I have the random variable Y and it is such that 0≤Y≤1 I want to bound its expected value, given that I have a high probability bound:
P(Y≥x)≤g(x), can I say that:
E[Y]=∫10P(Y≥x)dx≤∫10g(x)dx?
I tried showing it but I am not really strong in measure theory and Fubini theorem:
∫10P(Y≥x)dx=∫10(∫∞yfY(z)dz)dy=∫10(∫z0fY(z)dy)dz=∫10zfY(z)dz=E[Y]
Is it correct?
Wednesday, 26 December 2018
probability - Expected value of non-negative bounded random variable
Subscribe to:
Post Comments (Atom)
real analysis - How to find limhrightarrow0fracsin(ha)h
How to find lim without lhopital rule? I know when I use lhopital I easy get $$ \lim_{h\rightarrow 0}...
-
Ok, according to some notes I have, the following is true for a random variable X that can only take on positive values, i.e P(X \int_0^...
-
Self-studying some properties of the exponential-function I came to the question of ways to assign a value to the divergent sum $$s=\sum_{k=...
-
The question said: Use the Euclidean Algorithm to find gcd (1207,569) and write (1207,569) as an integer linear combination of 1207 ...
No comments:
Post a Comment