확률 및 random variable

Functions of Random Variables

6.1 Introduction

 6.1 Introduction

◈ The events are functions of other events

- 예) the time until a complex system fails = a functions of the time to failure of the individual
components that make up the system
- 또 어떤 예가 있는가?

◈ Function 이란?
 Functions of Random Variables

6.2 Functions of One Random Variable

 Definition

◈ Linear Function 물리적인 의미를 생각해 볼 것!

g ( X ) = aX + b a, b : constants

a : positive value인 경우 a : negative value인 경우

FY ( y ) = P{Y ≤ y} = P[aX + b ≤ y ] FY ( y ) = P{Y ≤ y} = P[aX + b ≤ y ] = P[aX ≤ y − b]

y −b y −b y −b y −b  y −b 
= P[ X ≤ ] = FX ( ) = P[ X ≥ ] = 1 − P[ X ≤ ] = 1 − FX  
a a a a  a 

y −b
dFX ( ) 1 y −b
dF ( y ) a  dF (u )  du  fY ( y) = − fX ( )
fY ( y) = Y = = X   a a
dy dy  du  dy 
y − b du 1
u= , =
a dy a
1 1 y −b 1 y −b
fY ( y) = f X (u ) = f X ( ) fY ( y) = fX ( )
a a a a a

◈ Example 6.1) 그림으로 그려서 이해할 것, 또한 g(x)=-2X+7인 경우를 그림을 그려서 이해할 것

y−7 1 y−7
g ( X ) = 2 X + 7 → FY ( y ) = FX ( ), fY ( y) = ( ) f X ( )
2 2 2
 Functions of Random Variables

6.2 Functions of One Random Variable

 Definition

◈ Linear Function

y0 = T ( x0 ) or x0 = T −1 ( y0 )
T-1 : inverse of the transformation T
X와 Y는 one-to-one correspondence

FY ( y0 ) = P{Y ≤ y0 } = P{ X ≤ x0 } = FX ( x0 )

: 두 사건의 확률은 같아야 하므로

: monotonic increasing y0 x0 =T −1 ( y0 )
FY ( y0 ) = ∫−∞
f Y ( y )dy = ∫
−∞
f X ( x)dx = FX ( x0 )

: Leibniz rule에 의하여

dx0 dT −1 ( y0 )
f Y ( y 0 ) = f X ( x0 ) = f X ( x0 )
dy0 dy0

: 일반화하면

dT −1 ( y ) dx
: monotonic decreasing f Y ( y ) = f X ( x) = f X ( x)
dy dy
 Functions of Random Variables

6.2 Functions of One Random Variable

Y
 Definition

◈ Power Function 물리적인 의미를 생각해 볼 것! y

g ( X ) = cX 2 하나의 Y에 대해 2개의 X값이 있음 X

– y y

CDF
FY ( y ) = P{cX 2 ≤ y} = P{ X ≤ y / c} y > 0
= P{− y / c ≤ X ≤ y / c } = FX ( y / c ) − FX ( − y / c )

d( y / c) d (− y / c )
PDF fY ( y) = f X ( y / c ) − f X (− y / c )
dy dy 1 −1/ 2
u= y = y1/ 2 , du / dy =
[ ]
y
d dF (u ) du dFX (−u ) du 변수치환 2
= f X ( y / c ) − f X (− y / c ) = X +
dy du dy du dy

=
1  dFX (u ) dFX (−u ) 
 du +
2 cy 

du  2 cy
=
1
[
f X ( y / c ) + f X (− y / c ) ]
◈ Example 5.2) normal분포의 power function의 CDF와 PDF를 구하라.

