Você está na página 1de 37

Module 27

DISTRIBUTION OF FUNCTIONS OF RANDOM


VARIABLES

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 1 / 36


X = (X1 , . . . , Xp )0 : a p-dimensional discrete or A.C. random vector;

fX (·): p.m.f./ p.d.f. of X ;

g : Rp → R;

In many situations, we may be interested in knowing the probability


distribution of r.v. Y = g (X ).

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 1 / 36


Example 1.

A company manufactures electric bulbs.

Past life testing experiments on electric bulbs suggest that the


lifetime of randomly chosen electric bulbs manufactured by company
can be described by r.v. X having p.d.f.
1 − θx
(
e , x>0
f (x|θ) = θ , θ>0
0, otherwise

However θ > 0 is unknown.

To obtain information about unknown θ, a life-testing experiment was


conducted on n bulbs independently.

Xi : lifetime of i-th bulb, i = 1, . . . , n (a r.v.)

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 2 / 36


X1 , . . . , Xn : a collection of independently and identically distributed
(i.i.d.) r.v.s. We call a collection of i.i.d. r.v.s as a random sample.

Since E (X ) = θ, a natural estimator of θ is the sample mean


n
X = n1
P
Xi .
1

To study theoretical properties of the estimator X , we may need the


probability distribution of X .

Definition 1.
(i) A function of one or more r.v.s that does not depend on any unknown
parameter involved in joint p.m.f./ p.d.f. of r.v.s is called a statistic.

(ii) A collection of i.i.d. r.v.s is called a random sample.

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 3 / 36


Example 2.

X1 +X2
In the above example X , X1 , 2 are statistics whereas, X − θ or X1 /θ
are not statistics.

Now we will discuss various techniques to find the probability distribution


of Y = g (X ).

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 4 / 36


Method 1: Distribution Function Technique
The distribution of Y = g (X1 , . . . , Xp ) can be determined by computing
the distribution function of Y = g (X ).

Example 3. Let X1 , X2 be a random sample from a distribution having


p.d.f. (
2x, 0 < x < 1
f (x) =
0, otherwise.
Find the distribution of Y = X1 + X2 and hence find p.m.f./ p.d.f. of Y .
Solution. Joint p.d.f. of X = (X1 , X2 ) is

fX (x1 , x2 ) = fX1 (x1 )fX2 (x2 )


= f (x1 )f (x2 )
(
4x1 x2 , if 0 < x1 < 1, 0 < x2 < 1
=
0, otherwise.

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 5 / 36


Clearly support of X is SX = [0, ∞) × [0, ∞). Also support of Y is
SY = [0, 2]. We have

FY (x) = P(X1 + X2 ≤ x), x ∈ R.

Clearly, for x < 0, FY (x) = 0 and, for x ≥ 2, FY (x) = 1. For 0 ≤ x < 2,


Z∞ Z∞
FY (x) = fX (x1 , x2 )dx
−∞ −∞
x1 +x2 ≤x
Z1 Z1
= 4x1 x2 dx1 dx2
0 0
x1 +x2 ≤x
min{x,1}
Z min{1,x−x
Z 1}

= 4x1 x2 dx2 dx1


0 0

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 6 / 36


For 0 ≤ x < 1,
Zx x−x
Z 1
x4
FY (x) = 4x1 x2 dx2 dx1 = .
6
0 0

For 1 ≤ x < 2,

Z1 min{1,x−x
Z 1}

FY (x) = 4x1 x2 dx2 dx1


0 0
x−1
Z Z 1 Z1 x−x
Z 1
= 4x1 x2 dx2 dx1 + 4x1 x2 dx2 dx1
0 0 x−1 0
(4x − 3) − (x + 3)(x − 1)3
= (x − 1)2 +
6

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 7 / 36


Thus,



0, if x < 0
 x4 ,

if 0 ≤ x < 1
6
FY (x) = (4x−3)−(x+3)(x−1)3


(x − 1)2 + 6 , if 1 ≤ x < 2

1, if x ≥ 2

Clearly, Y is of A.C. type with a p.d.f.



2 3
3x ,
 if 0 < x < 1
fY (x) = 2(x − 1) + 23 (1 − (x + 2)(x − 1))2 , if 1 < x < 2

0, otherwise.

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 8 / 36


Example 4.
Let X1 , X2 , X3 be a random sample from a distribution having p.m.f.
(
1
, if x = 1, 2, 3, 4, 5, 6
f (x) = 6
0, otherwise.

