8.

One Function of Two Random

Variables
Given two random variables X and Y and a function g(x,y),
we form a new random variable Z as
Z = g ( X , Y ).

(8-1)

Given the joint p.d.f f XY ( x , y ), how does one obtain f Z ( z ),

the p.d.f of Z ? Problems of this type are of interest from a
practical standpoint. For example, a receiver output signal
usually consists of the desired signal buried in noise, and
the above formulation in that case reduces to Z = X + Y.
1

PILLAI

It is important to know the statistics of the incoming signal

for proper receiver design. In this context, we shall analyze
problems of the following type:
X +Y

max( X , Y )
min( X , Y )

X Y
Z = g ( X ,Y )

XY

(8-2)

X /Y

X 2 +Y 2

tan 1 ( X / Y )

Referring back to (8-1), to start with

FZ ( z ) = P (Z ( ) z ) = P (g ( X , Y ) z ) = P [( X , Y ) D z ]
=

x , y D z

f XY ( x , y ) dxdy ,

(8-3)

PILLAI

where D z in the XY plane represents the region such

that g ( x, y ) z is satisfied. Note that D z need not be simply
connected (Fig. 8.1). From (8-3), to determine FZ ( z ) it is
enough to find the region D z for every z, and then evaluate
the integral there.
We shall illustrate this method through various examples.
Y

Dz
Dz

Fig. 8.1

PILLAI

Example 8.1: Z = X + Y. Find

Solution:
FZ ( z ) = P ( X + Y z ) =

+
y =

f Z ( z ).
z y
x =

f XY ( x, y )dxdy,

(8-4)

since the region D z of the xy plane where x + y z is the

shaded area in Fig. 8.2 to the left of the line x + y = z.
Integrating over the horizontal strip along the x-axis first
(inner integral) followed by sliding that strip along the y-axis
from to + (outer integral) we cover the entire shaded
area.
y
x=z y

x
Fig. 8.2

PILLAI

We can find f Z ( z ) by differentiating FZ ( z ) directly. In this

context, it is useful to recall the differentiation rule in (715) - (7-16) due to Leibnitz. Suppose
H (z) =

b( z)
a(z)

h ( x , z ) dx .

(8-5)

Then
b ( z ) h ( x , z )
da ( z )
dH ( z ) db ( z )
=
dx .
h (a ( z ), z ) +
h (b( z ), z )
(
)
a
z
z
dz
dz
dz

(8-6)

Using (8-6) in (8-4) we get

z y f
+
z y

XY ( x, y )
f Z ( z) =
f XY ( x, y )dx dy = f XY ( z y, y ) 0 +
dy

f XY ( z y, y )dy.

(8-7)

Alternatively, the integration in (8-4) can be carried out first

along the y-axis followed by the x-axis as in Fig. 8.3. 5
PILLAI

In that case
FZ ( z ) =

+
x =

z x
y =

f XY ( x, y )dxdy,

(8-8)

and differentiation of (8-8)

gives

y = zx

zx
+
dFZ ( z )

=
f Z ( z) =
f
(
x
,
y
)
dy
dx

XY

x =
dz
z y =

+
x =

f XY ( x, z x)dx.

(8-9)

x
Fig. 8.3

If X and Y are independent, then

f XY ( x, y ) = f X ( x ) fY ( y )

(8-10)

and inserting (8-10) into (8-8) and (8-9), we get

fZ ( z) =

+
y =

f X ( z y ) fY ( y )dy =

+
x =

f X ( x ) fY ( z x )dx.

