Curs 4 DEPI - F1va2 - Slides - EN

Functions of 1 RV
The case of uncountable solutions
Decision and estimation in information processing:

course nr. 4
March 16, 2021
Decision and estimation in information processing: course nr. 4

Functions of 1 RV
Conclusions previous course
Functions of 1 RV:
if η = g (ξ), where:
g : R −→ R is a known function;
PDF wξ is also known;
We can compute PDF of η at every point y ∈ R provided that
the number of solutions of equation g (x) = y is either finite
or countable as:
X wξ (xk )
wη (y ) =
|g 0 (xk )|
k
where xk , with k = 1, 2, . . . are the solutions of equation

g (x) = y .

Functions of 1 RV
Functions of 1 RV:
or countable as:
X wξ (xk )
wη (y ) =
|g 0 (xk )|
k

g (x) = y .

Functions of 1 RV
Functions of 1 RV:
or countable as:
X wξ (xk )
wη (y ) =
|g 0 (xk )|
k

g (x) = y .

Functions of 1 RV
Functions of 1 RV:
or countable as:
X wξ (xk )
wη (y ) =
|g 0 (xk )|
k

g (x) = y .

Functions of 1 RV
Functions of 1 RV:
or countable as:
X wξ (xk )
wη (y ) =
|g 0 (xk )|
k

g (x) = y .

Functions of 1 RV
Functions of 1 RV:
or countable as:
X wξ (xk )
wη (y ) =
|g 0 (xk )|
k

g (x) = y .

Functions of 1 RV
Functions of 1 RV:
or countable as:
X wξ (xk )
wη (y ) =
|g 0 (xk )|
k

g (x) = y .

Functions of 1 RV
Example nr. 1
g (x) = ax + b.
We observe that ∀y ∈ R, equation g (x) = y has a single

solution: x1 = y −b
a .
Hence:
wξ (x1 ) 1 y −b
wη (y ) = 0 = wξ .
|g (x1 )| |a| a
Functions of 1 RV
Example nr. 1
g (x) = ax + b.

a .
Hence:
wξ (x1 ) 1 y −b
wη (y ) = 0 = wξ .
|g (x1 )| |a| a
Functions of 1 RV
Example nr. 1
g (x) = ax + b.

a .
Hence:
wξ (x1 ) 1 y −b
wη (y ) = 0 = wξ .
|g (x1 )| |a| a
Functions of 1 RV
Example nr. 1
g (x) = ax + b.

a .
Hence:
wξ (x1 ) 1 y −b
wη (y ) = 0 = wξ .
|g (x1 )| |a| a
Functions of 1 RV
Example nr. 1
g (x) = ax + b.

a .
Hence:
wξ (x1 ) 1 y −b
wη (y ) = 0 = wξ .
|g (x1 )| |a| a
Functions of 1 RV
Example nr. 2
ξ : N (0, σ)
η = ξ2.
In other words, η = g (ξ) with g : R −→ R, g (x) = x 2 .

Functions of 1 RV
Example nr. 2
ξ : N (0, σ)
η = ξ2.

Functions of 1 RV
Example nr. 2
ξ : N (0, σ)
η = ξ2.

Functions of 1 RV
Example nr. 2
The graph of g :
Let y ∈ R. Question: how many solutions has equation

g (x) = y ?
If y < 0, equation g (x) = x 2 = y has no solutions
⇒ wη (y ) = 0
If y > 0, equation g (x) = x 2 = y has two solutions:
√ √
x1 = − y and x2 = y .
Functions of 1 RV
Example nr. 2
The graph of g :

g (x) = y ?
⇒ wη (y ) = 0
√ √
x1 = − y and x2 = y .
Functions of 1 RV
Example nr. 2
The graph of g :

g (x) = y ?
⇒ wη (y ) = 0
√ √
x1 = − y and x2 = y .
Functions of 1 RV
Example nr. 2
The graph of g :

g (x) = y ?
⇒ wη (y ) = 0
√ √
x1 = − y and x2 = y .
Functions of 1 RV
Example nr. 2
The graph of g :

