derived probability density function

**rbenito** · September 27th 2007, 09:41 PM

I have a problem about derive a pdf from two marginal pdfs:
random variables x and y are distributed according to the joint probability density function (pdf):
fxy(x,y) = 3x/2 , if 1 <= x <= y <= 2
0 , otherwhise

Random variable z is defined by z = y - x
Determine the probablity density function fz(z)

thanks.

**BruceBronson** · September 28th 2007, 05:52 PM

it's been a while since i've done this but i think you need to do a doubble integral over the domain specified on the function you have been given

**CaptainBlack** · September 28th 2007, 09:32 PM

Originally Posted by rbenito

I have a problem about derive a pdf from two marginal pdfs:
random variables x and y are distributed according to the joint probability density function (pdf):
fxy(x,y) = 3x/2 , if 1 <= x <= y <= 2
0 , otherwhise

Random variable z is defined by z = y - x
Determine the probablity density function fz(z)

thanks.

For any value of $z$ the function $z = y-x$ defines a curve through $xy$ space. The pdf of $p(z)$ of $z$ is the integral of the joint density over the area between the curve for $z$ and $z+\delta z$ divided by $\delta z$ (rather the limit as $\delta z$ goes to zero).

Write the curves in the form: $y=x+z$ , then we have:

$ A= \delta z~ \int f(x,x+z) dx $

So:

$ p(z) = \int f(x,x+z) dx $

If you can't complete this from here say so and I will finish it.

RonL

**rbenito** · September 30th 2007, 08:14 AM

what are the limits?

**CaptainBlack** · September 30th 2007, 10:38 AM

Originally Posted by rbenito

what are the limits?

$\mathbb{R}$ ,

but since the support of $x$ is $[1,2]$ , that will do, but you have to modify this because the function is non-zero only when $1<x<x+z<2$

RonL

**rbenito** · September 30th 2007, 10:48 AM

of the problem to obtain the derived pdf?

**CaptainBlack** · September 30th 2007, 07:16 PM

Originally Posted by CaptainBlack

For any value of $z$ the function $z = y-x$ defines a curve through $xy$ space. The pdf of $p(z)$ of $z$ is the integral of the joint density over the area between the curve for $z$ and $z+\delta z$ divided by $\delta z$ (rather the limit as $\delta z$ goes to zero).

Write the curves in the form: $y=x+z$ , then we have:

$ A= \delta z~ \int f(x,x+z) dx $

So:

$ p(z) = \int f(x,x+z) dx $

If you can't complete this from here say so and I will finish it.

RonL

If I've done this right:

Now as $z=y-x,\ p(z)$ is zero for $z \not \in [0,1]$ , and for $z \in [0,1]$ :

$ p(z) = \int_1^{2-z} f(x,x+z) dx = p(z) = \int_1^{2-z} \frac{3x}{2} dx = \frac{3}{4}~\left[(z-2)^2-1\right] $

RonL

**rbenito** · October 1st 2007, 08:28 AM

I've noticed that you integrated respect to "x", but as far as I know, if you want to derive a pdf from two random variables, the limits must be according to the marginal "x" and "y" pdfs.

**CaptainBlack** · October 1st 2007, 02:26 PM

Originally Posted by rbenito

I've noticed that you integrated respect to "x", but as far as I know, if you want to derive a pdf from two random variables, the limits must be according to the marginal "x" and "y" pdfs.

It is only a coincidence that it is x, what I actually did was integrate along the
curve g(x,y)=z, it just so happened that x was a convenient parameterisation
of the curve.

RonL

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derived probability density function

can you complete the integral?

can you finish the integral?

what about the integral related to "y"?

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