I want to show that, if FX is the cumulative distribution function of a random variable X, then X is absolutely continuous iff FX∈C1(R) ?
I know absolutely continuous means that there exists f(x)≥0,∫Rf(x)dx=1 such that P(X∈A)=∫Af(x)dx, and this happens if and only if FX(x)=∫x−∞f(t)dt
Now, we know FX(x)=∫x−∞F′X(t)dt, and since FX∈C1, we know that F′X exists, it must be the density and X is continuous.
I am interested in a rigorous proof. Can this be considered rigorous?
Can some hypothesis be relaxed?
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