Transformation of uniform random variables: Stuck on a question about density functio

Given: X and Y, independent, continuous **uniform** random variables on the interval (0,1)

Goal: Find the density function of

My approach:

Use the transformation technique (as in point 5 of this wikipedia page Integration by substitution - Wikipedia, the free encyclopedia).

Define . Define .

I find that the joint density of and is

And this is where i get stuck... I tried integrating out of it but nothing reasonable comes out (not a density function anyway). So two questions:

- Did I find the joint density correct?
- I tried integrating over the interval to 1, is this correct?
- What should be next step?

Thanks for any help!

Re: Transformation of uniform random variables: Stuck on a question about density fun

Quote:

Originally Posted by

**celestial** Given: X and Y, independent, continuous

**uniform** random variables on the interval (0,1)

Goal: Find the density function of

My approach:

Use the transformation technique (as in point 5 of this wikipedia page

Integration by substitution - Wikipedia, the free encyclopedia).

Define

. Define

.

I find that the joint density of

and

is

And this is where i get stuck... I tried integrating

out of it but nothing reasonable comes out (not a density function anyway). So two questions:

- Did I find the joint density correct?
- I tried integrating over the interval to 1, is this correct?
- What should be next step?

Thanks for any help!

May be that it is useful to devide the procedure into two steps. The first step is to find the p.d.f. of the random variable being X and Y independent random variables uniformely distributed in . Proceeding as in...

http://www.mathhelpforum.com/math-he...es-193906.html

... we find for ...

(1)

... for ...

(2)

... and for ...

(3)

The second step is to find the p.d.f. of the random variable ... how to proceed?...

http://www.sv-luka.org/ikone/ikone180a.jpg

Marry Christmas from Serbia

Re: Transformation of uniform random variables: Stuck on a question about density fun

Quote:

Originally Posted by

**chisigma** May be that it is useful to devide the procedure into two steps. The first step is to find the p.d.f. of the random variable

being X and Y independent random variables uniformely distributed in

. Proceeding as in...

http://www.mathhelpforum.com/math-he...es-193906.html
... we find for

...

(1)

... for

...

(2)

... and for

...

(3)

The second step is to find the p.d.f. of the random variable

... how to proceed?...

http://www.sv-luka.org/ikone/ikone180a.jpg Marry Christmas from Serbia

Nice trick with the U! Thanks for that. I knew the ratio distribution of two standard uniforms but couldn't get any use if it. So let me see if Mary and Jesus have answered my prayers and blessed me with knowledge:

So using the ratio of two uniform variables, let's call . Assume we can prove all the desirable properties like g being a bijective function, and its inverse having a continuous derivative (I haven't proven them yet), then I have . Hence I have for

So then I'll have

for

for

and 0 otherwise?

Of course I need to simplify the conditions on m (the intervals) , but is that the right direction?

Re: Transformation of uniform random variables: Stuck on a question about density fun

A preminary investigation on the functional equation...

(1)

... may be useful. From (1) it is clear that for is and for is , so that we have to investigate what happens for . From (1) we derive...

(2)

The function has been computed in a previous post...

(3)

Now deriving (2) and taking into account (3) we obtain...

(4)

http://www.sv-luka.org/ikone/ikone180a.jpg

Marry Christmas from Serbia