CHAPTER FOUR

FUNCTIONS OF RANDOM
VARIABLES
Content
4.1 Equivalent events
4.2 Functions of discrete random variables and their distributions
4.3 Functions of continuous random variables and their
distributions
 Introduction
• It is often the case that we know the probability distribution of the
random variable X and we are interested in determining the
probability distribution of some function of X.
• For example, given the distribution of X, we may be interested to
determine the distribution of the mean of X.
• The type of problem considered in this chapter is as follows:
Given the random variable X with known distribution and a
function H, how do we find the probability distribution of a
random variable Y = H(X)?
• The transformation process is presented in the following diagram.
 Introduction
• Note that Y is a real valued function of the random variable X
with domain RX and range RY.
• Thus, the function Y itself is also a random variable.
• More formally, let E be an experiment, S be a sample space
associated with E and X be a random variable defined on S.
• Suppose that Y = H (X) is a real valued function of X, then Y =
H(X) is also a random variable since for every s ∈ S , a value of
Y is determined, say y = H(X(s)).
• As before, we call Rx the range space of X, the set of all possible
values of the function X. Similarly, we define RY the range space
of Y, the set of all possible values of the function Y.
 Introduction
 Example
 Let X be a random variable that represents the radius of a circle.
Consider another variable Y that represents the area of a circle. Clearly,
Y is a function of X, and their functional relationship is presented as :

Y  X 2
 In standard statistical methods, the result of statistical hypothesis testing,
estimation, or even statistical graphics does not involve a single random
variable but, rather, functions of one or more random variables.
 As a result, statistical inference requires the distributions of these
functions.
 For example, the use of averages of random variables is common.

x
 x
n
 4.1 Equivalent events
Definition: Let C be an event associated with the range space of Y, R Y, i.e. C ⊆ RY.
Moreover, let B ⊆ RX be defined as B = {x ∈ RX ∶ H(x) ∈ C}. Then B and C are
equivalent events. Meaning, each and every element in C is a function of a
corresponding element in B.
Note
− Mathematically, if for all H(x) ∊ C, we can find event B such that B = {x ∊ Rx: H(x)
∊ C} then B ≅ C.
− When we speak of equivalent events (in the above sense), these events are
associated with different sample spaces.
Example
1. Suppose that H(x)=Πx2. Then the events B ={ x >2 } and C ={Y> 4Π} are
equivalent. Thus, for if Y = Πx2, then {X > 2}occurs if and only if {Y > 4Π} occurs.
2. Let X be a continuous random variable with p.d..f

Suppose that a random variable Y is defined by . If C = {Y : Y ≥ 7}, find

P(C).
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 Equivalent events
• Solution:

It can be seen that RX= { X: X> 0} and RY= {Y: Y > 1/2}, which
implies that C ⊆ RY.

Thus, define B as B={X: X ≥ 15} so that B and C are equivalent.

4.2 Functions of discrete random variables and their distributions

Case I: X is a discrete random variable:

If X is discrete random variable and Y=H(X), then it follows immediately
that Y is also a discrete random variable.

That is, if the possible values of X are x1, x2,…, xn then the possible values

of Y are H(x1), H(x2), …, H(xn).

Definition: If x1, x2, …, xn,…. are the possible values of X, P(xi) = P(X = xi), and H
is a function such that to each value y there corresponds exactly one value x, then
the probability distribution of Y is obtained as follows:

Possible values of Y: yi = H(xi), i = 1,2,…, n,…

Probabilities of Y: q(yi) = P(Y = yi) = P(xi)

8
Example 2: Consider the following probability distribution of a discrete random
variable X
•

Find the probability distribution of Y=3x+1

Solution: When
 X=-1, Y=-2, hence P(Y=-2)=P(X=-1)=1/3
X=0, Y=1 hence P(Y=1)=P(X=0)=1/2
X=1, Y=4, hence P(Y=4)=P(X=1)=1/6
Then the probability distribution of Y is

Y -2 1 4
P(Y=y) 1/3 1/2 1/6

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Example 3: Suppose the probability function of a discrete random variable X is

