This question is related to
Showing that Y has a uniform distribution if Y=F(X) where F is the cdf of continuous X, with the difference being that FX (the probability distribution function of random variable X) is an arbitrary continuous distribution function, not necessarily strictly increasing.
I think the proof is similar, but we have to take care of the possibility that FX may not be 1-to-1. I list my attempt below, and would appreciate it if someone can confirm if it's correct, and, in particular, if it can be improved. Thanks a lot!
The goal is to show FY(y)=y for any y∈[0,1]. To do so, note that FY(y)≜P({Y≤y}), and
{Y≤y}={FX(X)≤y}={X∈F−1X([0,y])}.
Since FX is continuous, F−1X([0,y]) must be closed. So it follows that
sup which let's denote by a.
Therefore, F_Y(y)=\mathbb P(\{X\le a\})=F_X(a)=y.\quad (Q.E.D.)
Answer
Your solution looks fine to me.
No comments:
Post a Comment