Friday, February 5, 2016

probability - Basic question related to cdf and pdf of random variables



If there are two independent random variables X and Y (there can have only non-negative values) with corresponding pdfs and cdfs as fX(x),fY(y), FX(x),FY(y) respectively. Then in what case the following formula is correct 0fY(y)FX(y)dy=0

This question is raised from a previous question Compute the CDF of [log2(1+X)log2(1+Y)]+ . Thanks in advance.


Answer



You're asking when is E[FX(Y)]=0




Since FX is a nonnegative function, we need that FX(Y)=0 almost surely, that is, that $Y 0\}$$



Note that the independence assumption is irrelevant since X appears only through its CDF FX.


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