Let Y = min{X1 , X2 , X3 }. Find the d.f. and hence p.m.f. of Y .


Solution. We have, for x ∈ R,

FY (x) = P(Y ≤ x)
= P(min{X1 , X2 , X3 } ≤ x)
= 1 − P(min{X1 , X2 , X3 } > x)
= 1 − P(X1 > x, X2 > x, X3 > x)
= 1 − P(X1 > x)P(X2 > x)P(X3 > x)
= 1 − (1 − F (x))3

where F is the d.f. of X1 , given by,


() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 9 / 36

0,
 if x < 1
F (x) = 6i , if i ≤ x < i + 1, i = 1, . . . , 5

1, if x ≥ 6

Thus,

0,
 if x < 1
FY (x) = 1 − (1 − 6i )3 , if i ≤ x < i + 1, i = 1, . . . , 5

1, if x ≥ 6

The support of Y is SY = {1, 2, 3, 4, 5, 6}

fY (x) = FY (x) − FY (x−)


(
(1 − x−1 3 x 3
6 ) − (1 − 6 ) , if x = 1, 2, 3, 4, 5, 6
=
0, otherwise.

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 10 / 36


Method 2: Transformation of Variable Technique
(A.) For Discrete case
Result 1. Let X = (X1 , . . . , Xp )0 be a discrete r.v. with support SX and
p.m.f. fX (·). Let gi : Rp → R, i = 1, . . . , k be k (≥ 1) given functions and
let Yi = gi (X ), i = 1, . . . , k. Define
SY = {y ∈ Rk : y = (g1 (x), . . . , gk (x)), for some x ∈ SX }. Also, for each
y = (y1 , . . . , yk ) ∈ Rk , define

Ay = {x ∈ Sx : g1 (x) ≤ y1 , . . . , gk (x) ≤ yk }

and
By = {x ∈ Sx : g1 (x) = y1 , . . . , gk (x) = yk }.
Then the r.v. Y = (Y1 , . . . , Yk ) is of discrete type with support SY , d.f.
X
FY (y ) = fX (x), y ∈ Rk
x∈Ay

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 11 / 36


and p.m.f. X
fY (y ) = fX (x), y ∈ Rk .
x∈By

Example 5. Let X1 and X2 be i.i.d. r.v.s with common p.m.f.


(
θ(1 − θ)x−1 , if x ∈ {1, 2, . . .}
f (x) =
0, otherwise,

where θ ∈ (0, 1). Let Y1 = min{X1 , X2 } and


Y2 = max{X1 , X2 } − min{X1 , X2 }.
(i) Find the marginal p.m.f. of Y1 without finding the joint p.m.f. of
Y = (Y1 , Y2 );
(ii) Find the marginal p.m.f. of Y2 without finding the joint p.m.f. of
Y = (Y1 , Y2 );
(iii) Find joint p.m.f. of Y = (Y1 , Y2 );

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 12 / 36


(iv) Are Y1 and Y2 independent?
(iiv) Using (iii), find marginal p.m.f.s of Y1 and Y2 .
Solution. The joint p.m.f. of X = (X1 , X2 ) is
(
θ2 (1 − θ)x1 +x2 −2 , if (x1 , x2 ) ∈ N × N
fX (x1 , x2 ) = f (x1 )f (x2 ) =
0, otherwise.

(i) Clearly
SY1 = support ofY1 = {1, 2, . . .} = N
For y ∈ SY1 ,

fY1 (y ) = P(Y1 = y )
= P(min{X1 , X2 } = y )

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 13 / 36


= P(min{X1 , X2 } = y , X1 < X2 ) + P(min{X1 , X2 } = y , X1 = X2 )
+ P(min{X1 , X2 } = y , X1 > X2 )
= 2P(min{X1 , X2 } = y , X1 < X2 ) + P(min{X1 , X2 } = y , X1 = X2 )
= 2P(X1 = y , y < X2 ) + P(X1 = y , X2 = y )
= 2P(X1 = y )P(X2 > y ) + P(X1 = y )P(X2 = y )

X
y −1
= 2θ(1 − θ) θ(1 − θ)x−1 + θ2 (1 − θ)2y −1
x=y +1
(1 − y −1
θ) (1 − θ)y
= 2θ2 + θ2 (1 − θ)2y −2
θ
= θ(1 − θ)2y −2 (2 − θ).

