Functions of two dimensional random variables
Let (𝑋, 𝑌) be a continuous two dimensional random variable with pdf 𝑓(𝑥, 𝑦). If 𝑍 = 𝐻1 (𝑋, 𝑌)
is a continuous function of (𝑋, 𝑌), then 𝑍 will be a continuous (one-dimensional) random
variable. In order to find the pdf of 𝑍, we shall follow the procedure discussed below.
To find the pdf of 𝑍 = 𝐻1 (𝑋, 𝑌), we first introduce a second random variable, say 𝑊 =
𝐻2 (𝑋, 𝑌), and obtain the joint pdf of 𝑍 and 𝑊, say 𝑘(𝑧, 𝑤). From the knowledge of 𝑘(𝑧, 𝑤),
we can then obtain the desired pdf of 𝑍, say 𝑔(𝑧), by simply integrating 𝑘(𝑧, 𝑤) with respect
∞
to 𝑤. That is, 𝑔(𝑧) = ∫−∞ 𝑘(𝑧, 𝑤)𝑑𝑤.
Two problems which arise here are
i. how to find the joint pdf 𝑘(𝑧, 𝑤)of 𝑍and 𝑊
ii. how to choose the appropriate random variable 𝑊 = 𝐻2 (𝑋, 𝑌)
To resolve these problems, let us simply state that we usually make the simplest possible choice
for 𝑊 as it plays only an intermediate role. In order to find the joint pdf 𝑘(𝑧, 𝑤), we need the
following theorem.
Theorem:
Suppose that (𝑋, 𝑌) is a two-dimensional continuous random
variable with joint pdf 𝑓(𝑥, 𝑦). Let 𝑍 = 𝐻1 (𝑋, 𝑌) and 𝑊 = 𝐻2 (𝑋, 𝑌) and assume that the
functions 𝐻1 and 𝐻2 satisfy the following conditions:
i. The equations 𝑧 = 𝐻1 (𝑥, 𝑦) and 𝑤 = 𝐻2 (𝑥, 𝑦) may be uniquely solved for 𝑥 and
𝑦 in terms of 𝑧 and 𝑤, say 𝑥 = 𝐺1 (𝑧, 𝑤) and
𝑦 = 𝐺2 (𝑧, 𝑤).
𝜕𝑥 𝜕𝑥 𝜕𝑦 𝛿𝑦
ii. The partial derivatives 𝜕𝑧 , 𝜕𝑤 , 𝜕𝑧 and 𝛿𝑤 exist and are continuous.
Then the joint pdf (𝑍, 𝑊), say 𝑘(𝑧, 𝑤), is given by the following expression:
𝑘(𝑧, 𝑤) = 𝑓[𝐺1 (𝑧, 𝑤), 𝐺2 (𝑧, 𝑤)]|𝐽(𝑧, 𝑤)|,
where 𝐽(𝑧, 𝑤) is the following 2 × 2 determinant:
𝜕𝑥 𝜕𝑥
𝐽(𝑧, 𝑤) = | 𝜕𝑧 𝜕𝑤 |
𝜕𝑦 𝛿𝑦
𝜕𝑧 𝛿𝑤
This determinant is called the ‘Jacobian’ of the transformation (𝑥, 𝑦) → (𝑧, 𝑤) and is
𝛿(𝑥,𝑦)
sometimes denoted by . We note that 𝑘(𝑧, 𝑤) will be nonzero for those values of (𝑧, 𝑤)
𝛿(𝑧,𝑤)
corresponding to values of (𝑥, 𝑦) for which 𝑓(𝑥, 𝑦) is nonzero.
Problems
1. Suppose that 𝑋 and 𝑌 are two independent random variables having pdf 𝑓(𝑥) =
𝑒 −𝑥 , 0 ≤ 𝑥 ≤ ∞ and 𝑔(𝑦) = 2𝑒 −2𝑦 , 0 ≤ 𝑦 ≤ ∞. Find the pdf of X+Y
Solution:
Since 𝑋 and 𝑌 are independent, the joint pdf of (𝑋, 𝑌) is given by,
𝑓(𝑥, 𝑦) = 𝑓(𝑥)𝑔(𝑦) = 2𝑒 −(𝑥+2𝑦) , 0 ≤ 𝑥, 𝑦 ≤ ∞
Let 𝑍 = 𝑋 + 𝑌 and 𝑊 = 𝑍, that is 𝑌 = 𝑊 and 𝑋 = 𝑍 − 𝑊.
