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Unformatted text preview: p X then Y = T ( X ) is also discrete. The pmf of Y : p Y ( y j ) = P ( Y = y j ) = P ( T ( X ) = y j ) = X x i : T ( x i )= y j p X ( x i ) . If the function T is onetoone , then p Y ( y j ) = p X T1 ( y j ) ( T1 is the inverse map ) Example Let X be a mean Poisson random variable. Find the distribution of Y = 2 X . Let X be continuous with pdf f X . Sometimes Y = T ( X ) is also continuous. To compute the density of Y adjust by the derivative of the inverse transformation . Monotone transformations : the function T is either increasing or decreasing on the range of X . A monotone function T is automatically onetoone. The pdf of Y : f Y ( y ) = f X T1 ( y ) dT1 ( y ) dy ....
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This note was uploaded on 12/03/2010 for the course OR&IE 3500 taught by Professor Samorodnitsky during the Fall '10 term at Cornell University (Engineering School).
 Fall '10
 SAMORODNITSKY

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