The probability density function of random variable X is given as f_x(x)=lambda e^(-lambda x), x>=0. A new random variable Y=e^(-lambda X) is formed. Find the PDF of Y.

Scott Valenzuela

Scott Valenzuela

Answered question

2022-11-26

The probability density function of random variable X is given as f x ( x ) = λ e λ x , x 0. A new random variable Y = e λ X is formed. Find the PDF of Y.

Answer & Explanation

BergweiseiEK

BergweiseiEK

Beginner2022-11-27Added 10 answers

There are shortcuts, but we will use a basic method. The idea is to find the cumulative distribution function of Y, and then differentiate to find the density function. We have
F Y ( y ) = Pr ( Y y ) = Pr ( e λ X y ) = Pr ( λ X log y ) .
Thus
F Y ( y ) = Pr ( X log y λ ) .
So we know that Pr ( X t ) = e λ t , if t is positive. If t is negative, the probability is 1.
Substitute for t. There is dramatic simplification. The λ's cancel, and we get e log y , that is y. But note this is correct only when log y is 0, that is, when y 1. If F Y ( y ) = 1.

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