(8-11)
6

PILLAI

The above integral is the standard convolution of the

functions f X ( z ) and f Y ( z ) expressed two different ways. We
thus reach the following conclusion: If two [Link] are
independent, then the density of their sum equals the
convolution of their density functions.
As a special case, suppose that f X ( x ) = 0 for x < 0 and f Y ( y ) = 0
for y < 0, then we can make use of Fig. 8.4 to determine the
new limits for D z .
y

(z,0)
x=z y

(0, z)
Fig. 8.4

x
7

PILLAI

In that case
FZ ( z ) =

z
y =0

z y
x =0

f XY ( x, y )dxdy

or

z
y

f ( z y , y )dy , z > 0,

f Z ( z ) = f XY ( x, y )dx dy = 0 XY
y =0 z x =0

0,
z 0.
z

(8-12)

On the other hand, by considering vertical strips first in

Fig. 8.4, we get
FZ ( z ) =

or
f Z ( z) =

z
x =0

z
x =0

zx
y =0

f XY ( x, y )dydx

z f ( x ) f ( z x )dx, z > 0,
Y
f XY ( x, z x )dx = y =0 X

0,
z 0,

(8-13)

if X and Y are independent random variables.

PILLAI

Example 8.2: Suppose X and Y are independent exponential

[Link] with common parameter , and let Z = X + Y.
Determine f Z ( z ).
x
y
=
=

f
(
x
)
e
U
(
x
),
f
(
y
)
e
U ( y ), (8-14)
Solution: We have X
Y
and we can make use of (13) to obtain the p.d.f of Z = X + Y.
fZ (z) =

z
0

e
2

( z x )

dx = e
2

z
0

dx = z 2 e zU ( z ).

(8-15)

As the next example shows, care should be taken in using

the convolution formula for [Link] with finite range.
Example 8.3: X and Y are independent uniform [Link] in the
common interval (0,1). Determine f Z ( z ), where Z = X + Y.
Solution: Clearly, Z = X + Y 0 < z < 2 here, and as Fig. 8.5
shows there are two cases of z for which the shaded areas are
quite different in shape and they should be considered
9
separately.
PILLAI

x= z y

x
(a ) 0 < z < 1

x=z y

(b ) 1 < z < 2

Fig. 8.5

For 0 z < 1,
z2
1 dxdy = ( z y )dy = , 0 z < 1.
y =0
2

(8-16)

(2 z )2
= 1
, 1 z < 2.
(1 z + y )dy = 1
y = z 1
2

(8-17)

FZ ( z ) =

z
y =0

z y
x =0

For 1 z < 2, notice that it is easy to deal with the unshaded

region. In that case
1
1
FZ ( z ) = 1 P(Z > z ) = 1
1 dxdy
y = z 1 x = z y
1

10

PILLAI

Using (8-16) - (8-17), we obtain

0 z < 1,
dFZ ( z ) z
=
f Z ( z) =
dz
2 z, 1 z < 2.
convolution of f X ( x ) and f Y ( y ),

By direct
same result as above. In fact, for

0 z <1
z

(8-18)

we obtain the
(Fig. 8.6(a))

f Z ( z ) = f X ( z x ) fY ( x )dx = 1 dx = z.
0

and for

1 z < 2

(8-19)

(Fig. 8.6(b))
f Z ( z) =

1
z 1

1 dx = 2 z.

(8-20)

Fig 8.6 (c) shows f Z ( z ) which agrees with the convolution

of two rectangular waveforms as well.
11

PILLAI

f X ( z x ) fY ( x )

f X ( z x)

fY (x )

z 1

(a ) 0 z < 1

f X ( z x)

fY (x )

f X ( z x ) fY ( x )

z 1

x
z 1

( b) 1 z < 2

f Z (z )

Fig. 8.6 (c)

z
12

PILLAI

Example 8.3: Let Z = X Y . Determine its p.d.f

Solution: From (8-3) and Fig. 8.7
FZ ( z ) = P ( X Y z ) =

+
y =

z+ y
x =

f Z ( z ).

f XY ( x, y )dxdy

and hence
dFZ ( z )
=
fZ ( z) =
dz

+
y =

z+ y
x =

f XY ( x , y ) dx dy =

f XY ( y + z , y ) dy. (8-21)

If X and Y are independent, then the above formula reduces

to
+
f Z ( z) =

f X ( z + y ) fY ( y )dy = f X ( z ) fY ( y ),

which represents the convolution of

y

f X ( z)

with

(8-22)

f Y ( z ).

x y = z
x= y+z
x
Fig. 8.7

13

PILLAI

As a special case, suppose

f X ( x) = 0, x < 0, and fY ( y ) = 0, y < 0.