1
e−x FY ( y ) = FX ( y ) − FX (− y ) = 2 FX ( y ) − 1
2
f x ( x) = /2
2π
u= y = y1 / 2 ,
dFY ( y ) dF (t ) 1 1
1 fY ( y) = =2 X = f X ( x)
du / dy = y −1/ 2 dy du 2 y y
2
 Functions of Random Variables

6.3 Expectation of a Function of One Random Variable

 6.3.1 Moments of a Linear Function

∞
E[ g ( x)] = E[aX + b] = ∫ (aX + b) f
−∞
X ( x)dx

= aE[ X ] + b

Var[ g ( x)] = Var[aX + b] = E[(aX + b − E[aX + b]) 2 ]

= E[(aX + b − aE[ X ] − b) 2 ] = E[(aX − aE[ X ]) 2 ]
= E[a 2 X 2 − 2a 2 XE[ X ] + a 2 E[ X ]2 ]
= E[a 2 ( X 2 − 2 XE[ X ] + E[ X ]2 )] = a 2 E[( X − E[ X ]) 2 ]
= a 2σ X2

평균 : aa x + b

분산 : σ y2 = a 2σ x2
 Functions of Random Variables

6.4 Sums of Independent Random Variables

 PDF and CDF of sum of random variables

◈ 통계적 독립인 2개의 R.V.의 합의 PDF와 CDF를 구해보자.

W = X +Y 공학문제에서 매우 일반적인 경우에 해당 (예: X는 랜덤전압, Y는 랜덤 잡음)

by definition
FW ( w) = P{W ≤ w} = P{ X + Y ≤ w}
x2 y2
(5) P{x1 < x ≤ x2 , y1 < y ≤ y 2 } = ∫ ∫
x1 y1
f X ,Y ( x, y )dxdy

∞ w− y
x+y가 w보다 작은 영역 FW ( w) = ∫ ∫
− ∞ x = −∞
f X ,Y ( x, y )dxdy

Statistically independent
∞  w− y 
FW ( w) = ∫
−∞
f Y ( y )
 ∫
x = −∞
f X ( x)dx  dy


∞ ∞ ∞
∫ ∫ ∫
d
FW ( w) = f Y ( y ) FX ( w − y )dy → fW ( w) = f Y ( y ) FX ( w − y )dy = f Y ( y ) f X ( w − y )dy
−∞ dw −∞ −∞

◈ The pdf of the sum of two statistically independent r.v. is the convolution of their individual pdf.
 Functions of Random Variables

6.4 Sums of Independent Random Variables

 PDF and CDF of sum of random variables

◈ Example 6.3) simple application

1
f X ( x) = f Y ( y ) = [u ( x) − u ( x − 4)]
4
∞ ∞
∫ ∫
1
fW ( w) = f Y ( y ) f X ( w − y )dy = [u (yx) − u (y
x − 4)][u ( w − y ) − u ( w − y − 4)]dy
−∞ 16 −∞

w가 0보다 작을 때 w가 0보다 크고 4보다 작을 때 최종 값

fY(w-y) fY(y) fY(w-y) fY(y) fW(w)

1/4 1/4 1/4

w-y-4 w-y 0 4 0 4 0 4 8
w-y-4 w-y
 Functions of Random Variables

6.4 Sums of Independent Random Variables

 PDF and CDF of sum of random variables

◈ Example 6.4) a more general case of Example 6.3

fX ( x ) f Y ( y) 1
1- f X ( x) = [u ( x − b) − u ( x − a )]
---------- b−a
d–c
1 1
-----------
b–a f Y ( x) = [u ( x − d ) − u ( x − c)]
d −c
a b c d

f X ( x) fY ( z – x ) f X ( x) fY ( z – x )fX ( x ) f Y( z – x )

x x
z –da z – c z b a z– d z– c b z x a z–d bz–c z
(i) (ii) (iii)
 Functions of Random Variables

6.4 Sums of Independent Random Variables

 Moments of sum of random variables

◈ Mean of S = X+Y
∞ ∞
E[ S ] = E[ X + Y ] = ∫ ∫
−∞ −∞
( x + y ) f XY ( x, y )dxdy
∞ ∞ ∞ ∞  두개의 R.V.의 기대값의 합으로 주어짐.
= ∫ ∫
−∞ −∞
xf XY ( x, y )dxdy + ∫ ∫
−∞ −∞
yf XY ( x, y )dxdy
∞ ∞
= ∫ xf X ( x)dx + ∫ yfY ( y )dy = E[ X ] + E[Y ]
−∞ −∞
 Functions of Random Variables

6.4 Sums of Independent Random Variables

 Sum of discrete random variables

◈ Example 6.8) uniform r.v. 의 합  주사위 1개와동전 던지기 or 주사위 2개 던지기