Functions of One dimensional random variables

If X is a discrete random variable and Y =H (X ) is a continuous function of X,

then Y is also a Discrete Random Variable.
Eg:
X -1 0 1
P(x ) 1 1 1
3 2 6
Suppose Y =3 X +1 ,then pmf of Y is given by
Y -2 1 4
P( y ) 11 1
32 6
Suppose Y = X , then pmf of Y is
2

Y 1 0
P( y ) 1 1
2 2

Suppose X is a continuous random variable with pdf f (x) and H ( X) is a

continuous function of X . Then Y is a continuous random variable. To obtain
pdf of Y we follow the following steps.
1. Obtain cdf of Y , i.e., G ( y )=P ( Y ≤ y ) .
2. Differentiate G( y ) with respect to y to get pdf of y i.e., g ( y ) .
3. Determine the range space of Y such that g ( y ) >0.

Problems:

{2 x ;
1. If f ( x )= 0 ;
0< x <1
Otherwise
, and Y =3 X +1 , find pdf of Y .

( y−1
Soln: G ( y )=P ( Y ≤ y ) =P ( 3 X +1 ≤ y )=P X ≤ 3 )
y−1
3

G( y )= ∫ 2 xdx=
0
( y −1 2
3 ).

2( y−1)
g( y )=G ’ ( y) = .
9
y−1
0< x <1 ⟹ 0< <1⟹ 1< y < 4.
3
 {
2( y−1)
; 1< y < 4
Therefore, g ( y )= 9 .
0; Otherwise

{2 x ;
2. If f ( x )= 0 ;
0< x <1
Otherwise , and Y =e , find pdf of
−X
Y.

1
Soln: G ( y )=P ( Y ≤ y ) =P ( e ≤ y ) =P log e y ≤ X
−X
( )
1

( ).
2
1
G( y )= ∫ 2 xdx=1− log e
y
1
log e
y
2 1
g( y )=G ’ ( y) = log e .
y y
1 1
0< x <1 ⟹ 0< log e <1 ⟹ < y <1.
y e

{
2 1 1
log e ; < y <1
Therefore, g ( y ) = y y e .
0; Otherwise

Result: Let X be a continuous random variable with pdf f ( x ) . Let Y = X 2.

1
Then pdf of Y is g ( y )= ( f ( √ y ) + f ( −√ y ) )
2√y

{
2
−x
Example 1: Suppose f ( x )= 2 x e ; 0 < x< ∞ . Find pdf of Y = X 2 .
0; Otherwise
Soln:
1 1
g ( y )= ( f ( √ y ) + f ( −√ y ) ) = ( 2 √ y e− y +0 ) =e− y ; 0< x< ∞.
2√y 2√y

{
2
(x+ 1); −1< x <1
Example 2: Suppose f ( x ) = 9 . Find pdf of Y = X 2 .
0; Otherwise
Soln:
g ( y )=
1
2√y
( f ( √ y ) + f ( −√ y ) ) = 1
2√y 9
+ (
2( √ y+ 1) 2(−√ y+1)
9
=
2
9√ y
; 0< x<1 . )
Theorem: Let X be a continuous random variable with pdf f (x). Suppose
Y =H ( X ) is a strictly monotone (increasing or decreasing) function of X,
then pdf of Y is given by
g ( y )=f ( x ) |dxdy| where x=H −1
( y).

Example:
 1
1. Suppose X is uniformly distributed over (0,1), find pdf of Y = X +1 .
Soln: We know that Y is strictly monotone.
f ( x )= {10 ;;
0< x< 1
Otherwise
.
1 1
Note that X = Y −1 . ⇒ f ( x ) =f Y −1 =1. ( )
| |
dx 1
= .
dy y 2
1 1
Therefore, g ( y )= 2 ; 2 < y <1.
y

2. If X is uniformly distributed over ( −π2 , π2 ), find the pdf of Y =tanX .(Or

show that Y =tanX follows Cauchy’s distribution).

{
1 −π π
; < x<
Soln: Given f ( x )= π 2 2.
0 ; Otherwise

We know that Y is strictly monotone.

dx
Then X =tan−1 Y ⇒ f ¿ ¿ And dy =
1
1+ y
2
. | |
1 1
Therefore, g ( y )= π 2
;−∞< y< ∞ .
1+ y
X−μ
3. If X N ( μ , σ 2 ) , then show that Z= σ N ( 0 , 1 ) and Y =Z 2 χ 2 ( 1 ) .

Soln: G ( z )=P ( Z ≤ z )=P ( X−μ

σ
≤ z )=P ( σz+ μ ≥ x )

G ( z )=F ( σz + μ ) .
2
−z
' ' 1
g ( z )=G ( z )=F ( σz+ μ ) σ =f ( σz+ μ ) σ = e 2
N ( 0 , 1) .
√2 π

Now, g ( y )= ( )
−y −y
1 1 1 1
( f ( √ y ) + f ( −√ y ) ) = e 2
+ e2
2√y 2 √ y √2 π √2π

.
−y
1 2
g( y )= e
√ y √2 π
Hence, g ( y ) χ 2 ( 1 ) .
Extra Problem:
1. A random variable X having Cauchy distribution. Show that 1/ X
also has Cauchy distribution.