Let the random variable Y be defined as Y=aX where a is some non-zero constant (may be a positive or negative real number) and X is some known random variable. How would we find the cumulative distribution function of Y?
We can say...
FY(y)=P(Y≤y)
=P(aX≤y)
if a>0, then
=P(X≤y/a)
if a<0, then
=P(X≥y/a)≈1−P(X≤y/a)
So thus...
if a>0, then
FY(y)=FX(y/a)
if a<0, then
FY(y)=1−FX(y/a)
Is my formulation correct, and if so how can we make this disjointed function into a single line?
EDIT:
Could we say something like...
FY(y)=(0.5−0.5∗sgn(a))+sgn(a)∗FX(y/a)
Answer
Yes, that is correct if X is a continuous random variable. In this case your ≈ sign is actually an = sign. If X is discrete, though, then the ≈ is not an =, and you should instead have P(X≥y/a)=1−P(X≤y/a)+P(X=y/a)=1−lim.
I would not recommend trying to "make this disjointed function into a single line" the way you did. Your one-line formula really obscures what's going on in the two cases. If anything, I would write a "piece-wise" function:
F_Y(y) = \begin{cases}F_X(y/a) & a>0 \\ 1-F_X(y/a) & a<0 \end{cases}
(in the continuous case).
No comments:
Post a Comment