Thursday, 11 January 2018

integration - Integral of product of CDF and PDF of a random variable



For a continuous real random variable X with CDF FX(x) and PDF fX(x) I want to prove the following
x(2Fx(x)1)fx(x)dx0
I was thinking of integration by parts but x complicates it. Any hints?


Answer




Let X and Y denote i.i.d. random variables whose cdf are given by F.



Then P(max.



Therefore the cdf of \max\{X,Y\} is given by \frac{d}{dx}F(x)^2 = 2F(x)f(x).



We clearly have that X \leq \max\{X,Y\}, so that E[X] \leq E[\max\{X,Y\}] which means that \int xf(x)dx \leq \int 2xF(x)f(x)dx


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