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(X≤x)=∫x−∞fX(u)dufor x∈R,
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 ∫x−∞fX(u) du=lima→−∞∫xafX(u) du. By the fundamental theorem of calculus, we know that F~(x)=∫xafX(u) du is continuous for each a∈R. 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−)=limn→∞F(x−1/n)=limn→∞∫(−∞,x−1/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(X≤x)=P(⋂X≤x+1/n)=limn→∞P(X≤x+1/n)=limn→∞F(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.
No comments:
Post a Comment