The Auxiliary Random Variable Method for Probability Density of Continuous Random Variable Function

A new method is introduced to calculate the probability density function by use of an auxiliary random variable,in which the exist of the inverse function or subregional inverse function of random variable function is not needed.The examples show that a few types of random function have analytic solutions.As a result,a theoretical basis is set up for the numerical computation probability density function of the general type of random function.