Thursday, 27 February 2014

probability - How to Calculate CDF of Random Variable Depends on omega



Suppose that X is a random variable defined as such where Ω=(0,1]



X(ω)={130<ω13ω13ω23ω223<ω1



I am not sure how or if it is possible to assign a CDF (or PDF) to this Random Variable. It seem to me that this mapping is not unique? Do we assume that ω is uniform?



For E(X) I calculated E(X)=13013 +2313x +123x2



Is this correct? Or even going down the right path? Thanks



Answer



First we have to check the continuity. As we can see X is not continuous at 2/3 so CDF of this does not exist. And for expectation you have to integrate Xf(X) not only f(X).


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