9) exp ie — exp (- sitst) * Qe (1 + xq2/,2) = 2n The joint p.d.f. of Y, and Y, is fOv9D=1, O0, C= Lak, yt ty<1 =0 otherwise Random variables Y,,..., Y, that have a joint p. 0 Gye 2H Viet 80m) Tet 282 Theory of Statistics 1 curtuct Gin pps a { PQ, + one + Ops) Jee ee Yen > 0 (3) 0 > otherwise which shows that (8) is a gamma p.d.f. with parameter (ey + Oty + one + Obpe1)- [oie Example 7.27 in If X,, X_ is a random sample from a standard normal distribution, find the joint p.d.f. of Y, = X,? + X,? and Y,=X,. Solution Solving y, =x, + x." and y,= x, for x, and x, the inverse function is x, = (yj — ys)!" and x» = yo. | 46, - 92) —ye6, — 9.) 1? o 1 The transformation maps {(x,, x): —00<¢,<00, —c0 X; has a i=t bi ial distribution with parameters n and Pp. ‘cample 7,33 . If X,, .., X, are independent r.v.’s having exponential distributions with the same parameter 6, that is 218 n 1G; 8) =e Zo, @). Find the p.d.f. of the rv. Y= 2 X, Distribution of Functions of Random Variables 289 Solution The me. of X; is My,(Q = (1-01) andfor Y= EX, weobtain My(® = Tu -on=a-0” iz ist : which is the m.g.f. of a gamma distrihytion with parameters n and 6, that is 1 yl gH ree” . , (x; n, 0) = x>0 Example 7.34 Assume that Xj, «., X, are independent r.y.’s and X; ~ N(u;, 57). Find the p.d.f. of Y= = a; X;, where a/s are i=l constants. Solution ‘ Since X;~ Ny, 92), then a; X;~ N@; py G's) and Max, © = exp (init + % a7o7*). a For Y= = a;X; we obtain i=. n My@ = TU exp t+ % a2 6? #) ist =exp [Lan t+* Zapo/)e which is the m.g.f, of a normal r.v. Thus a a n Y==z a X,~ w( Za, = ato?) iF1 i=1 i= which shows that any linear combination of independent normal x.v.’s is itself a normally distributed r.v. (In fact, any linear combination of jointly normally distributed r.v.’s is normally distributed. Independence is not required). In particular, if X~ Nyy oy). Y~ N(ty oy) and X and Y are independent, ERE RARE 290 Theory of Statistics then X+ ¥~ Nix + py, of? + oy) and X— ¥~ Muy - By, of toy). If, X, ., X, are iid. rv.’s having Niu, 0, then 2 o Ex-N(wS). bite 7.85 Suppose X~ N(O, 1). Find the distribution of Y= X°, Solution The m.g.f. of Y=X? is \MyO=E =f" we 1 an | vO=B@=] et -Tee de Combining the exponent, we have My = —E in 9 ty 12 Fer “eee Mat-2 =(l-2)%, e<% which is recognized as the m.g.f. of a gamma distribution with parameter n= % and @ = 2, (It is also called a chi-square distribution with 1 d.f.. Example 7.36 Let X, and X, be two independent standard normal rv. Let ¥; = X, + X, and Y, =X, — X;, Find the joint distribution of Y, and Y5. Solution The joint m.g-f. of Y, and Y, is Miya (ty) = Blette%] = E[ eheerrX0G XD] = E[ eho] Distribution of Functions of Random Variables 291 = Ele] pl er] = My (ty ~ t)-Myg(t, +t) = exp (ASO oxy [OEE] ‘2t,? 2ty? = exp [t,+ é2] = exp (%*) exp (@) = My,(t) My,(t)) Thus, Y, and Y, are independent r.v.’s and each has a normal distribution with mean 0 and variance 2. Thus the joint p.@f. of Y, and Y, is 10192) “ere [- %y"}- EE exp [— % yo" 1 : = gq exp [— 4 Or +92) 00

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