g (x) = y ?
⇒ wη (y ) = 0
√ √
x1 = − y and x2 = y .
Functions of 1 RV
Example nr. 2
The graph of g :

g (x) = y ?
⇒ wη (y ) = 0
√ √
x1 = − y and x2 = y .
Functions of 1 RV
Example nr. 2
The graph of g :

g (x) = y ?
⇒ wη (y ) = 0
√ √
x1 = − y and x2 = y .
Functions of 1 RV
Example nr. 2
The graph of g :

g (x) = y ?
⇒ wη (y ) = 0
√ √
x1 = − y and x2 = y .
Functions of 1 RV
Example nr. 2
The graph of g :

g (x) = y ?
⇒ wη (y ) = 0
√ √
x1 = − y and x2 = y .
Functions of 1 RV
Example nr. 2
Therefore, for y > 0:
√ √
wξ (x1 ) wξ (x2 ) wξ (− y ) wξ ( y )
wη (y ) = |g 0 (x1 )| + |g 0 (x2 )| = 0 √
|g (− y )| + 0 √ .
|g ( y )|
Given that g 0 (x) = 2x:

√ √ √1 exp − y 2
wξ (− y ) wξ ( y ) σ 2π 2σ
wη (y ) = √
2 y + 2√y = 2 √
2 y
= σ√12πy exp − 2σy 2 .


Functions of 1 RV
Example nr. 2
√ √
wξ (x1 ) wξ (x2 ) wξ (− y ) wξ ( y )
wη (y ) = |g 0 (x1 )| + |g 0 (x2 )| = 0 √
|g (− y )| + 0 √ .
|g ( y )|

√ √ √1 exp − y 2
wξ (− y ) wξ ( y ) σ 2π 2σ
wη (y ) = √
2 y + 2√y = 2 √
2 y
= σ√12πy exp − 2σy 2 .


Functions of 1 RV
Example nr. 2
√ √
wξ (x1 ) wξ (x2 ) wξ (− y ) wξ ( y )
wη (y ) = |g 0 (x1 )| + |g 0 (x2 )| = 0 √
|g (− y )| + 0 √ .
|g ( y )|

√ √ √1 exp − y 2
wξ (− y ) wξ ( y ) σ 2π 2σ
wη (y ) = √
2 y + 2√y = 2 √
2 y
= σ√12πy exp − 2σy 2 .


Functions of 1 RV
Example nr. 2
√ √
wξ (x1 ) wξ (x2 ) wξ (− y ) wξ ( y )
wη (y ) = |g 0 (x1 )| + |g 0 (x2 )| = 0 √
|g (− y )| + 0 √ .
|g ( y )|

√ √ √1 exp − y 2
wξ (− y ) wξ ( y ) σ 2π 2σ
wη (y ) = √
2 y + 2√y = 2 √
2 y
= σ√12πy exp − 2σy 2 .


Functions of 1 RV
Example nr. 2
√ √
wξ (x1 ) wξ (x2 ) wξ (− y ) wξ ( y )
wη (y ) = |g 0 (x1 )| + |g 0 (x2 )| = 0 √
|g (− y )| + 0 √ .
|g ( y )|

√ √ √1 exp − y 2
wξ (− y ) wξ ( y ) σ 2π 2σ
wη (y ) = √
2 y + 2√y = 2 √
2 y
= σ√12πy exp − 2σy 2 .


Functions of 1 RV
Example nr. 2
√ √
wξ (x1 ) wξ (x2 ) wξ (− y ) wξ ( y )
wη (y ) = |g 0 (x1 )| + |g 0 (x2 )| = 0 √
|g (− y )| + 0 √ .
|g ( y )|

√ √ √1 exp − y 2
wξ (− y ) wξ ( y ) σ 2π 2σ
wη (y ) = √
2 y + 2√y = 2 √
2 y
= σ√12πy exp − 2σy 2 .


Functions of 1 RV
Example nr. 2
√ √
wξ (x1 ) wξ (x2 ) wξ (− y ) wξ ( y )
wη (y ) = |g 0 (x1 )| + |g 0 (x2 )| = 0 √
|g (− y )| + 0 √ .
|g ( y )|

√ √ √1 exp − y 2
wξ (− y ) wξ ( y ) σ 2π 2σ
wη (y ) = √
2 y + 2√y = 2 √
2 y
= σ√12πy exp − 2σy 2 .


