Jacobian Transformation

Introduction One Function of Random Variables
Functions of a Random Variable: Density
Let g(x) = y be a one-to-one function whose derivative is nonzero
Math 425
Intro to Probability
Lecture 30
on some region A of the real line.

Suppose g maps A onto B, so that there is an inverse map
x = h(y ) from B back to A.
Let X be a continuous random variable with known density f (x).
Kenneth Harris
kaharri@umich.edu
Let Y = G(X ). Then the density of Y is
Department of Mathematics
University of Michigan

d

fY (y ) = fX h(y ) h(y ).
dt
April 3, 2009
Note: Compare to Ross, Theorem 5.7.1, page 243.
Kenneth Harris (Math 425)
Math 425 Intro to Probability Lecture 30
April 3, 2009
1 / 32
Two Functions of Two Random Variables
April 3, 2009
3 / 32
Problem
Definition Nice Transformations
Let the continuous random variables (X , Y ) have joint density

fX ,Y (x, y ) and let A = {(x, y ) : fX ,Y (x, y ) > 0}.
(X , Y ) determines a point with xy -coordinates in the region A.
Definition
A transformation from xy -coordinates to uv -coordinates (xy uv )
given by
Consider the continuous random variables (U, V ) given by

U = g1 (X , Y )
u = g1 (x, y )
(U, V ) determines a point with uv -coordinates in some region B.

Problem. If the transformation from xy -coordinates to uv -coordinates
given by
u = g1 (x, y )
v = g2 (x, y ).
is nice on A, then we can produce the joint density fU,V (u, v ) for the
random variable (U, V ).
v = g2 (x, y ).
is nice on A, if
V = g2 (X , Y ).
April 3, 2009
u v
v
The partial derivatives u
x , y , x , and y exist and are continuous
on A.
The Jacobian of the transformation is nonzero on A:

u
x
J(x, y ) = v
x
u
y
v
y
u v
u v
6= 0
x y
y x
whenever (x, y ) A.
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April 3, 2009
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Change of coordinates
Jacobians
A nice transformation on A (xy uv ) amounts to simply a change
of coordinates of the plane from xy -coordinates to uv -coordinates.

We can recover the original xy -coordinates from the new
uv -coordinates.

u
x
J(x, y ) = v
x
u
y
v
y
v = g2 (x, y )
x

J(u, v ) = u
y
x
v
y
v
to uv -coordinates on a region B.
There is a reverse transformation (uv xy ) from uv -coordinates to
xy -coordinates
x = h1 (u, v )
y = h2 (u, v ).
u v
u v
x y
y x
x y
x y
u v
v u
Since (xy uv ) is nice on A,
J(x, y ) 6= 0 whenever (x, y ) A and

J(u, v ) 6= 0 whenever (u, v ) B.
Furthermore, the two Jacobian determinants are inverses
which maps B onto A and which are also nice on B.


The Jacobian of the inverse transformation (uv xy ) is the
determinant
Suppose (xy uv ) is nice transformation on A

u = g1 (x, y )

The Jacobian of the original transformation (xy uv ) is the
determinant
J(x, y ) = J(u, v )1
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April 3, 2009
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Main Theorem
Picture of Theorem
Theorem
fU,V (u, v ) du dv P {(U, V ) B}

Let (X , Y ) be continuous random variables with joint density fX ,Y (x, y ), and

(U, V ) be random variables given by
U = g1 (X , Y )

P {(X , Y ) A} fX ,Y (x, y ) J(u, v ) du dv
V = g2 (X , Y ).
Suppose the (xy uv ) transformation

u = g1 (x, y )
v = g2 (x, y ).
is nice on A = {(x, y ) : fX ,Y (x, y ) 6= 0}.

Let the inverse (uv xy ) from B to A be
x = h1 (u, v )
UV
XY
P8HU,VLDB<
P8HX,YLDA<
DB
y = h2 (u, v ).
The joint density of (U, V ) is given for (u, v ) B by eitherequation
Hu,vL
DA
Hx,yL
dv
du
fU,V (u, v ) = fX ,Y h1 (u, v ), h2 (u, v ) J(u, v )

fU,V (u, v ) = fX ,Y h1 (u, v ), h2 (u, v ) J(x, y )1
Area of DB = dudv
Area of DA = JHu,vLdudv
whichever is more convenient to compute.

