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- Parameter Estimation in Lapacian Noise
- PS 1 Questions
- LP Grade 11 - Preparatory Exam (STAT)
- Ch17_A.pdf
- Chapter 6 Continuous Probability Distributions
- Statistics of Fracture
- Mathematical
- Normal distribution.pdf
- 2010_HCI_Paper_2Sol
- Add MAth Normal Dist
- Bell Curve
- NormalDistribution Examples
- Chp 11 Solutions
- Rv Examples
- AL Applied Mathematics 1986 Paper 2
- fit paper
- Business Statistics
- 1
- mcfadyenessay.pdf
- 1-s2.0-S1470160X19307630-main

You are on page 1of 26

Variables

immediate generalization: Suppose X and Y are two random

variables with joint p.d.f f XY ( x, y). Given two functions g ( x, y )

and h( x, y ), define the new random variables

Z g ( X ,Y ) (9-1)

W h ( X , Y ). (9-2)

How does one determine their joint p.d.f f ZW ( z, w) ? Obviously

with f ZW ( z, w) in hand, the marginal p.d.fs f Z (z) and fW (w)

can be easily determined.

1

PILLAI

The procedure is the same as that in (8-3). In fact for given z

and w,

FZW ( z, w) P Z ( ) z,W ( ) w P g ( X , Y ) z, h( X , Y ) w

P ( X , Y ) Dz ,w f XY ( x, y )dxdy, (9-3)

( x , y )Dz , w

inequalities g ( x, y ) z and h( x, y ) w are simultaneously

satisfied.

We illustrate this technique in the next example.

y

Dz ,w

Dz ,w

x

2

Fig. 9.1 PILLAI

Example 9.1: Suppose X and Y are independent uniformly

distributed random variables in the interval (0, ).

Define Z min( X , Y ), W max( X , Y ). Determine f ZW ( z, w).

Solution: Obviously both w and z vary in the interval (0, ).

Thus FZW ( z, w) 0, if z 0 or w 0. (9-4)

give rise to different regions for Dz ,w (see Figs. 9.2 (a)-(b)).

Y Y

( w, w) ( z, z )

( z, z ) yw ( w, w)

X X

(a ) w z ( b) w z 3

Fig. 9.2 PILLAI

For w z, from Fig. 9.2 (a), the region Dz ,w is represented

by the doubly shaded area. Thus

FZW ( z, w) FXY ( z, w) FXY ( w, z ) FXY ( z, z ) , w z, (9-6)

and for w z, from Fig. 9.2 (b), we obtain

FZW ( z, w) FXY ( w, w) , w z. (9-7)

With

x y xy (9-8)

FXY ( x, y ) FX ( x ) FY ( y ) 2 ,

we obtain

(2w z ) z / 2 , 0 z w ,

FZW ( z, w) (9-9)

w 2

/ 2

, 0 w z .

Thus

2 / 2 , 0 z w ,

f ZW ( z, w) (9-10)

0, otherwise . 4

PILLAI

From (9-10), we also obtain

2 z

f Z ( z) f ZW ( z, w)dw 1 , 0 z , (9-11)

z

and

w 2w

fW ( w) f ZW ( z, w)dz , 0 w . (9-12)

0 2

functions, then as in the case of one random variable (see (5-

30)) it is possible to develop a formula to obtain the joint

p.d.f f ZW ( z, w) directly. Towards this, consider the equations

g ( x, y ) z , h( x, y ) w. (9-13)

solutions. Let us say

( x1, y1 ), ( x2 , y2 ), , ( xn , yn ), 5

PILLAI

represent these multiple solutions such that (see Fig. 9.3)

g ( xi , yi ) z, h( xi , yi ) w. (9-14)

y 2

w 1

( x2 , y2 )

w w

( x1, y1 ) i

w

( z , w) ( xi , yi )

z z x

z

n

z ( xn , yn )

(a) (b)

Fig. 9.3

P z Z z z, w W w w

P z g ( X , Y ) z z, w h( X , Y ) w w . (9-15)

6

PILLAI

Using (7-9) we can rewrite (9-15) as

Pz Z z z, w W w w f ZW ( z, w)zw. (9-16)

But to translate this probability in terms of f XY ( x, y ), we need

to evaluate the equivalent region for z w in the xy plane.

