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Mathematics · Ch 11 — Probability Distributions

Probability density function from Probability distribution function

11.4.5

Probability density function from Probability distribution function

Working rule. If F(x)F(x) is the cdf of a continuous random variable XX, its pdf is recovered by differentiation:

f(x)=dF(x)dx=F′(x),wherever the derivative exists.f(x)=\frac{dF(x)}{dx}=F'(x),\quad\text{wherever the derivative exists.}

At the finitely many points where two pieces of FF meet and the derivative is not defined (a "corner" of FF), ff may be assigned any convenient value there without affecting any probability — since a single point never carries probability for a continuous XX (§11.4.1), the choice at that isolated point is immaterial to every computation. …