In this case, Z can be negative as well as positive, and that

gives rise to two situations that should be analyzed
separately, since the region of integration for z 0 and z < 0
are quite different. For z 0, from Fig. 8.8 (a) y
FZ ( z ) =

+
y =0

z+ y
x =0

f XY ( x, y )dxdy

x= z+ y

and for z < 0, from Fig 8.8 (b)

FZ ( z ) =

+
y = z

z+ y
x =0

x= z+ y

After differentiation, this gives

z 0,
z < 0.

(a)

f XY ( x, y )dxdy

+ f ( z + y , y ) dy ,
XY
f Z ( z ) = +0
z f XY ( z + y , y ) dy ,

(8-23)

x
Fig. 8.8 (b)
14

PILLAI

Example 8.4: Given Z = X / Y, obtain its density function.

(8-24)
Solution: We have FZ ( z ) = P ( X / Y z ) .
The inequality X / Y z can be rewritten as X Yz if Y > 0,
and X Yz if Y < 0. Hence the event ( X / Y z ) in (8-24) need __
to be conditioned
by the event A = (Y > 0 ) and its compliment A .
__
Since A A = , by the partition theorem, we have
{X / Y

z} = {( X / Y z ) ( A A )} = {( X / Y z ) A} {( X / Y z ) A }

and hence by the mutually exclusive property of the later

two events
P (X / Y z ) = P (X / Y z,Y > 0) + P (X / Y z,Y < 0)
(8-25)
= P ( X Yz , Y > 0 ) + P ( X Yz , Y < 0 ) .
Fig. 8.9(a) shows the area corresponding to the first term,
and Fig. 8.9(b) yshows that corresponding toy the second term
in (8-25).
x = yz
x = yz

x
x

(a)

15

Fig. 8.9

(b)

PILLAI

Integrating over these two regions, we get

FZ ( z ) =

+
y =0

yz
x =

f XY ( x , y ) dxdy +

0
y =

x = yz

f XY ( x , y ) dxdy .

(8-26)

Differentiation with respect to z gives

+

f Z ( z ) = yf XY ( yz, y )dy + ( y ) f XY ( yz, y )dy

+

= | y | f XY ( yz, y )dy,

< z < +.

(8-27)

Note that if X and Y are nonnegative random variables, then

the area of integration reduces to that shown in Fig. 8.10.
y
x = yz

x
Fig. 8.10

16

PILLAI

This gives
or

FZ ( z ) =

y =0

yz

f XY ( x, y )dxdy

x =0

+y f ( yz, y )dy,
z > 0,
f Z ( z ) = 0 XY

0,
otherwise.

(8-28)

Example 8.5: X and Y are jointly normal random variables

with zero mean so that
f XY ( x , y ) =

1
2 1

1 r

1
2 (1 r 2

x 2 2 rxy
y2

+
) 12 1 2 22

(8-29)

Show that the ratio Z = X / Y has a Cauchy density function

centered at r 1 / 2 .
Solution: Inserting (8-29) into (8-27) and using the fact
that f XY ( x , y ) = f XY ( x, y ), we obtain
fZ (z) =

2
2 1

1 r

ye

y 2 / 2

2
0

dy =

02 ( z )
1

1 r

,
17

PILLAI

where

2
0

(z) =

z2
12

1 r2
.
2 rz
1

+
1 2
22

Thus
1 2 1 r 2 /
fZ (z) = 2
,
2
2
2
2 ( z r 1 / 2 ) + 1 (1 r )

(8-30)

which represents a Cauchy r.v centered at r 1 / 2 . Integrating

(8-30) from to z, we obtain the corresponding
distribution function to be
2 z r 1
1 1
.
FZ ( z ) = + arctan
2
2
1 1 r

Example 8.6: Z = X 2 + Y 2 . Obtain

Solution: We have
FZ ( z ) = P (X 2 + Y 2 z ) =

(8-31)

f Z ( z ).

