Probability density function

From Wikipedia, the free encyclopedia

Jump to navigationJump to search

Boxplot and probability density function of a normal distribution N(0, σ2).

Geometric visualisation of the mode, median and mean of an arbitrary probability

density function.[1]
In probability theory, a probability density function (PDF), or density of a
continuous random variable, is a function whose value at any given sample (or
point) in the sample space (the set of possible values taken by the random
variable) can be interpreted as providing a relative likelihood that the value of
the random variable would equal that sample.[2] In other words, while the absolute
likelihood for a continuous random variable to take on any particular value is 0
(since there is an infinite set of possible values to begin with), the value of the
PDF at two different samples can be used to infer, in any particular draw of the
random variable, how much more likely it is that the random variable would equal
one sample compared to the other sample.

In a more precise sense, the PDF is used to specify the probability of the random
variable falling within a particular range of values, as opposed to taking on any
one value. This probability is given by the integral of this variable's PDF over
that range—that is, it is given by the area under the density function but above
the horizontal axis and between the lowest and greatest values of the range. The
probability density function is nonnegative everywhere, and its integral over the
entire space is equal to 1.

The terms "probability distribution function"[3] and "probability function"[4] have

also sometimes been used to denote the probability density function. However, this
use is not standard among probabilists and statisticians. In other sources,
"probability distribution function" may be used when the probability distribution
is defined as a function over general sets of values or it may refer to the
cumulative distribution function, or it may be a probability mass function (PMF)
rather than the density. "Density function" itself is also used for the probability
mass function, leading to further confusion.[5] In general though, the PMF is used
in the context of discrete random variables (random variables that take values on a
countable set), while the PDF is used in the context of continuous random
variables.

Contents
1 Example
2 Absolutely continuous univariate distributions
3 Formal definition
3.1 Discussion
4 Further details
5 Link between discrete and continuous distributions
6 Families of densities
7 Densities associated with multiple variables
7.1 Marginal densities
7.2 Independence
7.3 Corollary
7.4 Example
8 Function of random variables and change of variables in the probability
density function
8.1 Scalar to scalar
8.2 Vector to vector
8.3 Vector to scalar
9 Sums of independent random variables
10 Products and quotients of independent random variables
10.1 Example: Quotient distribution
10.2 Example: Quotient of two standard normals
11 See also
12 References
13 Further reading
14 External links
Example
Suppose bacteria of a certain species typically live 4 to 6 hours. The probability
that a bacterium lives exactly 5 hours is equal to zero. A lot of bacteria live for
approximately 5 hours, but there is no chance that any given bacterium dies at
exactly 5.00... hours. However, the probability that the bacterium dies between 5
hours and 5.01 hours is quantifiable. Suppose the answer is 0.02 (i.e., 2%). Then,
the probability that the bacterium dies between 5 hours and 5.001 hours should be
about 0.002, since this time interval is one-tenth as long as the previous. The
probability that the bacterium dies between 5 hours and 5.0001 hours should be
about 0.0002, and so on.

In this example, the ratio (probability of dying during an interval) / (duration of

the interval) is approximately constant, and equal to 2 per hour (or 2 hour−1). For
example, there is 0.02 probability of dying in the 0.01-hour interval between 5 and
5.01 hours, and (0.02 probability / 0.01 hours) = 2 hour−1. This quantity 2 hour−1
is called the probability density for dying at around 5 hours. Therefore, the
probability that the bacterium dies at 5 hours can be written as (2 hour−1) dt.
This is the probability that the bacterium dies within an infinitesimal window of
time around 5 hours, where dt is the duration of this window. For example, the
probability that it lives longer than 5 hours, but shorter than (5 hours + 1
nanosecond), is (2 hour−1)×(1 nanosecond) ≈ 6×10−13 (using the unit conversion
3.6×1012 nanoseconds = 1 hour).

There is a probability density function f with f(5 hours) = 2 hour−1. The integral
of f over any window of time (not only infinitesimal windows but also large
windows) is the probability that the bacterium dies in that window.

Absolutely continuous univariate distributions

A probability density function is most commonly associated with absolutely
continuous univariate distributions. A random variable {\displaystyle X}X has
density {\displaystyle f_{X}}f_X, where {\displaystyle f_{X}}f_X is a non-negative
Lebesgue-integrable function, if:

{\displaystyle \Pr[a\leq X\leq b]=\int _{a}^{b}f_{X}(x)\,dx.}\Pr[a\leq X\leq

b]=\int _{a}^{b}f_{X}(x)\,dx.
Hence, if {\displaystyle F_{X}}F_{X} is the cumulative distribution function of
{\displaystyle X}X, then:

{\displaystyle F_{X}(x)=\int _{-\infty }^{x}f_{X}(u)\,du,}F_{X}(x)=\int _{-\infty }

^{x}f_{X}(u)\,du,
and (if {\displaystyle f_{X}}f_X is continuous at {\displaystyle x}x)

{\displaystyle f_{X}(x)={\frac {d}{dx}}F_{X}(x).}f_{X}(x)={\frac {d}{dx}}F_{X}(x).

