Let X≥0 be a random variable such that takes values in {1,2,...}. Show that: E(X)=∞∑n=1P(X≥n)
So since,
E(X)=∞∑n=1x P(X=x)
and we can rewrite $\Bbb P(X=x)= \Bbb P(X\ge x\ \cap\ X
E(X)=∞∑n=1P(X≥n)=∞∑n=1(1−P(X<n))
Any ideas how to proceed from this two ideas or any other approach would be appreciated.
Answer
I think in the second equality you mean E[X]=∞∑n=0nP(X=n)We want to show this equals ∞∑n=0P(X≥n)
Let's fix a particular n, call it n0. In the first sum, this will contribute with n0P(X=n0).
In the second, how many times will it be counted? Well since P(X≥n)=P(X=n)+P(X=n+1)+…, we have that
P(X≥1) will contain P(X=n0). But so will P(X≥2) and so on, until P(X≥n0). So how many terms? from 1 to n0 there are exactly n0 terms.
So how many times has P(X=n0) been counted? Exactly n0 times, so the contribute in the second sum is n0P(X=n0), just like in the first sum.
Since this holds for any n0, we have equality
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