Monday, 16 July 2018

probability distributions - Given a CDF, obtaining a random variable with said CDF



I'm working on the following problem.



We're given a CDF, Fy(t), and a uniformly distributed random variable X on the interval [0,1]. We define Y=f(X) where f(u)=inf{tR|Fy(t)u}. We want to prove that Y has the desired CDF Fy(t). (Note that Y won't necessarily be unique.)



Our professor gave us the following hint, but I'm not sure how it's helpful.




Hint: First show that the following two sets are equal, (inf.



What I'm thinking is that our CDF F_y(t) need not be continuous, only necessarily continuous from the right, so we need to proceed by cases. I found a similar question here, but I feel like this one is a bit different. Any hints or advice would be much appreciated.


Answer



Why the hint is helpful:



\begin{align} P(Y \le t) &= P(f(X) \le t)\\ &= P(X \in \{u \in \mathbb{R} : f(u) \le t\}) \\ &= P(X \in (-\infty, F_y(t)]) & \text{used hint here} \\ &= F_y(t) & \text{$X$ is uniform on $[0,1]$} \end{align}






Proving the hint:





If u satisfies f(u) \le t, then using the definition of f and the fact that F_y is monotone nondecreasing implies that F_y(t) \ge u.

Conversely, if u \le F_y(t), then using the same two facts (definition of f, F_y is monotone nondecreasing) implies f(u) \le t.



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