Towards this referring to Fig. 9.4, we observe that the point

A with coordinates (z,w) gets mapped onto the point A with

coordinates ( xi , yi ) (as well as to other points as in Fig. 9.3(b)).

As z changes to z z to point B in Fig. 9.4 (a), let B

represent its image in the xy plane. Similarly as w changes

to w w to C, let C represent its image in the xy plane.

w y

D

C D C

w

i

w yi B

A B A

z

z z xi x

7

(a) Fig. 9.4 (b) PILLAI

Finally D goes to D, and ABCD represents the equivalent

parallelogram in the XY plane with area i . Referring back

to Fig. 9.3, the probability in (9-16) can be alternatively

expressed as

P( X ,Y ) f

i

i

i

XY ( xi , yi )i . (9-17)

i

f ZW ( z, w) f XY ( xi , yi ) . (9-18)

i zw

To simplify (9-18), we need to evaluate the area i of the

parallelograms in Fig. 9.3 (b) in terms of zw. Towards this,

let and g1 denote

h1 the inverse transformation in (9-14), so

that

xi g1 ( z, w), yi h1 ( z, w). (9-19)

8

PILLAI

As the point (z,w) goes to ( xi , yi ) A, the point ( z z, w) B,

the point ( z, w w) C , and the point ( z z, w w) D.

Hence the respective x and y coordinates of B are given by

g1 g

g1 ( z z, w) g1 ( z, w) z xi 1 z, (9-20)

z z

and

h1 h1

h1 ( z z, w) h1 ( z, w) z yi z. (9-21)

z z

Similarly those of C are given by

g1 h1

xi w, yi w. (9-22)

w w

The area of the parallelogram ABCD in Fig. 9.4 (b) is

given by

i AB AC sin( )

(9-23)

AB cos AC sin AB sin AC cos . 9

PILLAI

But from Fig. 9.4 (b), and (9-20) - (9-22)

g1 h

AB cos z, AC sin 1 w, (9-24)

z w

h g

AB sin 1 z, AC cos 1 w. (9-25)

z w

so that

g1 h1 g1 h1

i zw (9-26)

z w w z

and

g1 g1

i g1 h1 g1 h1 z w

det (9-27)

zw z w w z

h1 h1

z w

The right side of (9-27) represents the Jacobian J ( z , w) of

the transformation in (9-19). Thus

10

PILLAI

g1 g1

z w

J ( z , w) det .

h

(9-28)

h1

1

z w

1

f ZW ( z, w) | J ( z, w) | f XY ( xi , yi ) f XY ( xi , yi ), (9-29)

i i | J ( xi , yi ) |

since

1

| J ( z , w) | (9-30)

| J ( xi , yi ) |

transformation in (9-13) given by

g g

x y

J ( xi , yi ) det . (9-31)

h h

x y

11

x x i , y yi PILLAI

Next we shall illustrate the usefulness of the formula in

(9-29) through various examples:

Example 9.2: Suppose X and Y are zero mean independent

Gaussian r.vs with common variance 2 .

Define Z X 2 Y 2 , W tan 1(Y / X ), where | w | / 2.

Obtain f ZW ( z, w).

Solution: Here

1 ( x 2 y 2 ) / 2 2

f XY ( x, y ) e . (9-32)

2 2

Since

z g ( x, y ) x 2 y 2 ; w h( x, y ) tan 1 ( y / x ), | w | / 2, (9-33)

y

tan w, or y x tan w. (9-34)

x

12

PILLAI

Substituting this into z, we get

and

y x tan w z sin w. (9-36)

x1 z cos w, y1 z sin w, x2 z cos w, y2 z sin w. (9-37)