Intuitively, one can think of {\displaystyle f_{X}(x)\,dx}{\displaystyle f_{X}
(x)\,dx} as being the probability of {\displaystyle X}X falling within the
infinitesimal interval {\displaystyle [x,x+dx]}[x,x+dx].

Formal definition
(This definition may be extended to any probability distribution using the measure-
theoretic definition of probability.)

A random variable {\displaystyle X}X with values in a measurable space

{\displaystyle ({\mathcal {X}},{\mathcal {A}})}({\mathcal {X}},{\mathcal {A}})
(usually {\displaystyle \mathbb {R} ^{n}}\mathbb {R} ^{n} with the Borel sets as
measurable subsets) has as probability distribution the measure X∗P on
{\displaystyle ({\mathcal {X}},{\mathcal {A}})}({\mathcal {X}},{\mathcal {A}}): the
density of {\displaystyle X}X with respect to a reference measure {\displaystyle
\mu }\mu on {\displaystyle ({\mathcal {X}},{\mathcal {A}})}({\mathcal {X}},
{\mathcal {A}}) is the Radon–Nikodym derivative:

{\displaystyle f={\frac {dX_{*}P}{d\mu }}.}f={\frac {dX_{*}P}{d\mu }}.

That is, f is any measurable function with the property that:

{\displaystyle \Pr[X\in A]=\int _{X^{-1}A}\,dP=\int _{A}f\,d\mu }\Pr[X\in A]=\int

_{X^{-1}A}\,dP=\int _{A}f\,d\mu
for any measurable set {\displaystyle A\in {\mathcal {A}}.}{\displaystyle A\in
{\mathcal {A}}.}

Discussion
In the continuous univariate case above, the reference measure is the Lebesgue
measure. The probability mass function of a discrete random variable is the density
with respect to the counting measure over the sample space (usually the set of
integers, or some subset thereof).

It is not possible to define a density with reference to an arbitrary measure (e.g.

one can't choose the counting measure as a reference for a continuous random
variable). Furthermore, when it does exist, the density is almost everywhere
unique.

Further details
Unlike a probability, a probability density function can take on values greater
than one; for example, the uniform distribution on the interval [0, 1/2] has
probability density f(x) = 2 for 0 ≤ x ≤ 1/2 and f(x) = 0 elsewhere.

The standard normal distribution has probability density

{\displaystyle f(x)={\frac {1}{\sqrt {2\pi }}}\;e^{-x^{2}/2}.}{\displaystyle

f(x)={\frac {1}{\sqrt {2\pi }}}\;e^{-x^{2}/2}.}
If a random variable X is given and its distribution admits a probability density
function f, then the expected value of X (if the expected value exists) can be
calculated as

{\displaystyle \operatorname {E} [X]=\int _{-\infty }^{\infty }x\,f(x)\,dx.}

{\displaystyle \operatorname {E} [X]=\int _{-\infty }^{\infty }x\,f(x)\,dx.}
Not every probability distribution has a density function: the distributions of
discrete random variables do not; nor does the Cantor distribution, even though it
has no discrete component, i.e., does not assign positive probability to any
individual point.

A distribution has a density function if and only if its cumulative distribution

function F(x) is absolutely continuous. In this case: F is almost everywhere
differentiable, and its derivative can be used as probability density:

{\displaystyle {\frac {d}{dx}}F(x)=f(x).}{\displaystyle {\frac {d}{dx}}F(x)=f(x).}

If a probability distribution admits a density, then the probability of every one-
point set {a} is zero; the same holds for finite and countable sets.

Two probability densities f and g represent the same probability distribution

precisely if they differ only on a set of Lebesgue measure zero.

In the field of statistical physics, a non-formal reformulation of the relation

above between the derivative of the cumulative distribution function and the
probability density function is generally used as the definition of the probability
density function. This alternate definition is the following:

If dt is an infinitely small number, the probability that X is included within the

interval (t, t + dt) is equal to f(t) dt, or:

{\displaystyle \Pr(t<X<t+dt)=f(t)\,dt.}{\displaystyle \Pr(t<X<t+dt)=f(t)\,dt.}

Link between discrete and continuous distributions
It is possible to represent certain discrete random variables as well as random
variables involving both a continuous and a discrete part with a generalized
probability density function, by using the Dirac delta function. (This is not
possible with a probability density function in the sense defined above, it may be
done with a distribution.) For example, consider a binary discrete random variable
having the Rademacher distribution—that is, taking −1 or 1 for values, with
probability ½ each. The density of probability associated with this variable is:

{\displaystyle f(t)={\frac {1}{2}}(\delta (t+1)+\delta (t-1)).}f(t)={\frac {1}{2}}

(\delta (t+1)+\delta (t-1)).
More generally, if a discrete variable can take n different values among real
numbers, then the associated probability density function is:

{\displaystyle f(t)=\sum _{i=1}^{n}p_{i}\,\delta (t-x_{i}),}f(t)=\sum

_{i=1}^{n}p_{i}\,\delta (t-x_{i}),
where {\displaystyle x_{1}\ldots ,x_{n}}{\displaystyle x_{1}\ldots ,x_{n}} are the
discrete values accessible to the variable and {\displaystyle p_{1},\ldots
,p_{n}}p_1,\ldots,p_n are the probabilities associated with these values.

This substantially unifies the treatment of discrete and continuous probability

distributions. For instance, the above expression allows for determining
statistical characteristics of such a discrete variable (such as its mean, its
variance and its kurtosis), starting from the formulas given for a continuous
distribution of the probability...

Families of densities
It is common for probability density functions (and probability mass functions) to
be parametrized—that is, to be characterized by unspecified parameters. For
example, the normal distribution is parametrized in terms of the mean and the
variance, denoted by {\displaystyle \mu }\mu and {\displaystyle \sigma ^{2}}\sigma
^{2} respectively, giving the family of densities

{\displaystyle f(x;\mu ,\sigma ^{2})={\frac {1}{\sigma {\sqrt {2\pi }}}}e^{-{\frac

{1}{2}}\left({\frac {x-\mu }{\sigma }}\right)^{2}}.}f(x;\mu ,\sigma ^{2})={\frac
{1}{\sigma {\sqrt {2\pi }}}}e^{-{\frac {1}{2}}\left({\frac {x-\mu }
{\sigma }}\right)^{2}}.
It is important to keep in mind the difference between the domain of a family of
densities and the parameters of the family. Different values of the parameters
describe different distributions of different random variables on the same sample
space (the same set of all possible values of the variable); this sample space is
the domain of the family of random variables that this family of distributions
describes. A given set of parameters describes a single distribution within the
family sharing the functional form of the density. From the perspective of a given
distribution, the parameters are constants, and terms in a density function that
contain only parameters, but not variables, are part of the normalization factor of
a distribution (the multiplicative factor that ensures that the area under the
density—the probability of something in the domain occurring— equals 1). This
normalization factor is outside the kernel of the distribution.

Since the parameters are constants, reparametrizing a density in terms of different

parameters, to give a characterization of a different random variable in the
family, means simply substituting the new parameter values into the formula in
place of the old ones. Changing the domain of a probability density, however, is
trickier and requires more work: see the section below on change of variables.

Densities associated with multiple variables

For continuous random variables X1, …, Xn, it is also possible to define a
probability density function associated to the set as a whole, often called joint
probability density function. This density function is defined as a function of the
n variables, such that, for any domain D in the n-dimensional space of the values
of the variables X1, …, Xn, the probability that a realisation of the set variables
falls inside the domain D is

{\displaystyle \Pr \left(X_{1},\ldots ,X_{n}\in D\right)=\int

_{D}f_{X_{1},\ldots ,X_{n}}(x_{1},\ldots ,x_{n})\,dx_{1}\cdots dx_{n}.}
{\displaystyle \Pr \left(X_{1},\ldots ,X_{n}\in D\right)=\int
_{D}f_{X_{1},\ldots ,X_{n}}(x_{1},\ldots ,x_{n})\,dx_{1}\cdots dx_{n}.}
If F(x1, …, xn) = Pr(X1 ≤ x1, …, Xn ≤ xn) is the cumulative distribution function
of the vector (X1, …, Xn), then the joint probability density function can be
computed as a partial derivative

{\displaystyle f(x)=\left.{\frac {\partial ^{n}F}{\partial x_{1}\cdots \partial

x_{n}}}\right|_{x}}{\displaystyle f(x)=\left.{\frac {\partial ^{n}F}{\partial
x_{1}\cdots \partial x_{n}}}\right|_{x}}
Marginal densities
For i = 1, 2, …, n, let fXi(xi) be the probability density function associated with
variable Xi alone. This is called the marginal density function, and can be deduced
from the probability density associated with the random variables X1, …, Xn by
integrating over all values of the other n − 1 variables:

{\displaystyle f_{X_{i}}(x_{i})=\int f(x_{1},\ldots ,x_{n})\,dx_{1}\cdots dx_{i-

1}\,dx_{i+1}\cdots dx_{n}.}f_{X_i}(x_i) = \int f(x_1,\ldots,x_n)\, dx_1 \cdots
dx_{i-1}\,dx_{i+1}\cdots dx_n .
Independence
Continuous random variables X1, …, Xn admitting a joint density are all independent
from each other if and only if

