Consider two random variables X and Y and their joint cumulative probability distribution function F. I'm attempting to show that $P\{a_1
My attempt
$$P\{a_1
So here I suppose I must apply the Inclusion–exclusion principle and becuase
{X≤a1}, {X≥a2} and {Y≤b1}, {Y≥b2} are respectively mutually exclusive we have that the terms will only be probabilities defined on single sets and on the intersection of two non-mutually exclusive sets. Despite of this it still seems a bit too cumbersome and I am not sure how to simplify the probabilities of intersections.
1−P({X≤a1})−P({X≥a2})−P({X≤b1})−P({X≥b2})
+P({X≤a1}∩{Y≤b1})+P({X≤a1}∩{Y≥b2})
+P({X≥a2}∩{Y≤b1})+P({X≥a2}∩{Y≥b2})
It just seems messy and I don't know how to continue. Am going in the right direction at least or am I completely off?
Answer
\begin{equation}
P(a_1
Also
\begin{equation}
P(X
\begin{equation}
P(X
And your result follows.
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