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Module 20

Properties of Distribution Function of a Random Vector

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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 ,

where PX (·) is the probability function induced by X ;

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])

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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])

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Proof:

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

= lim FX1 (m)


m→∞

= 1.

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(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,

lim FX1 ,X2 (x1 , x2 ) = 0.


x2 →−∞

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(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.

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(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.

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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 .

Remark 3: Clearly the d.f.

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 (·).

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Take Home Problem

Let F : R → R be given by

1, if x + 2y ≥ 1
F (x, y ) = .
0, if x + 2y < 1

Does F (·) defines a d.f. of some random vector?

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Abstract of Next Module

We will introduce the notion of independence of random variables.

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Thank you for your patience

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