6 TRANSFORMATIONS 203 EXAMPLE 20) Fy(x) = (I — e**)io, 0X). Fx'(y) = — (1/4) log, (1 — y);80 —(1/4) log, (1 — U) is a random variable having distribution (1 — e~**) Too, \(2) if U is a random variable uniformly distributed over the interval 0, 1). Mil The transformation Y = Fy(X) is called the probability integral trans- formation. It plays an important role in the theory of distribution-free statistics and goodness-of-fit tests. 6 TRANSFORMATIONS In Sec. 5 we considered the problem of obtaining the distribution of a function of a given random variable. It is natural to consider next the problem of obtaining the joint distribution of several random variables which are functions of a given set of random variables. 6.1 Discrete Random Variables Suppose that the discrete density function fy, ..., x (1s «+++ %,) of the nm dimensional discrete random variable (X1, ..., X,) is given. Let ¥ denote the mass points of (X,, ..., X,); that is, HA X15 oe Bn) Arty xg Rts +22 a) > OF. Suppose that the joint density of ¥y = gi(X1s ++. Xp)s eee Ye =u Xts «os X_) is desired. It can be observed that ¥;, ..., Y_ are jointly discrete and PLY, = Va5 205 Ye = Yel =F. rae Me) = DS cg, oy xg My «qe Where the summation is over those (x,, ..., x,) belonging to X for which (14, ...+34) = (Gal%i> o20s Xa)s veer Gel%ts +09 Xn))- EXAMPLE 21 Let (X;, X2, X3) have a joint discrete density function given by (1, ¥25 3) | (0, 0, 9) | 0,0, d/@ 1, »| (1, 0, 1) [a Loyd, 1,1 Ree)204. pIsTRIBUTIONS OF FUNCTIONS OF RANDOM VARIABLES 7 Find the joint density of Y,=9,(X,, X2, X3)=X,+X,+X, and Ya = 92(X1, X2, X3) = |X3 — X2]- X = {(0, 0, 0), (0,0, 1), (0, 1, 1), (1,0, 1), (1, 1, 0), (4, 1, 1)}. Srs,1(0, 0) = Si, x2, 505 0,0) = 4 Sri 1) = fir 12,230, 0, 1) = 3, Sr r2; 0) = fxsx2,x0 1 = Sry. v(2 1) = Fics, x2, 2(1 0) 1) + Sarre, xa 1, 0) and Frssr2B; 0) = fra, x2, x51 1, 1) Hill 6.2. Continuous Random Variables Suppose now that we are given the joint probability density function Frtscnxi%tr «+++ %q) Of the mdimensional continuous random variable OX). Let {5 oe Be) Sea ns KBs 219 Xn) > Of. 38) ‘Again assume that the joint density of the random variables ¥, = 9,(X1,.--. X_)s » Y= 9(X1,..., X,) is desired, where k is some integer satisfying | G3 then we will find the joint distribution of ¥,,..., Y,, and finally we will find the desired marginal distribution of Y,,..., Y, from the joint dis- tribution of Y,,..., Y,. This use of possibly introducing additional random variables makes the transformation y, = 9)(x1, ---5 %)> + = Ggl%qp v20 Xq) a transformation from an n-dimensional space to an n-dimensional space. Henceforth we will assume that we are secking the joint distribution of Y; = G(X ys 0205 Xq)y vey Vy =Ga(Xas +++, X,) (rather than the joint distribution of Y;, «++» Y,) when we have given the joint probability density of X;, ..., X,- We will state our results first for 7 =2 and later generalize to > 2. Let fx,,x,(%1» X2) be given, Set ¥ ={(x1, X2):fx,,x,%1» ¥2) > 0}. We want to find the joint distribution of Y, = 9,(X;, Xz) and Y, = g2(X,, X2) for known functions g,(+, *) and g,(-, *). Now suppose that yy =9,(x1, x2) and y2 = G2(%1, X2) defines a one-to-one transformation which maps X onto, say, 9. x, and x, can be expressed in terms of y, and y2; so we can write, say, x; = GeO» Y2) and X2 = 97'(V1, Y2)- Note that X is a subset of the x, plane and is a subset of the y,y2 plane. The determinantTRANSFORMATIONS 205 lax, ax, ley: dy2| G9) ee, ara Joy, dy2| will be called the Jacobian of the transformation and will be denoted by J. The above discussion permits us to state Theorem 13. @ Gi) Gil) Theorem 