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Random Variable - Transformations

The document covers various probability concepts including: - Conditional probability and Bayes' theorem - Random variables and their distributions like Bernoulli and Gaussian - Functions of random variables and how their distributions change - Concepts like expectation, covariance, correlation, and bounds on tail probabilities using Markov's and Chebyshev's inequalities Examples are provided to illustrate concepts like how distributions change under transformations or when combining multiple random variables.

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monica_804238794
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118 views35 pages

Random Variable - Transformations

The document covers various probability concepts including: - Conditional probability and Bayes' theorem - Random variables and their distributions like Bernoulli and Gaussian - Functions of random variables and how their distributions change - Concepts like expectation, covariance, correlation, and bounds on tail probabilities using Markov's and Chebyshev's inequalities Examples are provided to illustrate concepts like how distributions change under transformations or when combining multiple random variables.

Uploaded by

monica_804238794
Copyright
© Attribution Non-Commercial (BY-NC)
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
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Probability

Probability
1. 2. 3. 4. Probability Conditional Probability, Bayes Theorem Independent Trials, Bernoullis Distribution Random Variable
1. 2. 3. 4. 5. CDF, PDF, Conditional CDF Functions of Random Variables Characteristic Function Expectation, Moments, Central Moments Markov and Chebyshev Inequality

Probability
Two or More Random Variables
Joint CDF Correlation, Covariance One Function of Two R.V.s Two Functions of Two R.V.s

Gaussian Random Variables


Covariance Matrix - Eigen Decomposition Quadratic Form

Functions of one Random Variable Case 1: g(.) is monotonically increasing

Example
Suppose X is a Gaussian random variable with mean, , and variance, . A new random variable is formed according to Y = aX + b, where a > 0 .

Example
Suppose X is a Gaussian random variable with mean, , and variance, . A new random variable is formed according to Y = aX + b, where a > 0 .

Example
Suppose a phase angle is uniformly distributed over ( /2, /2), and the transformation is Y = sin()

Characteristic Functions

Similarity to Fourier Transform


(-) Not associated with any physical frequency

Computational convenience e.g., convolving PDFs

Example
An exponential random variable has a PDF given by fX(x) = exp(x)u(x). Find its characteristic function.

Example
An exponential random variable has a PDF given by fX(x) = exp(x)u(x). Find its characteristic function.

Example
Another random variable Y has a PDF given by fY(y) = a exp(ay)u(y). Find its characteristic function.

Example
Another random variable Y has a PDF given by fY(y) = a exp(ay)u(y). Find its characteristic function. Using scaling property of FT,

Tail Probabilities
Compute the probability that a random variable exceeds a threshold, Pr(X > xo) Compute the probability that a random variable exceeds a threshold, Pr(|X x | > xo) Computing from CDF or PDF may be cumbersome Can we obtain a bound, if not the actual probabilities ?

Markov Inequality
X is a random variable. If g(X) is a non negative function of X g(X) 0 for all X

E[ g ( X )] P[ g ( X ) k ] k

Markov Inequality
Suppose that X is a nonnegative random variable

Example
Suppose the average life span of a person is 75 years. What is the probability of a human living to be 110 years ?

Chebyshevs Inequality
Suppose that X is a random variable with mean X and variance X2

Example
Suppose the average life span of a person is 75 years. The human lifespan has a SD of 5 years What is the probability of a human living to be 110 years ?

Conditional CDF
In a company, resistors are required to have a resistance R of 50 2 . Owing to imprecision in the manufacturing process, the actual density function of R has the form shown below.

Conditional CDF
The quality department then screens and discards resistors outside the required range. What is the CDF after this process ?

Soln

Pblm
The survival of a motorist stranded in a snowstorm depends on which of the three directions the motorist chooses to walk. The first road leads to safety after one hour of travel, the second leads to safety after three hours of travel, but the third will circle back to the original spot after two hours. Determine the average time to safety if the motorist is equally likely to choose any one of the roads.

Moments and Expectation

Soln.

Joint CDF
A fair coin is tossed three times. Let X be a random variable that takes the value 0 if the first toss is a tail and the value 1 if the first toss is a head. Also, let Y be a random variable that defines the total number of heads in the three tosses.
a. Determine the joint PMF of X and Y. b. Are X and Y independent?

Joint CDF
A and B decide to meet at a certain place between 9 a.m. and 10 a.m. Both of them wont wait for more than 10 minutes. If all arrival times are equally likely and their arrival times are independent, what is the probability that they would meet ?

Joint CDF

Joint CDF
P(they will meet) = P(|X-Y| 10)

Correlation and Covariance


Covariance

Correlation

Correlation
Suppose X is a normally-distributed random variable with zero mean and Y = X2. Compute their correlation coefficient.

One Function of Two R.V.s

Z=X+Y

Z=X+Y

Take the inverse transform

One Function of Two R.V.s


Suppose X and Y are independent, zero-mean, unit variance Gaussian random variables. Find the PDF of Z = X2 + Y2

One Function of Two R.V.s


Suppose X and Y are independent, zero-mean, unit variance Gaussian random variables. Find the PDF of Z = X2 + Y2

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