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Let $\tilde{x}$ and $\tilde{y}$ be random variables with pdfs $f_x(x)$ and $f_y(y)$ and cdfs $F_x(x)$ and $F_y(y)$. Given that

  1. $E[\tilde{x}] \geq E[\tilde{y}]$
  2. $F_y(c) \geq F_x(c)$ for all $c \in \mathbb{R}$

How can I show that

$$E[\tilde{x}1_{\tilde{x} < c}]F_y(c) \geq E[\tilde{y}1_{\tilde{y} < c}]F_x(c) $$ for all $c \in \mathbb{R}$. Here, $1_{\tilde{x} < c}$ is an indicator functions that takes on 1 if $\tilde{x} < c$ and 0 otherwise.

Edit:

Per whuber's suggestion, I can use integration by parts to rewrite the problem as

$$F_y(c)\int^c_{-\infty} F_x(x)dx \leq F_x(c)\int^c_{-\infty} F_y(y)dy$$

Relabeling things a bit, I essentially want to show that for two positive functions $g_x$ and $g_y$, $g_y'(c) \geq g_x'(c)$ for all $c \in \mathbb{R}$ implies that

$$g_y'(c)g_x(c) \leq g_x'(c)g_y(c)$$

cat123
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  • Doesn't (2) imply (1)? Why do you make assumption (1), then? As far as showing this implication (which is a very strong hint about the solution of your problem), express the expectation in terms of the distribution function as explained at https://stats.stackexchange.com/questions/222478. Incidentally, https://stats.stackexchange.com/questions/497207 demonstrates the converse is false. – whuber Jan 31 '24 at 17:59

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