X 2 +Y 2 z

f XY ( x , y ) dxdy .

(8-32)
18

PILLAI

But, X 2 + Y 2 z represents the area of a circle with radius

and hence from Fig. 8.11,
FZ ( z ) =

z
y= z

z y2
x= z y2

z,

(8-33)

f XY ( x , y ) dxdy .

This gives after repeated differentiation

fZ (z) =

z
y=

2 z y

(f

XY

( z y 2 , y ) + f XY ( z y 2 , y ) dy .

(8-34)

As an illustration, consider the next example.

y

z
X 2 +Y 2 = z

Fig. 8.11

19

PILLAI

Example 8.7 : X and Y are independent normal [Link] with zero

Mean and common variance 2. Determine fZ (z) for Z = X 2 + Y 2 .
Solution: Direct substitution of (8-29) with r = 0, 1 = 2 =
Into (8-34) gives
fZ (z) =

y=

2
2 z y2
1

z
z

e z / 2
=
2

/2
0

e( z y

+ y ) / 2

e z / 2

dy =
2

z cos
1
z / 2 2
d =
e
U ( z ),
2

2
z cos

z
0

1
z y

dy

(8-35)

where we have used the substitution y = z sin . From (8-35)

we have the following result: If X and Y are independent zero
mean Gaussian [Link] with common variance 2 , then
X 2 + Y 2 is an exponential [Link] with parameter 2 2 .
Example 8.8 : Let Z = X 2 + Y 2 . Find fZ (z).
Solution: From Fig. 8.11, the present case corresponds to20 a
PILLAI
circle with radius z 2 . Thus

z2 y2

f ( x , y ) dxdy .

And by repeated differentiation, we obtain
FZ ( z ) =

fZ (z) =

z
z

z y
2

y= z

(f

XY

x=

z2 y2

XY

z 2 y 2 , y ) + f XY (

z 2 y 2 , y ) dy .

(8-36)

Now suppose X and Y are independent Gaussian as in

Example 8.7. In that case, (8-36) simplifies to
fZ (z) = 2

z
0

z
z2 y2

1
2

e(z

y 2 + y 2 ) / 2

dy =

2 z z 2 / 2 2 z
1
e
0 z 2 y 2 dy
2

2 z z 2 / 2 2 /2 z cos
z z 2 / 2 2
e
=
=
d
e
U ( z ),

0 z cos
2
2

(8-37)

which represents a Rayleigh distribution. Thus, if W = X + iY ,

where X and Y are real, independent normal [Link] with zero
mean and equal variance, then the r.v W = X + Y has a
Rayleigh density. W is said to be a complex Gaussian r.v
with zero mean, whose real and imaginary parts are
independent [Link]. From (8-37), we have seen that its 21
magnitude has Rayleigh distribution.
PILLAI
2

What about its phase

X
= tan 1
?
Y

(8-38)

Clearly, the principal value of lies in the interval ( / 2, / 2).

If we let U = tan = X / Y , then from example 8.5, U has a
Cauchy distribution with (see (8-30) with 1 = 2 , r = 0 )
fU ( u ) =

1/
,
2
u +1

< u < .

(8-39)

As a result
1 / , / 2 < < / 2,
1
1
1/
=
f ( ) =
fU (tan ) =
2
2
otherwise .
| d / du |
(1 / sec ) tan + 1 0,

(8-40)

To summarize, the magnitude and phase of a zero mean

complex Gaussian r.v has Rayleigh and uniform distributions
respectively. Interestingly, as we will show later, these two
22
derived [Link] are also independent of each other!
PILLAI

Let us reconsider example 8.8 where X and Y have nonzero

means X and Y respectively. Then Z = X 2 + Y 2 is said to
be a Rician r.v. Such a scene arises in fading multipath
situation where there is a dominant constant component
(mean) in addition to a zero mean Gaussian r.v. The constant
component may be the line of sight signal and the zero mean
Gaussian r.v part could be due to random multipath
components adding up incoherently (see diagram below).
The envelope of such a signal is said to have a Rician p.d.f.
Example 8.9: Redo example 8.8, where X and Y have
nonzero means X and Y respectively.
Multipath/Gaussian
noise
Line of sight
Solution: Since
f XY ( x , y ) =

