Cumulative Distribution Function - Wikipedia
Cumulative Distribution Function - Wikipedia
In probability theory and statistics, the cumulative distribution function (CDF) of a real-valued random
variable , or just distribution function of , evaluated at , is the probability that will take a value
less than or equal to .[1]
Every probability distribution supported on the real numbers, discrete or "mixed" as well as continuous,
is uniquely identified by a right-continuous monotone increasing function (a càdlàg function)
satisfying and .
In the case of a scalar continuous distribution, it gives the area under the probability density function
from negative infinity to . Cumulative distribution functions are also used to specify the distribution of
multivariate random variables.
Definition
The cumulative distribution function of a real-valued random variable is the function given by[2]: p. 77
(Eq.1)
where the right-hand side represents the probability that the random variable takes on a value less
than or equal to .
(Eq.2)
In the definition above, the "less than or equal to" sign, "≤", is a convention, not a universally used one
(e.g. Hungarian literature uses "<"), but the distinction is important for discrete distributions. The
proper use of tables of the binomial and Poisson distributions depends upon this convention. Moreover,
important formulas like Paul Lévy's inversion formula for the characteristic function also rely on the
"less than or equal" formulation.
If treating several random variables etc. the corresponding letters are used as subscripts while,
if treating only one, the subscript is usually omitted. It is conventional to use a capital for a
cumulative distribution function, in contrast to the lower-case used for probability density functions
and probability mass functions. This applies when discussing general distributions: some specific
distributions have their own conventional notation, for example the normal distribution uses and
instead of and , respectively.
The probability density function of a continuous random variable can be determined from the
cumulative distribution function by differentiating[3] using the Fundamental Theorem of Calculus; i.e.
given ,
The CDF of a continuous random variable can be expressed as the integral of its probability density
function as follows:[2]: p. 86
In the case of a random variable which has distribution having a discrete component at a value ,
If is continuous at , this equals zero and there is no discrete component at .
Properties
Every function with these three properties is a CDF, i.e., for every such function, a random variable can
be defined such that the function is the cumulative distribution function of that random variable.
for all real numbers and . The function is equal to the derivative of almost everywhere, and it
is called the probability density function of the distribution of .
If has finite L1-norm, that is, the expectation of is finite, then the expectation is given by the
Riemann–Stieltjes integral
as well as
as shown in the diagram (consider the areas of the two red rectangles and their extensions to the right or
left up to the graph of ). In particular, we have
In addition, the (finite) expected value of the real-valued random variable can be defined on the
graph of its cumulative distribution function as illustrated by the drawing in the definition of expected
value for arbitrary real-valued random variables.
Examples
Suppose instead that takes only the discrete values 0 and 1, with equal probability.
Here λ > 0 is the parameter of the distribution, often called the rate parameter.
Here the parameter is the mean or expectation of the distribution; and is its standard deviation.
A table of the CDF of the standard normal distribution is often used in statistical applications, where it
is named the standard normal table, the unit normal table, or the Z table.
Here is the probability of success and the function denotes the discrete probability distribution of the
number of successes in a sequence of independent experiments, and is the "floor" under , i.e. the
greatest integer less than or equal to .
Derived functions
Sometimes, it is useful to study the opposite question and ask how often the random variable is above a
particular level. This is called the complementary cumulative distribution function (ccdf) or simply the
tail distribution or exceedance, and is defined as
This has applications in statistical hypothesis testing, for example, because the one-sided p-value is the
probability of observing a test statistic at least as extreme as the one observed. Thus, provided that the
test statistic, T, has a continuous distribution, the one-sided p-value is simply given by the ccdf: for an
observed value of the test statistic
In survival analysis, is called the survival function and denoted , while the term reliability
function is common in engineering.
Properties
For a non-negative continuous random variable having an expectation, Markov's inequality states
that[4]
Then, on recognizing
as claimed.
While the plot of a cumulative distribution often has an S-like shape, an alternative illustration is the
folded cumulative distribution or mountain plot, which folds the top half of the graph over,[5][6] that is
where denotes the indicator function and the second summand is the survivor function, thus using
two scales, one for the upslope and another for the downslope. This form of illustration emphasises the
median, dispersion (specifically, the mean absolute deviation from the median[7]) and skewness of the
distribution or of the empirical results.
If the CDF F is strictly increasing and continuous then is the unique real number
such that . This defines the inverse distribution function or quantile function.
Some distributions do not have a unique inverse (for example if for all , causing
to be constant). In this case, one may use the generalized inverse distribution function, which is
defined as
Some useful properties of the inverse cdf (which are also preserved in the definition of the generalized
inverse distribution function) are:
1. is nondecreasing[8]
2.
