Theorem 5.4. Let X be a continuous r.v. with p.d.f. fx(x). Let y = g(x) be strictly monotonic (increasing or decreasing) function of x. Assume that g(x) is differentiable (and hence continuous) for all x. Then the p.d.f. h(.) of the r.v. Y is given by : dx hy(y) = fx(x)| (5-22) %3D ... where x is expressed in terms of y, and the range of Y is determined from the given range of the variable X, on using the transformation y = g(x).

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Prove the theorem

Theorem 5-4. Let X be a continuous r.v. with p.d.f. fx(x). Let y = g(x) be strictly
monotonic (increasing or decreasing) function of x. Assume that g(x) is differentiable (and
hence continuous) for all x. Then the p.d.f. h(.) of the r.v. Y is given by :
dx
hy(y) = fx(x)
dy
· (5-22)
..
where x is expressed in terms of y, and the range of Y is determined from the given range of the
variable X, on using the transformation y = g(x).
Transcribed Image Text:Theorem 5-4. Let X be a continuous r.v. with p.d.f. fx(x). Let y = g(x) be strictly monotonic (increasing or decreasing) function of x. Assume that g(x) is differentiable (and hence continuous) for all x. Then the p.d.f. h(.) of the r.v. Y is given by : dx hy(y) = fx(x) dy · (5-22) .. where x is expressed in terms of y, and the range of Y is determined from the given range of the variable X, on using the transformation y = g(x).
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