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Exercise 0.29 (Skorokhod representation of scalar variables)

Let U be a uniform random variable taking values in [0,1], and let F : [0,1] be another cumulative distribution function. Show that the random variables

X := sup {y : F(y) < U }

and

X+ := inf {y : F(y) U }

are indeed random variables.

Answers

Let Ω be the underlying randomness space. In this case, the variables X and X+ collapse to U. To see why, pick an arbitrary ω Ω:

X(Ω) = sup {y [0,1] : F(y) < U(ω)} = sup {y [0,1] : P(U y) < U(ω)} = sup {y [0,1] : y < U(ω)} = U(ω).
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2021-08-03 00:00
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