Hi, i have a question

Two random variables X and Y are independent. How can i prove that X,Y+1 are independent?

Thanks

Printable View

- September 17th 2009, 01:15 AMnonameProof of independence of random variables
Hi, i have a question

Two random variables X and Y are independent. How can i prove that X,Y+1 are independent?

Thanks - September 17th 2009, 12:00 PMCaptainBlack
- September 17th 2009, 01:40 PMnoname
Hi, thank you for your answer.

Is this correct?

http://img200.imageshack.us/img200/5849/equation.png - September 18th 2009, 08:46 AMMoo
Hello,

Hmmm actually, you have to prove that , the joint pdf of X and Y+1, can be written in such a form. In what you did, you assumed it was true.

-----

Let f be the joint pdf of X and . So we'd have , as defined above.

For any measurable function h, we have :

So is the pdf of

And this proves that X and Y+1 are independent.

If you can't see (*), consider you're working on , where and use the general thing :

iff f is the pdf of X.

And as usual, if there's any mistake, tell me... I'm so self-confident you know... - September 18th 2009, 10:20 AMLaurent
You could use the very definition of independence.

If X and Y are discrete r.v.: for all , we have (the comma means "and" ; I used the independence of X and Y in the second equality). This proves that and are independent.

General case: for all measurable subsets , we have (the comma means "and" ; ; I used the independence of X and Y in the second equality). This proves that and are independent. - September 18th 2009, 01:19 PMRuby
- September 18th 2009, 02:40 PMLaurent
No, you can't just mimic the proof.

In fact, there is a very general (and intuitive) result that answers both the initial question and yours. I only give two examples of statements; the generalization is straightforward:

if are independent random variables, and , are (measurable) functions, then and are independent.

if are independent random variables, and , are (measurable) functions, then and are independent.

In the generalized version, there can be any number of random variables, and the functions may depend on variously sized groups of variables provided they are disjoint. - September 19th 2009, 03:06 AMRuby
Thank you for your answer Laurent!

This bring us back to Moo's proof I think, in the generalized version I should have that:

Two r.v.s (but this should be true also for n r.v.s, two by two independent) and are independent**if and only if**for any pair of functions and

provided that the expectations exist.

A special case is of course when two r.v.s and are independent, and you have to check the independence of and which is noname's question...

Am I right?

- September 19th 2009, 05:57 AMLaurentThe problem with Moo's and Captain Black's proofs is that they seemed to assume that the random variables had probability density functions; that's why I posted another elementary and general proof.

The property you're quoting is a (quick) consequence of the definition of independence (the definition is when , indicator function of set ); therefore it can be used to prove noname's question, but not yours. And it is not directly related to my previous post, which gave a way to get new independent r.v. from independent r.v. (by applying functions to disjoint groups of r.v.).

If you would like to answer noname's question using the property you give: let be such that and exist. Remark that where . Therefore, since and are independent, . This proves that and are independent. Compare with my previous proof. - September 19th 2009, 07:07 AMRuby
Thanks for your time Laurent, it's all becoming clearer to me now!

- September 28th 2009, 01:31 PMnoname
Today I have taken my Statistics exam!

Thank you for your help...

Only one exercise gave me trouble, and it was about the independence of random variables. But it wasn't like the one above.

It was:

X and Y are random variables, check if random variables X+Y , 1 are independent.

The professor tell us that we should have used an appropriate example to check the independence of the variables.

Does anyone know a way to solve this exercise?

Thanks