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Cumilative Distribution Function
Cumilative Distribution Function
05 Lecture 9
February 23, 2005
Properties:
1. x1 ← x2 , {X ← x1 } ⊃ {X ← x2 }
↔ P(X ← x1 ) ← P(X ← x2 ) non-decreasing function.
2. limx�−∗ F (x) = P(X ← −→) = 0, limx�∗ F (x) = P(X ← →) = 1.
A random variable only takes real numbers, as x ↔ −→, set becomes empty.
P(X ← x < 0) = 0
P(X ← 0) = P(X = 0) = 21 , P(X ← x) = P(X = 0) = 21 , x ⊂ [0, 1)
P(X ← x) = P(X = 0 or 1) = 1, x ⊂ [1, →)
∗
�
{X ← yn } = {X ← x}, F (yn ) ↔ P(X ← x) = F (x)
n=1
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{X ← x2 } ∪ {X ← x1 }
1 )
P(A) = P(X ⊂ A)
�x
Continuous: F (x) = P(X ← x) = −∗ f (x)dx
eventually, the graph approaches 1.
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If f continuous, f (x) = F ∅ (x)
ex. take a person, measure weight and height. Separate behavior tells you nothing
Event, set A ⊂ R2
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Discrete distribution: {(s11 , s21 ), (s12 , s22 ), ...} ⊆ (X, Y )
Joint p.f.: f (s1i , s2i ) = P((X, Y ) = (s1i , s21 ))
= P(X = s1i , Y = s2i )
Often visualized as a table, assign probability for each point:
0 -1 -2.5 5
1 0.1 0 0.2 0
1.5 0 0 0 0.1
3 0.2 0 0.4 0
Continuous:
� � ∗ � ∗
f (x, y) ∼ 0, f (x, y)dxdy = f (x, y)dxdy = 1
R2 −∗ −∗
�
Joint p.d.f. f (x, y) : P((X, Y ) ⊂ A) = A f (x, y)dxdy
Joint c.d.f. F (x, y) = P(X ← x, Y ← y)
Same for y.
�x �y �2F
Continuous: F (x, y) = −∗ −∗
f (x, y )dxdy. Also, �x�y = f (x, y )
** End of Lecture 9
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