13 Let X, and X; be jointly continuous random variables with density function fy,, xxi» X2). Set ¥ ={(x1, *2)! fa, xa» ¥2) > O}- Assume that: Vi =9i(%1, Xz) and y2 =92(x1, X2) defines a one-to-one transformation of ¥ onto 9. The first partial derivatives of x,=g;4(y1s Y2) and x2 =93 (1 Y2) are continuous over ). The Jacobian of the transformation is nonzero for (y1, 2) € V- Then the joint density of ¥; =9,(X,, X2) and Y, =g,(X,, X2) is given by Les vi1» Ya) = [FFs xa(97 as Ya)s 92 "1s V2)» Ya) (40) PRoor We omit the proof; it is essentially the same as the derivation of the formulas for transforming variables in double integrals, which may be found in many advanced calculus textbooks. 9 is that subset of the V:¥2 plane consisting of points (y4, y2) for which there exists a (x1, x2) € X such that (Y, ¥2) = (G1(%1s ¥2)s G2(%1» X2)). Tg(Y1» Ya) = IAGO» Ya)s 92's Y2))- Mil EXAMPLE 22 Suppose that X, and X, are independent random variables, each uniformly distributed over the interval (0, 1). Then fy,,x,(%1, ¥2) = Too, 1% o,1y%2)) ¥ ={(%q, 92): O< xy <1 and O O and wn 2. We will state the generalization of Theorem 14, (Theorem [3 is. special case of Theorem Theorem 15 Let X,,X;,...,X, be jointly continuous random variables with density function fry, ...xs(X1r «09 Xe Let ¥= {Hy «5 4)! xO, ..., ¥,)>0}. Assume that ¥ can be decomposed into sets Ryy se) Eq such that yy = G1%, .-+5 Xs Yo = GalXty -2s Has os In = Gn(X15 ++, Xq) i8 a One-to-one transformation of X; onto Y,i=1,..., m. Let xy =9ii' (15 «+25 Yah 2-9 Xn = Gui ar «+1 Yn) denote the inverse transformation of ) onto X,,=1,...,m. Define Ogi Ogu’ | agit ay, Ayn On Boa Bon! |, Aga ey, Oya OY, 89m" 20m | Og® ey, Oya Yq fori=1,..., m. Assume that all the partial derivatives in J, are continuous over and the determinant J, is nonzero, i = Sesser Ya(Vae 9 Ind = QE Scss on ta(G I 6 Yue ees Dai! os Yu) (42) for (Yj --+5 Yq) in Y. Wi EXAMPLE 27 Let X,, Xz, and X be independent standard normal random variables, yy = xy, Y2= (x1 + x2)/2, and ys = (x, +x2+x3)3. Then X= Ny X2 = 2y2— yy, and x3 =3y; —2y2; so the transformation is one-to-one. (m =I in Theorem 15.)212. pisrRIBUTIONS OF FUNCTIONS OF RANDOM VARIABLES : Srisvas vgs Ya Vs) = [FV Fru.x2, xs» 2» ¥3) : -(55) exp {403 + 2y2 — ys)? + Bys — 292)"D Ao = (z) expl—42yt — 4ysy2 + 8y3 — 12ya ys + 999)1 z The marginal distributions can be obtained from the joint distribution; for instance, Fis) = J fron yar ya)dys dy ae = (Ga) J expt—46y3 — 12y2 95 + 999)] x ([Texpt-s092 - 4yuys +2yD dys) ae 672 (Ga) [° expt—Hor3 — 12y2 93 + 6yDexpl—4Gy3)] dvz a) low = (V3//2n) expl— 43s that is, Y3 is normally distributed with mean 0 and variance }. MI PROBLEMS 1 (@) Let Xi, X2,and X3 be uncorrelated random variables with common variance o, Find the correlation coefficient between X; + X2 and X2 + Xs. (b) Let X, and Xz be uncorrelated random variables. Find the correlation coefficient between X; + X2 and ¥2— X; in terms of var [X;] and var [X2]. (©) Let X,, X:, and Xs be independently distributed random variables with common mean # and common variance 67. Find the correlation coefficient between X2— Xi: and Xs— Xi. 2. Prove Theorem 2. 3 Let X have c.f. Fx(-)= F(-). What in terms of F(-) is the distribution of XMo, (X) = max [0, X]? 4 Consider drawing balls, one at a time, without replacement, from an urn containing M balls, K of which are defective. Let the random variable X(¥) denote the number of the draw On which the first defective (nondefective) ball is obtained. Let Z denote the number of the draw on which the rth defective ball is obtained. (a) Find the distribution of x.