ECEN/MAE 5513

STOCHASTIC SYSTEMS
LECTURE #18

Functions of Two SI RVs

Given two statistically independent random variables
X and Y, find the probability density functions of the
random variables W in which
W
W
W
W
W
W

X Y,
X Y,
X Y,
X /Y,
max( X , Y )
min( X , Y )

in terms of f X (x) and fY ( y ) .

W=X+Y
Let W be a RV which is composed of the sum of two
SI RVs
W=X+Y
which is very practical problem because X could be
the signal and Y the noise
We seek the statistics of W in the form of

FW ( w) P(W w) P( X Y w)
For any fix value of w, we can define the region in X,
Y plane where the calculation is sought

 This means fXY(x,y) should be integrated over the

area to the left of the line to find

FW ( w)

w y

f Y ( y )[

w y

f Y ( y )[

f XY ( x, y ) dx]dy

f X ( x) dx]dy

f X ( y ) d ]dy

f W ( ) d

fW ( w)

fY ( y ) f X ( w y )dy

f X ( x) fY ( y )

 The density function for two SI RVs is the convolution

of their density functions
We note that the order of the function is not important

fW ( w) f X ( x) fY ( y ) fY ( y ) f X ( x)

f X ( x) fY ( w x)dx

W=X-Y
FW ( w) P (W w) P ( X Y w)

w y

[ f ( x, y )dx]dy
f ( y )[
f ( x) dx]dy
f ( y )[ f ( y ) d ]dy
f ( ) d

w y

XY

fW ( w)

fY ( y ) f X ( w y )dy

f X ( x) fY ( y )
f X ( x) fY ( y )

W=XY
FW ( w) P (W w) P ( XY w)
P ( X w / Y , if y 0, X w / Y , if y 0)

w/ y

f XY ( x, y ) dxdy

1
y

w/ y

f XY ( x, y ) dxdy

d
fW ( w)
FW ( w)
dw

f XY ( w / y, y ) dy

1
y

1
y

f XY ( w / y, y ) dy

f XY ( w / y, y )dy

W = X /Y
FW ( w) P (W w) P ( X / Y w)
P ( X Yw, if y 0, X Yw, if y 0)

yw

f XY ( x, y ) dxdy

fW ( w)

yw

f XY ( x, y ) dxdy

d
FW ( w)
dw

yf XY ( yw, y ) dy

y f XY ( yw, y ) dy

yf XY ( yw, y ) dy

W = max (X, Y)
FW ( w) P(W w) P(max( X , Y ) w)
P( X w, Y w)
P( X w) P(Y w)
FX ( w) FY ( w)
fW ( w) FX ( w) fY ( w) f X ( w) FY ( w)

W = min (X, Y)
FW ( w) P(W w) P(min( X , Y ) w)
1 P( X w, Y w)
1 P( X w) P(Y w)
1 (1 P( X w))(1 P(Y w))
1 (1 FX ( w) FY ( w) FX ( w) FY ( w))
FX ( w) FY ( w) FX ( w) FY ( w)
fW ( w) f X ( w) fY ( w)
f X ( w) FY ( w) FX ( w) fY ( w)