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2.2 Cumulative distribution function

For all random variables, X, we may consider the probability of events of the form

{X(ω)≤x}

for fixed x, and examine how this varies as x changes. The probability that the random variable X is less than or equal to some value x,

FX⁢(x)=𝖯⁡(X≤x)=∑ω∈Ω:X⁢(ω)≤x𝖯⁡(ω),

is the cumulative distribution function (CDF) of the random variable X, evaluated at x.

Recall: upper case for the random variable, lower case for a value.

Properties of FX⁢(x):

  1. 1.

    0≤FX⁢(x)≤1, with limx→-∞⁡FX⁢(x)=FX⁢(-∞)=0 and limx→∞⁡FX⁢(x)=FX⁢(∞)=1,

  2. 2.

    FX⁢(x) is non-decreasing function of x. Quiz: Why?

The Survivor function: The survivor function of a random variable X is defined as SX⁢(x)=𝖯⁡(X>x). Using the law of complementary events

SX⁢(x)=𝖯⁡(X>x)=1-𝖯⁡(X≤x)=1-FX⁢(x).

Probabilities of Intervals: Often the probability of the random variable X falling in the interval (a,b] is of interest for some real numbers a,b with a<b. This corresponds to the event {a<X≤b}. By using the law of total probability 𝖯⁡(X≤b)=𝖯⁡(X≤a)+𝖯⁡(a<X≤b) so the probability of the interval event is

𝖯⁡(a<X≤b)=𝖯⁡(X≤b)-𝖯⁡(X≤a)=FX⁢(b)-FX⁢(a).
Example 2.2.1.

Explain why each of the following functions is not a valid cdf for a random variable X satisfying 0<X<∞?

  1. (a)

    -11+x

  2. (b)

    11+x

  3. (c)

    11+(x-5)2

  4. (d)

    2-12+x

  5. (e)

    12-12+x

Solution.  (a) Negative; (b) Decreasing; (c) Decreasing from x=5; (d) Greater than 1; (e) limx→∞⁡FX⁢(x)≠1.

The cumulative distribution function of a random variable is the fundamental quantity from which all other important properties of the random variable can be derived. To prove the following statement, the additivity axiom from Chapter 1 must be extended (to ‘countable additivity’). This will be covered in Year 3, however the result is useful for this year (and for very keen students, a stand-alone proof is given in Appendix B).

Lemma.

For any x∈ℝ we have

𝖯⁡(X=x)=FX⁢(x)-limi→∞⁡F⁢(x-1/i).

So, if FX is continuous at x then by definition limi→∞⁡FX⁢(x-1/i)=FX⁢(x) so 𝖯⁡(X=x)=0; however, if FX⁢(x) is discontinuous at x then 𝖯⁡(X=x)>0. This motivates two types of random variables. Continuous random variables have a cdf which is continuous at all x values. Discrete random variables have a cdf which is horizontal (so continuous) except at a number of ‘jump points’. Quiz: Can you think of a third type of cdf, and hence of random variable?

Example 2.2.2.

Let X be a random variable with cumulative distribution function

FX⁢(x)={0x≤0x2/40<x≤21x>2

Obtain the following probabilities:

  1. (a)

    𝖯⁡(X≤1),

  2. (b)

    𝖯⁡(X>1),

  3. (c)

    𝖯⁡(X=1),

  4. (d)

    𝖯⁡(X<0.5),

  5. (e)

    𝖯⁡(0.5<X≤1).

Solution. 

  1. (a)

    𝖯⁡(X≤1)=F⁢(1)=1/4,

  2. (b)

    𝖯⁡(X>1)=1-𝖯⁡(X≤1)=3/4,

  3. (c)

    𝖯⁡(X=1)=0,

  4. (d)

    𝖯⁡(X<1/2)=F⁢(1/2)=1/16,

  5. (e)

    𝖯⁡(1/2<X≤1)=𝖯⁡(X≤1)-𝖯⁡(X≤1/2)=1/4-1/16=3/16.