𝜕𝑥 𝜕𝑥
𝜕𝑧 𝜕𝑤 1 −1
The Jacobian 𝐽 = |𝜕𝑦 𝛿𝑦
| =| |=1
0 1
𝜕𝑧 𝛿𝑤
Thus joint pdf of (𝑊, 𝑍) is,
𝑘(𝑧, 𝑤) = 𝑓(𝑥, 𝑦)|𝐽| = 2𝑒 −(𝑥+2𝑦) = 2𝑒 −(𝑧+𝑤)
0≤𝑦≤∞⇒0≤𝑤≤∞
0≤𝑥 ≤∞⇒0≤𝑧−𝑤 ≤∞⇒𝑤 ≤𝑧 ≤∞
Thus 𝑘(𝑤, 𝑧) = 2𝑒 −(𝑧+𝑤) , 0 ≤ 𝑤 ≤ 𝑧 ≤ ∞
𝑧
The required pdf of z, ℎ(𝑧) = ∫𝑤=0 2𝑒 −(𝑧+𝑤) 𝑑𝑤
= 2(𝑒 −𝑧 − 𝑒 −2𝑧 ), 0 ≤ 𝑧 ≤ ∞.
2. If 𝑋~𝑁(0, 𝜎 2 ) , 𝑌~𝑁(0, 𝜎 2 ) and 𝑋, 𝑌 are independent. Find the pdf of 𝑅 = √𝑋 2 + 𝑌 2
Solution:
1 2 ⁄2𝜎 2
Pdf of 𝑋: 𝑓(𝑥) = 𝑒 −𝑥 , −∞ ≤ 𝑥 ≤ ∞
√2𝜋𝜎
1 −𝑦 2 ⁄2𝜎2
Pdf of 𝑌: 𝑔(𝑦) = 𝑒 , −∞ ≤ 𝑦 ≤ ∞
√2𝜋𝜎
Since 𝑋 and 𝑌 are independent, the joint pdf of (𝑋, 𝑌) is given by,
1 2 2 2
𝑓(𝑥, 𝑦) = 𝑓(𝑥)𝑔(𝑦) = 2
𝑒 −(𝑥 +𝑦 )⁄2𝜎 , −∞ ≤ 𝑥, 𝑦 ≤ ∞
2𝜋𝜎
𝑋
Let 𝑅 = √𝑋 2 + 𝑌 2 and 𝜃 = tan−1 (𝑌 ), that is 𝑋 = 𝑅𝑐𝑜𝑠 𝜃 and 𝑌 = 𝑅𝑠𝑖𝑛 𝜃 and the
Jacobian 𝐽 = 𝑅.
Thus joint pdf of (𝑅, 𝜃) is,
𝑅 2 ⁄2𝜎 2
𝑘(𝑟, 𝜃) = 𝑓(𝑥, 𝑦)|𝐽| = 2𝜋𝜎2 𝑒 −𝑅 , 𝑅 ≥ 0, 0 ≤ 𝜃 ≤ 2𝜋
2𝜋 𝑅 2 ⁄2𝜎 2
The required pdf of z, ℎ(𝑧) = ∫𝜃=0 2𝜋𝜎2 𝑒 −𝑅 𝑑𝜃
𝑅 2 ⁄2𝜎 2
= 𝜎2 𝑒 −𝑅 , 𝑅 ≥ 0.
3. If 𝑋1 , 𝑋2 are independent and have standard normal distribution 𝑋1 , 𝑋2 ~𝑁(0, 1). Find
𝑋
the pdf of 𝑋1.
