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Suppose that we have two IID random variables, $X_1, X_2$, carried by a triple $(\Omega,\mathcal{F},P)$.

While solving an exercise I ended to a point that I had to see that,

$$ \iint\limits_D x_1 P_X(\mathrm dx_1)P_X(\mathrm dx_2) = \iint\limits_D x_2 P_X(\mathrm dx_2)P_X(\mathrm dx_1), $$ where $D= \{ (x_1,x_2) \in \mathbb{R}^2 : x_1 + x_2 = c \} $ and $ P_X$ is the law of $X_1, X_2$, i.e. the measure induced by $P$

The only way that I could identify it was by a change of variables.

Anyone can give me some intuition about this equality? Anyone can tell me something more simple than change of variables?

  • 3
    Identically distributed means $P_{X_1} = P_{X_2}$!!! The only difference is the dummy variable name: $x_1$ or $x_2$!!2012-11-02
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    Hint: $\int f(a,b) da db = \int f(x,y) dx dy$.2012-11-02
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    Thank you, I see your point.2012-11-03
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    You are welcome. It was a bit easy... but don't feel intimidated. Keep working!2012-11-05

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