I have come across a proof of the following in Ross's book on Probability -
For a non-negative continuous random variable Y with a probability density function fY
E[Y]=∫∞0P[Y≥y]dy
The author proves it by using
∫∞0∫∞yfY(x)dxdy=∫∞0(∫x0dy)fY(x)dx
He refers to it as "interchanging the order of integration".
I have studied a fair amount of Calculus from Apostol's books (Vol 1 & 2). But I still can't seem to provide a proof of this equation. How does one go about proving this last equation?
Answer
we have
∫[0,∞)∫[y,∞)fY(x)dxdy=∫[0,∞)∫[0,∞)χ[y,∞)(x)fY(x)dxdy=∫[0,∞)∫[0,∞)χ[y,∞)(x)fY(x)dydx=∫[0,∞)∫[0,∞)χ[y,∞)(x)dy⋅fY(x)dx=∫[0,∞)∫[0,∞)χ[0,x](y)dy⋅fY(x)dx=∫[0,∞)xfY(x)dx=E(Y)
where χA denotes the indicator function of a set A.
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