Friday, 5 April 2019

Let X be a random variable with probability density function f. Prove that the probability distribution function of X is non-decreasing



Can anyone please help me with this random variable question I've stumbled across.




Recall from calculus that a function h is called non-decreasing if xy implies h(x)h(y), for every x,ydomh.



Q1a) Let X be a continuous random variable with probability density function f. Prove
that the probability distribution function of X is non-decreasing.



I'm assuming this means show F(x)=xf(y)dy, is a non-decreasing function of x in R.



Q1b) Show that lim and \lim_{x\to \infty} F(x) = 1, and explain the probabilistic meaning of these facts.



Sorry about the layout i'm not used to using this site, hope it makes sense!



Answer



One way to do 1(b):
F(x) = \int_{-\infty}^x f(t)\ dt is an improper integral, which by definition of improper integral means \lim_{a \to -\infty} \int_a^x f(t)\ dt. Now \int_a^x f(t)\ dt = F(x) - F(a), so
F(x) = \lim_{a \to -\infty} (F(x) - F(a)) = F(x) - \lim_{a \to -\infty} F(a)
and you can solve for \lim_{a \to -\infty} F(a).



As for \lim_{x \to \infty} F(x) = \lim_{x \to \infty} \int_{-\infty}^x f(t)\ dt, that is \int_{-\infty}^\infty f(t)\ dt, which according to the definition of a probability density function must be 1.


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