Chapter 4 One Random Variable

Cumulative Distribution Function

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Cumulative Distribution Function (CDF)

CDF of a random variable is a method to describe the distribution of

RVs.
CDF of a RV contains all the information required to calculate
probability for any event involving the RV.
The advantage of CDF is that it can be defined for any kind of RV
(discrete, continuous or mixed); while PMF cannot be defined for a
continuous RV.

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Cumulative Distribution Function (CDF)

Definition
The CDF of a RV X, denoted by FX (x), is defined as the probability
of the event {X ≤ x} = {ζ ∈ S|X(ζ) ≤ x} for any value of x.

For −∞ < x < ∞, the CDF FX (x) of a RV X is given as:

 P
 pX (k) X : discrete


 k≤x
FX (x) = P [X ≤ x] =

 Rx

 fX (t)dt X : continuous.
−∞

The event {X ≤ x} and its probability may vary, as x is varied, i.e.

FX (x) is a function of the variable x.

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Cumulative Distribution Function (CDF)

(a) CDF of a discrete RV X (b) CDF of a continuous RV X

(c) CDF of a mixed RV X

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Properties of CDF

(1) 0 ≤ FX (x) ≤ 1 for any x ∈ [−∞, ∞] = R

Proof: This simply follows from the fact that FX (x) is a probability
and the axioms of probability.
(2) lim FX (x) = 1
x→∞
Proof:
lim FX (x) = lim P [{X ≤ x}] = P [ lim {X ≤ x}] = P [S] = 1
x→∞ x→∞ x→∞

(3) lim FX (x) = 0

x→−∞

Proof:
lim FX (−x) = lim P [{X ≤ −x}] = P [ lim {X ≤ −x}] = P [∅] = 0
x→∞ x→∞ x→∞

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Properties of CDF

(4) For a ≤ b, FX (a) ≤ FX (b). In other words, FX (x) is monotone

non-decreasing in x.
Proof: {X ≤ b} = {X ≤ a} ∪ {a < X ≤ b}.
Since, {X ≤ a} and {a < X ≤ b} are disjoint events, therefore, by
the third axiom of probability we have,

P ({X ≤ b}) = P ({X ≤ a}) + P ({a < X ≤ b})

FX (b) = FX (a) + P (a < X ≤ b)

FX (a) ≤ FX (b) for a ≤ b

(5) If a < b, then, P (a < X ≤ b) = FX (b) − FX (a)

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Properties of CDF

(6) FX (b) = FX (b+ ), i.e., the CDF FX (x) is a right-continuous function.

(7) P (X = b) = FX (b) − FX (b− )

| {z }
jump at b

(8) P [X > b] = 1 − P [X ≤ b] = 1 − FX (b)

(a) CDF of a discrete RV X

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Cumulative Distribution Function (CDF)

Example (Two Coin Tosses)

Let X be the no. of observed heads in two tosses of a fair coin. Find the
CDF, FX (x), of X.
Solution: S = {T T, HT, T H, HH}, and SX = {0, 1, 2}. Note that
X ∼ Binomial(2, 21 ) with and its PMF is given as:

pX (x)

1
2
1
4
1
4

0 1 2
x
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Cumulative Distribution Function (CDF)

Example (Two Coin Tosses)

To find the CDF we proceed as follows:
First, note that if x < 0, then pX (x)

FX (x) = P (X ≤ x) = 0, 1
2
1
Next, if 0 ≤ x < 1, 4
1
1 4
FX (x) = P (X ≤ x) = P (X = 0) = ,
4 0 1 2
x
Next, if 1 ≤ x < 2,
1 1 3
FX (x) = P (X ≤ x) = P (X = 0) + P (X = 1) = + =
4 2 4
Next, if x ≥ 2,
FX (x) = P (X ≤ 2) = P (X = 0) + P (X = 1) + P (X = 2)
1 1 1
= + + =1
4 2 4
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Cumulative Distribution Function (CDF)

Example (Two Coin Tosses)

 1 

 4 for x = 0  0 for x<0

 

1
2 for x = 1  1 for 0≤x<1
pX (x) = 1 FX (x) = 4

 for x = 2  3
for 1≤x<2


4 
 4
0 otherwise 
1 for x≥2

pX (x) 𝐹 𝑥

1
2 1
1 3
4
4
1 𝑃 𝑋 1
4 1
4

0 1 2 𝑥
x 0 1 2 3

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Cumulative Distribution Function

Example (Two Coin Tosses)

For discrete RVs, we can also write FX (x) in terms of unit-step
function as below:
1 1 1
FX (x) = u(x) + u(x − 1) + u(x − 2)
4 2 4
where u(x) is the unit-step function given by,

0 x < 0,
u(x) =
1 x ≥ 0.

