Distribution functions of random variables

What is distribution function?

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 Distribution function and expectation
The concept of a distribution function's expectation, or expected value, involves finding
the weighted average of all possible outcomes of a random variable, where each
outcome is weighted by its probability of occurrence. This expectation provides a
measure of the central tendency of the distribution, representing the long-term average
or mean value of the random variable.
1. Understanding the Distribution Function:
A distribution function, often denoted as F(x), describes the probability that a random
variable X will take on a value less than or equal to x. It's a cumulative function that
summarizes the probability distribution of a random variable.
For discrete random variables, the distribution function is a step function, where
each step corresponds to a possible value of the random variable.
For continuous random variables, the distribution function is a continuous,
increasing function, reflecting the probability of the random variable being less
than or equal to a given value.
2. The Expectation Operator:
The expectation operator, denoted as E[X], represents the expected value or mean of a
random variable X.
It calculates the weighted average of all possible values of X, with each value weighted
by its corresponding probability.

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3. Calculating the Expectation:
For discrete random variables:
The expectation is calculated as the sum of each possible value of X multiplied by its
probability.
E[X] = ∑ x * P(X = x)
For continuous random variables:
The expectation is calculated as the integral of each value of X multiplied by its probability
density function.
E[X] = ∫ x * f(x) dx
4. Example:
Let's say X is a random variable representing the outcome of rolling a fair six-sided die.
The possible outcomes (values of X) are 1, 2, 3, 4, 5, and 6.
The probability of each outcome is 1/6 (since it's a fair die).
The expected value (E[X]) is: (1 * 1/6) + (2 * 1/6) + (3 * 1/6) + (4 * 1/6) + (5 * 1/6) +
(6 * 1/6) = 3.5.
5. Key Properties of Expectation:
Linearity: E[aX + b] = aE[X] + b, where 'a' and 'b' are constants.
Expectation of a constant is the constant: E[c] = c, where 'c' is a constant.
In essence, the distribution function provides the probability of a random variable taking on
values up to a certain point, while the expectation operator calculates the weighted average
of all possible values, giving us a measure of the central tendency of the distribution.

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 Distribution function of random variables
The distribution function of a random variable, also known as the cumulative distribution function
(CDF), is a mathematical function that describes the probability distribution of a random variable. It
is denoted by F(x) and is defined as the probability that the random variable X takes on a value less
than or equal to x: F(x) = P(X ≤ x).
Cumulative Distribution Function (CDF):
The CDF, denoted as F(x), represents the probability that a random variable X will take a value less than
or equal to x.
Probability Distribution:
The distribution function provides a comprehensive view of how probabilities are spread across all
possible values of a random variable.
Discrete vs. Continuous:
For discrete random variables, the CDF can be calculated by summing the probabilities of all values less
than or equal to x. For continuous random variables, the CDF is calculated using integration of the
probability density function.
Key Properties:
The CDF is a non-decreasing function, meaning its value can never decrease as x increases. It is also
right-continuous, meaning that the limit of the CDF from the right is equal to the value of the CDF at that
point.
Applications:
The distribution function is a fundamental tool in probability and statistics. It is used to calculate
probabilities, determine percentiles, and analyze the properties of random variables.
Formal Definition:
In measure theory, a random variable is defined as a measurable function from a probability space to a
measurable space. The distribution of the random variable is then defined as the push forward measure.

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The cumulative distribution function (CDF) of a random variable has key properties: it's
always between 0 and 1, non-decreasing, right-continuous, and its limit as x approaches
negative infinity is 0 while its limit as x approaches positive infinity is 1.
Detailed breakdown:
1. Value Range:
The CDF, denoted as F(x), always takes values between 0 and 1 inclusive.
F(x) represents the probability that the random variable X is less than or equal to x.
2. Non-Decreasing:
The CDF is a non-decreasing function. This means that if x1 < x2, then F(x1) ≤ F(x2). In
simpler terms, as x increases, the probability of the random variable being less than or equal
to that value also increases or stays the same.
3. Right Continuity:
The CDF is right-continuous. This means that for any value x, the limit of F(x) as x
approaches from the right (x+ε), where ε is a small positive number) is equal to F(x).
In simpler terms, the CDF values get closer and closer to F(x) as we move from the right
towards x.
4. Limit at Infinity:
As x approaches negative infinity (x → -∞), the CDF approaches 0. This is because the
probability of a random variable being less than or equal to extremely negative values is very
low.
As x approaches positive infinity (x → ∞), the CDF approaches 1. This is because the
probability of a random variable being less than or equal to very large values approaches
certainty. 6
Probability Distribution Function
A function which is used to define the distribution of a probability is called a Probability
distribution function. Depending upon the types, we can define these functions. Also, these
functions are used in terms of probability density functions for any given random variable.
In the case of Normal distribution, the function of a real-valued random variable X is the
function given by;
FX(x) = P(X ≤ x)
Where P shows the probability that the random variable X occurs on less than or equal to
the value of x.