{\displaystyle f_{X_{1},\ldots ,X_{n}}(x_{1},\ldots ,x_{n})=f_{X_{1}}(x_{1})\cdots

f_{X_{n}}(x_{n}).}{\displaystyle f_{X_{1},\ldots ,X_{n}}(x_{1},\ldots
,x_{n})=f_{X_{1}}(x_{1})\cdots f_{X_{n}}(x_{n}).}
Corollary
If the joint probability density function of a vector of n random variables can be
factored into a product of n functions of one variable

{\displaystyle f_{X_{1},\ldots ,X_{n}}(x_{1},\ldots ,x_{n})=f_{1}(x_{1})\cdots

f_{n}(x_{n}),}{\displaystyle f_{X_{1},\ldots ,X_{n}}(x_{1},\ldots ,x_{n})=f_{1}
(x_{1})\cdots f_{n}(x_{n}),}
(where each fi is not necessarily a density) then the n variables in the set are
all independent from each other, and the marginal probability density function of
each of them is given by

{\displaystyle f_{X_{i}}(x_{i})={\frac {f_{i}(x_{i})}{\int f_{i}

(x)\,dx}}.}f_{X_{i}}(x_{i})={\frac {f_{i}(x_{i})}{\int f_{i}(x)\,dx}}.
Example
This elementary example illustrates the above definition of multidimensional
probability density functions in the simple case of a function of a set of two
variables. Let us call {\displaystyle {\vec {R}}}{\vec {R}} a 2-dimensional random
vector of coordinates (X, Y): the probability to obtain {\displaystyle {\vec {R}}}
{\vec {R}} in the quarter plane of positive x and y is
{\displaystyle \Pr \left(X>0,Y>0\right)=\int _{0}^{\infty }\int _{0}^{\infty }
f_{X,Y}(x,y)\,dx\,dy.}\Pr \left(X>0,Y>0\right)=\int _{0}^{\infty }\int _{0}^{\infty
}f_{X,Y}(x,y)\,dx\,dy.
Function of random variables and change of variables in the probability density
function
If the probability density function of a random variable (or vector) X is given as
fX(x), it is possible (but often not necessary; see below) to calculate the
probability density function of some variable Y = g(X). This is also called a
“change of variable” and is in practice used to generate a random variable of
arbitrary shape fg(X) = fY using a known (for instance, uniform) random number
generator.

It is tempting to think that in order to find the expected value E(g(X)), one must
first find the probability density fg(X) of the new random variable Y = g(X).
However, rather than computing

{\displaystyle \operatorname {E} {\big (}g(X){\big )}=\int _{-\infty }^{\infty }

yf_{g(X)}(y)\,dy,}{\displaystyle \operatorname {E} {\big (}g(X){\big )}=\int
_{-\infty }^{\infty }yf_{g(X)}(y)\,dy,}
one may find instead

{\displaystyle \operatorname {E} {\big (}g(X){\big )}=\int _{-\infty }^{\infty }

g(x)f_{X}(x)\,dx.}{\displaystyle \operatorname {E} {\big (}g(X){\big )}=\int
_{-\infty }^{\infty }g(x)f_{X}(x)\,dx.}
The values of the two integrals are the same in all cases in which both X and g(X)
actually have probability density functions. It is not necessary that g be a one-
to-one function. In some cases the latter integral is computed much more easily
than the former. See Law of the unconscious statistician.

Scalar to scalar
Let {\displaystyle g:{\mathbb {R} }\rightarrow {\mathbb {R} }}{\displaystyle g:
{\mathbb {R} }\rightarrow {\mathbb {R} }} be a monotonic function, then the
resulting density function is

{\displaystyle f_{Y}(y)=f_{X}{\big (}g^{-1}(y){\big )}\left|{\frac {d}{dy}}{\big

(}g^{-1}(y){\big )}\right|.}{\displaystyle f_{Y}(y)=f_{X}{\big (}g^{-1}(y)
{\big )}\left|{\frac {d}{dy}}{\big (}g^{-1}(y){\big )}\right|.}
Here g−1 denotes the inverse function.

