Functions of Random Variables                                                                                                      Print this page
<< Previous |  First |  Last |  Next >>       


Proof:
             
Consider the plot of .  Suppose at a point , we have three distinct roots as shown.
consider the event . This event will be equivalent to union of events
                    
            
            
       Where the negative sign in is used to account for positive probability.

       Therefore, dividing by dy and taking the limit, we get
                 

<< Previous |  First |  Last |  Next >>