Saturday, 1 April 2017

integration - Expectation for a skewed distribution

Let X be a continuous random variable with distribution F(x)=P(Xx) and support [0,). Suppose for a fixed X0 and any t0,P(XX0+t)P(XX0t), prove that E(X)X0.



Intuitively, it is cleared to me that the expectation is no less than X0 as the distribution is skewed to the right (the chance of X to rise at least t is no less than the chance of X drops at least t). But I couldn't prove it rigorously.



Here is what i tried so far: Let f(x)=F(x) be the density function. It is easy to deduce that X0f(x)dx12 and X00f(x)dx12.



Then E(X)=0xf(x)dx=X00xdF(x)+X0xf(x)dx


=[xF(x)]X00X00F(x)dx+X0xf(x)dx

=X0F(X0)X00x0f(t)dtdx+X0xf(x)dx

X0F(X0)X00X00f(t)dtdx+X0X0f(x)dx


X0F(X0)X0012dx+X02

=X0F(X0)X02+X02=X0F(X0)



But then F(X0)1. Please help

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