Functions of 1 RV
Example nr. 2
(
√1 exp − 2σy 2

σ 2πy
if y > 0
wη (y ) = .
0 if y ≤ 0

Functions of 1 RV
Example nr. 3
ξ has a uniform distribution over [0, 2π]:
Let η = cos(ξ).
In other words, η = g (ξ) with g : R −→ R, g (x) = cos(x).

Functions of 1 RV
Example nr. 3
The graph of g :

g (x) = y ?
If y 6∈ [−1, 1], equation g (x) = cos(x) = y has no solutions
⇒ wη (y ) = 0
If y ∈ [−1, 1], equation g (x) = cos(x) = y has a countable
number of solutions: x = ± arccos(y ) + 2kπ,
Decision and estimation k ∈processing:
in information Z. course nr. 4
Functions of 1 RV
Example nr. 3
The graph of g :

g (x) = y ?
⇒ wη (y ) = 0
Functions of 1 RV
Example nr. 3
The graph of g :

g (x) = y ?
⇒ wη (y ) = 0
Functions of 1 RV
Example nr. 3
The graph of g :

g (x) = y ?
⇒ wη (y ) = 0
Functions of 1 RV
Example nr. 3
The graph of g :

g (x) = y ?
⇒ wη (y ) = 0
Functions of 1 RV
Example nr. 3
The graph of g :

g (x) = y ?
⇒ wη (y ) = 0
Functions of 1 RV
Example nr. 3
The graph of g :

g (x) = y ?
⇒ wη (y ) = 0
Functions of 1 RV
Example nr. 3
The graph of g :

g (x) = y ?
⇒ wη (y ) = 0
Functions of 1 RV
Example nr. 3
Therefore, for y ∈ [−1, 1]:

X wξ (xk ) X wξ (xk )
wη (y ) = 0
= .
|g (xk )| | − sin(xk )|
k∈Z k∈Z
Question: how many and which xk ∈ [0, 2π]?

(wξ (x) = 0, ∀x 6∈ [0, 2pi]!)
Answer: two values xk ∈ [0, 2π], namely: x1 = arccos(y )
and x1 = 2π − arccos(y ).

Functions of 1 RV
Example nr. 3

wη (y ) = 0
= .
|g (xk )| | − sin(xk )|
k∈Z k∈Z

(wξ (x) = 0, ∀x 6∈ [0, 2pi]!)

Functions of 1 RV
Example nr. 3

wη (y ) = 0
= .
|g (xk )| | − sin(xk )|
k∈Z k∈Z

(wξ (x) = 0, ∀x 6∈ [0, 2pi]!)

Functions of 1 RV
Example nr. 3

wη (y ) = 0
= .
|g (xk )| | − sin(xk )|
k∈Z k∈Z

(wξ (x) = 0, ∀x 6∈ [0, 2pi]!)

Functions of 1 RV
Example nr. 3

wη (y ) = 0
= .
|g (xk )| | − sin(xk )|
k∈Z k∈Z

(wξ (x) = 0, ∀x 6∈ [0, 2pi]!)

Functions of 1 RV
Example nr. 3

wη (y ) = 0
= .
|g (xk )| | − sin(xk )|
k∈Z k∈Z

(wξ (x) = 0, ∀x 6∈ [0, 2pi]!)

Functions of 1 RV
Example nr. 3

wη (y ) = 0
= .
|g (xk )| | − sin(xk )|
k∈Z k∈Z

(wξ (x) = 0, ∀x 6∈ [0, 2pi]!)

Functions of 1 RV
Example nr. 3

wη (y ) = 0
= .
|g (xk )| | − sin(xk )|
k∈Z k∈Z

(wξ (x) = 0, ∀x 6∈ [0, 2pi]!)

Functions of 1 RV
Example nr. 3

wη (y ) = 0
= .
|g (xk )| | − sin(xk )|
k∈Z k∈Z

(wξ (x) = 0, ∀x 6∈ [0, 2pi]!)