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Cumulative Distribution Function

Example
Suppose that a discrete RV has the following PMF
1 1 1 1
pX (1) = , pX (2) = , pX (3) = , pX (4) =
2 4 8 8

(a) Find and sketch FX (x) of the RV X.

(b) Find (i) P [X ≤ 1], (ii) P [1 < X ≤ 3], (iii) P [1 ≤ X ≤ 3]
Sol:
(a) First, note that if x < 1, then
FX (x) = P (X ≤ x) = 0, for x < 1.
Next, if x ≥ 4,
FX (x) = P (X ≤ x) = 1, for x ≥ 4.
Next, if 1 ≤ x < 2,
1
FX (x) = P (X ≤ x) = P (X = 1) = , for 1 ≤ x < 2.
2

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Cumulative Distribution Function

Example
Next, if 2 ≤ x < 3,
1 1 3
FX (x) = P (X ≤ x) = P (X = 1)+P (X = 2) = + = , for 2 ≤ x < 3.
2 4 4
Next, if 3 ≤ x < 4,
1 1 1 7
FX (x) = P (X ≤ x) = P (X = 1)+P (X = 2)+P (X = 3) = + + = , f
2 4 8 8


 0 x<1

 1

 1≤x<2
 2 3
FX (x) = P [X ≤ x] = 4 2≤x<3

 7

 8 3≤x<4


 1 x≥4

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 -$% $2%+2 +&", $"!2%(2%#
2
2

@^
Cumulative Distribution Function

%2 02*
2

2-"2+""2 ,$,2

Example

%%2 02*
2

2

(b)

−222/
 /' 2 "^
(i) P [X < 1] = FX (1

2 )=0 
2 2 2

(ii) P [1 < X ≤ 3] = FX (3) − FX (1) = 7/8 − 1/2 = 3/8

%%%2 02*
2

2

(iii) P [1 ≤ X ≤ 3] = P [X = 1] + FX (3) − FX (1)

2 = 1/2
 2 + 7/8 − 1/2 = 7/8


2222
222/
 /
 
 
2 2 2 2














 
 

.KJ^  
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Cumulative Distribution Function
Homework
Let X be a discrete RV with the following PMF


 0.2 for x = −2



 0.3 for x = −1

0.2 for x = 0
pX (x) =

 0.2 for x = 1



 0.1 for x = 2

0 otherwise.

Find and plot the CDF of X.

ANS: 

 0 for x < −2



 0.2 for − 2 ≤ x < −1

0.5 for −1≤x<0
FX (x) =

 0.7 for 0≤x<1



 0.9 for 1≤x<2

1 for x ≥ 2.

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Cumulative Distribution Function

Example
Let X be a discrete RV with the following CDF


 0 for x < 0

 1

 for 0≤x<1
 16
FX (x) = 2 for 1 ≤ x < 2

 3

 4 for 2 ≤ x < 3


 1 for x ≥ 3.

Find the range and PMF of X.

Sol:
SX = {0, 1, 2, 3}

pX (x) = FX (x) − FX (x− )

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Cumulative Distribution Function
Example (Cont.)
1 1
pX (0) = FX (0) − FX (0− ) = −0=
6 6
1 1 1
pX (1) = FX (1) − FX (1− ) = − =
2 6 3
3 1 1
pX (2) = FX (2) − FX (2− ) = − =
4 2 4
3 1
pX (3) = FX (3) − FX (3− ) = 1 − =
4 4
Thus,  1

 6 for x = 0




1
for x = 1
 3
1
pX (x) = 4 for x = 2

 1

 for x = 3


4
 0 otherwise.
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CDF of Continuous RVs

Relationship between CDF & PDF of a continuous RV

For a continuous RV X, we have
Zx
FX (x) = P [X ≤ x] = fX (t)dt
−∞

Thus, the PDF fX (x) can be obtained from the CDF by

differentiation:
dFX (x)
fX (x) =
dx
For a continuous RV, the CDF has no jumps, i.e., it is continuous.
We also have
Z b
P (a < X ≤ b) = FX (b) − FX (a) = fX (t)dt.
a

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CDF of Continuous RVs
Continuous Uniform Distribution
A RV X with a flat probability density function between two points a and b, so
that 
1
 b−a , a≤x≤b
fX (x) =
 0, otherwise.
is said to have a uniform distribution written as X ∼ U (a, b).