We can use (9-35) - (9-37) to obtain J ( z, w). From (9-28)

x x

z w cos w z sin w

J ( z , w) z, (9-38)

y y sin w z cos w

z w

so that

| J ( z, w) | z. (9-39) 13

PILLAI

We can also compute J ( x, y ) using (9-31). From (9-33),

x y

x2 y2 x2 y2

1 1

J ( x, y ) . (9-40)

y x x2 y2 z

x2 y2 x2 y2

Substituting (9-37) and (9-39) or (9-40) into (9-29), we get

f ZW ( z, w) z f XY ( x1 , y1 ) f XY ( x2 , y2 )

z z 2 / 2 2

e , 0 z , | w | . (9-41)

2

2

Thus

/2 z

f Z ( z) f ZW ( z, w)dw e z 2 / 2 2

, 0 z , (9-42)

/ 2 2

1

fW ( w) f ZW ( z, w)dz , | w | , (9-43)

0 2

14

PILLAI

which represents a uniform r.v in the interval ( / 2, / 2).

Moreover by direct computation

f ZW ( z, w) f Z ( z ) fW ( w) (9-44)

results in the following statement: If X and Y are zero mean

independent Gaussian random variables with common

variance, then X 2 Y 2 has a Rayleigh distribution and tan 1(Y / X )

has a uniform distribution. Moreover these two derived r.vs

are statistically independent. Alternatively, with X and Y as

independent zero mean r.vs as in (9-32), X + jY represents a

complex Gaussian r.v. But

X jY Ze jW , (9-45)

good on the entire complex plane we must have W 15 ,

and hence it follows that the magnitude and phase of PILLAI

a complex Gaussian r.v are independent with Rayleigh

and uniform distributions U ~ ( , ) respectively. The

statistical independence of these derived r.vs is an interesting

observation.

Example 9.3: Let X and Y be independent exponential

random variables with common parameter .

Define U = X + Y, V = X - Y. Find the joint and marginal

p.d.f of U and V.

Solution: It is given that

1 ( x y ) /

f XY ( x, y ) e , x 0, y 0. (9-46)

2

only one solution given by

uv uv

x , y . (9-47)

2 2

Moreover the Jacobian of the transformation is given by 16

PILLAI

1 1

J ( x, y ) 2

1 1

and hence

1 u /

fUV (u, v ) 2 e , 0 | v | u , (9-48)

2

represents the joint p.d.f of U and V. This gives

u 1 u u

fU (u ) fUV (u, v )dv 2 e u / dv e u /

, 0 u , (9-49)

u 2 u

2

and

1 1 |v|/

fV ( v ) fUV (u, v )du e u / du e , v . (9-50)

|v| 2 2 |v| 2

Notice that in this case the r.vs U and V are not independent.

As we show below, the general transformation formula in

(9-29) making use of two functions can be made useful even

when only one function is specified. 17

PILLAI

Auxiliary Variables:

Suppose

Z g ( X , Y ), (9-51)

by making use of the above formulation in (9-29), we can

define an auxiliary variable

WX or W Y (9-52)

integration.

Example 9.4: Suppose Z = X + Y and let W = Y so that the

transformation is one-to-one and the solution is given

by y1 w, x1 z w. 18

PILLAI

The Jacobian of the transformation is given by

1 1

J ( x, y ) 1

0 1

and hence

f ZW ( x, y ) f XY ( x1, y1 ) f XY ( z w, w)

or

f Z ( z ) f ZW ( z, w)dw f XY ( z w, w)dw, (9-53)

convolution of f X (z ) and fY (z) if X and Y are independent

random variables. Next, we consider a less trivial example.

Example 9.5: Let X U (0,1) and Y U (0,1) be independent.

Define Z 2 ln X 1 / 2 cos( 2Y ). (9-54)

19

PILLAI

Find the density function of Z.

Solution: We can make use of the auxiliary variable W = Y

in this case. This gives the only solution to be

z sec( 2w ) 2 / 2

x1 e , (9-55)

y1 w, (9-56)

x1 x1 z sec( 2w ) 2 / 2 x1

z sec ( 2w) e

2

z w w

J ( z , w) (9-57)

y1 y1 0 1

z w

z sec( 2w ) 2 / 2

z sec ( 2w)e

2

.

z sec( 2 w )

2

f ZW ( z, w) z sec (2 w) e 2 /2

,

(9-58)

z , 0 w 1, 20

PILLAI

and

z tan(2 w ) / 2

1 1 2

f Z ( z ) f ZW ( z, w)dw e z2 / 2

z sec (2 w) e

2

dw. (9-59)

0 0

that as w varies from 0 to 1, u varies from to .

