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You are on page 1of 12

X: a given p-dimensional r.v. defined on a probability space

(Ω, P(Ω), P) with d.f. FX (·);

= PX ((−∞, x]), x ∈ Rp ,

p

X X

P({X ∈ (a, b]}) = (−1)k FX (z).

k=0 z∈∆k,p ((a,b])

Result 1:

(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])

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,

x1 →−∞ m→∞

= lim P ({X1 ≤ −m, X2 ≤ x2 })

m→∞

∞

!

\

= P {X1 ≤ −m, X2 ≤ x2 }

m=1

= P(φ)

= 0.

Similarly, for x1 ∈ R,

x2 →−∞

(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.

(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.

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.

() Module 20 Properties of Distribution Function of a Random Vector 7 / 11

Result 2:

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 .

= PX ((−∞, x]) , x ∈ Rp

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 (·).

Take Home Problem

Let F : R → R be given by

1, if x + 2y ≥ 1

F (x, y ) = .

0, if x + 2y < 1

Abstract of Next Module

Thank you for your patience

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