11 | TRANSFORMING DENSITY FUNCTIONS
dy (11:1) This formula has direct application to the process of transforming probability density functions::: Suppose X is a random variable whose probability density function is f(x). By de nition: P(a 6 X < b) = Z b a f(x)dx (11:2) Any function of a random variable is itself a random variable and, if y is taken as some
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