This follows from the fact that the probability contained in a differential area
must be invariant under change of variables. That is,

{\displaystyle \left|f_{Y}(y)\,dy\right|=\left|f_{X}(x)\,dx\right|,}
{\displaystyle \left|f_{Y}(y)\,dy\right|=\left|f_{X}(x)\,dx\right|,}
or

{\displaystyle f_{Y}(y)=\left|{\frac {dx}{dy}}\right|f_{X}(x)=\left|{\frac {d}{dy}}

(x)\right|f_{X}(x)=\left|{\frac {d}{dy}}{\big (}g^{-1}(y){\big )}\right|f_{X}{\big
(}g^{-1}(y){\big )}={\left|\left(g^{-1}\right)'(y)\right|}\cdot f_{X}{\big (}g^{-1}
(y){\big )}.}{\displaystyle f_{Y}(y)=\left|{\frac {dx}{dy}}\right|f_{X}(x)=\left|
{\frac {d}{dy}}(x)\right|f_{X}(x)=\left|{\frac {d}{dy}}{\big (}g^{-1}(y)
{\big )}\right|f_{X}{\big (}g^{-1}(y){\big )}={\left|\left(g^{-
1}\right)'(y)\right|}\cdot f_{X}{\big (}g^{-1}(y){\big )}.}
For functions that are not monotonic, the probability density function for y is

{\displaystyle \sum _{k=1}^{n(y)}\left|{\frac {d}{dy}}g_{k}^{-1}(y)\right|\cdot

f_{X}{\big (}g_{k}^{-1}(y){\big )},}{\displaystyle \sum _{k=1}^{n(y)}\left|{\frac
{d}{dy}}g_{k}^{-1}(y)\right|\cdot f_{X}{\big (}g_{k}^{-1}(y){\big )},}
where n(y) is the number of solutions in x for the equation {\displaystyle g(x)=y}
{\displaystyle g(x)=y}, and {\displaystyle g_{k}^{-1}(y)}{\displaystyle g_{k}^{-1}
(y)} are these solutions.

Vector to vector
Suppose x is an n-dimensional random variable with joint density f. If y = H(x),
where H is a bijective, differentiable function, then y has density g:

{\displaystyle g(\mathbf {y} )=f{\Bigl (}H^{-1}(\mathbf {y} ){\Bigr )}\left|\det

\left[\left.{\frac {dH^{-1}(\mathbf {z} )}{d\mathbf {z} }}\right|_{\mathbf {z}
=\mathbf {y} }\right]\right|}{\displaystyle g(\mathbf {y} )=f{\Bigl (}H^{-1}
(\mathbf {y} ){\Bigr )}\left|\det \left[\left.{\frac {dH^{-1}(\mathbf {z} )}
{d\mathbf {z} }}\right|_{\mathbf {z} =\mathbf {y} }\right]\right|}
with the differential regarded as the Jacobian of the inverse of H(⋅), evaluated at
y.[6]

For example, in the 2-dimensional case x = (x1, x2), suppose the transform H is
given as y1 = H1(x1, x2), y2 = H2(x1, x2) with inverses x1 = H1−1(y1, y2), x2 =
H2−1(y1, y2). The joint distribution for y = (y1, y2) has density[7]

{\displaystyle g(y_{1},y_{2})=f_{X_{1},X_{2}}{\big (}H_{1}^{-1}

(y_{1},y_{2}),H_{2}^{-1}(y_{1},y_{2}){\big )}\left\vert {\frac {\partial H_{1}^{-
1}}{\partial y_{1}}}{\frac {\partial H_{2}^{-1}}{\partial y_{2}}}-{\frac {\partial
H_{1}^{-1}}{\partial y_{2}}}{\frac {\partial H_{2}^{-1}}{\partial
y_{1}}}\right\vert .}{\displaystyle g(y_{1},y_{2})=f_{X_{1},X_{2}}{\big (}H_{1}^{-
1}(y_{1},y_{2}),H_{2}^{-1}(y_{1},y_{2}){\big )}\left\vert {\frac {\partial H_{1}^{-
1}}{\partial y_{1}}}{\frac {\partial H_{2}^{-1}}{\partial y_{2}}}-{\frac {\partial
H_{1}^{-1}}{\partial y_{2}}}{\frac {\partial H_{2}^{-1}}{\partial
y_{1}}}\right\vert .}
Vector to scalar
Let {\displaystyle V:{\mathbb {R} }^{n}\rightarrow {\mathbb {R} }}{\displaystyle V:
{\mathbb {R} }^{n}\rightarrow {\mathbb {R} }} be a differentiable function and
{\displaystyle X}X be a random vector taking values in {\displaystyle {\mathbb
{R} }^{n}}{\mathbb {R} }^{n}, {\displaystyle f_{X}} f_X be the probability density
function of {\displaystyle X}X and {\displaystyle \delta (\cdot )}{\displaystyle
\delta (\cdot )} be the Dirac delta function. It is possible to use the formulas
above to determine {\displaystyle f_{Y}}{\displaystyle f_{Y}}, the probability
density function of {\displaystyle Y=V(X)}{\displaystyle Y=V(X)}, which will be
given by

{\displaystyle f_{Y}(y)=\int _{\mathbb {R} ^{n}}f_{X}(\mathbf {x} )\delta {\big

(}y-V(\mathbf {x} ){\big )}\,d\mathbf {x} .}{\displaystyle f_{Y}(y)=\int _{\mathbb
{R} ^{n}}f_{X}(\mathbf {x} )\delta {\big (}y-V(\mathbf {x} ){\big )}\,d\mathbf
{x} .}
This result leads to the law of the unconscious statistician:

{\displaystyle \operatorname {E} _{Y}[Y]=\int _{\mathbb {R} }yf_{Y}(y)\,dy=\int

_{\mathbb {R} }y\int _{\mathbb {R} ^{n}}f_{X}(\mathbf {x} )\delta {\big (}y-
V(\mathbf {x} ){\big )}\,d\mathbf {x} \,dy=\int _{{\mathbb {R} }^{n}}\int _{\mathbb
{R} }yf_{X}(\mathbf {x} )\delta {\big (}y-V(\mathbf {x} ){\big )}\,dy\,d\mathbf {x}
=\int _{\mathbb {R} ^{n}}V(\mathbf {x} )f_{X}(\mathbf {x} )\,d\mathbf {x}
=\operatorname {E} _{X}[V(X)].}{\displaystyle \operatorname {E} _{Y}[Y]=\int
_{\mathbb {R} }yf_{Y}(y)\,dy=\int _{\mathbb {R} }y\int _{\mathbb {R} ^{n}}f_{X}
(\mathbf {x} )\delta {\big (}y-V(\mathbf {x} ){\big )}\,d\mathbf {x} \,dy=\int
_{{\mathbb {R} }^{n}}\int _{\mathbb {R} }yf_{X}(\mathbf {x} )\delta {\big (}y-
V(\mathbf {x} ){\big )}\,dy\,d\mathbf {x} =\int _{\mathbb {R} ^{n}}V(\mathbf {x} )
f_{X}(\mathbf {x} )\,d\mathbf {x} =\operatorname {E} _{X}[V(X)].}
Proof:
Let {\displaystyle Z}Z be a collapsed random variable with probability density
function {\displaystyle p_{Z}(z)=\delta (z)}{\displaystyle p_{Z}(z)=\delta (z)}
(i.e. a constant equal to zero). Let the random vector {\displaystyle {\tilde {X}}}
{\tilde {X}} and the transform {\displaystyle H}H be defined as

{\displaystyle H(Z,X)={\begin{bmatrix}Z+V(X)\\X\end{bmatrix}}={\begin{bmatrix}Y\\
{\tilde {X}}\end{bmatrix}}.}{\displaystyle
H(Z,X)={\begin{bmatrix}Z+V(X)\\X\end{bmatrix}}={\begin{bmatrix}Y\\{\tilde
{X}}\end{bmatrix}}.}
It is clear that {\displaystyle H}H is a bijective mapping, and the Jacobian of
{\displaystyle H^{-1}}H^{{-1}} is given by:

{\displaystyle {\frac {dH^{-1}(y,{\tilde {\mathbf {x} }})}{dy\,d{\tilde {\mathbf

{x} }}}}={\begin{bmatrix}1&-{\frac {dV({\tilde {\mathbf {x} }})}{d{\tilde {\mathbf
{x} }}}}\\\mathbf {0} _{n\times 1}&\mathbf {I} _{n\times n}\end{bmatrix}},}
{\displaystyle {\frac {dH^{-1}(y,{\tilde {\mathbf {x} }})}{dy\,d{\tilde {\mathbf
{x} }}}}={\begin{bmatrix}1&-{\frac {dV({\tilde {\mathbf {x} }})}{d{\tilde {\mathbf
{x} }}}}\\\mathbf {0} _{n\times 1}&\mathbf {I} _{n\times n}\end{bmatrix}},}
which is an upper triangular matrix with ones on the main diagonal, therefore its
determinant is 1. Applying the change of variable theorem from the previous section
we obtain that

{\displaystyle f_{Y,X}(y,x)=f_{X}(\mathbf {x} )\delta {\big (}y-V(\mathbf {x} )

{\big )},}{\displaystyle f_{Y,X}(y,x)=f_{X}(\mathbf {x} )\delta {\big (}y-V(\mathbf
{x} ){\big )},}
which if marginalized over {\displaystyle x}x leads to the desired probability
density function.

Sums of independent random variables

See also: List of convolutions of probability distributions
The probability density function of the sum of two independent random variables U
and V, each of which has a probability density function, is the convolution of
their separate density functions:

{\displaystyle f_{U+V}(x)=\int _{-\infty }^{\infty }f_{U}(y)f_{V}(x-

y)\,dy=\left(f_{U}*f_{V}\right)(x)}f_{U+V}(x)=\int _{-\infty }^{\infty }f_{U}
(y)f_{V}(x-y)\,dy=\left(f_{U}*f_{V}\right)(x)
It is possible to generalize the previous relation to a sum of N independent random
variables, with densities U1, …, UN:

{\displaystyle f_{U_{1}+\cdots +U_{N}}(x)=\left(f_{U_{1}}*\cdots *f_{U_{N}}\right)

(x)}{\displaystyle f_{U_{1}+\cdots +U_{N}}(x)=\left(f_{U_{1}}*\cdots
*f_{U_{N}}\right)(x)}
This can be derived from a two-way change of variables involving Y=U+V and Z=V,
similarly to the example below for the quotient of independent random variables.