Functions of 1 RV
Example nr. 3
Hence:
wξ (x1 ) wξ (x2 )
wη (y ) = |−sin(x1 )| + |−sin(x2 )|
wξ (arccos(y )) wξ (2π−arccos(y ))
= |−sin(arccos(y ))| + |−sin(2π−arccos(y ))|
1 1
1
= 2π
| sin(arccos(y ))| + 2π
| sin(arccos(y ))| = π| sin(arccos(y ))| .
p
But sin(arccos(y )) = 1 − y 2 . (We use the identity
sin2 t + cos2 t = 1 by taking t = arccos(y ).
Hence:
√1
(
for x ∈ (−1, 1)
wη (y ) = π 1−y 2 .
0 otherwise

Functions of 1 RV
Example nr. 3
Hence:
wξ (x1 ) wξ (x2 )
wη (y ) = |−sin(x1 )| + |−sin(x2 )|
1 1
1
= 2π
p
Hence:
√1
(
for x ∈ (−1, 1)
wη (y ) = π 1−y 2 .
0 otherwise

Functions of 1 RV
Example nr. 3
Hence:
wξ (x1 ) wξ (x2 )
wη (y ) = |−sin(x1 )| + |−sin(x2 )|
1 1
1
= 2π
p
Hence:
√1
(
for x ∈ (−1, 1)
wη (y ) = π 1−y 2 .
0 otherwise

Functions of 1 RV
Example nr. 3
Hence:
wξ (x1 ) wξ (x2 )
wη (y ) = |−sin(x1 )| + |−sin(x2 )|
1 1
1
= 2π
p
Hence:
√1
(
for x ∈ (−1, 1)
wη (y ) = π 1−y 2 .
0 otherwise

Functions of 1 RV
Example nr. 3
Hence:
wξ (x1 ) wξ (x2 )
wη (y ) = |−sin(x1 )| + |−sin(x2 )|
1 1
1
= 2π
p
Hence:
√1
(
for x ∈ (−1, 1)
wη (y ) = π 1−y 2 .
0 otherwise

Functions of 1 RV
Example nr. 3
Hence:
wξ (x1 ) wξ (x2 )
wη (y ) = |−sin(x1 )| + |−sin(x2 )|
1 1
1
= 2π
p
Hence:
√1
(
for x ∈ (−1, 1)
wη (y ) = π 1−y 2 .
0 otherwise

Functions of 1 RV
Example nr. 3
Hence:
wξ (x1 ) wξ (x2 )
wη (y ) = |−sin(x1 )| + |−sin(x2 )|
1 1
1
= 2π
p
Hence:
√1
(
for x ∈ (−1, 1)
wη (y ) = π 1−y 2 .
0 otherwise

Functions of 1 RV
Example nr. 3
Hence:
wξ (x1 ) wξ (x2 )
wη (y ) = |−sin(x1 )| + |−sin(x2 )|
1 1
1
= 2π
p
Hence:
√1
(
for x ∈ (−1, 1)
wη (y ) = π 1−y 2 .
0 otherwise

Functions of 1 RV
Example nr. 3
Hence:
wξ (x1 ) wξ (x2 )
wη (y ) = |−sin(x1 )| + |−sin(x2 )|
1 1
1
= 2π
p
Hence:
√1
(
for x ∈ (−1, 1)
wη (y ) = π 1−y 2 .
0 otherwise

Functions of 1 RV
Example nr. 3
The graph of wη :
w (y)
η
1/π
−1 1

Functions of 1 RV

Problem: what happens for those y ∈ R for which g (x) = y
has an uncountable number of solutions?
We shall deal with this problem in the framework of a
particular case:

0 for x < 0
g (x) = .
x for x ≥ 0
We observe that for y0 = 0, the solution of the equation

g (x) = y0 is the whole interval (−∞, 0].
Functions of 1 RV

particular case:

0 for x < 0
g (x) = .
x for x ≥ 0

Functions of 1 RV

particular case:

0 for x < 0
g (x) = .
x for x ≥ 0

Functions of 1 RV

particular case:

0 for x < 0
g (x) = .
x for x ≥ 0

Functions of 1 RV

We will compute the CDF of η:
For y < 0, we have Fη (y ) = P(η ≤ y ) = 0.

