Cumulative distribution function

The cumulative distribution function (abbreviated cdf) describes the probability distribution of a real-valued random variable, X, completely. For every real number x, the cdf is given by

F(x) = Pr[X<=x],

that is, the probability that X is no greater than x. The probability that X lies in the interval (a,b] is therefore F(b) - F(a) if a <= b.

Examples

As an example, suppose X is uniformly distributed on the unit interval [0,1]. Then the cdf is given by

F(x) = 0, if x < 0

F(x) = x, if 0 <= x <= 1

F(x) = 1, if x > 1

For a different example, suppose X takes only the values 0 and 1, with equal probability. Then the cdf is given by

F(x) = 0, if x < 0

F(x) = 1/2, if 0 <= x < 1

F(x) = 1, if x >= 1

Properties

Every cumulative distribution function F is monotone increasing and continuous from the right. Furthermore, we have lim_x→-∞ F(x) = 0 and lim_x→∞ F(x) = 1. Every function with these four properties is a cdf.

If X is a discrete random variable, then it attains values x₁, x₂, ... with probability p₁, p₂ etc., and the cdf of X will be discontinuous at the points x_i and constant in between.

If the cdf F of X is continuous, then X is a continuous random variable; if furthermore F is absolutely continuous, then there exists a Lebesgue-integrable function f(x) such that

F(b) - F(a) = ∫_a^b f(x) dx

for all real numbers a and b. The function f is equal to the derivative of F almost everywhere, and it is called the probability density of the distribution of X.

The Kolmogorov Smirnov Test is based on cumulative distributions and can be used to test to see whether two empirical distributions are different or whether an empirical distribution is different from an ideal distribution. The closely related Kuiper Test (pronounced in Dutch the way an Cowper might be pronounced in English) is useful whether the domain of the distribution is cyclic as in day of the week. For instance we might use Kuiper's test to see if the number of tornadoes varies during the year or if sales of a product vary by day of the week or day of the month.