Sunday, 11 September 2016

calculus - Expected value of a continuous random variable: interchanging the order of integration



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[Yy]dy



The author proves it by using



0yfY(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)dyfY(x)dx=[0,)[0,)χ[0,x](y)dyfY(x)dx=[0,)xfY(x)dx=E(Y)


where χA denotes the indicator function of a set A.


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