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Function of One Random Variable
Let X be a continuous RV with density function
( )
X
f
x
.
Suppose that there is a
differentiable function
()
Yg
X
=
of the random variable.
Suppose that for a given Y
there are n unique roots
12
,,
,
n
XX
X
…
such that
( )
1,
,
j
X
j
n
==
…
.
The
density function for Y is given by the following expression.
1
n
X
j
Y
j
j
f
x
fy
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This note was uploaded on 02/16/2011 for the course FE 6083 taught by Professor Neveskyi during the Spring '11 term at NYU Poly.
 Spring '11
 Neveskyi

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