1
2

signal (constant)

e [( x X )

+ ( y Y )2 ] / 2

substituting this into (8-36) and letting

Rician
Output

23

PILLAI

x = z cos , y = z sin , =

X2 + Y2 , X = cos , Y = sin ,

we get the Rician probability density function to be

2

ze ( z +
fZ (z) =
2
2

ze ( z +
=
2
2

ze ( z +
=
2

) / 2

2
2

) / 2

2
2

) / 2

/2
/2

(e

z cos( ) /

+ e z cos( + ) /

/2 e z cos( ) / 2 d +
/2

3 /2
/2

)d

2
e z cos( ) / d

z
I 0 2 ,

(8-41)

where
1
I 0 ( ) =
2

2
0

cos( )

1
d =

e cos d

(8-42)

is the modified Bessel function of the first kind and zeroth

order.
Example 8.10: Z = max( X , Y ), W = min( X , Y ). Determine
Solution: The functions max and min are nonlinear

f Z (z).
24

PILLAI

operators and represent special cases of the more general

order statistics. In general, given any n-tuple X 1 , X 2 , , X n ,
we can arrange them in an increasing order of magnitude
such that
X (1 ) X ( 2 )

X (n) ,

(8-43)

where X (1) = min ( X1, X 2 , , X n ) , and X ( 2 ) is the second smallest

value among X 1 , X 2 , , X n , and finally X (n) = max ( X1, X 2 , , X n ) .
If X 1 , X 2 , , X n represent [Link], the function X ( k ) that takes on
the value x ( k ) in each possible sequence (x1 , x 2 , , x n ) is
known as the k-th order statistic. ( X (1) , X (2) , , X ( n ) ) represent
the set of order statistics among n random variables. In this
context
R = X ( n ) X (1)

(8-44)

represents the range, and when n = 2, we have the max and

25
min statistics.
PILLAI

Returning back to that problem, since

X ,
Z = max( X , Y ) =
Y ,

X >Y,
X Y,

(8-45)

we have (see also (8-25))

FZ ( z ) = P (max( X , Y ) z ) = P [( X z , X > Y ) (Y z , X Y
= P ( X z , X > Y ) + P (Y z , X Y ),

)]

since ( X > Y ) and ( X Y ) are mutually exclusive sets that

form a partition. Figs 8.12 (a)-(b) show the regions
satisfying the corresponding inequalities in each term
y
y
above. y
x=z

x= y

X z

x
X >Y
(a ) P ( X z, X > Y )

x= y

X Y

( z, z )

y=z

Yz
( b ) P (Y z , X Y )
Fig. 8.12

(c )

26

PILLAI

Fig. 8.12 (c) represents the total region, and from there
FZ ( z ) = P ( X z , Y z ) = F XY ( z , z ).

(8-46)

If X and Y are independent, then

FZ ( z ) = F X ( x ) FY ( y )

and hence
f Z ( z ) = F X ( z ) f Y ( z ) + f X ( z ) FY ( z ).

(8-47)

Similarly
Y ,
W = min( X , Y ) =
X ,

X >Y,
X Y.

(8-48)

Thus
FW ( w) = P(min( X , Y ) w) = P[(Y w, X > Y ) ( X w, X Y )].
27

PILLAI

Once again, the shaded areas in Fig. 8.13 (a)-(b) show the
regions satisfying the above inequalities and Fig 8.13 (c)
shows the overall region.
y

y
x= y

x=w

y
x= y

( w, w)

y=w

(a)

x
(b)

(c)

Fig. 8.13

From Fig. 8.13 (c),

FW ( w ) = 1 P (W

> w ) = 1 P (X > w , Y > w )

= F X ( w ) + FY ( w ) F XY ( w , w ) ,

where we have made use of (7-5) and (7-12) with x2 =

and x1 = y1 = w.

