Common Probability Distribution Calculations

Quantitative Methods

    Common Probability Distribution Calculations

  • Cumulative distribution function

               Cumulative distribution function  or just distribution function, describes the probability that a real-valued random variable X with a given probability distribution will be found at a value less than or equal to x.  Cumulative distribution functions are also used to specify the distribution of multivariate random variables.

        For every real number x, the Cumulative Distribution Function of a real-valued random variable X is given by

            where the right-hand side represents the probability that the random variable X takes on a value less than or equal to x. The probability that X lies in the interval (a, b) is therefore FX(b) − FX(a) if a < b.

        If treating several random variables X, Y, ... etc. the corresponding letters are used as subscripts while, if treating only one, the subscript is omitted. It is conventional to use a capital F for a cumulative distribution function, in contrast to the lower-case f 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.

         The Cumulative Distribution Function of X can be defined in terms of the probability density function ƒ as follows:

         Note that 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 is important for discrete distributions. The proper use of tables of the binomial and Poisson distributions depend upon this convention. Moreover, important formulas like Levy's inversion formula for the characteristic function also rely on the "less or equal" formulation.

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