Question: Theorem 2.2.25 (Change of Variable). Suppose X has continuous p.d.f. fx with support (a, b), and g is a strictly monotonic and differentiable function. Then

Theorem 2.2.25 (Change of Variable). Suppose X has continuous p.d.f. fx with support (a, b), and g is a strictly monotonic and differentiable function. Then Y = g(X ) has density, fy(y) = fx(g '(y)) d dy 9-1 ( 3 ) . (2.24)

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