Thus, p.m.f. of Y1 is

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 14 / 36


(
θ(2 − θ)(1 − θ)2y −2 , if y ∈ {1, 2, . . .}
fY (y ) =
0, otherwise.
(ii) Clearly
SY2 = {0, 1, 2, . . .}.
For y ∈ SY2 ,
P(Y2 = y ) = P(max{X1 , X2 } − min{X1 , X2 } = y )
= P(X2 − X1 = y , X1 < X2 ) + P(0 = y , X1 = X2 )
+ P(X1 − X2 = y , X1 > X2 )
= 2P(X2 − X1 = y , X1 < X2 ) + P(0 = y , X1 = X2 )
For y = 0,
P(Y2 = y ) = P(X1 = X2 )

X
= P(X1 = x, X2 = x)
x=1

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 15 / 36



X
= P(X1 = x)P(X2 = x)
x=1
X∞
= θ2 (1 − θ)2x−2
x=1
θ2
=
1 − (1 − θ)2
θ
= .
2−θ
For y ∈ {1, 2, . . .}
P(Y2 = y ) = 2P(X2 − X1 = y , X1 < X2 )
= 2P(X2 = X1 + y , X1 < X2 )
= 2P(X2 = X1 + y )
X∞
=2 P(X2 = X1 + y , X1 = x)
x=1
() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 16 / 36

X
=2 P(X1 = x, X2 = x + y )
x=1
X∞
=2 θ2 (1 − θ)2x+y −2
x=1
2θ2 (1
− θ)y
=
1 − (1 − θ)2
2θ(1 − θ)y
= .
2−θ

Thus, 
θ
 2−θ ,
 if y = 0
2θ(1−θ)y
fY2 (y ) = , if y = 1, 2, . . .
 2−θ
0, otherwise.

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 17 / 36


(iii) Clearly support of Y = (Y1 , Y2 ) is

SY = {(y1 , y2 ) : 1 ≤ y1 ≤ y1 + y2 }
= {(y1 , y2 ) : y1 ≥ 1, y2 ≥ 0}
= N × {0, 1, 2, . . .}.

For y = (y1 , y2 ) ∈ SY

fY (y ) = P(Y1 = y1 , Y2 = y2 )
= P(min{X1 , X2 } = y1 , max{X1 , X2 } = y1 + y2 )
= P(X1 = y1 , X2 = y1 + y2 , X1 < X2 )
+ P(X1 = y1 , X1 = y1 + y2 , X1 = X2 )
+ P(X2 = y1 , X1 = y1 + y2 , X1 > X2 )
= 2P(X1 = y1 , X2 = y1 + y2 , X1 < X2 )
+ P(X1 = y1 , X1 = y1 + y2 , X1 = X2 )

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 18 / 36


For y2 = 0,

fY (y ) = P(X1 = y1 , X2 = y1 )
= θ2 (1 − θ)2y1 −2 .

For y2 ∈ {1, 2, . . .},

fY (y ) = 2P(X1 = y1 , X2 = y1 + y2 )
= 2θ2 (1 − θ)2y1 +y2 −2 .

Thus,
(
2θ2 (1 − θ)2y1 +y2 −2 , if (y1 , y2 ) ∈ N × {0, 1, 2, . . .}
fY (y ) =
0, otherwise.

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 19 / 36


(iv) Clearly
fY (y ) = fY1 (y1 ) fY2 (y2 ), ∀(y1 , y2 ) ∈ R2
and thus Y1 and Y2 are independent.
(v) For y1 ∈ {1, 2, . . .},
X
fY1 (y1 ) = fY1 ,Y2 (y1 , y2 )
y2 :(y1 ,y2 )∈SY

X
= 2θ2 (1 − θ)2y1 +y2 −2
y2 =0

= θ(2 − θ)(1 − θ)2y1 −2 .

Thus,
(
θ(2 − θ)(1 − θ)2y1 −2 , if y ∈ {1, 2, . . .}
fY1 (y ) =
0, otherwise.

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 20 / 36


For y2 ∈ {0, 1, 2, . . .}
X
fY2 (y2 ) = fY1 ,Y2 (y1 , y2 )
y1 :(y1 ,y2 )∈SY

For y2 = 0,

X θ
fY2 (y2 ) = θ2 (1 − θ)2y1 −2 =
2−θ
y1 =1
For y2 ∈ {1, 2, . . .}

X
fY2 (y2 ) = 2θ2 (1 − θ)2y1 +y2 −2
y1 =1
2θ(1 − θ)y2
=
2−θ
Thus, 
θ
 2−θ ,
 if y2 = 0
2θ(1−θ)y2
fY2 (y2 ) = , if y2 ∈ {1, 2, . . .}
 2−θ
0, otherwise.

