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Published in:
2017 | OriginalPaper | Chapter
5. Bivariate Transformations of Random Variables
Authors : John H. Drew, Diane L. Evans, Andrew G. Glen, Lawrence M. Leemis
Published in: Computational Probability
Publisher: Springer International Publishing
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Abstract
This chapter extends the work in the previous chapter in order to automate the bivariate change-of-variables technique for bivariate continuous random variables with arbitrary distributions. The algorithm from the previous chapter for univariate change-of-variables was originally devised by Glen et al. [37]. The bivariate transformation procedure presented in this chapter handles 1-to-1, k-to-1, and piecewise k-to-1 transformations for both independent and dependent random variables. We also present other procedures that operate on bivariate random variables (e.g., calculating correlation and marginal distributions).