Transformation ofVariablesDiscrete

Let X be arandom variable with density of text andY is a randomvariable The relationship
between X andY is givenby Y get Totransform the mapping between X andY mustbe a
one to one then we solvefor X interms of
y
9 y PCY g PCX way Plway
Example

y 1 4,9

Solve for x in terms of y X Y

X F
writegey
gy text 3 I y 149
o otherwise

Transformation of variables Joint Discrete

Suppose X and Xz arediscreterandomvariables with jointprobability distribution fax ily
Let Y g Chita andYa 92 x X andtheydefine a oneto one transformation between
ex xd and all d
y g ax x and 42 921 1 th
willbe uniquely solved for x and X intermsof y andy suchthat X wily Yi andTa weesib
and the joint Probability distribution
of Y andYz
g ly Yal f wild ya We ly bad
Example

m
o fix é im and fixit é cute where X o 1,2 and72 0 I 2 3
ee sea

third Y ftp.t.eu minseem se

for 7 0,112 I 4 0 1,2

s Y get x2 X Az is one to onetransformation

I 42 9 in x2 Xz is one to one transformation
 write x and x interms of Gandy

x2 ya X Y X2 y y for y o 112 and 92 0 1,2 y

Jointdistributionoftherandom variable Y andYz

efaith
M esta
94,142 FIX y y x y for Y 011121 42 0 1,2 g
Cy ya f ye
Weknow that x o and X y yz then for 43,9
7 Distribution of therandomvariable Y Attn

heal gey y étu't't may

É 9
4 9112 IFmÉg
poisson distribution with

Transformation of Variables Continuous

Let X be a randomvariablewithprobabilitydistributiontext LetY six with oneto one
Correspondence between Xand Y The probabilitydistributionof Y is where x way

gy f Weyl 151 where J wig is calledtheJacobian ofthe

transformation
Example

I f x for X 112,34,5
boundries of y
Y 2 3 is a oneto onefunition x 1 4 261 3 1
X Y and J Wly 11 5 y 2151 3 7
I
thedistributionof the randomvariable 4 21 3 is

941 517 2 3
Y El I Cy 7
otherwise
o

gig f 2 31
I icy c7
elsewhere
Transformation of variables Joint Continuous

Suppose X and Xz are continou randomvariables with jointprobability distribution fax it

Let Y g Anita and Ya 92 x X andtheydefine a oneto one transformation between
ex xd and all d
y g ax x and 42 9 l th
willbe uniquely solved for x and X intermsof y andy suchthat X w ly Yi andTa weesibn
and the jointProbability distribution of Y andYz

f wilyMd WilyMy ITI where J

gey yz Y 8 where
84 isthederivative
84 8 of x w lyiyawithrespect
to y and y beingholdconstan
Example

CY I
n o I
yIo 5 1
hi
Xz
Yi
Yi X is a oneto onefunction y y.IEor
Ya AXz is a one tr one function
writing X andXz intermsof y andy

I
o syfy
T son
I 5 5
I
Thejointprobability distribution ofY xp and Y xXz is

914,142 FCA D Xz
G I JI 4
Willy Eyal Yi y I Ozy I
O elsewhere

Transformation ofVariables Notoneto one

When X and Y has that is not one to one Weconsiderthecasein whichthe
atransformation
interval over which X is define can bepartitioned into K mutually disjointsetssuchthat each of
the inservefunctions
se Wily Xz Walyl Xie wkly of y next define a onetoone correspondence

Theprobability of Y i
guy Ed f wily Jil where Ji willy 5 1121 k
 I check it it's included
Example

Moments

MomentGeneratingFunctions

We can use the moment generationfunction to findspecificmoments If we havethe

moments generationfunction we can
find the nth moment by

die Mxch e

Example

momentgenerationfunction Recall binomialdistribution A p q

MyCH Ece e'fax LEE Y p qua

If pet A q s pet no
q Ipet inn g q pet pet 91

My14 petty ptg Ipt I I

The mean isee whichmeans it's the firstmoment

adz MyLt Petta n pet g pet to n ptg p nepttpimp np

Mi np sverifiedas we knowthe meanequalin np

Thevariance is of ECI EENT wealready have Efx andtofindELN

I Malt adz hpet petty

Recall product ruleforderivation

faxgext f x g al tf x gin

If myit np etch1 pet pett9 t et pet 97 o

np ni p p ti t Earp

Mi Np K 7 p ti

53mi Mi n pCnp p tD n'p th p2 np thp nap np np np i p

G npCI p npg verified as wealreadyknowthevarianceequals G npg

ImportantTheorems

fix g y

Linearcombinations ofRandom variables Theoremi

 BookQuestions

f x 3 for X 112,3
5tslimav
I 4 947 2 1 is a oneto one.gs

Solve for x interms of Y x

I for y 1,3 s

The probability distribution of therandomvariable Y is

I 9 113,5
914 2 1 f x yy o elsewhere

X 3 3 E for x 011,213
Y x2 is one to onefor 4 0 1 4,9
Solvefor X interms of Y x Ty for 9 0,114,9

The probability distribution of therandomvariable Y is

F 3 I y o 1,4
9Y N FEAR o elsewhere
 feast x iz y y I f E for xfoiliz 42 0,42 s titter