3.
4. if and only if
The inverse of the cdf can be used to translate results obtained for the uniform distribution to other
distributions.
The empirical distribution function is an estimate of the cumulative distribution function that generated
the points in the sample. It converges with probability 1 to that underlying distribution. A number of
results exist to quantify the rate of convergence of the empirical distribution function to the underlying
cumulative distribution function.[9]
Multivariate case
When dealing simultaneously with more than one random variable the joint cumulative distribution
function can also be defined. For example, for a pair of random variables , the joint CDF is
given by[2]: p. 89
(Eq.3)
where the right-hand side represents the probability that the random variable takes on a value less
than or equal to and that takes on a value less than or equal to .
given the joint probability mass function in tabular form, determine the joint cumulative distribution
function.
X=3 0 0 0.2 0
X = 5 0.3 0 0 0.15
X=7 0 0 0.15 0
Solution: using the given table of probabilities for each potential range of X and Y, the joint cumulative
distribution function may be constructed in tabular form:
X<1 0 0 0 0 0
(Eq.4)
Properties
4.
Not every function satisfying the above four properties is a multivariate CDF, unlike in the single
dimension case. For example, let for or or and let
otherwise. It is easy to see that the above conditions are met, and yet is not a CDF since if it was, then
as explained below.
The probability that a point belongs to a hyperrectangle is analogous to the 1-dimensional case:[11]
Complex case
The generalization of the cumulative distribution function from real to complex random variables is not
obvious because expressions of the form make no sense. However expressions of the
form make sense. Therefore, we define the cumulative distribution of a
complex random variables via the joint distribution of their real and imaginary parts:
The concept of the cumulative distribution function makes an explicit appearance in statistical analysis
in two (similar) ways. Cumulative frequency analysis is the analysis of the frequency of occurrence of
values of a phenomenon less than a reference value. The empirical distribution function is a formal
direct estimate of the cumulative distribution function for which simple statistical properties can be
derived and which can form the basis of various statistical hypothesis tests. Such tests can assess
whether there is evidence against a sample of data having arisen from a given distribution, or evidence
against two samples of data having arisen from the same (unknown) population distribution.
The Kolmogorov–Smirnov test is based on cumulative distribution functions and can be used to test to
see whether two empirical distributions are different or whether an empirical distribution is different
from an ideal distribution. The closely related Kuiper's test is useful if the domain of the distribution is
cyclic as in day of the week. For instance Kuiper's test might be used to see if the number of tornadoes
varies during the year or if sales of a product vary by day of the week or day of the month.
See also
Descriptive statistics
Distribution fitting
Ogive (statistics)
References
1. Deisenroth, Marc Peter; Faisal, A. Aldo; Ong, Cheng Soon (2020). Mathematics for Machine
Learning (https://github.com/mml-book/mml-book.github.io) . Cambridge University Press.
p. 181. ISBN 9781108455145.
2. Park, Kun Il (2018). Fundamentals of Probability and Stochastic Processes with Applications to
Communications. Springer. ISBN 978-3-319-68074-3.
3. Montgomery, Douglas C.; Runger, George C. (2003). Applied Statistics and Probability for
Engineers (http://www.um.edu.ar/math/montgomery.pdf) (PDF). John Wiley & Sons, Inc.
p. 104. ISBN 0-471-20454-4. Archived (https://web.archive.org/web/20120730233253/http://www.u
m.edu.ar/math/montgomery.pdf) (PDF) from the original on 2012-07-30.
4. Zwillinger, Daniel; Kokoska, Stephen (2010). CRC Standard Probability and Statistics Tables and
Formulae. CRC Press. p. 49. ISBN 978-1-58488-059-2.
7. Xue, J. H.; Titterington, D. M. (2011). "The p-folded cumulative distribution function and the
mean absolute deviation from the p-quantile" (https://hal.archives-ouvertes.fr/hal-00753950/file/PE
ER_stage2_10.1016%252Fj.spl.2011.03.014.pdf) (PDF). Statistics & Probability Letters. 81 (8):
1179–1182. doi:10.1016/j.spl.2011.03.014 (https://doi.org/10.1016%2Fj.spl.2011.03.014) .
9. Hesse, C. (1990). "Rates of convergence for the empirical distribution function and the empirical
characteristic function of a broad class of linear processes". Journal of Multivariate Analysis. 35
(2): 186–202. doi:10.1016/0047-259X(90)90024-C (https://doi.org/10.1016%2F0047-259X%2890%2
990024-C) .
External links