Chapter 4 Distributions Lectures 13 - 17

In this chapter, we associate with random variable, a nondecreasing function called distribution function and study its properties.

Definition 4.1. (Distribution function) Let

. The function defined by

be

random

variable on

is called the distribution function of Theorem 4.0.13 (i) The distribution function has the following properties

(ii) (iii) (i) Let

is non decreasing. is right continuous. , set

Proof:

Then

Therefore

i.e.,

Hence

Using similar argument, we can prove

(ii) For (iii) We have to show that, for each

. Hence

Let

. Set

Then

and

Therefore

Theorem 4.0.14

The set discontinuity points of a distribution function and

is countable.

Proof. Let

be the distribution function of a random variable

Then

where

Set

Then

Also note that for

If

be distinct points in

. Then

Therefore

Hence

is countable. be a random variable on a probability space . For ,

Theorem 4.0.15 Let

define

Then Proof.

is a probability measure on

Also

for all

. Let

be pairwise disjoint, then

[note that

's are disjoint imply that

's are disjoint]

This completes the proof.

Definition 4.2 The probability measure

and we denote it by Note that if .

is called the distribution or law of the random variable

is the distribution function of

, then

Example 4.0.1 Consider the probability space

given by

Define

as follows. For = number of heads in .

Then

takes values from

. The distribution function of

is

The distribution function of the random variable is given by

Example 4.0.2 (Bernoulli distribution) On

, for

, define

Then

is a probability measure on

called the Bernoulli distribution. random variable.

A random variable with Bernoulli distribution is called a Bernoulli For example: Let

and define the probability measure

on

such that

Define

by

Then

Hence is a Bernoulli random variable. The distribution function corresponding to Bernoulli distribution is given by

Example 4.0.3 (Binomial distribution with parameters given by

).On

,the probability measure

Example 4.0.29

Example 4.0.30

Example 4.0.31

Example 4.0.32

Classification of Random Variables. Random variables can be classified using Distribution function Defination 4.3:

Defination 4.4:

Defination 4.5:

Defination 4.5:

A continuous random variable with pdf is said to be an absolutely continuous random variable.

Example 4.0.33: