(Cumulative) Distribution Function

Definition (CDF)

Given a RV XX, the function F:R[0,1]F:\mathbb{R}\to[0,1] defined by F(x)=P(Xx),xRF(x)=P(X\le x), x\in\mathbb{R} is called the distribution function (DF) of X.

Proposition (Properties of CDF)

  1. F()F(\cdot) is non-decreasing
  2. limxF(x)=1\lim_{x\to\infty}F(x)=1
  3. limxF(x)=0\lim_{x\to-\infty}F(x)=0
  4. F()F(\cdot) is Right Continuous: F(x+)=limϵ0F(x+ϵ)=F(x)F(x^+)=\lim_{\epsilon\downarrow0}F(x+\epsilon)=F(x)

Definition (Joint Distribution Function)

Let X=(X1,...,Xn)TX=(X_1,...,X_n)^T be a random vector. The joint distribution function of XX is defined by FX(x)=P(X1x1,...,Xnxn)=P({X1x1}...{Xnxn})=P((,x1]××(,xn])=P(Ax), where Ax=(,x1]××(,xn]Rn\begin{align*}F_X(x)&=P(X_1\le x_1,...,X_n\le x_n)\\&=P(\{X_1\le x_1\}\cap...\cap\{X_n\le x_n\})\\&=P((-\infty,x_1]\times\cdots\times(-\infty,x_n])\\&=P(A_x), \ \text{where} \ A_x=(-\infty,x_1]\times\cdots\times(-\infty,x_n]\subset\mathbb{R}^n\end{align*}

Proposition (Properties of JDF)

  1. 0FX(x)1 ,xRn0\le F_X(x)\le 1 \ , \forall x\in\mathbb{R}^n
  2. FX(x)F_X(x) is right continuous.

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