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Z g ( X , Y ).
X 2 Y 2 X /Y
tan 1 ( X / Y )
x z y
x
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We can find f Z (z) by differentiating FZ (z ) directly. In this
context, it is useful to recall the differentiation rule by
Leibnitz. Suppose
b( z )
H ( z) a( z)
h( x, z )dx.
Then,
b ( z ) h ( x , z )
h b( z ), z h a ( z ), z
dH ( z ) db( z ) da( z )
dx.
dz dz dz a ( z ) z
Using the above two equations, we get
z y z y f
XY ( x, y )
fZ ( z) f XY ( x, y )dx dy f XY ( z y , y ) 0 dy
z z
f XY ( z y, y )dy. (i)
and inserting equation (iii) into equations (i) and (ii), we get
f Z ( z) f X ( z y ) fY ( y )dy f X ( x ) fY ( z x )dx. (iv)
y x
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The above integral is the standard convolution of the
functions f X (z ) and fY (z) expressed two different ways. We
thus reach the following conclusion: If two random variables
are independent, then the density of their sum equals the
convolution of their density functions.
As a special case, suppose that f X ( x) 0 for x 0 and fY ( y ) 0
for y 0, then we can use the following figure to determine
the pdf of Z.
y
(z ,0)
x z y
x
(0, z )
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In the above case,
z z y
FZ ( z ) f XY ( x, y )dxdy
y 0 x 0
or
z
f Z ( z ) f XY ( x, y )dx dy 0 XY
z z y f ( z y, y )dy, z 0,
y 0 z x 0
0, z 0.
On the other hand, by considering vertical strips first in
above figure, we get
z z x
FZ ( z ) f XY ( x, y )dydx
x 0 y 0
or
z f ( x ) f ( z x )dx, z 0,
f XY ( x, z x )dx y 0 X
z
fZ ( z) Y
x 0
0, z 0,
if X and Y are independent random variables.
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Example-2: Suppose X and Y are independent exponential
r.vs with common parameter , and let Z = X + Y.
Determine f Z (z).
Solution: We have f X ( x) e xU ( x), fY ( y ) e yU ( y ),
and we can make use of the above equations to obtain the
pdf of Z = X + Y.
z z
e
x ( z x )
fZ ( z) 2
e dx e
2 z
dx z2 e zU ( z ).
0 0
x z y
x z y
x x
(a ) 0 z 1 (b) 1 z 2
For 0 z 1,
z z y z z2
FZ ( z ) 1 dxdy ( z y )dy , 0 z 1.
y 0 x 0 y 0 2
For 1 z 2, notice that it is easy to deal with the unshaded
region. In that case
FZ ( z ) 1 P Z z 1
1 1
y z 1 x z y
1 dxdy
1 (2 z )2
Semester-I,
1
2017
(1 z y )dy 1 , 1 z 2. 11
y z 1 2
Finally, differentiating the cdf, we obtain
dFZ ( z ) z 0 z 1,
fZ ( z)
dz 2 z , 1 z 2.
By direct convolution of f X (x) and fY ( y ), we obtain the
same result as above. In fact, for 0 z 1 [Figure (a)]
z
f Z ( z ) f X ( z x ) fY ( x )dx 1 dx z.
0
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fY (x ) f X ( z x) f X ( z x ) fY ( x )
x x x
1 z 1 z z
(a ) 0 z 1
fY (x ) f X ( z x) f X ( z x ) fY ( x )
x x x
1 z 1 z
z 1 1
(b) 1 z 2
f Z (z )
z
0 1 2
Semester-I, 2017
(c) 13
Example-4: Let Z X Y . Determine its pdf f Z (z ).
Solution:
z y
FZ ( z ) P X Y z f XY ( x, y )dxdy
y x
and hence
dFZ ( z ) z y
fZ ( z)
dz
y
z
x
f XY ( x, y )dx dy
f XY ( y z , y )dy.
y x y z
x yz
x
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As a special case, suppose
f X ( x) 0, x 0, and fY ( y ) 0, y 0.
x
(b)
(a)
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Integrating over these two regions, we get
yz 0
FZ ( z ) f XY ( x, y )dxdy f XY ( x, y )dxdy.
y 0 x y x yz
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Exercise
x y , 0 x 1, 0 y 1
f XY ( x, y )
0 , otherwise
Find the pdf of Z if :
a. Z X Y c. Z XY
X
b. Z d. Z X Y
Y
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Assignment-III
1. Suppose that two continuous random variables X and Y have
joint pdf given by:
k ( 2 x y ) , 2 x 6, 0 y 5
f XY ( x, y )
0 , otherwise
whe re k is a constant.
a. Find the constant k .
b. Find the joint cdf of X and Y .
c. Find the marginal cdf and pdf of X and Y .
d . Are X and Y independent?
e. Find the conditional pdf of X and Y .
e. Evaluate the following probabilities.
i. P (3 X 4, Y 2) iii. P ( X Y 4)
Semester-I, 2017 ii. P ( X 3) iv. P (0 Y 2) 19
Assignment-III Cont’d……
Semester-I, 2017 20
Assignment-III Cont’d…..
3. Suppose that two continuous random variables X and Y are
independent and uniform in the interval (0, 4).
Find the pdf of Z if :
a. Z X Y
b. Z Y X
c. Z X Y
d . Z XY
Y
e. Z
X
Semester-I, 2017 21