2
Solution:
1 2
Pdf of 𝑋1 : 𝑓(𝑥1 ) = 𝑒 −𝑥1 ⁄2 , −∞ ≤ 𝑥1 ≤ ∞
√2𝜋
1 2
Pdf of 𝑋2 : 𝑔(𝑥2 ) = 𝑒 −𝑦1 ⁄2 , −∞ ≤ 𝑦1 ≤ ∞
√2𝜋
Since𝑋1 , 𝑋2 are independent, the joint pdf of (𝑋1 , 𝑋2 )is given by,
1 −(𝑥 2 +𝑥 2 )⁄2
𝑓(𝑥1 , 𝑥2 ) = 𝑒 1 2 , −∞ ≤ 𝑥1 , 𝑦1 ≤ ∞
2𝜋
𝑋
Let 𝑍 = 𝑋1and 𝑊 = 𝑋2, that is 𝑋2 = 𝑊 and 𝑋1 = 𝑍𝑊.
2
𝑤 𝑧
The Jacobian 𝐽 = | |=𝑤
0 1
Thus joint pdf of (𝑊, 𝑍) is,
|𝑤| 2 (1+𝑧 2 )⁄2
𝑘(𝑧, 𝑤) = 2 𝜋 𝑒 −𝑤 , −∞ ≤ 𝑤, 𝑧 ≤ ∞.
∞ |𝑤| 2 (1+𝑧 2 )⁄2
The required pdf of 𝑍, ℎ(𝑧) = ∫−∞ 2𝜋 𝑒 −𝑤 𝑑𝑤
2 ∞ −𝑤2 (1+𝑧 2 )⁄2
= 2 𝜋 ∫0 |𝑤|𝑒 𝑑𝑤
On substitution: − 𝑤 2 (1 + 𝑧 2 )⁄2 = 𝑡
−𝑤(1 + 𝑧 2 )𝑑𝑤 = 𝑑𝑡
1 ∞ 𝑒 −𝑡 1
We get, ℎ(𝑧) = 𝜋 ∫0 𝑑𝑡 = 𝜋(1+𝑧 2) , −∞ ≤ 𝑧 ≤ ∞.
1+𝑧 2
4. The joint pdf of the random variable(𝑋, 𝑌) is given by
𝑥
𝑓(𝑥, 𝑦) = 𝑒 −𝑦 , 0 < 𝑥 < 2, 𝑦 > 0
2
Find the pdf of 𝑋 + 𝑌
Solution:
Let 𝑍 = 𝑋 + 𝑌 and 𝑊 = 𝑍, that is 𝑌 = 𝑊 and 𝑋 = 𝑍 − 𝑊.
The Jacobian 𝐽 = 1
𝑧−𝑤
Thus joint pdf of (𝑊, 𝑍) is, 𝑘(𝑧, 𝑤) = 𝑓(𝑥, 𝑦)|𝐽| = 2 𝑒 −𝑤
0≤𝑦≤∞⇒0≤𝑤≤∞
0≤ 𝑥 ≤ 2⇒0≤ 𝑧−𝑤 ≤2⇒ 𝑤 ≤ 𝑧 ≤ 2+𝑤
𝑧−𝑤 −𝑤
𝑘(𝑧, 𝑤) = 2 𝑒 , 0 ≤ 𝑤 ≤ 𝑧 ≤ 2 + 𝑤
𝑧 𝑧−𝑤
∫0 ( ) 𝑒 −𝑤 𝑑𝑤, 𝑤ℎ𝑒𝑛 0 < 𝑧 < 2
2
The required pdf of z, ℎ(𝑧) = { 𝑧 𝑧−𝑤
∫𝑧−2 ( ) 𝑒 −𝑤 𝑑𝑤, 𝑤ℎ𝑒𝑛 2 < 𝑧 < ∞
2
1
(𝑧 + 𝑒 −𝑧 − 1), 𝑤ℎ𝑒𝑛 0 < 𝑧 < 2
ℎ(𝑧) = { 2
1 𝑧
(𝑒 + 𝑒 2−𝑧 ), 𝑤ℎ𝑒𝑛 2 < 𝑧 < ∞
2
*********