Products and quotients of independent random variables

See also: Product distribution and Ratio distribution
Given two independent random variables U and V, each of which has a probability
density function, the density of the product Y = UV and quotient Y=U/V can be
computed by a change of variables.

Example: Quotient distribution

To compute the quotient Y = U/V of two independent random variables U and V, define
the following transformation:

{\displaystyle Y=U/V}Y=U/V
{\displaystyle Z=V}Z=V
Then, the joint density p(y,z) can be computed by a change of variables from U,V to
Y,Z, and Y can be derived by marginalizing out Z from the joint density.

The inverse transformation is

{\displaystyle U=YZ}U=YZ
{\displaystyle V=Z}V=Z
The Jacobian matrix {\displaystyle J(U,V\mid Y,Z)}{\displaystyle J(U,V\mid Y,Z)} of
this transformation is

{\displaystyle {\begin{vmatrix}{\frac {\partial u}{\partial y}}&{\frac {\partial u}

{\partial z}}\\{\frac {\partial v}{\partial y}}&{\frac {\partial v}{\partial
z}}\end{vmatrix}}={\begin{vmatrix}z&y\\0&1\end{vmatrix}}=|z|.}{\displaystyle
{\begin{vmatrix}{\frac {\partial u}{\partial y}}&{\frac {\partial u}{\partial z}}\\
{\frac {\partial v}{\partial y}}&{\frac {\partial v}{\partial
z}}\end{vmatrix}}={\begin{vmatrix}z&y\\0&1\end{vmatrix}}=|z|.}
Thus:

{\displaystyle p(y,z)=p(u,v)\,J(u,v\mid y,z)=p(u)\,p(v)\,J(u,v\mid y,z)=p_{U}

(yz)\,p_{V}(z)\,|z|.}{\displaystyle p(y,z)=p(u,v)\,J(u,v\mid
y,z)=p(u)\,p(v)\,J(u,v\mid y,z)=p_{U}(yz)\,p_{V}(z)\,|z|.}
And the distribution of Y can be computed by marginalizing out Z:

{\displaystyle p(y)=\int _{-\infty }^{\infty }p_{U}(yz)\,p_{V}(z)\,|z|\,dz}

{\displaystyle p(y)=\int _{-\infty }^{\infty }p_{U}(yz)\,p_{V}(z)\,|z|\,dz}
This method crucially requires that the transformation from U,V to Y,Z be
bijective. The above transformation meets this because Z can be mapped directly
back to V, and for a given V the quotient U/V is monotonic. This is similarly the
case for the sum U + V, difference U − V and product UV.

Exactly the same method can be used to compute the distribution of other functions
of multiple independent random variables.

Example: Quotient of two standard normals

Given two standard normal variables U and V, the quotient can be computed as
follows. First, the variables have the following density functions:

{\displaystyle p(u)={\frac {1}{\sqrt {2\pi }}}e^{-{\frac {u^{2}}{2}}}}

{\displaystyle p(u)={\frac {1}{\sqrt {2\pi }}}e^{-{\frac {u^{2}}{2}}}}
{\displaystyle p(v)={\frac {1}{\sqrt {2\pi }}}e^{-{\frac {v^{2}}{2}}}}
{\displaystyle p(v)={\frac {1}{\sqrt {2\pi }}}e^{-{\frac {v^{2}}{2}}}}
We transform as described above:

{\displaystyle Y=U/V}Y=U/V
{\displaystyle Z=V}Z=V
This leads to:

