Cumulative Distribution Function - Properties

Properties

Every cumulative distribution function F is (not necessarily strictly) monotone non-decreasing (see monotone increasing) and right-continuous. Furthermore,

Every function with these four properties is a CDF: more specifically, for every such function, a random variable can be defined such that the function is the cumulative distribution function of that random variable according to the definition above.

The properties imply that all CDFs are càdlàg functions.

If X is a purely discrete random variable, then it attains values x1, x2, ... with probability pi = P(xi), and the CDF of X will be discontinuous at the points xi and constant in between:

If the CDF F of X is continuous, then X is a continuous random variable; if furthermore F is absolutely continuous, then there exists a Lebesgue-integrable function f(x) such that

for all real numbers a and b. (The first of the two equalities displayed above would not be correct in general if we had not said that the distribution is continuous. Continuity of the distribution implies that P (X = a) = P (X = b) = 0, so the difference between "<" and "≤" ceases to be important in this context.) The function f is equal to the derivative of F almost everywhere, and it is called the probability density function of the distribution of X.

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