Sunday, 7 May 2017

probability theory - Why a normally distributed random variable and an exponential distributed r.v. exist on the same space?

Let F:R[0,1] a function s.t. F is right continuous, limxF(x)=0, limxF(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:ΩR s.t. F(x)=P(Xx),



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:ΩR s.t. F(x)=P(Xx).








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)=xex2/2/2πdx) and Y is normally distributed on (˜Ω,˜F,˜P), ((take F(x)=0λeλxdx) there is no reason that such two r.v. exist on the same space.

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