Let's $X$ be a random variable with exponential distribution.
That means that:
- $F_X(t) = 1 - e^{1- \lambda t}$ which is the distribution function for $X$,
- $f_X(t) = \lambda e^{- \lambda t}$ which is the density function for $X$.
Now let's define another random variable $Y = \log X$. Our task is to find it's distribution and density function.
My attempt
Firstly I want to find the distribution function: $$F_{y}(t) := P(Y < t) = P(\log X < t) = P(X < e^t) = \int\limits_{0}^{e^t} \lambda e^{- \lambda x} \mbox{d}x$$ $$F_Y(t) = 1 - e^{- \lambda e^{t}}$$ Here's my question: how do I know what the integration limits should be? Is my reasoning correct?