Non-monotonic transformation of Uniform distribution and derivative











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Let $Xsim Uniform[0,1]$ and $z:[0,1]rightarrow[0,1]$ be a non-monotonic function (but with very nice features such as continuity, differentiability, etc).



If a function $alpha$ is defined to be $$alpha(t)=P[z(X)leq t],$$ Is there anyway that we can get a closed form representaiton of $alpha'(t)$?










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    up vote
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    down vote

    favorite












    Let $Xsim Uniform[0,1]$ and $z:[0,1]rightarrow[0,1]$ be a non-monotonic function (but with very nice features such as continuity, differentiability, etc).



    If a function $alpha$ is defined to be $$alpha(t)=P[z(X)leq t],$$ Is there anyway that we can get a closed form representaiton of $alpha'(t)$?










    share|cite|improve this question
























      up vote
      0
      down vote

      favorite









      up vote
      0
      down vote

      favorite











      Let $Xsim Uniform[0,1]$ and $z:[0,1]rightarrow[0,1]$ be a non-monotonic function (but with very nice features such as continuity, differentiability, etc).



      If a function $alpha$ is defined to be $$alpha(t)=P[z(X)leq t],$$ Is there anyway that we can get a closed form representaiton of $alpha'(t)$?










      share|cite|improve this question













      Let $Xsim Uniform[0,1]$ and $z:[0,1]rightarrow[0,1]$ be a non-monotonic function (but with very nice features such as continuity, differentiability, etc).



      If a function $alpha$ is defined to be $$alpha(t)=P[z(X)leq t],$$ Is there anyway that we can get a closed form representaiton of $alpha'(t)$?







      transformation uniform-distribution






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      asked Nov 14 at 7:16









      Greenteamaniac

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          Yes, there is:



          $$alpha'(t) = mathcal I(t in [0, 1]) sum_{x_i: z(x_i) = t} left| frac{dz}{dt}(x_i) right|^{-1}$$





          Here, $mathcal I$ is the indicator function that takes value $1$ if $t$ is within the range $[0, 1]$ and the sum is over all values of $x_i$ such that $z(x_i) = t$.



          The way one arrives at this answer - if you look at Wikipedia's change of variables page, there's an equation for the density of random variables under non-monotonic transformations. Essentially, we add up density contributions from all $x$ that can map to $t$ and given the piecewise monotonicity, we can apply the usual Jacobian adjustment on each monotonic segment of $z$.






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            Yes, there is:



            $$alpha'(t) = mathcal I(t in [0, 1]) sum_{x_i: z(x_i) = t} left| frac{dz}{dt}(x_i) right|^{-1}$$





            Here, $mathcal I$ is the indicator function that takes value $1$ if $t$ is within the range $[0, 1]$ and the sum is over all values of $x_i$ such that $z(x_i) = t$.



            The way one arrives at this answer - if you look at Wikipedia's change of variables page, there's an equation for the density of random variables under non-monotonic transformations. Essentially, we add up density contributions from all $x$ that can map to $t$ and given the piecewise monotonicity, we can apply the usual Jacobian adjustment on each monotonic segment of $z$.






            share|cite|improve this answer

























              up vote
              0
              down vote













              Yes, there is:



              $$alpha'(t) = mathcal I(t in [0, 1]) sum_{x_i: z(x_i) = t} left| frac{dz}{dt}(x_i) right|^{-1}$$





              Here, $mathcal I$ is the indicator function that takes value $1$ if $t$ is within the range $[0, 1]$ and the sum is over all values of $x_i$ such that $z(x_i) = t$.



              The way one arrives at this answer - if you look at Wikipedia's change of variables page, there's an equation for the density of random variables under non-monotonic transformations. Essentially, we add up density contributions from all $x$ that can map to $t$ and given the piecewise monotonicity, we can apply the usual Jacobian adjustment on each monotonic segment of $z$.






              share|cite|improve this answer























                up vote
                0
                down vote










                up vote
                0
                down vote









                Yes, there is:



                $$alpha'(t) = mathcal I(t in [0, 1]) sum_{x_i: z(x_i) = t} left| frac{dz}{dt}(x_i) right|^{-1}$$





                Here, $mathcal I$ is the indicator function that takes value $1$ if $t$ is within the range $[0, 1]$ and the sum is over all values of $x_i$ such that $z(x_i) = t$.



                The way one arrives at this answer - if you look at Wikipedia's change of variables page, there's an equation for the density of random variables under non-monotonic transformations. Essentially, we add up density contributions from all $x$ that can map to $t$ and given the piecewise monotonicity, we can apply the usual Jacobian adjustment on each monotonic segment of $z$.






                share|cite|improve this answer












                Yes, there is:



                $$alpha'(t) = mathcal I(t in [0, 1]) sum_{x_i: z(x_i) = t} left| frac{dz}{dt}(x_i) right|^{-1}$$





                Here, $mathcal I$ is the indicator function that takes value $1$ if $t$ is within the range $[0, 1]$ and the sum is over all values of $x_i$ such that $z(x_i) = t$.



                The way one arrives at this answer - if you look at Wikipedia's change of variables page, there's an equation for the density of random variables under non-monotonic transformations. Essentially, we add up density contributions from all $x$ that can map to $t$ and given the piecewise monotonicity, we can apply the usual Jacobian adjustment on each monotonic segment of $z$.







                share|cite|improve this answer












                share|cite|improve this answer



                share|cite|improve this answer










                answered 21 hours ago









                Aditya Ravuri

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