Monday, 7 March 2016

probability - Limit of the product of X and the Survival Function

Given a continuous random variable $X$ whose support is defined on $[0, \infty)$, prove that $$\lim_{x\rightarrow\infty}x^\alpha\overline{F}(x)=0$$
where $\alpha > 0$ and $\overline{F}(x)=1-F(x)$ where $F(x)$ is the CDF of $X$.



I stumbled across this the other day but have been unable to find a proof. I'm not entirely sure that it's even always true for that matter. Can you prove it?

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