𝑓 𝑥

1
𝑏 𝑎

𝑎 𝑏 𝑥
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CDF of Continuous RVs
X ∼ U (a, b)
From the definition of CDF, FX (x) = P (X ≤ x) we get
Zx
FX (x) = fX (u)du = 0 for x < a
−∞
Zx Zx
1
FX (x) = fX (u)du = du, a ≤ x ≤ b
b−a
−∞ a
x−a
= , a≤x≤b
b−a
and
FX (x) = 1, x ≥ b
Therefore,

 0 for x < a
x−a
FX (x) = b−a for a ≤ x ≤ b

1 for x > b
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CDF of Continuous RVs

X ∼ U (a, b)
𝑓 𝑥
𝐹 𝑥

1
1
𝑏 𝑎

𝑎 𝑏 𝑥 𝑎 𝑏 𝑥

PDF and CDF of X ∼ U (a, b).

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CDF of Continuous RVs
Example (Bus Arrival Time)
Suppose that a bus arrives at a station every day between 10:00 A.M. and
10:30 A.M., at random. Let X be the arrival time; find the distribution
function of X and sketch its graph.
Sol:
The bus arrives at the station at random, between 10 and 10 12 , so if
t ≤ 10, FX (t) = P (X ≤ t) = 0. Now if t ∈ (10, 10 21 ), then
t − 10
FX (t) = P (X ≤ t) = = 2(t − 10)
10 12 − 10

If t ≥ 10 12 , then, FX (t) = P (X ≤ t) = 1. Thus,


 0 t < 10

FX (t) = 2(t − 10) 10 ≤ t < 10 12

 1 t ≥ 10 12
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 ⎨
CDF of F (t) =
Continuous RVs 2(t − 10) 10 ≤ t < 10 12
⎪
⎩
1 t ≥ 10 12 .

e graph of F is shown in Figure 4.3. 

Example (Bus Arrival Time)

F(t)
1

t
10 10.5

Cummulative Distribution Function of X

Figure 4.3 Distribution function of Example 4.9.

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CDF of Continuous RVs

The Exponential Distribution

Often used to model failure or waiting times, such as how long it
takes for something to happen, and interarrival times.
The exponential RV, with parameter λ > 0, is a non-negative RV and
has pdf as follows:

 λe−λx , x ≥ 0,
fX (x) =
 0, x < 0.

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CDF of Continuous RVs

Probability density function of X ∼ Exp(λ).

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CDF of Continuous RVs

CDF of Exponential Distribution

For X ∼ Exp(λ), where λ > 0, the CDF is given as:

FX (x) = P (X ≤ x) = 0, for x ≤ 0

and
Zx x

FX (x) = λe−λt dt = −e−λt  = 1 − e−λx , for x > 0
0
0

So, 
 1 − e−λx , x > 0,
FX (x) = P (X ≤ x) =
 0, x ≤ 0.

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CDF of Continuous RVs

CDF of X ∼ Exp(λ).

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CDF of Continuous RVs

Example
The transmission time X of messages in a communication system has an
exponential distribution:

P [X > x] = e−λx , x > 0.

Find the CDF and PDF of X.

Solution:
The CDF of X is FX (x) = P [X ≤ x] = 1 − P [X > x]

 1 − e−λx , x ≥ 0,
FX (x) = P (X ≤ x) =
 0, x < 0.

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CDF of Continuous RVs

Example
dFX (x)
As the PDF fX (x) = dx , therefore,

 λe−λx , x ≥ 0,
fX (x) =
 0, x < 0.

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CDF of Continuous RVs

Example
The lifetime in hours of a component is represented by the random
variable X whose PDF is given by fx (x) = 0.1e−0.1x for x ≥ 0 ?
(a) What is the CDF of x.
(b) What is the probability that the component will last at least 5 hours?
Solution:
(a) The CDf is
Zx Zx (
1 − e−0.1x , x ≥ 0,
−0.1u
FX (x) = fX (u)du = 0.1e du =
0, x < 0.
−∞ 0

(b) Since X is a continuous random variable, the probability that the

component will last at least 5 hours is given by
P [X ≥ 5] = P [X > 5] = 1 − P [X ≤ 5] = 1 − FX (5) = 1 − (1 − e−0.1(5) )
⇒ P [X ≥ 5] = e−0.5 = 0.6065
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CDF of Continuous RVs

Homework
The PDF of the time T it takes a bank teller to serve a customer is
defined by ( 1
6, 2 ≤ t ≤ 8,
fT (t) =
0, otherwise.
(a) What is the CDF of T ?
(b) What is the probability that a customer is served in less than 5
minutes? 
 0, t<2
t−2
ANS: (a) FT (t) = , 2 ≤ t < 8,
 6
1, t > 8.
(b) P [T < 5] = 0.5

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