(8-49)
y 2 = + ,
28

PILLAI

Example 8.11: Let X and Y be independent exponential [Link]

with common parameter . Define W = min( X , Y ). Find fW (w) ?
Solution: From (8-49)
FW ( w ) = FX ( w ) + FY ( w ) FX ( w ) FY ( w )

and hence
fW ( w ) = f X ( w ) + f Y ( w ) f X ( w ) FY ( w ) FX ( w ) f Y ( w ).

But f X (w) = fY (w) = ew , and FX (w) = FY (w) = 1 ew , so that

fW ( w ) = 2 e w 2 (1 e w ) e w = 2 e 2 wU ( w ).

(8-50)

Thus min ( X, Y ) is also exponential with parameter 2.

Example 8.12: Suppose X and Y are as give in the above
example. Define Z = [min( X , Y ) / max( X , Y ) ]. Determine f Z (z ).
29

PILLAI

Solution: Although min() / max() represents a complicated

function, by partitioning the whole space as before, it is
possible to simplify this function. In fact
X /Y ,
Z =
Y / X ,

X Y,
X >Y.

(8-51)

As before, this gives

FZ ( z ) = P ( Z z ) = P ( X / Y z, X Y ) + P (Y / X z, X > Y )
= P ( X Yz, X Y ) + P (Y Xz, X > Y ) .

(8-52)

Since X and Y are both positive random variables in this case,

we have 0 < z < 1. The shaded regions in Figs 8.14 (a)-(b)
represent the two terms in the above sum.
y

x = yz

y
x= y

x= y

y = xz

x
(a)

x
Fig. 8.14

(b)

30

PILLAI

From Fig. 8.14

FZ ( z ) =

yz
x =0

f XY ( x, y )dxdy +

xz

f XY ( x, y )dydx.

y =0

(8-53)

Hence

f Z ( z ) = y f XY ( yz, y )dy + x f XY ( x, xz )dx = y{ f XY ( yz, y ) + f XY ( y , yz ) }dy

= y { e

( yz + y )

+e

( y + yz )

2
, 0 < z < 1,

= (1 + z )2
0,
otherwise .

}dy = 2
2

(8-54)

ye

(1+ z ) y

2
dy =
(1 + z )2

ueu dy

f Z (z )

1
Fig. 8.15

Example 8.13 (Discrete Case): Let X and Y be independent

Poisson random variables with parameters 1 and 2
respectively. Let Z = X + Y . Determine the p.m.f of Z. 31

PILLAI

Solution: Since X and Y both take integer values { 0 , 1 , 2 , },

the same is true for Z. For any n = 0 , 1, 2 , , X + Y = n gives
only a finite number of options for X and Y. In fact, if X = 0,
then Y must be n; if X = 1, then Y must be n-1, etc. Thus the
event { X + Y = n } is the union of (n + 1) mutually exclusive
events Ak given by
Ak = { X = k , Y = n k } ,

k = 0 ,1 , 2 ,

, n.

(8-55)

As a result

P ( Z = n ) = P ( X + Y = n ) = P ( X = k , Y = n k )
k =0

= P( X = k , Y = n k ) .
k =0

(8-56)

If X and Y are also independent, then

P ( X = k , Y = n k ) = P ( X = k ) P (Y = n k )

and hence

32

PILLAI

P( Z = n) = P( X = k , Y = n k )
k =0
n

= e

k =0

= e ( 1 + 2 )

1k 2 n2 k
e ( 1 + 2 )
=
e
k!
n!
( n k )!
( 1 + 2 ) n
,
n!

n = 0, 1, 2,

n!
k n k

1 2
k = 0 k ! ( n k )!
, .

(8-57)

Thus Z represents a Poisson random variable with

parameter 1 + 2 , indicating that sum of independent Poisson
random variables is also a Poisson random variable whose
parameter is the sum of the parameters of the original
random variables.
As the last example illustrates, the above procedure for
determining the p.m.f of functions of discrete random
variables is somewhat tedious. As we shall see in Lecture 10,
the joint characteristic function can be used in this context
33
to solve problems of this type in an easier fashion.
PILLAI