Mathematics Asked on December 25, 2021
If $x,y$ are i.i.d uniform random variables on $[0,1]$.
I know that the PDF of $|x-y|$ is:
$$f(z) = begin{cases}
2(1-z) & text{for $0 < z < 1$} \
0 & text{otherwise.}
end{cases}$$
I know that the PDF of $x+y$ is
$$f(t)=f(z) = begin{cases}
z & text{for $0 < z < 1$} \
2-z & text{for $1 le z < 2$} \
0 & text{otherwise.}
end{cases}$$
I am trying to calculate the PDF of $frac{|x-y|}{(x+y)(2-x-y)}$
What I’m trying to do is to calculate first the PDF of $(x+y)(2-x-y)$ by doing the following: since $(x+y)$ and $(2-x-y)$ have the same PDFs, the PDF of the product should be:
$$f_{(x+y)^2}(z)=int_{0}^1 f_{x+y}(t) f_{x+y}(z/t) frac{1}{|t|},dt=int_{0}^1z/t ,dt=z-z,log z$$
if $0<z<1$ and
$$f_{(x+y)^2}(z)=int_{1}^2 f_{x+y}(t) f_{x+y}(z/t) frac{1}{|t|},dt=$$
$$=int_{1}^2 frac{(2-t)(2-z/t)}{t} ,dt=-2 – z + z log 2 + log 16$$
if $1<z<2$ and $0$ elsewhere.
However, this is not a density function because its area is not 1. I cannot find the mistake.
Let $$Z = frac{|X-Y|}{(X+Y)(2-X-Y)}.$$ We first determine the support of $Z$ for $X, Y sim operatorname{Uniform}(0,1)$. A quick glance shows that the minimum value is $0$; the maximum is attained at $(X,Y) in { (1,0), (0,1) }$; therefore, $Z in [0,1]$. Then we want $$Pr[Z le z] = int_{x=0}^1 int_{y=0}^1 mathbb 1left(frac{|x-y|}{(x+y)(2-x-y)} le z right) , dy , dx.$$ Since the the integrand is symmetric in $x$ and $y$, as well as symmetric about the line $x + y = 1$ (since replacing $(x,y)$ with $(1-y, 1-x)$ gives the same function), we can restrict our attention to the triangular region with vertices $(0, 0), (1/2, 1/2), (1, 0)$. The transformation $$u = x-y, quad v = x+y$$ turns this region into $(0,0), (0,1), (1,1)$ in $(u,v)$-space, and the integral becomes $$Pr[Z le z] = 4 int_{v=0}^1 int_{u=0}^v mathbb 1 left( frac{u}{v(2-v)} le z right) cdot frac{1}{2} , du , dv, tag{1}$$ where the $4$ comes from the symmetry argument above, and the $1/2$ is the Jacobian of the transformation from $(x,y)$ to $(u,v)$. We consider the locus of points satisfying the equation $$u = z v(2-v)$$ as comprising part of the boundary of the region of integration, the other parts being the aforementioned triangle. As this is clearly a parabola with vertex at $(u,v) = (z,1)$, axis of symmetry $u = 1$, and passing through $(0,0)$, we note that when $1/2 < z le 1$, there is a nontrivial point of intersection with the line $u = v$ at $$u = v = 2 - frac{1}{z}.$$ Therefore, we must consider these cases separately. When $0 le z le 1/2$, the integral $(1)$ is simply the area of the parabolic region given by $$2 int_{v=0}^1 int_{u=0}^{zv(2-v)} , du , dv = 2 int_{v=0}^1 zv(2-v) , dv = frac{4z}{3}.$$ When $1/2 < z le 1$, we instead evaluate $$begin{align} Pr[Z le z] &= 2 left( int_{v=0}^{2 - 1/z} int_{u=0}^v , du , dv + int_{v= 2-1/z}^1 int_{u=0}^{zv(2-v)} , du , dv right) \ &= (2-1/z)^2 + 2 int_{v=2 - 1/z}^1 zv(2-v) , dv \ &= (2-1/z)^2 + 2frac{-1 + 3z + 2z^3}{3z^2} \ &= frac{1-6z+12z^2-4z^3}{3z^2}. end{align}$$ Therefore, the full CDF is given by $$F_Z(z) = begin{cases} 0, & z < 0 \ frac{4z}{3}, & 0 le z le 1/2 \ frac{1-6z+12z^2-4z^3}{3z^2}, & 1/2 < z le 1 \ 1, & 1 < z. end{cases}$$ Consequently, the density is $$f_Z(z) = begin{cases} frac{4}{3}, & 0 < z < 1/2 \ frac{2(-1 + 3z - 2z^3)}{3z^3}, & 1/2 < z < 1. end{cases}$$
Answered by heropup on December 25, 2021
Never seen a complex example like this so I do not want to go inside all the calculation required....but perhaps this brainstorming can help.
First, the domain of the rv
$$Z=frac{|X-Y|}{(X+Y)[2-(X+Y)]}$$
is $z in [0;1]$
Now, using the CDF method you have to calculate
$$ bbox[5px,border:2px solid black] { F_Z(z)=mathbb{P}[Z leq z]=mathbb{P}[frac{|X-Y|}{(x+y)[2-(x+y)]} leq z] qquad (1) } $$
As the joint density of $(X,Y) $ is $f_{XY}(x,y)=mathbb{1}_{[0;1]}(x)mathbb{1}_{[0;1]}(y)$, to evaluate the CDF(Z) you can "simply" evaluate the area of the curve expressed in (1) in the unit square $[0;1]times[0;1]$
Starting when $y>x$, that is the upper triangle of the unit square, you have to evaluate the area of the curve
$$zy^2-2z(x-1)y<x(2z+1)-zx^2$$
over the line $x=y$
Same brainstorming for the lower triangle....
I do not know if this hint can help because I didn't go on with the calculations
Answered by tommik on December 25, 2021
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