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 Distribution function of a continuous random variable
The distribution function, also known as the cumulative distribution function (CDF), of a
continuous random variable X, denoted as F(x), is the probability that X takes a value less
than or equal to x. In other words, F(x) = P(X ≤ x). It's a non-decreasing function that maps
real numbers to the interval, where F(x) = 0 as x approaches negative infinity, and F(x) = 1 as
x approaches positive infinity.
Key points about the distribution function of a continuous random variable:
Definition: F(x) = P(X ≤ x).
Non-decreasing: As x increases, the probability of X being less than or equal to x also
increases, or at least stays the same, according to Newcastle University.
Continuity: The CDF is a continuous function.
Limits: lim x→-∞ F(x) = 0 and lim x→+∞ F(x) = 1.
Relationship with the Probability Density Function (PDF):
The CDF is related to the PDF (f(x)) by integration: F(x) = ∫-∞^x f(t) dt. This means the CDF
at a point x is the integral of the PDF from negative infinity to x.
Example:
If X is a continuous random variable with PDF f(x), then the probability that X is less than or
equal to 5 is given by P(X ≤ 5) = F(5), which is the area under the curve of f(x) from -∞ to
5.
In summary: The distribution function (CDF) provides the probability of a continuous
random variable being less than or equal to a given value, and it's derived from the PDF
through integration.
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Distribution function of discrete random variable

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 Distribution of random Vector
What is a vector in math?
A vector is an object that has both a magnitude and a direction. Geometrically, we can
picture a vector as a directed line segment, whose length is the magnitude of the vector
and with an arrow indicating the direction. The direction of the vector is from its tail to
its head.

Random vector: A random vector is a vector whose components are random

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Examples:
1. Coin Toss:
Imagine tossing two coins. You could define a random vector X where X1 represents whether the first coin
is heads (1) or tails (0), and X2 represents the same for the second coin. The possible values for X would be
(1,1), (1,0), (0,1), or (0,0).
2. Student Scores:
Consider a class of students taking two exams. You could create a random vector Y where Y1 represents the
score of a randomly chosen student on the first exam, and Y2 represents their score on the second exam.
3. Wind and Airplane:
The velocity of an airplane can be represented as a vector. The wind also creates a velocity vector. These
two vectors, when combined, create a resultant vector representing the actual motion of the plane, which
can be considered a random vector if wind speed and direction are also random.

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 Distribution function of random vector
A random vector is a vector whose components are random variables. This means each
element of the vector has a certain probability of taking on a specific value. Essentially,
it's a way to represent multiple random variables together, allowing for the analysis of
their joint behavior.
Here's a more detailed explanation:
Random Variables:
A random variable is a variable whose value is a numerical outcome of a random
phenomenon.
Vector Representation:
A random vector is a collection of these random variables, often represented as a column
vector.
Examples:
Imagine measuring the height, weight, and age of several people. Each of these
measurements is a random variable. A random vector could be formed by combining
these measurements into a single vector for each person.
Multivariate Analysis:
Random vectors are fundamental in multivariate analysis, which studies the relationships
and distributions of multiple random variables simultaneously.
Joint Probability Distributions:
The key to working with random vectors is understanding their joint probability
distributions, which describe the probabilities of different combinations of values for the
components of the vector. 23
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The cumulative distribution function (CDF) of a random vector, like that of a
random variable, is a non-decreasing, right-continuous function that takes values
between 0 and 1. It represents the probability that the random vector takes on a
value less than or equal to a given vector.
Here's a more detailed look at the key properties:
1. Non-decreasing: If vector x is less than or equal to vector y in each component
(i.e., xi <= yi for all i), then the CDF at x is less than or equal to the CDF at y.
2. Right-continuous: The CDF is continuous from the right, meaning that the limit
of the CDF as x approaches a from the right is equal to the CDF at a.
3. Range: The CDF always takes values between 0 and 1.
4. Limits: As x approaches negative infinity, the CDF approaches 0. As x
approaches positive infinity, the CDF approaches 1.
5. Relationship to probability: The CDF at a point x represents the probability
that the random vector X is less than or equal to x.
6. For discrete random vectors: If the random vector has a discrete distribution
(i.e., it takes on values from a finite or countable set), the CDF is a step function,
with jumps at the possible values of the vector.
7. For continuous random vectors: If the random vector has a continuous
distribution, the CDF is a smooth, monotonically increasing curve.