April 3, 2009
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April 3, 2009
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Example
Sketch of Proof of Theorem
Let B B and suppose (uv xy ) maps B to A A.

P {(U, V ) B}
Example. Let X and Y be continuous random variables with joint

density fX ,Y (x, y ) and where X 6= 0. Consider
= P {(X , Y ) A}
Z Z
=
fX ,Y (x, y ) dx dy
(x,y )A
Z Z

=
fX ,Y h1 (u, v ), h2 (u, v ) J(u, v ) du dv
using the Change of Variables Theorem of analysis.
Intuitively, we can break B into small regions B which (uv xy )
y=
u
.
v
The Jacobian for transformation for (uv xy ) is

1
0
1
v =
J(u, v ) =
1 vu2
v
fX ,Y h1 (u, v ), h2 (u, v ) J(u, v ) if (u, v ) B

0
otherwise.
April 3, 2009
v = x.
x =v
Differentiate the(integrals to get the transformation

rule:

u = xy
The inverse transformation (uv xy ) is given by
transforms to small regions A of A where for any (u, v ) B:

fU,V (u, v ) Area B fX ,Y (h1 (u, v ), h2 (u, v )) Area A

where Area A Area B J(u, v ).
V = X.
The transformation (xy uv ) is given by
(u,v )B
fU,V (u, v ) =
U = XY
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Example
April 3, 2009
13 / 32
Examples: Polar Coordinates
Rectangle to Polar coordinates
So, the joint density is
polarIt iscoordinates
often convenient to change from rectangular coordinates xy to
r . The transformation (xy r ) is

fU,V (u, v ) = fX ,Y h1 (u, v ), h2 (u, v ) J(u, v )
u 1
= fX ,Y v ,
v
|v |
We can compute the marginal f (u) = f

U
fXY (u) =
fX ,Y v ,
XY (u)
r = x2 + y2
where r > 0 and
= arctan
y
.
x
< .

The inverse transformation (r xy ) from polar back to
rectangular is
by
x = r cos
u 1
dv
v
|v |
y = r sin .
The transformation is (xy r ) nice in the punctured plane

R2 {(0, 0)}. Verified in three slides.
April 3, 2009
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April 3, 2009
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Converting Rectangle to Polar
Rectangle xyp-coordinates to polar r -coordinates:

y
r = x 2 + y 2, r > 0
= arctan ,
x
Polar r -coordinates to rectangle xy -coordinates
x = r cos
Plot of tan
on [, ]. The four quadrants of the plane are
I : x, y > 0
< ,
< x, y < .
y = r sin
y
x
II : x < 0, y > 0
II
III : x, y < 0
III
IV : x > 0, y < 0
IV
Hx,yL=Hr,L
4
2
r=
x2 + y2
-2
y=rsin
-2
-4
=arctan
-6
y
x
x=rcos
April 3, 2009
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April 3, 2009
Problem: Rectangle to Polar
Example
Problem. Let (X , Y ) be randomly chosen in some region R of the

xy -plane with joint density fX ,Y (x, y ).
Consider the random variables giving the polar coordinates
Example. Let (X , Y ) be uniformly distributed in R = unit circle. So,
R=
X2 + Y2
= arctan
fX ,Y (x, y ) =
when x 2 + y 2 1.
fR, (r , ) = r fX ,Y (r cos , r sin ) =
0 < r 1, <
The marginals are

sin
= r cos2 + r sin2 = r
r cos
The joint distribution of R, is

fR, (r , ) = r fX ,Y (r cos , r sin )
So,
Y
X
where R > 0 and < .

The Jacobian is easiest to compute on the r -plane:

cos
J(r , ) =
r sin
18 / 32
fR (r )
Z 1
f ()
r > 0, < .
=
0
r
d = 2r
0 < r 1,
r
1
dr =
< .
Thus, is uniformly distributed on (, ].

April 3, 2009
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April 3, 2009
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Example
Example
Example. Let (X , Y ) be independent and normally distributed in the

plane with ( = 0, 2 ). So,
Example. Let R be exponentially distributed with mean 2 and be

uniformly distributed in (, ], both independent. The joint distribution
is
fX ,Y (x, y ) =
Since f
R, (r , )
2
2
2
1
e(x +y )/2
2
2
fR, (r , ) =
The marginals areZ
2
2
r
fR (r ) =
er /2 d =
2
2
Z
2
2
r
f () =
er /2 dr =
2
2
0
0 < r , < .
April 3, 2009
Y = R sin
Solve for r , in the transformation x = 2r cos and y = 2r sin :

X =
cos

J(r , ) = 2 r
r sin
21 / 32
y
.
x

cos2 sin2
1
=
+
= .

