Let X, Y have the joint probability density f (x, y). Then the integral h(z) =
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Let X, Y have the joint probability density f (x, y). Then the integral h(z) = ∞
−∞ f (y − z, y)dy is finite for almost all z, and is the probability density of Z = Y − X.
[Since P{Z ≤ b} = b
−∞ h(z)dz, it is finite and hence h is finite almost everywhere.]
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Related Book For
Testing Statistical Hypotheses Volume I
ISBN: 9783030705770
4th Edition
Authors: E.L. Lehmann, Joseph P. Romano
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