Let F:R→[0,1] a function s.t. F is right continuous, limx→−∞F(x)=0, limx→∞F(x)=1 and non decreasing.
I have a theorem in my lecture that says :
A function that the above properties is the distribution of some random variable.
I'm a bit confused by this theorem. Does it mean that
A) There exist a probability space (Ω,F,P) and a random variable X:Ω→R s.t. F(x)=P(X≤x),
B) Or, in the previous theorem a probability space is already fixed ? I.e the theorem is :
Let (Ω,F,P) a probability space. If a function F has the properties above, then there is a r.v. X:Ω→R s.t. F(x)=P(X≤x).
Why such a question ? My previous question could look a bit weird, but when in an exercise we say : Let (Ω,P,P) a probability space and let X,Y two random variable s.t. X is normally distributed and Y is exponentially distributed.
The question arise is : why two such r.v. exist on the same space ? If B) is not true, even if X is normally distributed on (Ω,F,P) (take F(x)=∫x−∞e−x2/2/√2πdx) and Y is normally distributed on (˜Ω,˜F,˜P), ((take F(x)=∫0∞λe−λxdx) there is no reason that such two r.v. exist on the same space.
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