For y = 0, we have Fη (0) = P(η ≤ 0) = P(ξ ≤ 0) = Fξ (0).
For y > 0, we have
Fη (y ) = P(η ≤ y ) = P(ξ ≤ x1 ) = P(ξ ≤ y ) = Fξ (y ).
Functions of 1 RV


For y > 0, we have
Functions of 1 RV


For y > 0, we have
Functions of 1 RV
The two CDFs:

Functions of 1 RV
The two PDFs:

Functions of 1 RV
Conclusion:
For those yi ∈ R for which the solution of equation g (x) = yi is an
interval [a, b], in the PDF of η wη there will appear a Dirac
impulse at point y = yi the area of which is
P(ξ ∈ [a, b]) = Fξ (b) − Fξ (a).

Functions of 1 RV
Conclusion:
P(ξ ∈ [a, b]) = Fξ (b) − Fξ (a).

Functions of 1 RV
Conclusion:
P(ξ ∈ [a, b]) = Fξ (b) − Fξ (a).

Functions of 1 RV
Conclusion:
P(ξ ∈ [a, b]) = Fξ (b) − Fξ (a).

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Functions of 1 RV

The case of uncountable solutions

Decision and estimation in information processing:

March 16, 2021

Decision and estimation in information processing: course nr. 4

Conclusions previous course

where xk , with k = 1, 2, . . . are the solutions of equation

Decision and estimation in information processing: course nr. 4

Conclusions previous course

where xk , with k = 1, 2, . . . are the solutions of equation

Decision and estimation in information processing: course nr. 4

Conclusions previous course

where xk , with k = 1, 2, . . . are the solutions of equation

Decision and estimation in information processing: course nr. 4

Conclusions previous course

where xk , with k = 1, 2, . . . are the solutions of equation

Decision and estimation in information processing: course nr. 4

Conclusions previous course

where xk , with k = 1, 2, . . . are the solutions of equation

Decision and estimation in information processing: course nr. 4

Conclusions previous course

where xk , with k = 1, 2, . . . are the solutions of equation

Decision and estimation in information processing: course nr. 4

Conclusions previous course

where xk , with k = 1, 2, . . . are the solutions of equation

Decision and estimation in information processing: course nr. 4

We observe that ∀y ∈ R, equation g (x) = y has a single

We observe that ∀y ∈ R, equation g (x) = y has a single

We observe that ∀y ∈ R, equation g (x) = y has a single

We observe that ∀y ∈ R, equation g (x) = y has a single

We observe that ∀y ∈ R, equation g (x) = y has a single

Decision and estimation in information processing: course nr. 4

Decision and estimation in information processing: course nr. 4

Decision and estimation in information processing: course nr. 4

Let y ∈ R. Question: how many solutions has equation

Let y ∈ R. Question: how many solutions has equation

Let y ∈ R. Question: how many solutions has equation

Let y ∈ R. Question: how many solutions has equation

Let y ∈ R. Question: how many solutions has equation

Let y ∈ R. Question: how many solutions has equation

Let y ∈ R. Question: how many solutions has equation

Let y ∈ R. Question: how many solutions has equation

Let y ∈ R. Question: how many solutions has equation

Therefore, for y > 0:

Given that g 0 (x) = 2x:

Decision and estimation in information processing: course nr. 4

Therefore, for y > 0:

Given that g 0 (x) = 2x:

Decision and estimation in information processing: course nr. 4

Therefore, for y > 0:

Given that g 0 (x) = 2x:

Decision and estimation in information processing: course nr. 4

Therefore, for y > 0:

Given that g 0 (x) = 2x:

Decision and estimation in information processing: course nr. 4

Therefore, for y > 0:

Given that g 0 (x) = 2x:

Decision and estimation in information processing: course nr. 4

Therefore, for y > 0:

Given that g 0 (x) = 2x:

Decision and estimation in information processing: course nr. 4

Therefore, for y > 0:

Given that g 0 (x) = 2x: