TRANSFORMATION OF

FUNCTION OF A RANDOM
VARIABLE
UNIVARIATE
TRANSFORMATIONS
TRANSFORMATION OF RANDOM
VARIABLES
• If X is an rv with cdf F(x), then Y=g(X) is
also an rv.

• If we write y=g(x), the function g(x) defines

a mapping from the original sample space
of X, S, to a new sample space, , the
sample space of the rv Y.
g(x): S 
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 TRANSFORMATION OF RANDOM
VARIABLES
• Let y=g(x) define a 1-to-1 transformation.
That is, the equation y=g(x) can be solved
1
uniquely: x  g ( y)
• Ex: Y=X-1  X=Y+1 1-to-1
• Ex: Y=X²  X=± sqrt(Y) not 1-to-1
• When transformation is not 1-to-1, find
disjoint partitions of S for which
transformation is 1-to-1.
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TRANSFORMATION OF RANDOM
VARIABLES
If X is a discrete r.v. then S is countable. The sample
space for Y=g(X) is ={y:y=g(x),x S}, also
countable. The pmf for Y is

fY  y   P Y  y    P  X  x   f  x
xg 1  y  xg 1  y 

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 Example
• Let X~GEO(p). That is, f (x)  p(1  p) x 1 for x  1,2,3,...
• Find the p.m.f. of Y=X-1
• Solution: X=Y+1

f Y ( y)  f X ( y  1)  p(1  p) y for y  0,1,2,...

• P.m.f. of the number of failures before the first
success
• Recall: X~GEO(p) is the p.m.f. of number of
Bernoulli trials required to get the first success
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 Example
• Let X be an rv with pmf
 1/ 5, x  2
 1/ 6, x  1

p  x    1/ 5, x  0
 1/15, x  1

11/ 30, x  2

Let Y=X2. S ={2,  1,0,1,2}  ={0,1,4}

 1/ 5, y  0

p( y )   7 / 30, y  1
17 / 30, y  4 6

 FUNCTIONS OF CONTINUOUS
RANDOM VARIABLE
• Let X be an rv of the continuous type with pdf f.
Let y=g(x) be differentiable for all x and non-zero.
Then, Y=g(X) is also an rv of the continuous type
with pdf given by

 d 1
1
 f ( g ( y )) | g ( y ) | for y 
h( y )   dy
0
 o.w.

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 FUNCTIONS OF CONTINUOUS
RANDOM VARIABLE
• Example: Let X have the density
1, 0  x  1
f  x  
0, otherwise
Let Y=eX.
X=g1 (y)=log Y dx=(1/y)dy.
1
h  y   1. ,0  log y  1
y
1
 , 1 y  e
h y    y
0, otherwise 8

 FUNCTIONS OF CONTINUOUS
RANDOM VARIABLE
• Example: Let X have the density
1  x2 / 2
f  x  e ,   x  .
2

Let Y=X2. Find the pdf of Y.

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 CDF method
2x
• Example: Let F( x )  1  e for x  0
Consider Y  e X . What is the p.d.f. of Y?
• Solution:
FY ( y)  P(Y  y)  P(e X  y)  P(X  ln y)
 FX (ln y)  1  y  2 for y  1
d
f Y ( y)  FY ( y)  2 y 3 for y  1
dy

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 CDF method
• Example: Consider a continuous r.v. X,
and Y=X². Find p.d.f. of Y.
• Solution:
FY ( y)  P(X 2  y)  P( y  X  y )  FX ( y )  FX ( y )
d d
f Y ( y)  f X ( y ) ( y )  f X (  y ) (  y )
dy dy
1
 [f X ( y )  f X ( y )]
2 y

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 TRANSFORMATION OF
FUNCTION OF TWO OR MORE
RANDOM VARIABLES
BIVARIATE
TRANSFORMATIONS
 DISCRETE CASE
• Let X1 and X2 be a bivariate random vector
with a known probability distribution function.
Consider a new bivariate random vector (U, V)
defined by U=g1(X1, X2) and V=g2(X1, X2)
where g1(X1, X2) and g2(X1, X2) are some
functions of X1 and X2 .

