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PDF of function of 3 continuous, uniform random variables?

by Phillips101
Tags: continuous, function, random, uniform, variables
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Phillips101
#1
Mar26-09, 02:17 PM
P: 33
Hi. The question is:

Given X, Y and Z are all continuous, independant random variables uniformly distributed on (0,1), prove that (XY)^Z is also uniformly distributed on (0,1).

I worked out the pdf of XY=W. I think it's -ln(w). I have no idea at all how to show that W^Z is U(0,1).

What do I integrate, how do I know how to combine the pdfs, how do I know what the limits are, what substitutions should I make if I need to make one? Etc, really. I just don't know how to tackle this sort of problem at all. The pdf I have for W came from a picture, not any real understanding of what I was doing.

Thanks for any help :)
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jason1995
#2
Mar26-09, 10:24 PM
P: 5
Fix x in (0,1). We could start with

P(WZ ≤ x) = E[P(WZ ≤ x | W)].

Since Z and W are independent, we can calculate P(WZ ≤ x | W) by treating W as a constant. In this case, if W > x, then the probability is 0. Otherwise, WZ ≤ x iff Z ≥ ln(x)/ln(W), which has probability 1 - ln(x)/ln(W). Hence,

[tex]
\begin{align*}
E[P(W^Z \le x \mid W)] &= E\left[{\left({1 - \frac{\ln(x)}{\ln(W)}}\right)1_{\{W\le x\}}}\right]\\
&= \int_0^x \left({1 - \frac{\ln(x)}{\ln(w)}}\right)(-\ln(w))\,dw.
\end{align*}
[/tex]

Now do the integral and check that the result is x.
jason1995
#3
Mar26-09, 10:37 PM
P: 5
Quote Quote by Phillips101 View Post
The pdf I have for W came from a picture, not any real understanding of what I was doing.
We can do this the same way. If [tex]w\in(0,1)[/tex], then

[tex]\begin{align*}
P(W\le w) &= P(XY \le w)\\
&= E[P(XY\le w \mid Y)]\\
&= E\left[{P\left({X\le\frac wY\mid Y}\right)}\right].
\end{align*}
[/tex]

If [tex]Y\le w[/tex], then the probability is 1; otherwise, it is w/Y. Thus,

[tex]\begin{align*}
P(W\le w) &= E\left[{1_{\{Y\le w\}} + \frac wY1_{\{Y > w\}}}\right]\\
&= P(Y \le w) + \int_w^1 \frac wy\,dy\\
&= w - w\ln(w).
\end{align*}
[/tex]

To get the density, we differentiate, which gives [tex]-\ln(w)[/tex].

Phillips101
#4
Mar27-09, 02:19 PM
P: 33
PDF of function of 3 continuous, uniform random variables?

Thanks a lot, that's really very useful.

James


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