Example

A device containing two key components fails when and only when both
components fail. The lifetime, T1 and T2, of these components are
independent with a common density function given by

e t

fT t

t0
otherwise

The cost, X, of operating the device until failure is 2T1 + T2. Find the
density function of X.

week 9

Convolution

Suppose X, Y jointly distributed random variables. We want to find the

probability / density function of Z=X+Y.

Discrete case
X, Y have joint probability function pX,Y(x,y). Z = z whenever X = x and
Y = z x. So the probability that Z = z is the sum over all x of these joint
probabilities. That is
p Z z p X ,Y x, z x .
x

If X, Y independent then

pZ z p X x pY z x .
x

This is known as the convolution of pX(x) and pY(y).

week 9

Example

Suppose X~ Poisson(1) independent of Y~ Poisson(2). Find the

distribution of X+Y.

week 9

Convolution - Continuous case

Suppose X, Y random variables with joint density function fX,Y(x,y). We want to find
the density function of Z=X+Y.
Can find distribution function of Z and differentiate. How?
The Cdf of Z can be found as follows:

FZ z P X Y z

z x

f x, y dydx
X ,Y

x y

f x, v x dvdx

X ,Y

x v
z

f x, v x dxdv.
X ,Y

v x

If

is continuous at z then the density function of Z is given by

f x, v x dx

XY

If X, Y independent then

fZ z

f x, z x dx
XY

f Z z f X x fY z x dx
x
This is known as the convolution of
fX(x) and fY(y).

Example

X, Y independent each having Exponential distribution with mean 1/. Find

the density for W=X+Y.

week 9

Some Recalls on Normal Distribution

If Z ~ N(0,1) the density of Z is

1
e
2

Z z

, z

If X = Z + then X ~ N(, 2) and the density of X is

f X x

z2
2

If X ~ N(, 2) then
Z

x 2
2 2

, x

X
~ N 0,1.

week 9

More on Normal Distribution

If X, Y independent standard normal random variables, find the density of

W=X+Y.

week 9

In general,

If X1, X2,, Xn i.i.d N(0,1) then X1+ X2++ Xn ~ N(0,n).

2
2
2
If X 1 ~ N 1 , 1 , X 2 ~ N 2 , 2 ,, X n ~ N n , n then

X 1 X 2 X n ~ N 1 n , 12 n2 .

If X1, X2,, Xn i.i.d N(, 2) then

Sn
2
Sn = X1+ X2++ Xn ~ N(n, n2) and X n n ~ N , n .

week 9

Sum of Independent 2(1) random variables

Recall: The Chi-Square density with 1 degree of freedom is the

Gamma( , ) density.
If X1, X2 i.i.d with distribution 2(1). Find the density of Y = X1+ X2.

In general, if X1, X2,, Xn ~ 2(1) independent then

X1+ X2++ Xn ~ 2(n) = Gamma(n/2, ).

Recall: The Chi-Square density with parameter n is

f X x

1

2
n

n/2

1
x
2

n
1
2

0 x
otherwise

Cauchy Distribution

The standard Cauchy distribution can be expressed as the ration of two

Standard Normal random variables.
Suppose X, Y are independent Standard Normal random variables.
Let Z Y . Want to find the density of Z.
X

week 9

10

Change-of-Variables for Double Integrals

Consider the transformation , u = f(x,y), v = g(x,y) and suppose we are

interested in evaluating F x, y dAxy .
Dxy

Why change variables?

In calculus: - to simplify the integrand.
- to simplify the region of integration.
In probability, want the density of a new random variable which is a
function of other random variables.

Example: Suppose we are interested in finding P A f X ,Y x, y dxdy

. .
A

Further, suppose T is a transformation with T(x,y) = (f(x,y),g(x,y)) = (u,v).

Then, P A f U ,V u, v dudv.
T A

Question: how to get fU,V(u,v) from fX,Y(x,y) ?

In order to derive the change-of-variable formula for double integral, we

need the formula which describe how areas are related under the
transformation T: R2 R2 defined by u = f(x,y), v = g(x,y).
week 9

11

Jacobian

Definition: The Jacobian Matrix of the transformation T is given by

f

x
J T x, y
g
x

y u , v

g x, y
y

The Jacobian of a transformation T is the determinant of the Jacobian

matrix.

In words: the Jacobian of a transformation T describes the extent to which

T increases or decreases area.

week 9

12

Change-of-Variable Theorem in 2-dimentions

Let x = f(u,v) and y = g(u,v) be a 1-1 mapping of the region Auv onto Axy
with f, g having continuous partials derivatives and det(J(u,v)) 0 on Auv.
If F(x,y) is continuous on Axy then

F x, y dxdy F f u, v , g u, v J u, v dudv

Axy

where

x
J u , v u
y
u

Auv

x
v 1
y J x, y
v

week 9

13

Example

Evaluate xydxdy where Axy is bounded by y = x, y = ex, xy = 2 and xy = 3.

Axy

week 9

14

Change-of-Variable for Joint Distributions

Theorem
Let X and Y be jointly continuous random variables with joint density
function fX,Y(x,y) and let DXY = {(x,y): fX,Y(x,y) >0}. If the mapping T given
by T(x,y) = (u(x,y),v(x,y)) maps DXY onto DUV. Then U, V are jointly
continuous random variable with joint density function given by

f X ,Y x u , v , y u , v J u , v

fU ,V u , v

if u , v DU ,V
otherwise

where J(u,v) is the Jacobian of T-1 given by

x
J u, v u
y
u

x
v
y
v

assuming derivatives exists and are continuous at all points in DUV .

week 9

15

Example

Let X, Y have joint density function given by

e x y
f X ,Y x, y
0
Find the density function of U

if x, y 0
otherwise
X
.
X Y

week 9

16

Example

Show that the integral over the Standard Normal distribution is 1.

week 9

17

Density of Quotient

Suppose X, Y are independent continuous random variables and we are

interested in the density of Z Y .
X
y
z

, wx .
Can define the following transformation
x
The inverse transformation is x = w, y = wz. The Jacobian of the inverse
transformation is given by
x
J w, z w
y
w

x
z 1 0 w
y z w
z

Apply 2-D change-of-variable theorem for densities to get

fW ,Z w, z f X ,Y w, wz w f X w fY wz w

The density for Z is thengiven by

f Z z f X w fY wz w dw

week 9

18

Example

Y
Suppose X, Y are independent N(0,1). The density of Z
is
X

week 9

19

Example F distribution
X /n
Z
.
Y /m

Suppose X ~ (n) independent of Y ~

This is the Density for a random variable with an F-distribution with

parameters n and m (often called degrees of freedom). Z ~ F(n,m).

(m)

week 9

. Find the density of

20

Example t distribution

Suppose Z ~ N(0,1) independent of X ~ (n). Find the density of T

2

Z
X

.
n

This is the Density for a random variable with a t-distribution with

parameter n (often called degrees of freedom). T ~ t(n)
week 9

21

Some Recalls on Beta Distribution

If X has Beta(,) distribution where > 0 and > 0 are positive

parameters the density function of X is
1
1
x 1 x
0 x 1

f X x

otherwise

If = = 1, then X ~ Uniform(0,1).
If = = , then the density of X is

f X x x 1 x

for 0 x 1
otherwise

Depending on the values of and , density can look like:

If X ~ Beta(,) then E X

.
and V X
2

1
week 9

22

Derivation of Beta Distribution

Let X1, X2 be independent 2(1) random variables. We want the density of

X1
X1 X 2

Can define the following transformation

X1
Y1
,
Y2 X 1 X 2
X1 X 2

week 9

23