Functions of Random Variables

Functions of One Random Variable

Functions of Two Random Variables
The Moment Generating Function
 Introduction
The main purpose of this chapter: Introducing methods
for finding the distribution of a function of the random
variable(s).
Suppose we are given a random variable X with density f X (x) . We apply a
function g to produce a random variable Y = g(X). We can think of X as the
input to a black box and Y the output. We wish to find the density or
distribution function of Y.

2
Methods for finding distribution of function of one or
more random variables:

 Distribution Function Technique

 Transformation Technique
 Moment Generating Function Technique

3
Distribution Function Technique

4
5
6
7
8
9
 One Function of Two Random
Variables

10
11
12
Transformation Technique: One Variable
 The case of a continuous random variable
Definition (Change-of-Variable Technique)

13
 If the possible values of X are c1< x <c2, then the
possible values of Y are u(c1)< y <u(c2).

14
15
Example
Let Y  aX  b. Determine the pdf of Y if X is a uniform random variable over (0,1)

The range is found as follows:

16
 The case of a Discrete random variable

17
18