X is a non-negative random variable. Define Y = MIN(X, c) where c is a constant. What is E[Y]?
I am modeling the constant as another random variable whose pdf is Dirac Delta function: fc(x):=δ(x−c). The mean and variance of this "constant random variable"(!) comes out as c and 0, but does this approach have enough mathematical rigor?
Answer
Assume that c>0 otherwise min(X,c)=c which is rather trivial. Then Y:=min(X,c) is a nonnegative variable and we have
E[Y]=∫∞0P(Y>t)dt=∫∞0P(X>t,c>t)dt=∫∞0P(X>t)1{c>t}dt=∫c0P(X>t)dt
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