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Cantor Distribution

The Cantor distribution is a unique probability distribution whose cumulative distribution function is the Cantor function. It has no probability density function or probability mass function since it is neither absolutely continuous nor discrete. Its support is the Cantor set and its expected value is 1/2, with all odd central moments equal to 0 and variance equal to 1/8. It is an example of a singular distribution.

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209 views

Cantor Distribution

The Cantor distribution is a unique probability distribution whose cumulative distribution function is the Cantor function. It has no probability density function or probability mass function since it is neither absolutely continuous nor discrete. Its support is the Cantor set and its expected value is 1/2, with all odd central moments equal to 0 and variance equal to 1/8. It is an example of a singular distribution.

Uploaded by

shiena8181
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Cantor distribution

The Cantor distribution is the probability


distribution whose cumulative distribution function
Cantor
is the Cantor function. Cumulative distribution function

This distribution has neither a probability density


function nor a probability mass function, since
although its cumulative distribution function is a
continuous function, the distribution is not
absolutely continuous with respect to Lebesgue
measure, nor does it have any point-masses. It is
thus neither a discrete nor an absolutely continuous
probability distribution, nor is it a mixture of these.
Rather it is an example of a singular distribution.

Its cumulative distribution function is continuous


everywhere but horizontal almost everywhere, so is
sometimes referred to as the Devil's staircase,
although that term has a more general meaning.

Characterization
Parameters none
The support of the Cantor distribution is the Cantor Support Cantor set
set, itself the intersection of the (countably infinitely PMF none
many) sets:
CDF Cantor function
Mean 1/2
Median anywhere in [1/3, 2/3]
Mode n/a
Variance 1/8
Skewness 0
Ex. kurtosis −8/5
MGF

CF
The Cantor distribution is the unique probability distribution for which for any Ct (t ∈ { 0, 1, 2, 3, ... }),
the probability of a particular interval in Ct containing the Cantor-distributed random variable is identically
2−t on each one of the 2t intervals.

Moments
It is easy to see by symmetry and being bounded that for a random variable X having this distribution, its
expected value E(X) = 1/2, and that all odd central moments of X are 0.

The law of total variance can be used to find the variance var(X), as follows. For the above set C1 , let Y = 0
if X ∈ [0,1/3], and 1 if X ∈ [2/3,1]. Then:

From this we get:

A closed-form expression for any even central moment can be found by first obtaining the even
cumulants[1]
where B2n is the 2nth Bernoulli number, and then expressing the moments as functions of the cumulants.

References
1. Morrison, Kent (1998-07-23). "Random Walks with Decreasing Steps" (https://web.archive.or
g/web/20151202055102/http://www.calpoly.edu/~kmorriso/Research/RandomWalks.pdf)
(PDF). Department of Mathematics, California Polytechnic State University. Archived from
the original (http://www.calpoly.edu/~kmorriso/Research/RandomWalks.pdf) (PDF) on 2015-
12-02. Retrieved 2007-02-16.

Further reading
Hewitt, E.; Stromberg, K. (1965). Real and Abstract Analysis (https://archive.org/details/reala
bstractanal00hewi_0). Berlin-Heidelberg-New York: Springer-Verlag. This, as with other
standard texts, has the Cantor function and its one sided derivates.
Hu, Tian-You; Lau, Ka Sing (2002). "Fourier Asymptotics of Cantor Type Measures at
Infinity". Proc. AMS. Vol. 130, no. 9. pp. 2711–2717. This is more modern than the other texts
in this reference list.
Knill, O. (2006). Probability Theory & Stochastic Processes. India: Overseas Press.
Mattilla, P. (1995). Geometry of Sets in Euclidean Spaces. San Francisco: Cambridge
University Press. This has more advanced material on fractals.

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