2
2
2
r cos
sin
2 r
April 3, 2009
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April 3, 2009
24 / 32
Example continued
So,
= arctan
The Jacobian determinant is easiest to compute using r -coordinates:
fR, (r , ) =
R cos
r = x2 + y2
r r 2 /22
e
0 < r,
2
1
< .
2
Thus, is uniformly distributed on (, ] and R is the Rayleigh

distribution (the distance of (X , Y ) from the origin).
0 < r , <
Let X and Y be random variables determined by
= r fX ,Y (r cos , r sin ),
2
2
2
2
2
2
2
r
r
e(r cos +r sin )/2 =
er /2
fR, (r , ) =
2
2
2
2
1 1 r /2
e
2 2
Examplecontinued
1 1 r /2
e
2 2
Let U and V be uniformly distributed on (0, 1).
Consider the random variable :
0 < r , <
= 2V
fX ,Y (x, y )
=
=
y
fR, (x 2 + y 2 , arctan ) 2
x
1 (x 2 +y 2 )/2
e
2
So, is uniformly distributed on (, ).
Consider the random variable R:
X and Y are independent and normally distributed random

variables with ( = 0, 2 = 1). The marginals are obtained by
integrating fX ,Y (x, y ):
fX (x)
fY (y )
R = 2 ln
solving, u = er /2 .
By Proposition 5.7.1 (Ross, page 243),
2
1
ex /2
2
2
1
ey /2
2
1
U
1
fR (r ) = fU (er /2 ) u 0 = er /2
2
So, R is exponentially distributed with mean 2.

April 3, 2009
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Example continued
Let X and Y be random variables determined by
Simulating a standard normal random variable with a pair of independent
X =
uniform random variables on (0, 1).
R cos
Y =
R sin
Then X and Y are independent standard normal random variables!!
We can simulate a standard normal random variable X by using two
independent uniform random variables U and V on (0, 1):

r

1
X = 2 ln cos 2V .
U
April 3, 2009
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1000 data points

0.5
0.4
0.3
0.2
0.1
0.0
-3 -2 -1 0
Example of Joint Distribution
10,000 data points
0.5
0.4
0.3
0.2
0.1
0.0
-3 -2 -1 0
April 3, 2009
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Example
Example continued
The transformation into uv -coordinates
Example. Let X and Y be independent and uniformly distributed on

(0, 1]. Find the joint probability density function for the random
variables
U=
X
Y
u=
fX (x) =
1
0
if 0 x 1
otherwise
(
1
fY (y ) =
0
x=
So, u, v > 0 and
if 0 x, y 1
otherwise.
fU,V (u, v ) = fX ,Y
April 3, 2009
r
uv
y=
v
.
u
The Jacobian determinant is easiest when computed in xy

coordinates:

if 0 y 1
otherwise
So, the joint distribution fX ,Y (x, y ) is

(
1
fX ,Y (x, y ) = fX (x) fY (y ) =
0
v = xy ,
is one-to-one and has an inverse
V = XY .
Individually, the distribution of X and Y are

(
x
y
28 / 32
1
J(x, y ) = y
y
r
uv ,
x
yx2
= 2 = 2u

y
x
v 1
=
u
2u
1
2u
if 0 <
otherwise.
uv ,
v
u
April 3, 2009
29 / 32
Example continued
Example continued
It remains to compute the bounds on u and v .

0<
r
uv ,
fU,V (u, v ) =
v
1
1 = 0 < v , 0 < v u.
u
u
We compute the marginals.
Only one of these ranges need be retained, depending upon whether

u (0, 1] or u [1, ):
fU (u) =
fU,V (u, v ) =
2u
if 0 < u < 1, 0 < v u,

or, if u 1, 0 < v u1 ,
otherwise.
April 3, 2009
30 / 32
Example continued
Plot of area determined by
and
u 1 = 0 < v
1
.
u
v
1.0
0.8
0.6
1
v
0.4
0.2
1
1
2u dv
u 1
dv
0 2u
(R
0 < u < 1 = 0 < v u
R u
R01
fv (v )
2u
u
April 3, 2009
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1
v
1
2u
du
if 0 < u < 1, 0 < v u,

or, if u 1, 0 < v u1 ,
otherwise.
if 0 < u < 1
if u 1
otherwise
2 dv
= 2u1 2 dv
if 0 < v 1
=
otherwise
ln v1
0
if 0 < u < 1
if u 1
otherwise
if 0 < v 1
otherwise
April 3, 2009
31 / 32

Jacobian Transformation

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Introduction One Function of Random Variables

Functions of a Random Variable: Density

 Let g(x) = y be a one-to-one function whose derivative is nonzero

on some region A of the real line.

