Sunday, 25 June 2017

statistics - Find cumulative distribution function of random variable



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(Yy)

=P(aXy)

if a>0, then
=P(Xy/a)

if a<0, then
=P(Xy/a)1P(Xy/a)

So thus...
if a>0, then

FY(y)=FX(y/a)

if a<0, then
FY(y)=1FX(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)=(0.50.5sgn(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(Xy/a)=1P(Xy/a)+P(X=y/a)=1lim.



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).


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