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 21 / 36


(B.) For A.C. case

Result 2. Let X = (X1 , . . . , Xp ) be an A.C. r.v. with joint p.d.f. fX (·) and
support SX . Let S1 , . . . , Sk be open subsets of Rp such that Si ∩ Sj = φ, if
k
Si = SX0 , where SX0 is the interior of SX . Suppose
S
i 6= j and
i=1
hj : Rp → R, j = 1, . . . , p, are p functions such that on each Si ,
h = (h1 , . . . , hp ) : Si → Rp is one-to-one with inverse transformation
hi−1 (t) = (h1,i−1 −1
(t), . . . , hp,i (t)) (say), i = 1, . . . , k. Further suppose that
−1
hj,i (t), j = 1, . . . , p, i = 1, . . . , k have continuous partial derivatives and
the Jacobian determinants

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 22 / 36


−1 −1
∂h1,i (t) ∂h1,i (t)
∂t1 ... ∂tp

−1 −1
∂h2,i (t) ∂h2,i (t)
...
Ji = ∂t. 1 ∂tp
.. 6= 0, i = 1, . . . , p.
.. .
−1 −1

∂hp,i (t) ∂hp,i (t)

∂t1 ... ∂tp

Define h(Sj ) = {h(x) = (h1 (x), . . . , hp (x)) ∈ Rp : x ∈ Sj }, j = 1, . . . , k,


and Tj = hj (X1 , . . . , Xp ), j = 1, . . . , p. Then the r.v. T = (T1 , . . . , Tp ) is
A.C. with joint p.d.f.
k
X
−1 −1
fT (t) = fX (h1,j (t), . . . , hp,j (t)) |Jj | Ih(Sj ) (t).
j=1

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 23 / 36


Corollary 1.

Let X = (X1 , . . . , Xp ) be an A.C. r.v. with joint p.d.f. fX (·) and support
SX . Suppose that hj : Rp → R, j = 1, . . . , p, are p functions such that
h = (h1 , . . . , hp ) : SX0 → Rp is one-to-one with inverse transformation
h−1 (t) = (h1−1 (t), . . . , hp−1 (t)) (say). Further suppose that hi−1 ,
i = 1, . . . , p, have continuous partial derivatives and the Jacobian
determinants
−1
∂h1 (t) ∂h1−1 (t)
∂t
−11 . . . ∂tp

∂h2 (t) ∂h2−1 (t)
...
J = ∂t. 1 ∂tp

. 6= 0.
.. ..
−1
∂hp−1 (t)

∂hp (t)
∂t1 . . . ∂tp

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 24 / 36


Define h(SX0 ) = {h(x) = (h1 (x), . . . , hp (x)) ∈ Rp : x ∈ SX0 }, and
Tj = hj (X1 , . . . , Xp ), j = 1, . . . , p. Then the r.v. T = (T1 , . . . , Tp ) is A.C.
with joint p.m.f.

fT (t) = fX (h1−1 (t), . . . , hp−1 (t)) |J| Ih(S 0 ) (t).


X

Example 6. Let X1 and X2 be i.i.d. r.v.s having p.d.f.


(
2x, if 0 < x < 1
f (x) =
0, otherwise.

(a) Find the d.f. of Y = X1 + X2 and hence find the p.d.f. of Y ;


(b) Find the p.d.f. of Y directly using the Jacobian method.

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 25 / 36


Solution.

(a) The joint p.d.f. of X = (X1 , X2 ) is


(
4x1 x2 , if 0 < x1 < 1, 0 < x2 < 1
fX1 ,X2 (x1 , x2 ) = fX1 (x1 ) fX2 (x2 ) =
0, otherwise.

Clearly support of Y is SY = [0, 2].


