Keyword: «the density of the probability distribution function of a random variable»

In work the method of presentation of the topic "Functions of random variables" in the course "Probability theory". The article is written based on years of experience teaching this subject and will be useful for both students and teachers in conducting practical classes. There are no proofs of the theorems used, however, a list of references that can be consulted for more detailed explanations. Considered a large number of examples that will allow students to learn the material under study to the extent necessary. The aim of this work is to help students to acquire skills in the application of probability methods to the solution of various problems.