Thursday, February 2, 2017

Proof: distribution function is continuous?



In my textbook we work with the following definition for continuous random variables:




A random variable X is continuous if its distribution function FX may be written in the form



FX(x)=P(Xx)=xfX(u)dufor xR,



for some non-negative function fX.





I'm wondering if FX is continuous, and if so, how to prove that.



The way I started:



We can write xfX(u) du=limaxafX(u) du. By the fundamental theorem of calculus, we know that F~(x)=xafX(u) du is continuous for each aR. But how can I extend this to the case of the limit?


Answer



F is non-decreasing, so for each x the one-sided limits F(x+) and F(x) exist.




F(x)=(,x)f(x)dx



By monotone convergence theorem:



F(x)=limnF(x1/n)=limn(,x1/n]f(x)=(,x)f(x)dx



F(x)=(,x]f(x)dx



F is right-continuous so F(x)=F(x+), regardless of its overall continuity:




F(x)=P(Xx)=P(Xx+1/n)=limnP(Xx+1/n)=limnF(x+1/n)=F(x+)



So obviously F is continuous at x, since the value of f in one point has no effect on the integral.


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