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    Jacobian

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    das1717
    1. The document describes computing the Jacobian and inverse transformations to find the joint probability density function fz,w(Z,W) for new random variables z=x+y and w=x/(x+y) given the original joint pdf fx,y(X,Y)=6e^-(3X+2Y). 2. The inverse transformations are found to be x=zw and y=z(1-w). The Jacobian is computed to be 1/(zw+z(1-w)). 3. Substituting into the original pdf and Jacobian gives fz,w(Z,W)=6Ze^-(Z(W+2)). 4. The marginal pdfs are found

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    Jacobian

    Uploaded by

    das1717
    114 views1 page
    1. The document describes computing the Jacobian and inverse transformations to find the joint probability density function fz,w(Z,W) for new random variables z=x+y and w=x/(x+y) given the original joint pdf fx,y(X,Y)=6e^-(3X+2Y). 2. The inverse transformations are found to be x=zw and y=z(1-w). The Jacobian is computed to be 1/(zw+z(1-w)). 3. Substituting into the original pdf and Jacobian gives fz,w(Z,W)=6Ze^-(Z(W+2)). 4. The marginal pdfs are found

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    Jacobian theory

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    1. The document describes computing the Jacobian and inverse transformations to find the joint probability density function fz,w(Z,W) for new random variables z=x+y and w=x/(x+y) given the original joint pdf fx,y(X,Y)=6e^-(3X+2Y). 2. The inverse transformations are found to be x=zw and y=z(1-w). The Jacobian is computed to be 1/(zw+z(1-w)). 3. Substituting into the original pdf and Jacobian gives fz,w(Z,W)=6Ze^-(Z(W+2)). 4. The marginal pdfs are found

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    114 views1 page

    Jacobian

    Uploaded by

    das1717
    1. The document describes computing the Jacobian and inverse transformations to find the joint probability density function fz,w(Z,W) for new random variables z=x+y and w=x/(x+y) given the original joint pdf fx,y(X,Y)=6e^-(3X+2Y). 2. The inverse transformations are found to be x=zw and y=z(1-w). The Jacobian is computed to be 1/(zw+z(1-w)). 3. Substituting into the original pdf and Jacobian gives fz,w(Z,W)=6Ze^-(Z(W+2)). 4. The marginal pdfs are found

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 1

    EECS 501

    2-D EXAMPLE OF JACOBIAN METHOD

    Fall 2001

    Given: fx,y (X, Y ) = 6e(3X +2Y ) for X, Y 0; 0 otherwise (2-D exponential). Goal: Compute fz,w (Z, W ) for transformation z = x + y and w = x/(x + y ). 1. Compute the inverse transformation of the given one: z = z (x, y ) = x + y w = w(x, y ) = x/(x + y ) Inverse x = x(z, w) = zw y = y (z, w) = z (1 w)

    since w = x/(x + y ) = x/z x = zw and y = z x = z zw = z (1 w). 2. Compute the Jacobian=determinant of the Jacobian matrix J: |J | = |det
    z x w x z y w y

    | = |det

    y (x+y )2

    1
    x (x+y )2

    |=|

    1 x+y |

    1 x+y .

    since x, y 0 for this particular fx,y (X, Y ). 3. Substitute inverse transformation into fx,y (X, Y )/|J (X, Y )|: fz,w (Z, W ) = =
    fx,y (X,Y ) |J (X,Y )| |X =x(Z,W ),Y =y (Z,W )

    as dened above

    fx,y (ZW,Z (1W )) 1/(ZW +Z (1W ))

    = 6Ze(3ZW +2Z (1W )) = 6ZeZ (W +2)

    for Z 0 and 0 W 1 since x, y 0 0 w 1. 4. If desired, compute marginal pdfs for z and/or w: fz (Z ) = 6Ze2Z fw ( W ) =
    0 1 ZW e dW 0

    = 6(e2Z e3Z ) for Z 0.


    6 (W +2)2

    6ZeZ (W +2) dZ =

    for 0 W 1.

    Check: Both marginal pdfs integrate to 1. Compare to exponential fx (X ), fy (Y ). Given: fx,y (X, Y ) = 9e(3X +3Y ) for X, Y 0; 0 otherwise (2-D exponential). Goal: Compute fz,w (Z, W ) for transformation z = x + y and w = x/(x + y ). Now get fz,w (Z, W ) = 9Ze3Z for Z 0 and 0 W 1. This is a 2nd -order Erlang or Gamma pdf in z ; a uniform pdf in w. Note that z and w are now independent random variables, unlike before.

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