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=lim. By the fundamental theorem of calculus, we know that F^{\text{~}}(x)=\int_{a}^{x}f_X(u)\text{ d}u is continuous for each a\in \mathbb 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_-)=\int_{(-\infty,x)}f(x)dx
By monotone convergence theorem:
F(x_-)=\lim_{n\rightarrow\infty}F(x-1/n)=\lim_{n\rightarrow\infty}\int_{(-\infty,x-1/n]}f(x)=\int_{(-\infty,x)}f(x)dx
F(x)=\int_{(-\infty,x]}f(x)dx
F is right-continuous so F(x)=F(x_+), regardless of its overall continuity:
F(x)=P(X\le x)=P(\bigcap X\le x+1/n)=\lim_{n\rightarrow\infty}P(X\le x+1/n)=\lim_{n\rightarrow\infty}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.
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