lecture7 (1).pdf
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Lecture 7
Zhihua (Sophia) Su
University of Florida
Jan 23, 2015
STA 4321/5325 Introduction to Probability 1
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Agenda
Properties of distribution function
STA 4321/5325 Introduction to Probability 2
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Properties of distribution function
Let us recollect that if X is a random variable, then itsdistribution function FX : R→ [0, 1] is defined by
FX(b) = P (X ≤ b) for all b ∈ R.
STA 4321/5325 Introduction to Probability 3
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Properties of distribution function
Property I
limb→−∞
FX(b) = 0.
STA 4321/5325 Introduction to Probability 4
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Properties of distribution function
Property II
limb→∞
FX(b) = 1.
STA 4321/5325 Introduction to Probability 5
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Properties of distribution function
Property III
FX is a non-decreasing function.
STA 4321/5325 Introduction to Probability 6
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Properties of distribution function
Property IV
FX is right-hand continuous, i.e.,
limh→0+
FX(b+ h) = FX(b).
However, it is not true that FX is left-hand continuous,especially for discrete random variables.
STA 4321/5325 Introduction to Probability 7
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Properties of distribution function
Example: Let X be the number of heads for 3 tosses of a faircoin. Find and plot the distribution function FX .
STA 4321/5325 Introduction to Probability 8
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Properties of distribution function
Fact: Any function satisfying properties I, II, III and IV is adistribution function of some random variable.
STA 4321/5325 Introduction to Probability 9