LECTURE 10 Continuous Bayes rule; Derived distributions Readings: Section 3.6; start Section 4.

1 Review

The Bayes variations pX,Y (x, y ) pY (y )

pX |Y (x | y ) =

pX (x)pY |X (y | x) pY (y )

pY (y ) = Example:

pX (x)pY |X (y | x)

X = 1, 0: airplane present/not present

pX (x) pX |Y (x | y ) = pX (x) =
y

fX (x) fX,Y (x, y ) fX |Y (x | y ) = fX (x) =

Y = 1, 0: something did/did not register on radar fX,Y (x, y ) fY (y ) fX,Y (x, y ) dy fX |Y (x | y ) = Continuous counterpart fX,Y (x, y )

pX,Y (x, y ) pX,Y (x, y ) pY (y ) pX,Y (x, y )

fY (y )
x

fX (x)fY |X (y | x) fY (y )

fY (y ) = FX (x) = P(X x)

fX (x)fY |X (y | x) dx

E[X ], var(X )

Example: X : some signal; prior fX (x) Y : noisy version of X fY |X (y | x): model of the noise

Discrete X , Continuous Y pX |Y (x | y ) = fY (y ) =

What is a derived distribution It is a PMF or PDF of a function of one or more random variables with known probability law. E.g.:
y f X ,Y(y,x)=1 1

pX (x)fY |X (y | x) fY (y )

pX (x)fY |X (y | x)

Example: X : a discrete signal; prior pX (x) Y : noisy version of X fY |X (y | x): continuous noise model Continuous X , Discrete Y fX |Y (x | y ) = pY (y ) =

Obtaining the PDF for g (X, Y ) = Y /X involves deriving a distribution. Note: g (X, Y ) is a random variable When not to nd them Dont need PDF for g (X, Y ) if only want to compute expected value:

fX (x)pY |X (y | x) pY (y )

fX (x)pY |X (y | x) dx

Example: X : a continuous signal; prior fX (x) (e.g., intensity of light beam); Y : discrete r.v. aected by X (e.g., photon count) pY |X (y | x): model of the discrete r.v.

E[g (X, Y )] =

g (x, y )fX,Y (x, y ) dx dy

How to nd them Discrete case Obtain probability mass for each possible value of Y = g (X ) pY (y ) = P(g (X ) = y ) pX (x) =
x: g (x)=y
x g(x) y

The continuous case Two-step procedure: Get CDF of Y : FY (y ) = P(Y y ) Dierentiate to get fY (y ) = dFY (y ) dy

. . . . . . .

. . . . . . .

Example X : uniform on [0,2] Find PDF of Y = X 3 Solution: FY (y ) = P(Y y ) = P(X 3 y ) 1 = P(X y 1/3) = y 1/3 2 f Y (y ) = dFY 1 (y ) = dy 6y 2/3

Example Joan is driving from Boston to New York. Her speed is uniformly distributed between 30 and 60 mph. What is the distribution of the duration of the trip? 200 Let T (V ) = . V Find fT (t)
f v(v0 ) 1/30
-2 -1

The pdf of Y=aX+b

Y = 2X + 5:
fX

faX

faX+b

fY (y ) =
30 60 v0

1 yb fX a |a|

Use this to check that if X is normal, then Y = aX + b is also normal.

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6.041 / 6.431 Probabilistic Systems Analysis and Applied Probability

Fall 2010

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