Can someone please explain the last step in this :
It is taken from the book "A First Course In Probability"
Can someone please explain the last step in this :
It is taken from the book "A First Course In Probability"
By definition, $\color{maroon}{F_X(a)=P[X\le a]=\int_{-\infty}^a f_X(x)\,dx}$.
Now note that in the inner integral on the third line, the $f_Y(y)$ term can be factored out, and thus the integral can be written $\int_{-\infty}^\infty \int_{-\infty}^{a-y} f_X(x) f_Y(y) \,dx \,dy =\int_{-\infty}^\infty\Biggr[\color{maroon}{ \int_{-\infty}^{a-y} f_X(x) \,dx }\biggl] f_Y(y) \,dy. $
Hint
Review the definition of Cumulative distribution function(cdf) of a random variable.
Let $X$ be an absolutely continuous random variable with density $f_X$. Then, the cumulative density function (cdf) is given by:
$F_X(a)=\int_{-\infty}^af_X(t)\rm{d}t \tag{1}$
In the text you refer to, A first course in Probability, Sheldon Ross, this is discussed in the introduction to chapter $5$, more precisely in $\S5.1$ $[\text{cf. Pg: 192-193}]$, the equation $(1.2)$ conveys the essence of the equation $(1)$ here.