Cumulativedistributionfunction

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Inprobabilitytheoryandstatistics,thecumulative
distributionfunction(CDF)ofarealvaluedrandomvariable
X,orjustdistributionfunctionofX,evaluatedatx,isthe
probabilitythatXwilltakeavaluelessthanorequaltox.

Inthecaseofacontinuousdistribution,itgivestheareaunder
theprobabilitydensityfunctionfromminusinfinitytox.
Cumulativedistributionfunctionsarealsousedtospecifythe
distributionofmultivariaterandomvariables.

Contents CumulativeDistributionFunctionforthenormal
distribution

1 Definition
2 Properties
3 Examples
4 Derivedfunctions
4.1 Complementarycumulativedistribution
function(taildistribution)
4.2 Foldedcumulativedistribution
4.3 Inversedistributionfunction(quantile
function)
5 Multivariatecase
6 Useinstatisticalanalysis
6.1 KolmogorovSmirnovandKuiper'stests
7 Seealso
8 References
9 Externallinks

Definition
ThecumulativedistributionfunctionofarealvaluedrandomvariableXisthefunctiongivenby

wheretherighthandsiderepresentstheprobabilitythattherandomvariableXtakesonavaluelessthanorequal
tox.TheprobabilitythatXliesinthesemiclosedinterval(a,b],wherea<b,istherefore

Inthedefinitionabove,the"lessthanorequalto"sign,"",isaconvention,notauniversallyusedone(e.g.
Hungarianliteratureuses"<"),butisimportantfordiscretedistributions.Theproperuseoftablesofthebinomial
andPoissondistributionsdependsuponthisconvention.Moreover,importantformulaslikePaulLvy'sinversion
formulaforthecharacteristicfunctionalsorelyonthe"lessthanorequal"formulation.
IftreatingseveralrandomvariablesX,Y,...etc.thecorrespondinglettersareusedassubscriptswhile,iftreating
onlyone,thesubscriptisusuallyomitted.ItisconventionaltouseacapitalFforacumulativedistribution
function,incontrasttothelowercasefusedforprobabilitydensityfunctionsandprobabilitymassfunctions.This
applieswhendiscussinggeneraldistributions:somespecificdistributionshavetheirownconventionalnotation,for
examplethenormaldistribution.

TheCDFofacontinuousrandomvariableXcanbeexpressedastheintegralofitsprobabilitydensityfunctionX
asfollows:

InthecaseofarandomvariableXwhichhasdistributionhavingadiscretecomponentatavalueb,

IfFXiscontinuousatb,thisequalszeroandthereisnodiscretecomponentatb.

Properties
EverycumulativedistributionfunctionFisnondecreasingandright
continuous,whichmakesitacdlgfunction.Furthermore,

EveryfunctionwiththesefourpropertiesisaCDF,i.e.,foreverysuch
function,arandomvariablecanbedefinedsuchthatthefunctionisthe
cumulativedistributionfunctionofthatrandomvariable.

IfXisapurelydiscreterandomvariable,thenitattainsvaluesx1,x2,...
withprobabilitypi=P(xi),andtheCDFofXwillbediscontinuousatthe
pointsxiandconstantinbetween:

Fromtoptobottom,thecumulative
distributionfunctionofadiscrete
IftheCDFFofarealvaluedrandomvariableXiscontinuous,thenXisa probabilitydistribution,continuous
continuousrandomvariableiffurthermoreFisabsolutelycontinuous,then
probabilitydistribution,anda
thereexistsaLebesgueintegrablefunctionf(x)suchthat distributionwhichhasbotha
continuouspartandadiscretepart.

forallrealnumbersaandb.ThefunctionfisequaltothederivativeofFalmosteverywhere,anditiscalledthe
probabilitydensityfunctionofthedistributionofX.

Examples
Asanexample,suppose isuniformlydistributedontheunitinterval[0,1].ThentheCDFof isgivenby

Supposeinsteadthat takesonlythediscretevalues0and1,withequalprobability.ThentheCDFof isgiven

by

Derivedfunctions
Complementarycumulativedistributionfunction(taildistribution)

Sometimes,itisusefultostudytheoppositequestionandaskhowoftentherandomvariableisaboveaparticular
level.Thisiscalledthecomplementarycumulativedistributionfunction(ccdf)orsimplythetaildistribution
orexceedance,andisdefinedas

Thishasapplicationsinstatisticalhypothesistesting,forexample,becausetheonesidedpvalueistheprobability
ofobservingateststatisticatleastasextremeastheoneobserved.Thus,providedthattheteststatistic,T,hasa
continuousdistribution,theonesidedpvalueissimplygivenbytheccdf:foranobservedvaluetofthetest
statistic

Insurvivalanalysis, iscalledthesurvivalfunctionanddenoted ,whilethetermreliabilityfunctionis

commoninengineering.

Properties

Foranonnegativecontinuousrandomvariablehavinganexpectation,Markov'sinequalitystatesthat[1]

As ,andinfact providedthat isfinite.

