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Lecture 35
Revision of one dimensional
transformations
n dimensional transformations
Linear transformations
Sums of random variables (again)
Multivariate normal
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1-1, differentiable transformations
· Take g : , 1-1 and differentiable.
· Set Y = g(X), and let fX be the density of X.
fY (y) = fX(x)

Source: Adler, Robert J. - Faculty of Industrial Engineering and Management, Technion, Israel Institute of Technology

Collections: Mathematics; Engineering