Thursday, July 26, 2018

real analysis - How can I show that a r.v. with cumulative distribution is continuous?

I want to show that, if FX is the cumulative distribution function of a random variable X, then X is absolutely continuous iff FXC1(R) ?



I know absolutely continuous means that there exists f(x)0,Rf(x)dx=1 such that P(XA)=Af(x)dx, and this happens if and only if FX(x)=xf(t)dt



Now, we know FX(x)=xFX(t)dt, and since FXC1, we know that FX 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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