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Mathematics · Ch 11 — Probability Distributions

Distribution function from Probability density function

11.4.4

Distribution function from Probability density function

Both ff and FF carry the full probability information of a continuous XX, and either determines the other. Given the pdf f(x)f(x), the cdf is built by integrating piece by piece over each interval on which ff has a different formula, always starting the accumulation from −∞-\infty:

F(x)=∫−∞xf(u) du.F(x)=\int_{-\infty}^{x} f(u)\,du.

Worked technique (piecewise pdf). For a triangular pdf f(x)=x−1f(x)=x-1 on [1,2)[1,2), f(x)=−x+3f(x)=-x+3 on [2,3)[2,3), 00 elsewhere: for x<1x<1, F(x)=0F(x)=0; for 1≤x<21\le x<2, F(x)=∫1x(u−1) du=(x−1)22F(x)=\int_1^x(u-1)\,du=\tfrac{(x-1)^2}{2}; for 2≤x<32\le x<3, F(x)=12+∫2x(3−u) du=1−(3−x)22F(x)=\tfrac12+\int_2^x(3-u)\,du=1-\tfrac{(3-x)^2}{2}; for x≥3x\ge3, F(x)=1F(x)=1. The same running-integral idea applies to exponential-type densities such as f(x)=2e−2xf(x)=2e^{-2x} (x>0x>0), giving F(x)=1−e−2xF(x)=1-e^{-2x} …