{\displaystyle {\begin{aligned}p(y)&=\int _{-\infty }^{\infty }p_{U}(yz)\,p_{V}

(z)\,|z|\,dz\\[5pt]&=\int _{-\infty }^{\infty }{\frac {1}{\sqrt {2\pi }}}e^{-{\frac
{1}{2}}y^{2}z^{2}}{\frac {1}{\sqrt {2\pi }}}e^{-{\frac {1}{2}}z^{2}}|z|\,dz\\
[5pt]&=\int _{-\infty }^{\infty }{\frac {1}{2\pi }}e^{-{\frac {1}
{2}}\left(y^{2}+1\right)z^{2}}|z|\,dz\\[5pt]&=2\int _{0}^{\infty }{\frac {1}
{2\pi }}e^{-{\frac {1}{2}}\left(y^{2}+1\right)z^{2}}z\,dz\\[5pt]&=\int _{0}^{\infty
}{\frac {1}{\pi }}e^{-\left(y^{2}+1\right)u}\,du&&u={\tfrac {1}{2}}z^{2}\\
[5pt]&=\left.-{\frac {1}{\pi
\left(y^{2}+1\right)}}e^{-\left(y^{2}+1\right)u}\right|_{u=0}^{\infty }\\
[5pt]&={\frac {1}{\pi \left(y^{2}+1\right)}}\end{aligned}}}{\displaystyle
{\begin{aligned}p(y)&=\int _{-\infty }^{\infty }p_{U}(yz)\,p_{V}(z)\,|z|\,dz\\
[5pt]&=\int _{-\infty }^{\infty }{\frac {1}{\sqrt {2\pi }}}e^{-{\frac {1}
{2}}y^{2}z^{2}}{\frac {1}{\sqrt {2\pi }}}e^{-{\frac {1}{2}}z^{2}}|z|\,dz\\
[5pt]&=\int _{-\infty }^{\infty }{\frac {1}{2\pi }}e^{-{\frac {1}
{2}}\left(y^{2}+1\right)z^{2}}|z|\,dz\\[5pt]&=2\int _{0}^{\infty }{\frac {1}
{2\pi }}e^{-{\frac {1}{2}}\left(y^{2}+1\right)z^{2}}z\,dz\\[5pt]&=\int _{0}^{\infty
}{\frac {1}{\pi }}e^{-\left(y^{2}+1\right)u}\,du&&u={\tfrac {1}{2}}z^{2}\\
[5pt]&=\left.-{\frac {1}{\pi
\left(y^{2}+1\right)}}e^{-\left(y^{2}+1\right)u}\right|_{u=0}^{\infty }\\
[5pt]&={\frac {1}{\pi \left(y^{2}+1\right)}}\end{aligned}}}
This is the density of a standard Cauchy distribution.

See also
Density estimation
Kernel density estimation
Likelihood function
List of probability distributions
Probability mass function
Secondary measure
Uses as position probability density:
Atomic orbital
Home range
References
"AP Statistics Review - Density Curves and the Normal Distributions". Archived
from the original on 2 April 2015. Retrieved 16 March 2015.
Grinstead, Charles M.; Snell, J. Laurie (2009). "Conditional Probability -
Discrete Conditional" (PDF). Grinstead & Snell's Introduction to Probability.
Orange Grove Texts. ISBN 161610046X. Retrieved 2019-07-25.
Probability distribution function PlanetMath Archived 2011-08-07 at the Wayback
Machine
Probability Function at MathWorld
Ord, J.K. (1972) Families of Frequency Distributions, Griffin. ISBN 0-85264-137-0
(for example, Table 5.1 and Example 5.4)
Devore, Jay L.; Berk, Kenneth N. (2007). Modern Mathematical Statistics with
Applications. Cengage. p. 263. ISBN 0-534-40473-1.
David, Stirzaker (2007-01-01). Elementary Probability. Cambridge University Press.
ISBN 0521534283. OCLC 851313783.
Further reading
Billingsley, Patrick (1979). Probability and Measure. New York, Toronto, London:
John Wiley and Sons. ISBN 0-471-00710-2.
Casella, George; Berger, Roger L. (2002). Statistical Inference (Second ed.).
Thomson Learning. pp. 34–37. ISBN 0-534-24312-6.
Stirzaker, David (2003). Elementary Probability. ISBN 0-521-42028-8. Chapters 7 to
9 are about continuous variables.
External links
Ushakov, N.G. (2001) [1994], "Density of a probability distribution", Encyclopedia
of Mathematics, EMS Press
Weisstein, Eric W. "Probability density function". MathWorld.
vte
Theory of probability distributions
probability mass function (pmf)probability density function (pdf)cumulative
distribution function (cdf)quantile function
Loglogisticpdf no-labels.svg
raw momentcentral momentmeanvariancestandard deviationskewnesskurtosisL-moment
moment-generating function (mgf)characteristic functionprobability-generating
function (pgf)cumulantcombinant
Categories: Functions related to probability distributionsEquations of physics
Navigation menu
Not logged in
Talk
Contributions
Create account
Log in
ArticleTalk
ReadEditView history
Search
Search Wikipedia
Main page
Contents
Current events
Random article
About Wikipedia
Contact us
Donate
Contribute
Help
Learn to edit
Community portal
Recent changes
Upload file
Tools
What links here
Related changes
Special pages
Permanent link
Page information
Cite this page
Wikidata item
Print/export
Download as PDF
Printable version

Languages
‫العربية‬
Deutsch
Español
Français
Bahasa Indonesia
Português
Русский
‫اردو‬
中文
35 more
Edit links
This page was last edited on 5 September 2021, at 15:03 (UTC).
Text is available under the Creative Commons Attribution-ShareAlike License;
additional terms may apply. By using this site, you agree to the Term