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394概率困难derivationlong

Ratio of Independent Standard Normals Is Cauchy

题目

Let X1,X2iid N(0,1)X_1, X_2 \sim \text{iid } N(0,1). Using the transformation (Y,V)=(X1/X2,X2)(Y, V) = (X_1/X_2,\, X_2):

(a) Derive the joint density fY,V(y,v)f_{Y,V}(y,v).

(b) Integrate out VV to obtain the marginal PDF of Y=X1/X2Y = X_1/X_2 and identify the distribution.

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你的答案

PDF of Y

Distribution of Y