Problem:
Let FX(x) be the CDF of a continuous random variable X. Show that:
E[X]=∫∞0(1−FX(x))dx−∫0−∞FX(x)dx.
Attempt:
A comprehensible explanation of the intuition regarding the expectation E[X] and CDF for a non-negative random is found here: Intuition behind using complementary CDF to compute expectation for nonnegative random variables.
However, I am still at a loss about how to show the general case when −∞<x<∞.
I am again solving this as an exercise in my probability course and any help is greatly appreciated!
Answer
You can also see it by interchanging the order of integrals. We have
∫∞0(1−FX(x))dx=∫∞0P(X>x)dx=∫∞0∫∞xdFX(t)dx=∫∞0∫t0dFX(t)dx=∫∞0tdFX(t)
and,
∫0−∞FX(x)dx=∫0−∞P(X≤x)dx=∫0−∞∫x−∞dFX(t)dx=∫0−∞∫0tdFX(t)dx=∫0−∞−tdFX(t)
Since,
E[X]=∫0−∞tdFX(t)+∫∞0tdFX(t)
the result follows.
No comments:
Post a Comment