Proof:AssumingXhasadensityfunctionf,forany

Then,onrecognizing andrearrangingterms,
 asclaimed.

Foldedcumulativedistribution

WhiletheplotofacumulativedistributionoftenhasanSlikeshape,an
alternativeillustrationisthefoldedcumulativedistributionormountain
plot,whichfoldsthetophalfofthegraphover,[2][3]thususingtwoscales,
onefortheupslopeandanotherforthedownslope.Thisformofillustration
emphasisesthemediananddispersion(themeanabsolutedeviationfrom
themedian[4])ofthedistributionoroftheempiricalresults.

Inversedistributionfunction(quantilefunction)

IftheCDFFisstrictlyincreasingandcontinuousthen
Exampleofthefoldedcumulative
istheuniquerealnumber suchthat .Insuchacase,thisdefines
distributionforanormaldistribution
theinversedistributionfunctionorquantilefunction. functionwithanexpectedvalueof0
andastandarddeviationof1.
Somedistributionsdonothaveauniqueinverse(forexampleinthecase
where forall ,causing tobeconstant).This
problemcanbesolvedbydefining,for ,thegeneralizedinversedistributionfunction:

Example1:Themedianis .
Example2:Put .Thenwecall the95thpercentile.

Someusefulpropertiesoftheinversecdf(whicharealsopreservedinthedefinitionofthegeneralizedinverse
distributionfunction)are:

1. isnondecreasing
2.
3.
4. ifandonlyif
5.If hasa distributionthen isdistributedas .Thisisusedinrandomnumbergeneration
usingtheinversetransformsamplingmethod.
6.If isacollectionofindependent distributedrandomvariablesdefinedonthesamesamplespace,
thenthereexistrandomvariables suchthat isdistributedas and with
probability1forall .

Theinverseofthecdfcanbeusedtotranslateresultsobtainedfortheuniformdistributiontootherdistributions.

Multivariatecase
Whendealingsimultaneouslywithmorethanonerandomvariablethejointcumulativedistributionfunctioncan
alsobedefined.Forexample,forapairofrandomvariablesX,Y,thejointCDF isgivenby
wheretherighthandsiderepresentstheprobabilitythattherandomvariableXtakesonavaluelessthanorequal
toxandthatYtakesonavaluelessthanorequaltoy.

EverymultivariateCDFis:

1.Monotonicallynondecreasingforeachofitsvariables
2.Rightcontinuousforeachofitsvariables.
3.
4. and

Useinstatisticalanalysis
Theconceptofthecumulativedistributionfunctionmakesanexplicitappearanceinstatisticalanalysisintwo
(similar)ways.Cumulativefrequencyanalysisistheanalysisofthefrequencyofoccurrenceofvaluesofa
phenomenonlessthanareferencevalue.Theempiricaldistributionfunctionisaformaldirectestimateofthe
cumulativedistributionfunctionforwhichsimplestatisticalpropertiescanbederivedandwhichcanformthe
basisofvariousstatisticalhypothesistests.Suchtestscanassesswhetherthereisevidenceagainstasampleofdata
havingarisenfromagivendistribution,orevidenceagainsttwosamplesofdatahavingarisenfromthesame
(unknown)populationdistribution.

KolmogorovSmirnovandKuiper'stests

TheKolmogorovSmirnovtestisbasedoncumulativedistributionfunctionsandcanbeusedtotesttoseewhether
twoempiricaldistributionsaredifferentorwhetheranempiricaldistributionisdifferentfromanidealdistribution.
ThecloselyrelatedKuiper'stestisusefulifthedomainofthedistributioniscyclicasindayoftheweek.For
instanceKuiper'stestmightbeusedtoseeifthenumberoftornadoesvariesduringtheyearorifsalesofaproduct
varybydayoftheweekordayofthemonth.

Seealso
Descriptivestatistics
Distributionfitting

References
1.Zwillinger,DanielKokoska,Stephen(2010).CRCStandardProbabilityandStatisticsTablesandFormulae.CRC
Press.p.49.ISBN9781584880592.
2.Gentle,J.E.(2009).ComputationalStatistics.Springer.ISBN9780387981451.Retrieved20100806.
3.Monti,K.L.(1995)."FoldedEmpiricalDistributionFunctionCurves(MountainPlots)".TheAmericanStatistician.49:
342345.doi:10.2307/2684570.JSTOR2684570.
4.Xue,J.H.Titterington,D.M.(2011)."Thepfoldedcumulativedistributionfunctionandthemeanabsolutedeviation
fromthepquantile".Statistics&ProbabilityLetters.81(8):11791182.doi:10.1016/j.spl.2011.03.014.<

Externallinks
MediarelatedtoCumulativedistributionfunctionsatWikimediaCommons
Retrievedfrom"https://en.wikipedia.org/w/index.php?title=Cumulative_distribution_function&oldid=765152749"

Categories: Functionsrelatedtoprobabilitydistributions

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