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 So here I suppose I must apply the Inclusion–exclusion principle and becuase $$1 - P(\{X\leq a_1\}) - P(\{X\geq a_2\}) - P(\{X\leq b_1\}) - P(\{X\geq b_2\}) $$ 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?
$$P\{a_1
$\{X\leq a_1\}$, $\{X\geq a_2\}$ and $\{Y\leq b_1\}$, $\{Y\geq b_2\}$ are respectively mutually exclusive we have that the terms will only be probabilities defined on single sets and on the intersection of two non-mutually exclusive sets. Despite of this it still seems a bit too cumbersome and I am not sure how to simplify the probabilities of intersections.
$$+ \,P(\{X\leq a_1\}\cap \{Y\leq b_1\}) + P(\{X\leq a_1\}\cap \{Y\geq b_2\}) $$
$$+ \,P(\{X\geq a_2\}\cap \{Y\leq b_1\}) + P(\{X\geq a_2\}\cap \{Y\geq b_2\}) $$
Answer
\begin{equation}
P(a_1
Also
\begin{equation}
P(X
\begin{equation}
P(X
And your result follows.
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