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 DISCRETE CASE
• Then, the joint pmf of (U,V) is

fU ,V u, v   PrU  u,V  v    f X1 , X 2 x1 , x2 

 x1 , x2 AU ,V

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 EXAMPLE
• Let X1 and X2 be independent Poisson
distribution random variables with parameters
1 and 2. Find the distribution of U=X1+X2.

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 CONTINUOUS CASE
• Let X=(X1, X2, …, Xn) have a continuous joint
distribution for which its joint pdf is f, and
consider the joint pdf of new random variables
Y1, Y2,…, Yk defined as
Y1  g1 X1 , X 2 , , X n  

Y2  g 2  X1 , X 2 , , X n 
*
 
Yk  g k  X1 , X 2 , , X n 
T
X Y
~ ~ 16
 CONTINUOUS CASE
• If the transformation T is one-to-one and onto,
then there is no problem of determining the
inverse transformation, and we can invert the
equation in (*) and obtain new equations as
follows:

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 CONTINUOUS CASE
x1  g1  y1 , y2 , , yk 
1 

x2  g 21 y1 , y2 , , yk  
* *
 

xn  g n  y1 , y2 , , yk  n 
1
1
• Assuming that the partial derivatives g i /
y i
exist at every point (y1, y2,…,yk=n). Under these
assumptions, we have the following
determinant J
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 CONTINUOUS CASE
 g11 g11 
  
 y1 yn 
J  det     
 g 1 g 1 
 n  n

 y1 yn 

called as the Jacobian of the transformation
specified by (**). Then, the joint pdf of Y1,
Y2,…,Yk can be obtained by using the change
of variable technique of multiple variables.
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 CONTINUOUS CASE
• As a result, the new p.d.f. is defined as
follows:
 
 f X1 ,, X n g11 , g 21 ,, g n1 | J |, for  y1 , y2 ,, yn   
g  y1 , y2 ,, yn   
0, otherwise

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 Example
• Recall that I claimed: Let X1,X2,…,Xn be
independent rvs with Xi~Gamma(i, ).

Then,  X ~ Gamma   ,  
n n

i i
i 1 i 1

• Prove this for n=2 (for simplicity).

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 M.G.F. Method
• If X1,X2,…,Xn are independent random
variables with
n
MGFs M xi (t), then the
MGF of Y   Xi is MY (t)  MX1 (t)...MXn (t)
i 1

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 Example
• Recall that I claimed:

~ Bin  n , p . Then,
independent

Let X i i

 X ~ Bin  n  n   n , p .
k

i 1 2 k
i 1

• Let’s prove this.

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 Example
• Recall that I claimed: Let X1,X2,…,Xn be
independent rvs with Xi~Gamma(i, ).
Then,

 X ~ Gamma   ,  
n n

i i
i 1 i 1

• We proved this with transformation

technique for n=2.
• Now, prove this for general n.
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 More Examples on
Transformations
• Example 1:
• Recall that I claimed: If X~N( , 2), then
X 
Z ~ N (0,1)

• Let’s prove this.

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 Example 2
• Recall that I claimed:
Let X be an rv with X~N(0, 1). Then,
X ~
2
1
2

Let’s prove this.

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 Example 3
• Let X~N( , 2) and Y=exp(X). Find the
p.d.f. of Y.

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 Example 4
Recall that I claimed:
• If X and Y have independent N(0,1)
distribution, then Z=X/Y has a Cauchy
distribution with =0 and σ=1.
Recall the p.d.f. of Cauchy distribution:
1 1
f (x)  ,  0
 1 ( x 
)2


Let’s prove this claim.

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 Example 5
• See Examples 6.3.12 and 6.3.13 in Bain
and Engelhardt (pages 207 & 208 in 2nd
edition). This is an example of two
different transformations:
• In Example 6.3.12: In Example 6.3.13:
X1 & X2 ~ Exp(1) X1 & X2 ~ Exp(1)
Y1=X1 Y1=X1-X2
Y2=X1+X2 Y2=X1+X2
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 Example 6
• Let X1 and X2 are independent with
N(μ1,σ²1) and N(μ2,σ²2), respectively. Find
the p.d.f. of Y=X1-X2.

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