Probability assignments on intervals
Pra<X≤b
a
X
b
- Definition 1: Cumulative distribution
The cumulative distribution function of a random variable X
is a function
F
X
F
X
such that
ℝ→ℝ
→
ℝ
ℝ
such that
F
X
b=PrX≤b=Prω∈Ω|
Xω≤b
F
X
b
X
b
X
ω
b
ω
Ω
(1)
- Definition 2: Continuous Random Variable
A random variable
XX is
continuous if
F
X
b=∫−∞bf
X
xdx
F
X
b
x
b
f
X
x
(2)
and
f
X
x
f
X
x
is the probability density function (pdr) (
e.g.,
F
X
x
F
X
x
is differentiable and
f
X
x=ddx
F
X
x
f
X
x
x
F
X
x
)
- Definition 3: Discrete Random Variable
A random variable
XX is
discrete if it only takes at most countably many points
(
i.e.,
F
X
F
X
is piecewise constant). The probability mass function (pmf)
is defined as
p
X
x
k
=PrX=
x
k
=
F
X
x
k
−limit
x
(x→
x
k
)∧(x<
x
k
)
F
X
x
p
X
x
k
X
x
k
F
X
x
k
x
x
x
k
x
x
k
F
X
x
(3)
Two random variables defined on an experiment have joint
distribution
F
X
Y
ab=PrX≤aY≤b=Prω∈Ω|
(Xω≤a)∧(Yω≤b)
F
X
Y
a
b
X
a
Y
b
X
ω
a
Y
ω
b
ω
Ω
(4)
Joint pdf can be obtained if they are jointly continuous.
F
X
Y
ab=∫−∞b∫−∞af
X
Y
xyd
x
d
y
F
X
Y
a
b
y
b
x
a
f
X
Y
x
y
(5)
(
e.g.,
f
X
Y
xy=∂2
F
X
Y
xy∂
x
∂
y
f
X
Y
x
y
x
y
F
X
Y
x
y
)
joint pmf if they are jointly discrete
p
X
Y
x
k
y
l
=PrX=
x
k
Y=
y
l
p
X
Y
x
k
y
l
X
x
k
Y
y
l
(6)
Conditional density function
f
Y
|
X
y
|
x
=f
X
Y
xyf
X
x
f
Y
|
X
y
|
x
f
X
Y
x
y
f
X
x
(7)
for all
xx and with
f
X
x>0
f
X
x
0