Definition (CDF)
Given a RV X, the function F:R→[0,1] defined by F(x)=P(X≤x),x∈R is called the distribution function (DF) of X.
Proposition (Properties of CDF)
- F(⋅) is non-decreasing
- limx→∞F(x)=1
- limx→−∞F(x)=0
- F(⋅) is Right Continuous: F(x+)=ϵ↓0limF(x+ϵ)=F(x)
Definition (Joint Distribution Function)
Let X=(X1,...,Xn)T be a random vector. The joint distribution function of X is defined by FX(x)=P(X1≤x1,...,Xn≤xn)=P({X1≤x1}∩...∩{Xn≤xn})=P((−∞,x1]×⋯×(−∞,xn])=P(Ax), where Ax=(−∞,x1]×⋯×(−∞,xn]⊂Rn
Proposition (Properties of JDF)
- 0≤FX(x)≤1 ,∀x∈Rn
- FX(x) is right continuous.