## Transformation Of Probability Density Functions

1. The problem statement, all variables and given/known data
Let X and Y be random variables. The pdfs are $f_X(x)=2(1-x)$ and $f_Y(y) = 2(1-y)$. Both distributions are defined on [0,1].

Let Z = X + Y. Find the pdf for Z, $f_Z(z)$.

2. Relevant equations
I'm using ideas, not equations.

3. The attempt at a solution
I'm dying of curiosity about where I'm going wrong. I'm so sure of each step, but my answer can't be correct because $\int_0^2 f_Z(z)\,dz$ is zero! Here's my logic.

Consider the cdf (cumulative distribution function) for Z:

$$F_Z(z) = P(Z\le z) = P(X+Y \le z)$$

Here, $F_Z(z)$ is the volume above the triangle shown in the image I attached to this message (in case something happens to the attachment, it's the triangle in quadrant 1 bounded by x=0, y=0 and x+y=z.)

The volume above the shaded region represents $F_Z(z)$.

$$F_Z(z) = \int_{x=0}^{x=z} 2(1-x)\int_{y=0}^{y=z-x} 2(1-y)\,dy\,dx$$

Performing the integrals gives $F_Z(z) = \frac{1}{6}z^4 - \frac{4}{3}z^3 + 2z^2$. Then taking the derivative of the cdf gives the pdf:

$$f_Z(z) = \partial_z F_Z(z) = \frac{2}{3}z^3 - 4z^2 +4z$$

Unfortunately, this can't be right because the integral of this function over [0,2] gives zero.

I also would've expected that the maximum of $f_Z(z)$ would be at z=0 since individually, X and Y are most likely to be zero.

I checked my algebra and calculus with Mathematica; it looked fine. I think there's a conceptual problem. There must be something I don't understand or some point I'm not clear about.

What did I do wrong?
Attached Thumbnails

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 Recognitions: Gold Member Homework Help Science Advisor You have to split the problem into different cases. i) z<0 ii) z<1 iii) 12 In each case the area of integration is different. But for each case, your model for the integral is $$F_Z(z)=\int\int_{\{(x,y)\in [0,1]\times[0,1]:\ y\leq z-x, \}}f_{XY}(x,y)dxdy$$ So you're integrating over the area that's the intersection of the square [0,1] x [0,1] with the area under the curve y=z-x. (Btw, you never said that X and Y are independant but I assume they are?)
 Ahhh.... yes. I *completely* understand. We're integrating that portion of the unit square (in QI with lower left corner at origin) that lies underneath x+y=1. So when 0