[Math] Linear transformation of Uniform Distribution in a Region

calculuslinear algebraprobabilityprobability theory

Does Linear transformation of an uniform distribution over a region always results in a uniform distribution over the transformed region?

Devroye p.569 Says it is that way. But why?

If the transformation is not singular, can use the following reasoning?

  • Use change of variable formula in multivariable calculus
  • Determinant of a linear transform is constant
  • The volume element is uniformly scaled by a constant
  • Therefore, the probability density is uniformly scaled by a constant

What happens if the transformation is singular?

Devroye p.569

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Best Answer

The reasoning seems basically correct. E.g., in the scalar case, given some invertible $g:x\mapsto y$ and a lebesgue density $f_X(x)$ for $x$, a density for $y$ is some function $f_Y$ on the image of $g$ such that $\int_A f(x)dx=\int_{f(A)} f_Y(y)dy$, i.e., $f_Y(y)=dx/dy=1/g'(x)=1/g'(g^{-1}(y))$. For $x\in \mathbb{R}^N$ and $g$ invertible, we get $f_y(y)=|g'(g^{-1}(y))|.$ So if $g$ is linear, then $f_Y$ is constant.

If $g$ is a singular linear transformation $g(X)$ need not be uniform, e.g., let $X$ be uniform on a triangle in a plane and then the projection onto an axis is non-uniform. That is why the author makes the assumption about the points being in general position.

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