Tuesday, September 20, 2016

CDF

Another basic one today as I want to spend more time working problems than writing.

A Cumulative Distribution Functions (cdf), F(x) for a random variable X is defined as F(x) = P(X ≤ x). From this definition and the basic axioms, we get a few noteworthy properties:

  1. F(x) is a monotonically increasing function of x (using National Institute of Standards and Technology definition which allows the function to be flat in spots; some authors would call this non-decreasing).
  2. limx→ -∞ F(x) = 0 and limx→∞ F(x) = 1
  3. F(x) is right-continuous, that is for all x0, limxx0 F(x) = F(x0)

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