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 The distribution function of a random vector, also known as the cumulative distribution
function (CDF), describes the probability that a random vector takes values less than or equal
to a given set of values. It's a function that maps a vector of real numbers to a probability
between 0 and 1.
Formal Definition:
For a random vector X = (X1, X2, ..., Xp), the joint CDF is defined as:
FX(x) = P(X ≤ x) = P(X1 ≤ x1, X2 ≤ x2, ..., Xp ≤ xp)
where x = (x1, x2, ..., xp) is a vector of real numbers, and P denotes probability.
Key Properties:
Non-decreasing: The CDF is non-decreasing in each component of the vector. If x i < yi, then
FX(x) ≤ FX(y) for any i = 1, ..., p.
Limits: The CDF approaches 0 as each xi approaches negative infinity, and it approaches 1 as
each xi approaches positive infinity.
Right-continuous: The CDF is right-continuous.
Normalized: The CDF is a probability, so it takes values between 0 and 1.
In simpler terms: The CDF of a random vector tells you the probability that the random vector
takes values that are all less than or equal to a specific set of values. For example, if you have
a random vector representing the height and weight of a person, the CDF would tell you the
probability that a randomly selected person's height is less than or equal to a specific height,
and their weight is less than or equal to a specific weight.
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Difference between distribution function of random variables
and random vectors

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 Applications of distribution functions of random variables
The cumulative distribution function (CDF) of a random variable, also known as the
distribution function, is a crucial tool in probability and statistics. It provides the
probability that a random variable will take on a value less than or equal to a specific
point. This function has various applications, including calculating probabilities,
determining percentiles, and understanding the behavior of random variables in diverse
fields.
Key Applications of the Distribution Function:
1. Probability Calculation:
The most fundamental application is to calculate the probability of a random variable being
less than or equal to a certain value. For instance, if you want to know the probability of a
car's gas mileage being under 30 miles per gallon, you would use the distribution function
to find this value.
2. Percentile Determination:
The distribution function can also be used to find the percentiles of a random variable. For
example, if you want to find the 95th percentile of exam scores, you would find the value
where the distribution function is equal to 0.95.
3. Understanding Random Variable Behavior:
The shape and properties of the distribution function provide insights into the nature of the
random variable. For example, a distribution function that is concentrated near one value
indicates that the random variable is likely to take on that value, while a distribution
function that spreads out over a range indicates that the random variable can take on
various values with different probabilities. 44
4. Discrete and Continuous Random Variables:
The distribution function is applicable to both discrete and continuous random
variables. For discrete random variables, it represents the cumulative
probability of each possible value. For continuous random variables, it
represents the integral of the probability density function from negative infinity
to the specified value.
5. Specific Examples:
Manufacturing: In manufacturing, the distribution function can be used to
determine the probability of a product failing within a certain time frame.
Finance: In finance, the distribution function can be used to model the risk of
investment losses.
Public Health: In public health, the distribution function can be used to model
the spread of diseases.
Environmental Science: In environmental science, the distribution function
can be used to model the distribution of rainfall or temperature.
Sports Analytics: In sports, the distribution function can be used to model the
probability of a team winning a game.
6. Functions of Random Variables:
The distribution function can also be used to find the distribution of a function
of a random variable, such as the distribution of the sum of two independent
random variables. 45
 Applications of distribution of random vectors
The distribution function (CDF) of a random vector, also known as the joint
distribution function, is a crucial tool in probability and statistics for
understanding the probability of a random vector falling within a specific region
of space. It provides a comprehensive description of the probability distribution
of a random vector, extending the concept of CDF for single random variables to
multiple random variables.
Key Applications:
1. Probability Calculation:
The CDF allows you to calculate the probability of a random vector falling
within any specified region or set.
2. Joint Probability Density:
For continuous random vectors, the CDF can be used to derive the joint
probability density function (PDF).
3. Marginal Distributions:
The CDF can be used to derive the distribution of individual components of a
random vector, often called marginal distributions.

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4. Functions of Random Vectors:
The CDF can help determine the distribution of functions of random vectors,
which are also random vectors themselves.
5. Independence Testing:
The CDF can be used to test if the components of a random vector are
independent.
How it Works:
The CDF, denoted as F_X(x), for a random vector X (which could be a pair,
triple, or higher-dimensional vector) is defined as:
F_X(x) = P(X ≤ x)
where x is a vector of real numbers with the same dimensions as X, and "≤"
represents component-wise less than or equal to. In other words, F_X(x) gives
the probability that the random vector X takes values that are all less than or
equal to the corresponding components of x.
Example:
Consider a two-dimensional random vector (X1, X2). The CDF, F_(X1, X2)(x1, x2),
would give the probability that X1 ≤ x1 and X2 ≤ x2, where x1 and x2 are real
numbers.
In essence, the distribution function of a random vector is a fundamental tool for
understanding and working with the probability distributions of multiple random
variables simultaneously. 47
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