Question: =+9. Let the random variable X have distribution function F(x). Demonstrate that E{h[F(X)]} = 1 0 h(u) du for any integrable function h(u) on

=+9. Let the random variable X have distribution function F(x). Demonstrate that E{h[F(X)]} =

 1 0

h(u) du for any integrable function h(u) on [0, 1].

22 1. Basic Notions of Probability Theory

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