Scribd
Upload
169 views3 pages

Probability Distributions in Statistics

This document provides examples and explanations of probability distributions and transformations of random variables. Example 1 shows a random variable Y defined as the square of another random variable X, and their corresponding probability mass functions. Example 2 also defines Y as the square of X. Example 3 defines Y as a Poisson random variable with parameter λ. The last part of the document discusses the change of variable technique for transforming between probability distributions when the random variable is changed via a function.

Uploaded by

d
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
169 views3 pages

Probability Distributions in Statistics

This document provides examples and explanations of probability distributions and transformations of random variables. Example 1 shows a random variable Y defined as the square of another random variable X, and their corresponding probability mass functions. Example 2 also defines Y as the square of X. Example 3 defines Y as a Poisson random variable with parameter λ. The last part of the document discusses the change of variable technique for transforming between probability distributions when the random variable is changed via a function.

Uploaded by

d
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd

STAT 410

Fall 2016

Review part 2

Example 1:

y = x2

pY( y ) = pX( y )

1
4
9
16

0.2
0.4
0.3
0.1

pX( x )

1
2
3
4

0.2
0.4
0.3
0.1

pX( x )

pY( y )

0.2

p X ( 0 ) = 0.4

0.4

p X ( 2 ) + p X ( 2 ) = 0.5

0.3

p X ( 3 ) = 0.1

0.1

Y = X2

Example 2:

Y = X2

Example 3:
X ~ Poisson ( ):

Y=X

pX( x ) =

pY( y ) =

x e

x!

x = 0, 1, 2, 3, 4, .

( y )!

y = 0, 1, 4, 9, 16, .

Let X be a continuous random variable.


Let Y = g ( X ).

What is the probability distribution of Y ?

Cumulative Distribution Function approach:


FY( y ) = P( Y y ) = P( g( X ) y ) =

f X ( x ) dx
{ x: g (x ) y }

Moment-Generating Function approach:


M Y ( t ) = E ( e Y t ) = E ( e g( X ) t ) =

Example 4:
1
fU( u ) =
0

(x ) t f ( x ) dx
X

Let U be a Uniform ( 0, 1 ) random variable:

u<0
0 u <1
u 1

FU( u ) = u
1

0 < x <1
o.w.

Consider Y = U 2. What is the probability distribution of Y ?

FY( y ) = P( Y y ) = P( U2 y )

y<0

P( U2 y ) = 0

0y<1

P( U2 y ) = P( U

y1

P( U2 y ) = 1

f Y ( y ) = F 'Y ( y ) =

(2
0

F Y ( y ) = 0.

y )=

FY( y ) =
F Y ( y ) = 1.

0 < y <1

otherwise

y.

_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
Change-of-Variable Technique:

Theorem 1.7.1

X continuous r.v. with p.d.f. f X ( x ).


Y = g( X)
dx

g ( x ) one-to-one, differentiable

/d y = d [ g

1( y ) ]

/d y

f Y ( y ) = f X ( g 1( y ) )

dx
dy

_ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _

g( u ) = u2

f Y ( y ) = f U ( g 1( y ) )

g 1( y ) =

du
dy

= (1)

y = y 1/2

| 12 y 1/2 | =

du

1 1/2
y
,
2

/d y =

1 1/2
y
2

0 < y < 1.

You might also like