Suppose X has density (pdf) fX(x)=23(x−1) for 2<x<3.
a.) Find the pdf of Y=−logX. (Make sure to specify the range and validity of your answer).
b.) Find a montone function u(x) such that the random variable Z=u(x) has a Uniform(0,1) distribution.
Solution a.) We have from Casella and Berger theorem 2.1.8 fY(y)=n∑i=1fX(g−1i(y))|ddyg−1i(y)|
We are given Y=−logX⇒g−1(y)=e−y
Thus
fY(y)=fX(g−1(y))|ddyg−1(y)|=23(e−y−1)e−y=23e−y(e−y−1) −log(3)<y<−log(2)
To verify this is correct note that ∫−log(2)−log(3)23e−y(e−y−1)dy=1
I am not sure how to do part b any suggestion is greatly appreciated.
Answer
See that Pr if Z is uniformly distributed. Now see that:
\Pr(Z\leq z)=\Pr(u(X)\leq z)=\Pr(X\leq u^{-1}(z))\\ =\int_2^{ u^{-1}(z)}\frac 23(x-1)dx=\frac{u^{-1}(z)^2}{3}-\frac{2u^{-1}(z)}{3}
So we have:
\frac{u^{-1}(z)^2}{3}-\frac{2u^{-1}(z)}{3}=z.
which means that:
u(x)=\frac{x^2}{3}-\frac{2x}{3}.
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