Friday, May 3, 2019

probability theory - Find a monotone function u(x) such that a random variable has a uniform distribution




Suppose X has density (pdf) fX(x)=23(x1) 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)=ni=1fX(g1i(y))|ddyg1i(y)|
We are given Y=logXg1(y)=ey
Thus
fY(y)=fX(g1(y))|ddyg1(y)|=23(ey1)ey=23ey(ey1)      log(3)<y<log(2)

To verify this is correct note that log(2)log(3)23ey(ey1)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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