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- X_pdf(x) = 0.5
- Y = f(X) = sqrt(1-X^2)
- Y_pdf(y) =
- Y_cdf'(y) =
- ( P( Y < y ) )' =
- ( P( f(X) < y ) )' =
- ( P( sqrt(1-X^2) < y ) )' =
- ( P( 1-X^2 < y^2 ) )' =
- ( P( -1+X^2 > -y^2 ) )' =
- ( P( X^2 > 1-y^2 ) )' =
- ( P( sqrt(X^2) > sqrt(1-y^2) ) )' =
- ( P( |X| > sqrt(1-y^2) ) )' =
- ( P( -X > sqrt(1-y^2) OR X > sqrt(1-y^2) ) )' =
- ( P( X < -sqrt(1-y^2) OR X > sqrt(1-y^2) ) )' =
- by the OR rule, P(A OR B) = P(A) + P(B) - P(A AND B):
- ( P( X < -sqrt(1-y^2) ) + P( X > sqrt(1-y^2) ) - P( X < -sqrt(1-y^2) AND X > sqrt(1-y^2) ) )' =
- by the AND rule, P(A AND B) = P(A) * P(B|A) = P(B) * P(A|B):
- ( P( X < -sqrt(1-y^2) ) + P( X > sqrt(1-y^2) ) - P( X < -sqrt(1-y^2) ) * P( X > sqrt(1-y^2) | X < -sqrt(1-y^2) ) )' =
- the probability that X > sqrt(1-y^2) is zero, given that X < -sqrt(1-y^2)
- ( P( X < -sqrt(1-y^2) ) + P( X > sqrt(1-y^2) ) - P( X < -sqrt(1-y^2) ) * 0 )' =
- ( P( X < -sqrt(1-y^2) ) + P( X > sqrt(1-y^2) ) - 0 )' =
- ( P( X < -sqrt(1-y^2) ) + P( X > sqrt(1-y^2) ) )' =
- ( X_cdf( -sqrt(1-y^2) ) + (1-X_cdf( sqrt(1-y^2) )) )' =
- performing the outer derivative:
- X_cdf'( -sqrt(1-y^2) ) - X_cdf'( sqrt(1-y^2) ) =
- performing the remaining derivatives using the chain rule:
- X_pdf( -sqrt(1-y^2) ) * (-0.5*(1-y^2)^-0.5)*(-2*y) - X_pdf( sqrt(1-y^2) ) * (0.5*(1-y^2)^-0.5)*(-2*y) =
- X_pdf( -sqrt(1-y^2) ) * y/sqrt(1-y^2) + X_pdf( sqrt(1-y^2) ) * y/sqrt(1-y^2) =
- y/sqrt(1-y^2) * ( X_pdf(-sqrt(1-y^2)) + X_pdf(sqrt(1-y^2)) ) =
- y/sqrt(1-y^2) * ( 0.5 + 0.5 ) =
- y/sqrt(1-y^2)
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