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Random Variables Cumulative Distribution Functions

This document defines and provides examples of cumulative distribution functions (CDFs) for discrete and continuous random variables. For discrete variables, the CDF F(x) gives the probability that X is less than or equal to x. For continuous variables, F(x) is defined as the integral of the probability density function f(x) from minus infinity to x. The document also demonstrates how to calculate probabilities like P(a ≤ X ≤ b) using CDFs and probability mass/density functions.

Uploaded by

Dema Ziad
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© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
25 views

Random Variables Cumulative Distribution Functions

This document defines and provides examples of cumulative distribution functions (CDFs) for discrete and continuous random variables. For discrete variables, the CDF F(x) gives the probability that X is less than or equal to x. For continuous variables, F(x) is defined as the integral of the probability density function f(x) from minus infinity to x. The document also demonstrates how to calculate probabilities like P(a ≤ X ≤ b) using CDFs and probability mass/density functions.

Uploaded by

Dema Ziad
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Random variables: cumulative distribution functions

For a discrete random variable X with possible values x1, x2, x3, …., xn, the probability mass function is

f ( xi )  P X  xi   P X  xi   P X  xi  ,
n
Because f ( xi ) is defined as probability, f ( xi )  0 for all xi and  f ( xi )  1
i 1

The cumulative distribution function (distribution function) od a discrete random variable X, denoted as
F(x), is:

F ( x )  P X  x    xi  x f ( xi )
Notes:

Pa  X  b; given a<b


 P X  b   P X  a 
 F( b )  F( a )
Pa  X  b; given a<b
 P X  b   P X  a 
 F ( b )  P X  a 
P X  a   P X  a   P( X  a )
Example: Assume X is a discrete random variable that has the following values along with their densities:

X 0 1 2 3 4 5
f(x) 1/11 2/11 2/11 3/11 2/11 1/11

Find the following:

P X  3  f ( 3 )  f ( 4 )  f ( 5 )  6 / 11

P X  3  f ( 3 )  f ( 2 )  f ( 1 )  f ( 0 )  8 / 11
P X  3  f ( 3 )  3 / 11
 P( X  3 )  P( X  3 )
  f ( 3 )  f ( 2 )  f ( 1 )  f ( 0 )   f ( 2 )  f ( 1 )  f ( 0 )
 ( 8 / 11 )  ( 5 / 11 )
 3 / 11
P1  X  3  P( X  3 )  P( X  1 )
 ( 8 / 11 )  ( 3 / 11 )
 5 / 11
or
P1  X  3  f ( 2 )  f ( 3 )  ( 2  3 ) / 11
Example:

Consider having X as a discrete random variable that has the following cumulative function:

0 , X 1
1
 , 1 X  4
3
 1
F( x )   , 4 X 6
2
5
6 , 6  X  10

1, X  10.

1. Find the probability mass function f ( x )?


Solution:

X: 1, 4, 6, 10 , Now, we need to find f ( 1 ), f ( 4 ), f ( 6 ), f ( 10 )


f ( 1 )  P( X  1 )  P( X  1 )  P( X  1 )
 F ( 1 )  P( X  1 )  ( 1 / 3 )  0  1 / 3
f ( 4 )  P( X  4 )  P( X  4 )  P( X  4 )
 F ( 4 )  P( X  4 )  ( 1 / 2 )  ( 1 / 3 )  1 / 6
f ( 6 )  P( X  6 )  P( X  6 )  P( X  6 )
 F ( 6 )  P( X  6 )  ( 5 / 6 )  ( 1 / 2 )  1 / 3
f ( 10 )  P( X  10 )  P( X  10 )  P( X  10 )
 F ( 10 )  P( X  10 )  ( 1 )  ( 5 / 6 )  1 / 6
Now,

1 / 3, x1
1 / 6, x 4

f(x) 
1 / 3, x 6
1 / 6, x  10
X 1 4 6 10
f(x) 1/3 1/6 1/3 1/6

2. P( 2  X  6 )  P( X  6 )  P( X  2 )  F ( 6 )  F( 2 )  ( 5 / 6 )  ( 1 / 3 )  1 / 2
Or

P( 2  X  6 )  f ( 4 )  f ( 6 )  ( 1 / 6 )  ( 2 / 6 )  3 / 6  1 / 2
In the continuous random variables:

f ( x ) is called the probability density function


The cumulative distribution function of a continuous random variable X, denoted as F(x), is

F ( x )  P( X  x )   f ( t )dt


Keep in mind:

d d 
F( x )   f ( t )dt  f ( x )
dx dx 

Example:

Assume X is a continuous random variable such that f ( x )  0.05 for 0  x  20


20
Now, we should know that  f ( x )dx  1
0

Let us verify this:


20 20
 0.05dx  0.05 x |  0.05 * 20  1
0 0

Now, find P( X  10 )?
10
P( X  10 )   0.05dx  0.5
0

Find P( 5  X  15 )?
15
P( 5  X  15 )   0.05dx = 0.5
5

Summary:
b
P( a  X  b )  P( a  X  b )  P( a  X  b )  P( a  X  b )   f ( x )dx
a

Find P( X  17 )?
20
P( X  17 )   0.05dx  0.05 * 3  0.15
17

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