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P ({a < X ≤ b}) = P ({a < X < b}) = P ({a ≤ X < b})
Z b
= P ({a ≤ X ≤ b}) = fX (t)dt;
a
In general, for any set A ⊆ R,
Z Z ∞
P({X ∈ A}) = fX (t)dt = fX (t)IA (t)dt.
A −∞
Support
SX = {x ∈ R : FX (x + ) − FX (x − ) > 0, ∀ > 0} .
Then Y = g (X ) is a r.v.;
Then
Z 0
P({Y = −1}) = P({−1 < X < 0}) = fX (x)dx
−1
Z 0
1 1
= dx = ,
−1 2 2
and let Y = X 2 .
(a) Find the p.d.f. of Y and hence find the d.f. of Y ;
(b) Find the d.f. of Y and hence find the p.d.f. of Y .
Thus a p.d.f. of Y is
2
X d −1
fY (y ) = fX (gi−1 (y )) g (y ) Ig (Si,X ) (y )
dy i
i=1
1
2, if 0 < y < 1
1
= 6, if 1 ≤ y < 4 .
0, otherwise
() Module 13 Transformations of Absolutely Continuous Random Variables 9 / 15
Z y 0, if y < 0
FY (y ) = P({Y ≤ y }) = fY (t)dt = .
−∞
1, if y ≥ 4
For 0 ≤ y < 1,
Z y
1 y
FY (y ) = P({Y ≤ y }) = dt = .
0 2 2
For 1 ≤ y < 4
Z 1 Z y
1 1 y +2
FY (y ) = dt + dt = .
0 2 1 6 6
Thus the d.f. of Y is
0, if y <0
y,
if 0≤y <1
FY (y ) = 2 .
y +2
6 ,
if 1≤y <4
1, if y ≥4
FY (y ) = P({Y ≤ y }) = P({X 2 ≤ y }) = 0.
For y ≥ 0,
√
y
√ √
Z
2
FY (y ) = P({X ≤ y }) = P({− y ≤ X ≤ y }) = √ X
f (t)dt.
− y
For 0 ≤ y < 1, √
y
|t|
Z
y
FY (y ) = √
dt = .
− y 2 2
For 1 ≤ y < 4,
√
1 y
|t|
Z Z
t
FY (y ) = dt + dt
−1 2 1 3
y +2
= .
6
() Module 13 Transformations of Absolutely Continuous Random Variables 11 / 15
For y ≥ 4, FY (y ) = 1.
e −x , if x > 0
fX (x) = .
0, otherwise
Let Y = 2X + 3.
(a) Find the p.d.f. of Y and hence find the d.f. of Y;
(b) Find the d.f. of Y and hence find the p.d.f. of Y.