Find the probability distribution of

a) Y=X2
Solution (a):
 X=-1, Y=1
X=0, Y=0
X=1, Y=1
P(Y=0)=P(X=0)=8/30
X=2, Y=4
Then the probability distribution of Y is P(Y=1)=P(X=-1)+P(X=1)=11/30
P(Y=4)=P(X=2)=11/30

Y 0 1 4
P(Y=y) 8/30 11/30 11/30

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Example 3: Suppose the probability function of a discrete random variable X is

Find the probability distribution of b)Y=2X+5

Solution (a):
 X=-1, Y=3, hence P(Y=-2)=P(X=-1)=7/30
X=0, Y=5 hence P(Y=1)=P(X=0)=8/30
X=1, Y=7, hence P(Y=4)=P(X=1)=4/30
X=2, Y=9, hence P(Y=4)=P(X=1)=11/30
Then the probability distribution of Y is

Y 3 5 7 9
P(Y=y) 7/30 8/30 4/30 11/30

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Case II: If X is a continuous random variable.

• X may assume all real values while Y is defined to be +1 if X > 0

and -1 if X < 0.
• In order to obtain the probability distribution of Y, simply
determine the equivalent event (in the range space Rx)
corresponding to the different values of Y.
• In the above case, P(Y = 1) = P(X > 0) and P(Y = −1) = P(X ≤ 0).
• In general case, if {Y = yi} is equivalent to an event, say A, in the
range space of X, then
4.3 Functions of continuous random variables and their distributions
 Let X be a continuous random variable and Y be another random variable
which is a function of X. That is Y=H(X)
 Moreover, assume that the random variable Y is a continuous random
variable.
 To find the pdf of Y=H(X), we follow the following steps

a) Obtain the CDF of Y, denoted by G(y), G(y)=P(Y ≤ y) in terms of the

cdf or pdf of X by finding an event A in R x which is equivalent to the
event Y ≤ y.
b) Differentiate G(y) with respect to y in order to obtain g(y) ,which is
going to be the pdf of Y.
c) Determine those values of y in the range space of Y for which g(y)>0.
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Example 1: Suppose that X has pdf given by

Let Y=H(X)=2X+4. Find the pdf of Y?

Solution

 y4
GY  y   pY  y   p2 X  4  y   p X  
 2 
y 4 y 4
2
 y4 2 2
x  y4
p X     f ( x)dx   dx   
 2   0
2  4 
d y4  y  4
g ( y)  G( y)   g ( y )   8 , if 4  y  8
dy 8 0, otherwise

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• Theorem: Let X be a continuous random variable with pdf f, where f(x) > 0
for a < x < b. suppose that y = H(x) is a strictly monotone (increasing or
decreasing) function of x. Assume that this function is differentiable ( and
hence continuous) for all x. Then the random variable Y defined as Y=H(X)has
a pdf g given by,

1 d 1
g ( y )  f ( H ( y )) * H ( y) where H 1 ( y )  x
dy

• Theorem: Let X be a continuous random variable with pdf f and Y = X2. Then
the random variable Y has the pdf given by:

1
g ( y)  [ f ( y )  f ( y )]
2 y
Example 2: Let a random variable X has a density function

Let Y=H(x)= ex, then find the pdf of Y?

Solution

ln y
 x
ln y

GY  y   pY  y   p e  y  pX  ln y  Y  H ( x)  e x
 x  H 1 ( y )  ln y
pX  ln y    f ( x)dx   1dx  ln y g ( y )  f ( H 1 ( y )) *
d 1
H ( y)
 0 dy
d d 1 d 1
g ( y )  G ( y )  ln y   1* ln y 
dy dy y dy y
 1 , if 1  y  e 1
 , if 1  y  e
g ( y)   y g ( y)   y
0, Otherwise  0, Otherwise

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• Suppose that X has the pdf
f(x) = 3 if 0≤x≤1
0 otherwise
If Y= then find the pdf of Y

• Suppose that X has the pdf

f(x)= 2x, if 0<x<1
0, otherwise
If Y=3x+1 then find the pdf of Y: