Let F and be two cumulative distribution func- tions on the real line. Show that if F and G have no common points of discontinuity in the interval [a, b], then G(x)dF(x) = F(b)G(b) – F(a)G(a) – |. (a,b] F(x)dG(x).

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Let F and G be two cumulative distribution func-
tions on the real line. Show that if F and G have no common points of
discontinuity in the interval [a, b], then
/G(x)dF(x) = F(b)G(b) – F(a)G(a) – / ..
(a,b]
F(x)dG(x).
Transcribed Image Text:Let F and G be two cumulative distribution func- tions on the real line. Show that if F and G have no common points of discontinuity in the interval [a, b], then /G(x)dF(x) = F(b)G(b) – F(a)G(a) – / .. (a,b] F(x)dG(x).
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