For y ∈ R,

FY (y ) = P(Y ≤ y )
= P(X1 + X2 ≤ y )
Z1 Z1
= 4x1 x2 dx
0 0
x1 +x2 ≤y

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 26 / 36


Clearly, for y < 0, FY (y ) = 0 and, for y ≥ 2, FY (y ) = 1.
For 0 ≤ y < 2,

Z } min{1,y
min{1,y Z −x1 }
FY (y ) = 4 x1 x2 dx2 dx1
0 0

For 0 ≤ y < 1,

Zx1 yZ−x1
FY (y ) = 4 x1 x2 dx2 dx1
0 0
y 4
= .
6

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 27 / 36


For 1 ≤ y < 2,
y −1Z1
Z Z1 yZ−x1
FY (y ) = 4 x1 x2 dx2 dx1 + 4 x1 x2 dx2 dx1
0 0 y −1 0
(4x − 3) − (x + 3)(x − 1)3
= (x − 1)2 + .
6
Thus,


0, if y < 0
 y4 ,


6 if 0 ≤ y < 1
FY (y ) = (4y −3)−(y +3)(y −1)3


(y − 1)2 + 6 , if 1 ≤ y < 2

1, if y ≥ 2

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 28 / 36


and

2 3
3y ,
 if 0 < y < 1
2 2
fY (y ) = 2(y − 1) + 3 (1 − (y + 2)(y − 1) ), if 1 < y < 2

0, otherwise.

(b) Clearly SX = [0, 1] × [0, 1] and SX0 = (0, 1) × (0, 1). Define Z = X2 .
Then the transformation (Y , Z ) = h(X1 , X2 ) = (X1 + X2 , X2 ) → R2 is
1-1 on SX0 with inverse transformations

h1−1 (y , z) = x1 = y − z
h2−1 (y , z) = x2 = z,

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 29 / 36


the Jacobian
1 −1
J = = 1.
0 1

h(SX0 ) = {(y , z) ∈ R2 : (y − z, z) ∈ SX }.
We have

(y − z, z) ∈ SX ⇔ 0 < y − z < 1, 0 < z < 1
⇔ z < y < 1 + z, 0 < z < 1

Thus
h(SX0 ) = {(y , z) ∈ R2 : z < y < 1 + z, 0 < z < 1}

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 30 / 36


and

fY ,Z (y , z) = fX1 ,X2 (y − z, z) Ih(SX ) (y , z)


(
4z(y − z), if z < y < 1 + z, 0 < z < 1
=
0, otherwise.

Then SY = [0, 2]. For y ∈ (0, 2)

Z }
min{1,y

fY (y ) = 4z(y − z)dz
max{0,y −1}
y
R



 4z(y − z)dz, if 0 < y < 1
0

= R1
 4z(y − z)dz, if 1 < y < 2
y −1




0, otherwise.

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 31 / 36


Method 3: Moment Generating Function Technique

Let M(·) be the m.g.f. of some known distribution say D1 . If we can show
that a r.v. (say X ) has m.g.f. M(·) in a neighborhood of zero, then using
uniqueness of m.g.f., we can conclude that X has distribution D1 .

Example 7. let X be a r.v. with m.g.f.

e −t 1 et
M(t) = + + , t ∈ R.
4 2 4
Find the distribution of Y = X 2 .
Solution. Clearly
X
M(t) = E (e tX ) = e tX f (x)
x∈SX

is the m.g.f. of r.v. X having p.m.f.

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 32 / 36


(
1
f (x) = P({X = x}) = 2, if x = 0
1
4, if x = −1, 1.
The support of Y is SY = {0, 1} and the p.m.f. of Y is

(
1
fY (y ) = P({X 2 = y }) = 2, if y = 0
1
2, if y = 1.

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 33 / 36


Take Home Problem

(1) Let X1 , X2 , X3 be i.i.d. r.v.s with common p.d.f.

1 x2
f (x) = √ e − 2 , −∞ < x < ∞.

Let T = X12 + X22 + X32 .

(a) Find the d.f. of Y and hence find the p.d.f. of Y ;

(b) Find the p.d.f. of Y directly. (Hint: Use spherical coordinates


transformation x1 = r sin θ1 sin θ2 , x2 = r sin θ1 cos θ2 , x3 = r cos θ1 ,
r ≥ 0, 0 < θ1 ≤ π, 0 < θ2 ≤ π).

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 34 / 36


(2) Let X1 , . . . , Xk be independent r.v.s with Xi having p.m.f.
( 
ni x ni −x , if x = 0, 1, . . . , n
x p (1 − p) i
fi (x) = ,
0, otherwise
where ni ∈ N, i = 1, . . . , k, and p ∈ (0, 1) are fixed. Show that the
P p
random variable Y = Xi has p.m.f.
i=1
(
n y
y p (1 − p)n−y , if y ∈ {0, 1, . . . , n}
fY (y ) =
0, otherwise,

k
P
where n = ni .
i=1

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 35 / 36


Thank you for your patience

() Module 27 DISTRIBUTION OF FUNCTIONS OF RANDOM VARIABLES 36 / 36

Você também pode gostar