Saturday, 17 January 2015

probability - Proof of Y=FX(X) being uniformly distributed on [0,1] for arbitrary continuous FX



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({Yy}), and



{Yy}={FX(X)y}={XF1X([0,y])}.



Since FX is continuous, F1X([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.


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