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Stat 122

WQCAMPANO

Properties of Joint Distribution Functions (p. 11)


1. Boundedness
Proof:
(a) , (, ) = 0
Let { } be a monotone nonincreasing sequence of real numbers with
lim = .
Define = { : () , () }.
Note that { } is nonincreasing with lim =
=1 = .
, (, ) = lim , (, )
= lim , ( , )
= lim ( , )
= lim ( )
= ( lim ) [continuity from above]

= ()
=0
It also follows that , (, ) = 0 (and , (, ) = 0).
(b) , (+, +) = 1
Let { } and { } be monotone nondecreasing sequence of real numbers with
lim = + and lim = +.
Define = { : () , () }.
Note that { } is nondecreasing with lim =
=1 = .
, (, ) = lim lim , (, )
= lim , ( , )
= lim ( , )
= lim ( )
= ( lim ) [continuity from below]

= ()
=1
2
Thus, (, ) , 0 ,(, ) 1.

2. Monotonicity
Proof:
, (, ) , (, ) , (, ) + , (, ) = [, (, ) , (, )] [, (, ) , (, )]
= [( , ) ( , )] [( , ) ( , )]
= [( , < )] [( , < )]
= [( < , < )] 0
3. Right Continuity
Proof:
Fix . Let { } be a monotone nonincreasing sequence of real numbers with
lim = . (e.g. = + 1/)
Define = { : () , () }, a nonincreasing sequence.
Note that lim =
=1 = = { : () , () } (. . ).

lim0+ , ( + , ) = lim , ( , ) = lim ( , )


= lim ( )
= ( lim ) [continuity from above]

= ()
= ( , )
= , (, )

Remark 2 (p. 11).


Proof:
Fix . Let 1 < 2 . By monotonicity, we have
( < , 1 < 2 ) = , (, 2 ) , (, 1 ) , (, 2 ) + , (, 1 )
= , (, 2 ) , (, 1 ) 0 + 0 [boundedness]
= , (, 2 ) , (, 1 ) 0
, (, 1 ) , (, 2 )
Thus, for a fixed , 1 2 , , (, 1 ) , (, 2 ).
Remark 4 (p. 11).
Proof:
( = , = ) = ( < , < )
= , (, ) , (, ) , ( , ) + , ( , ) [monotonicity]
= , (, ) , (, ) , (, ) + , (, ) [, is continuous at the point (b,d)]
=0
Remark 4 (p. 18).
Proof:

a. , (, ) = lim lim , (, ) = , (, ) = 1 [boundedness]
b. ( < , < ) = , (, ) , (, ) , (, ) + , (, )

[monotonicity]

= , (, ) , (, ) , (, ) + , (, )

[since , (, ) = , (, )]

= , (, ) , (, ) , (, ) + , (, )

= [ , (, ) , (, )] [ , (, ) , (, )]

= [ ( , (, ) , (, ) ) ] [ ( , (, ) , (, ) ) ]

= [ ( , (, ) ) ] [ ( , (, ) ) ]

= [ ( , (, ) ) ]

= , (, )