第2章 分布函数.docVIP

第2章 分布函数与特征函数 2.2 随机变量 什么是随机变量 2.2 分布函数 Definition 2.2.1 The cumulative distribution function (CDF) F of a random variable is a function defined for each real number as follows: , . It should be emphasized that the CDF if defined in this way for every random variable , regardless of whether the distribution of is discrete, continuous, or mixed. The CDF of every variable must have the following three properties: Property 2.2.1 The function is nondecreasing as increases; that is, if , the . Proof. If , then . Hence, . ■ Property 2.2.2 and . Proof: We only prove . To prove this, it suffices to show that for any increasing sequence of real number that converges to , . This follows from the continuity of the probability function. The events form an increasing sequence that converge to the event ; that is, . Hence , Which means that .■ A CDF need be continuous. In fact, the value of may jump at any finite or countable number of points. For each fixed , we shall let denote the limit of the values of as approaches from the left, that is, as approaches through values smaller than . In symbols, . Similarly, we shall define as the limit of the values of as approaches from the right. Thus, . If the CDF is continuous at a given point, then at that point. Property 2.2.3 A CDF is always continuous from the right; that is, at every point . Proof Let be a sequence of numbers that are decreasing such that . Then the event is the intersection of all the events for . Hence, by the continuity of the probability function, . It follows from Property 3.3 that at every point at which a jump occurs, and . Determining probabilities from the distribution function. If the CDF of a random variable is known, then the probability that will lie in any specified interval of the real line can be determined from the CDF. Theorem 2.2.1 For every , . Theorem 2.2.2 For all values and such that , . Theorem 2.2.3 For each value , . Proof. Let be a sequence of numbers that are