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# Module 20

## () Module 20 Properties of Distribution Function of a Random Vector 1 / 11

X: a given p-dimensional r.v. defined on a probability space
(Ω, P(Ω), P) with d.f. FX (·);

## FX (x) = P({X ≤ x})

= PX ((−∞, x]), x ∈ Rp ,

## For any p-dimensional rectangle (a, b] (a < b), we know that

p
X X
P({X ∈ (a, b]}) = (−1)k FX (z).
k=0 z∈∆k,p ((a,b])

Result 1:

## Let X = (X1 , . . . , Xp ) be a p-dimensional r.v. with d.f. FX (·). Then

(a) lim F (x , . . . , xp )
xi →∞ X 1
= 1; (iterated limit)
i=1,...,p
(b) For each fixed i ∈ {1, . . . , p} , lim FX (x1 , . . . , xp ) = 0;
xi →−∞
(c) FX (x1 , . . . , xp ) is right continuous in each argument, keeping other
arguments fixed;
(d) For each rectangle (a, b] ⊆ Rp (a, b ∈ Rp , a < b)
p
X X
(−1)k FX (z) ≥ 0.
k=0 z∈∆k,p ((a,b])

## () Module 20 Properties of Distribution Function of a Random Vector 2 / 11

Proof:

For p = 2
(a)
h i
lim lim FX1 ,X2 (m, n) = lim lim FX1 ,X2 (m, n)
m→∞ n→∞ m→∞ n→∞

m→∞

= 1.

(b) For x2 ∈ R,

## lim FX1 ,X2 (x1 , x2 ) = lim FX1 ,X2 (−m, x2 )

x1 →−∞ m→∞
= lim P ({X1 ≤ −m, X2 ≤ x2 })
m→∞

!
\
= P {X1 ≤ −m, X2 ≤ x2 }
m=1
= P(φ)
= 0.

Similarly, for x1 ∈ R,

x2 →−∞

## () Module 20 Properties of Distribution Function of a Random Vector 4 / 11

(c) For (x1 , x2 ) ∈ R2
 
1 1
lim FX1 ,X2 (x1 + , x2 ) = lim P X1 ≤ x1 + , X2 ≤ x2
n→∞ n n→∞ n
∞  !
\ 1
= P X1 ≤ x1 + , X2 ≤ x2
n
n=1
= P ({X1 ≤ x1 , X2 ≤ x2 })
= FX1 ,X2 (x1 , x2 ),

implying that FX1 ,X2 (·) is right continuous in first argument. Similarly
FX1 ,X2 (·) is right continuous in second argument.

## () Module 20 Properties of Distribution Function of a Random Vector 5 / 11

(d) Let −∞ < a1 < b1 < ∞ and −∞ < a2 < b2 < ∞. Then
2
X X
(−1)k FX (z) = FX (b1 , b2 ) − FX (a1 , b2 )
k=0 z∈∆k,2 ((a,b])
−FX (b1 , a2 ) + FX (a1 , a2 )
= P ({a1 < X1 ≤ b1 , a2 < X2 ≤ b2 })
≥ 0.

## () Module 20 Properties of Distribution Function of a Random Vector 6 / 11

Remark 1:
(a) Let FX (·) be the d.f. of a p-dimensional r.v. X . For h > 0 and
(a1 , a2 , . . . , ap ) ∈ Rp
FX (a1 + h, a2 , . . . , ap ) − FX (a1 , a2 , . . . , ap )
= P({X1 ≤ a1 + h, Xi ≤ ai , i = 2, . . . , p})
−P({X1 ≤ a1 , Xi ≤ ai , i = 2, . . . , p})
= P({a1 < X1 ≤ a1 + h, Xi ≤ ai , i = 2, . . . , p})
≥ 0.
It follows that the d.f. of a random vector is non-decreasing in each
argument when other arguments are kept fixed.
(b) For p = 1, condition (d) of above theorem is equivalent to
P ({a < X ≤ b}) ≥ 0, ∀ − ∞ < a < b < ∞
⇔ FX (b) ≥ FX (a) , ∀ − ∞ < a < b < ∞,
i.e., FX (·) is non-decreasing.
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Result 2:

## If a function G : R → R satisfies properties mentioned in (a)-(d) of above

result then there exists a probability space (Ω, P(Ω), P) and a r.v.
X = (X1 , . . . , Xp ) on Ω such that G (·) is the d.f. of X .

## FX (x) = P ({X ≤ x})

= PX ((−∞, x]) , x ∈ Rp

## is determined by the induced probability function PX (·). Conversely, it can

be shown that, d.f. determines the induced probability function PX (·)
uniquely. This suggests that to study the induced probability function
PX (·) it suffices to study the d.f. FX (·).

## () Module 20 Properties of Distribution Function of a Random Vector 8 / 11

Take Home Problem

Let F : R → R be given by

1, if x + 2y ≥ 1
F (x, y ) = .
0, if x + 2y < 1

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