YeXi th and Y x y are oneto one y o 1,2 and42 2 1 oil 2

8 X Y Xz Xi Yat X2
Y Xz Yz Xz
y 42 2 2 42 41242 and X 242 t 4542

X 91242 and 42 912

2 II
7 2 y
2
gey yz fix if its I t f
yay yay a y

Domain andConditions 7 42012,4

th and Atx 52 when y
Whiff Xi 0,112
Xz 0,112 391 0142 X so liz 42 2 1,01112

Since X andXzare O G 42 0 Y Y

z
9411421
t t E for 41 0,112 42 2 1,01112 Uab Yigio2,4
yayyay zy

if Airtel X 1,2 Xel lil

o elsewhere
 Yi XiXz and Yz Xz arelinearoneto one

solvefor Nanda 42 4 X 41 112,314,6

92 1,213
964,142 f X
Y Xz y 91 112131416 92 11213 45 1.2
o elsewhere
dh
3 4 s b
I 2 PCY 1 PCA I Xz D I
1 Yo f
y p g
z g y
8 4
3
h ly hY i PLY3 p x 1 237
y I 2 3 4 6
hly 48 219 318 29 PCY H
3 PCX 2,112 2
Y
PLY6 P X 2,42 3

ya
Et eux
é't
ITI l E é 4 té
gey gex é te y o i which is a chi squareddistribution
o elsewhere with 2 degree of freedom

Y 8X is one to one with 02428

it II y's 2 II t 52 I 5
X f
89 3 o ys8
gey f x E o elsewhere
 is it coming

W MI is one to one and WSO

EÉÉEE o elsewhere

gcw KmIé 227 w o t I guess

elsewhere

t Y
I Y Y is one to one with aye and f
I
fax
gey ry
I 02yd
elsewhere

gly 5 1 out
o elsewhere

50 0.1

2 o1
P Y 500 g I dy 29 y 2101 0 5324

PLY 500 05324

 Y X14 is one to one for y 4
X Y 4 IT1 1

gy f x y4
3 y 4

g y 33 y 4

PLY 8 I P Ys8 I
I 3253 1 32 152384 7
34
pct 8 4

02 9 1 or W za
O Tze ow z

Z XtY and W X are one to one

X W Y Z W
o Wct 02 Z TI

151
EI EI E 111 1

g Z W f x w y ZW 24 W CZW I o Wa Az I
 Z
f 2 24W Z W dw 24 wz wedw 24 WE y
24 É É 1223 873 423

f z 473 o z I

p EEZ 34 42 dz 243 k

PC KE 7 34
If

Y amoutof kerosene at the beginningofanyday

X amount sold
Let Z be the randomvariablethat showstheamountleft
Z Y X
W Y 1 bothare oneto one off
Reverse y W X W Z

we
9 Wiz flaw Z y w 2 ozz w o awf
marginaldistributionof Z

hz 2 dw 211 Z

h2 211 2 Orzel
 f x x2 fCx fix
e é x o X o
FIX x2
x
fax xz7 X o Xz o

Y X 42 Y2 x
I
title Ix Yz Kittel
x 424
x x2
4
x yay Y O K Y CI
2 41 429 s x y Lg

151 8
11 Yy I yay y yup 4 41

Density function

19241 9 Yay
91414,1 y e

914 Yz y É Y o

s 91421 ii YE dy s goal I o
yet
byparts ii

U Y du e dy

éy Sé dy Ey é o o eco é 1

964,19142 y é 914,142 they'reindependent

fli r 12 rill i osiel oral

let W IR and VFR

I F and r v owe swivel

É
ITI tout 1,15 How checkhind's

g m

sinceit'snot one to one we splitit

Y X X D Xz Ty Nyc

Jil air Tal dry

gey fog III ferry Tal I try 2 dry dry ways

gy
try ocyst
 bend's

Gamma fix é
jape x x o

Mi EEN IN tax
IN park
2 é dx Howtocomplete

thesumetric
of
series
firstterm
2
94
Recall
Ir commonratio

a et et r E et
se et

MACH ECE SE Let L feet et.ge't

Malt et i et
k Cl et

n
99 etq
t.ge
My t E E Get fix Eyet pg Ey etg g
p poiElea 1 Egg
MxG Pet
l get
Themean isee whichmeans it's the firstmoment Real QuotientRule
9Mt x fixg'ex
Pet gf guyz
Mi ad
i get
P It Yet
et ell gets
p 11 get in
11
gear 971 19 of 911,4Pa 1 19 Pp p

mean m p

Thevariance is of ECI ECM wealready have Efx andtofindELN

1 getpet pget Pet Me
Ma adj day
a gey 19 da iiget P Eet
t 1aetC Petsige42tzpqetciget
p detey.ge aey Iget to
P I 9742Pa I 9
i g P't P9 Pj
9 Ptp r Pptap 2
1

o
281 Ipa Variace 03 Tp
p
Taylorseriesexpansion e
using
EY
Ém inourcase x e'm an n x

einen
MyCH ECE Eettix Eye e'y em
1 EY ém let.pl e

encet i
mene Mxltl
The mean isee whichmeans it's the firstmoment
let feet 1 emlet1
n ad em s met N yet em
my
to
mean y
Thevariance is of ECI ECM wealready have Efx andtofindELN
let
I t yet p dat et de etat emy
ettmet memettnet
Ma I Malt ly

MEemCity nCity M's a Intl

 GEM'M A
variance 529

µ s Ele't sad Iet 4 e4 yet to

é ye 4

mean 4

I It
4elettet
4é
detest
45 g te'tt ye e4
t
yet it
lez I
4é e 41 415 20

52 20 412 52 4 and 6 2

IE
é Y
P 4 4 24 4 PCO xp x

PCOCK8 0.9306

notincluded
Q 722 isbasedonthis notincluded too

exponentialdistribution
text e B x o

f é é fly et
x
f
f xy é x o y o

U is one to one and the inverseis X U Y u u luv x ur

V is one to one and the inverse is v
y KY a y ou

iii o
 I ult ul
Y Y
nu UV utnv u

ITI U

x uv y u uv we Mae
we no usual why
flair

a flu of've du we
ul UE for 470

b fol fue du ni't e du net é Y é 1

flu I for usual

is it included