 Let X be a continuous random variable with known density f (x).

Let Y = G(X ). Then the density of Y is

Kenneth Harris (Math 425)

Math 425 Intro to Probability Lecture 30

Kenneth Harris (Math 425)

Two Functions of Two Random Variables

Two Functions of Two Random Variables

Definition Nice Transformations

Let the continuous random variables (X , Y ) have joint density

 Consider the continuous random variables (U, V ) given by

(U, V ) determines a point with uv -coordinates in some region B.

Kenneth Harris (Math 425)

Math 425 Intro to Probability Lecture 30

Kenneth Harris (Math 425)

Math 425 Intro to Probability Lecture 30

Two Functions of Two Random Variables

Two Functions of Two Random Variables

 A nice transformation on A (xy uv ) amounts to simply a change

of coordinates of the plane from xy -coordinates to uv -coordinates.

Math 425 Intro to Probability Lecture 30

 Since (xy uv ) is nice on A,

J(x, y ) 6= 0 whenever (x, y ) A and

Furthermore, the two Jacobian determinants are inverses

which maps B onto A and which are also nice on B.

 Suppose (xy uv ) is nice transformation on A

Two Functions of Two Random Variables

Kenneth Harris (Math 425)

Math 425 Intro to Probability Lecture 30

Two Functions of Two Random Variables

fU,V (u, v ) du dv P {(U, V ) B}

Let (X , Y ) be continuous random variables with joint density fX ,Y (x, y ), and

Suppose the (xy uv ) transformation

is nice on A = {(x, y ) : fX ,Y (x, y ) 6= 0}.

 The joint density of (U, V ) is given for (u, v ) B by either equation

fU,V (u, v ) = fX ,Y h1 (u, v ), h2 (u, v ) J(u, v )

whichever is more convenient to compute.

Math 425 Intro to Probability Lecture 30

Kenneth Harris (Math 425)

Math 425 Intro to Probability Lecture 30

Two Functions of Two Random Variables

Sketch of Proof of Theorem

Functions of a Random Variable: Density

 Let B B and suppose (uv xy ) maps B to A A.

Example. Let X and Y be continuous random variables with joint

using the Change of Variables Theorem of analysis.

 Intuitively, we can break B into small regions B which (uv xy )

The Jacobian for transformation for (uv xy ) is

fX ,Y h1 (u, v ), h2 (u, v ) J(u, v ) if (u, v ) B

 Differentiate the(integrals to get the transformation

The inverse transformation (uv xy ) is given by

transforms to small regions A of A where for any (u, v ) B:

Kenneth Harris (Math 425)

 The transformation (xy uv ) is given by

Kenneth Harris (Math 425)

Math 425 Intro to Probability Lecture 30

Examples: Polar Coordinates

Functions of a Random Variable: Density

Rectangle to Polar coordinates

 So, the joint density is

 We can compute the marginal f (u) = f

Let g(x) = y be a one-to-one function whose derivative is nonzero

Let X be a continuous random variable with known density f (x).

Consider the continuous random variables (U, V ) given by

A nice transformation on A (xy uv ) amounts to simply a change

Since (xy uv ) is nice on A,

Suppose (xy uv ) is nice transformation on A

The joint density of (U, V ) is given for (u, v ) B by eitherequation

Let B B and suppose (uv xy ) maps B to A A.

Intuitively, we can break B into small regions B which (uv xy )

Differentiate the(integrals to get the transformation

The transformation (xy uv ) is given by

So, the joint density is

We can compute the marginal f (u) = f

The transformation is (xy r ) nice in the punctured plane

Rectangle xyp-coordinates to polar r -coordinates:

The marginals are

The joint distribution of R, is

The marginals areZ

Let X and Y be random variables determined by

Consider the random variable :

Consider the random variable R:

Let X and Y be random variables determined by

Simulating a standard normal random variable with a pair of independent

We can simulate a standard normal random variable X by using two