Using this in (9-59), we get

1

u 2 / 2 du 1

z2 / 2 z2 / 2

f Z ( z) e e e , z , (9-60)

2

2 2

1

variance. Thus Z N (0,1). Equation (9-54) can be used as

a practical procedure to generate Gaussian random variables

from two independent uniformly distributed random

sequences.

21

PILLAI

Example 9.6 : Let X and Y be independent identically distributed

Geometric random variables with

P( X k ) P(Y K ) pq k , k 0, 1, 2,.

(a) Show that min (X , Y ) and X – Y are independent random variables.

(b) Show that min (X , Y ) and max (X , Y ) – min (X , Y ) are also

independent random variables.

Solution: (a) Let

Z = min (X , Y ) , and W = X – Y. (9-61)

Note that Z takes only nonnegative values {0, 1, 2, }, while W takes

both positive, zero and negative values {0, 1, 2, }. We have

P(Z = m, W = n) = P{min (X , Y ) = m, X – Y = n}. But

Y X Y W X Y is nonnegativ e

Z min( X ,Y )

X X Y W X Y is negative.

Thus

P( Z m,W n ) P{min( X ,Y ) m, X Y n, ( X Y X Y )}

P(min( X , Y ) m, X Y n, X Y )

22

P(min( X , Y ) m, X Y n, X Y ) (9-62) PILLAI

P ( Z m,W n ) P (Y m, X m n, X Y )

P ( X m, Y m n , X Y )

P ( X m n ) P (Y m ) pq m n pq m , m 0, n 0

mn

P ( X m ) P (Y m n ) pq pq , m 0, n 0

m

represents the joint probability mass function of the random variables

Z and W. Also

P ( Z m ) P( Z m,W n ) p 2 q 2 m q |n|

n n

p 2 q 2 m (1 2q 2q 2 )

2q

p 2 q 2 m (1 1 q ) pq 2 m (1 q)

p(1 q) q 2 m , m 0, 1, 2,. (9-64)

1 q 2 p(1 q), and PILLAI

P (W n ) P ( Z m,W n ) p 2 q 2 m q |n|

m 0 m 0

p 2 q|n| (1 q 2 q 4 ) p 2 q|n| 1

1q2

1pq q|n| , n 0, 1, 2, . (9-65)

Note that

P( Z m,W n) P( Z m) P(W n), (9-66)

The independence of X – Y and min (X , Y ) when X and Y are

independent Geometric random variables is an interesting observation.

(b) Let

Z = min (X , Y ) , R = max (X , Y ) – min (X , Y ). (9-67)

In this case both Z and R take nonnegative integer values 0, 1, 2, .

Proceeding as in (9-62)-(9-63) we get

24

PILLAI

P{Z m, R n} P{min( X , Y ) m, max( X , Y ) min( X , Y ) n, X Y }

P{min( X , Y ) m, max( X , Y ) min( X , Y ) n, X Y }

P{Y m, X m n, X Y ) P ( X m, Y m n, X Y }

P{ X m n, Y m, X Y ) P ( X m, Y m n, X Y }

pq m n pq m pq m pq m n , m 0, 1, 2,, n 1, 2,

mn

pq pq m

, m 0, 1, 2,, n0

2 p 2 q 2 m n , m 0, 1, 2,, n 1, 2,

2 2m

p q , m 0, 1, 2,, n 0. (9-68)

in (9-67). From (9-68),

P( Z m) P{Z m, R n} p 2 q 2 m (1 2 q n ) p 2 q 2 m 1 p

n 0 n 1

2q

p(1 q)q 2 m , m 0, 1, 2, (9-69) 25

PILLAI

and

p

, n0

1 q

P( R n ) P{Z m, R n}

2p n

m 0 1 q q , n 1, 2,. (9-70)

P( Z m, R n) P( Z m) P( R n) (9-71)

which proves the independence of the random variables Z and R

defined in (9-67) as well.

26

PILLAI

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