Integration using a cumulative distribution function

So basically, we are taking the limit as b approaches infinity. The integral would then be the sum of the areas of the strips multiplied by the values of the function at different points on the x axis. In summary, the problem involves showing that the integral of a nonnegative Borel function can be expressed in terms of a Borel measure and using the elementary approach to defining Lebesgue integrals.
  • #1
laonious
9
0
Hi all,
I'm really banging my head on this problem:
Let f be a real-valued measurable function on the measure space [tex](X,\mathcal{M},\mu).[/tex]
Define
[tex]\lambda_f(t)=\mu\{x:|f(x)|>t\}, t>0.[/tex]
Show that if [itex]\phi[/itex] is a nonnegative Borel function defined on [0,infinity), then
[tex]\int_0^{\infty}\phi(|f(x)|)d\mu=-\int_0^{\infty}\phi(t)d\lambda_f(t).[/tex]

A hint is given, which is to look at
[tex]\nu((a,b])=\lambda_f(b)-\lambda_f(a)=-\mu\{x:a<|f(x)|\leq b\},[/tex]
and argue that it extends uniquely to a Borel measure.

This is straightforward, I think, as closed intervals form a semi-ring and [itex]\nu[/itex] is a premeasure. I'm just not sure where to go from here. Any help would be greatly appreciated, thanks!
 
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  • #2
It looks like it could be solved by using the elementary approach to defining Lebesgue integrals - dividing the y (or f) axis into strips and taking a limit as the strip widths go to 0.

The strips would correspond to (a,b] in the hint.
 

Related to Integration using a cumulative distribution function

1. What is a cumulative distribution function (CDF)?

A cumulative distribution function (CDF) is a mathematical function that maps the probability of a random variable taking on a value less than or equal to a specific value. It is used to describe the overall distribution of a random variable and is often used in statistics and probability theory.

2. How is integration used with a cumulative distribution function?

Integration is used with a cumulative distribution function to calculate the probability of a random variable taking on a value within a certain range. By integrating the CDF over a specific range, we can determine the probability of the random variable falling within that range.

3. What is the difference between a PDF and a CDF?

A probability density function (PDF) describes the probability of a random variable taking on a specific value, while a cumulative distribution function (CDF) describes the probability of a random variable taking on a value less than or equal to a specific value.

4. What is the relationship between a CDF and the area under the curve?

The area under a cumulative distribution function (CDF) curve is equal to the probability of a random variable taking on a value within a specific range. This is because the CDF represents the cumulative probabilities of the random variable taking on values less than or equal to a specific value.

5. How is the CDF used in statistical analysis?

The CDF is used in statistical analysis to determine the probability of a random variable taking on a specific value or falling within a certain range. It is also used to compare two distributions and test for differences or similarities between them.

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