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Solution Let FX ( x ) be the distribution function of X and let FZ ( z ) be the distribution function
of a standard normal variable. Then, for a > 0, Y = a X + b has distribution function
y b
G(y) = P ( a X + b y ) = P ( X
y b
) = P
X X
a X
a X X
But,
y b
a X = y a X b
y a X b
so G( y ) = FZ for all y
X a X | a | X
confirming that Y has a normal distribution with the specified mean and standard deviation.
If a < 0,
y b
y b X X a X
G(y) = P ( a X + b y ) = P ( X ) = P
a X X
y b
a X = y a X b
y a X b
we have G( y ) = FZ for all y
X | a | X | a | X
z
X
fZ (z) = fX+Y (z) = P ( Z = z ) = fX (x)fY (z x) for z = 0, 1, ...
x=0
Further, show that if X1 , X2 , ...Xk are independent binomial random variables where Xi has a
Binomial(ni , p) distribution for i = 1, 2, ..., k, then
z
X
P (X1 + X2 = z) = fZ (z) = fX1 (x)fX2 (z x)
x=0
so
z
X n1 n2
fZ (z) = px ( 1 p)n1 x pzx (1 p)n2 (zx)
x=0 x zx
z
X n1 n2
= pz (1 p)n1 +n2 z
x=0 x zx
we conclude that
z
X n1 n2 n1 + n2
=
x=0 x zx z
Remark: Note that the sample sizes add but the success probability remains the same.
By independence, the joint probability density function is given by fX (x)fY (y). Then, for
fixed z, the region of ( x, y ) values where x + y z is the same region where y z x for
any x. Consequently, the joint cumulative distribution function of Z = X + Y is
RR
FZ ( Z z ) = x+yz fX (x)fY (y) dx dy
R R zx
= fX (x)fY (y) dy dx
Z Z z
FZ ( Z z ) = fX (x)fY (u x) du dx
Further, show that if X1 , X2 , ..., Xk are independent normal random variables where Xi has a
N ( i , i ) distribution for i = 1, 2, ..., k, then
mean : 1 + 2 + + k
variance : 12 + 22 + + k2
2 2 !2 2
x 1 z x 2 z 1 2 x
+ = p +
1 2 12 + 22
where
1 22 + (z 2 )12 12 22
= 2 =
12 + 22 12 + 22
To establish this identity, consider the coefficients of (z 2 )2 , (z 2 )x, x2 , x and terms not
involving any of the these. The result follows since
" 2 #
1 1 x
Z
exp dx = 1
2 2
Remark We can also conclude that, if X1 and X2 are independent and Xi has a normal
distribution with mean i and variance i , for i = 1, 2 then a1 X1 + a2 X2 + b has a normal
distribution with mean a1 1 + a2 2 + b and variance a21 12 + a22 22 . This follows because,
according to the first example in this web section, both a1 X1 + b and a2 X2 have normal
distributions. These two random variables are independent so, by the last example, their sum
a1 X1 + a2 X2 + b has a normal distribution with the specified mean and variance.
Z
fZ (z) = fY / X (z) = | x | fX (x)fY (x z ) d x for all z
By independence, the joint probability density function is given by fX (x)fY (y). For fixed z,
the region of ( x, y ) values where y / x z is the union of the region y z x for any x > 0 and
the region y x z for any x < 0. Consequently, the joint cumulative distribution function of
Z = Y / X is
RR
FZ ( Z z ) = y/xz fX (x)fY (y) dx dy
R Rzx R0 R
= 0 fX (x)fY (y) dy dx + z x fX (x)fY (y) dy dx
Y / 1
X / 2
is given by
/ 2 2 / 2
( ( 1 + 2 ) / 2 ) 1 1 2 z 1 / 2 1
for z > 0
( 1 / 2 ) ( 2 / 2 ) ( 2 + 1 z ) ( 1 + 2 ) / 2
Y Y
P( y ) = P ( Y 1 y ) = FY ( 1 y ) so has the density function 1 fY (1 y ) .
1 1
1 ( 1 y )1 / 2 1 e1 y / 2
f1 ( y ) = for y > 0
( / 2 ) 21 / 2
1
2 ( 2 x )2 / 2 1 e2 x / 2
f2 ( x ) = for x > 0
( / 2 ) 22 / 2
2
Z
fZ ( z ) = x f2 ( x ) f1 ( z x ) d x =
0
2 ( 2 x )2 / 2 1 e2 x / 2 1 ( 1 z x )1 / 2 1 e1 z x / 2
! !
Z
x dx
0 ( / 2 ) 22 / 2
2 ( / 2 ) 21 / 2
1
( 1 / 2 )1 / 2 ( 2 / 2 )2 / 2 1 / 2 1 ( ( 1 + 2 / 2 ) 1 x ( 2 + 1 z ) / 2
Z
= z x e dx
( 1 / 2 ) ( 2 / 2 ) 0
Z
x( ( 1 + 2 ) / 2 ) 1 ex ( 2 + 1 z ) / 2 d x
0
(1 + 2 ) / 2
2
= ( ( 1 + 2 ) / 2 )
2 + 1 z
/ 2 2 / 2
( ( 1 + 2 ) / 2 ) 1 1 2 z 1 / 2 1
fZ ( z ) =
( 1 / 2 ) ( 2 / 2 ) ( 2 + 1 z ) ( 1 + 2 ) / 2
Exercises
6W.1 Let X be normal with mean 1 and standard deviation 2. Let Y be independent of X
and be normal with mean 1 and standard deviation 4. Using the convolution formula,
follow the general steps in the example to obtain the distribution of X + Y . Identify this
distribution.
6W.2 Let X and Y be independent random variables each having probability density function
1, for 0 < x < 1
f (x) =
0, otherwise
(a) Find the cumulative distribution function and probability density function of X.
(b) Use the convolution formula to find the probability density function of X + Y
6W.3 As in Exercise 6W.2, let X and Y be independent random variables each uniformly
distributed on ( 0, 1 ). Obtain the distribution of Y / X.
6W.4 Let F have the F distribution with ( 1 , 2 ) degrees of freedom. Use Theorem 6.6 to
show that
1
Y = h(F ) =
1 + 12 F
6W.5 let X and Y be independent and both have the same gamma distribution. Start with
the distribution for Y / X obtained in Exercise 6.9 and show that
X 1
=
X +Y 1 + Y /X