H OMEWORK 1.

I) Show that the following properties of a Cumulative Distribution Function (CDF) follow from the denition of the CDF and the properties of probability: (1) (2) (3) (4) (5) F () = 0 and F (+) = 1. F is a non-decreasing function, i.e. if x1 x2 , then F (x1 ) F (x2 ). If F (x0 ) = 0, then F (x) = 0 for every x x0 . P {X > x} = 1 F (x). P ({x1 < X x2 }) = F (x2 ) F (x1 ).

Proof. Property 1: By denition, FX (a) = P (A) where A = {X a}. Then F (= +) = P (A), with A = {X +}. This event is the certain event, since A = {X +} = {X R} = S. Therefore F (= +) = P (S) = 1. Similarly, Then F (= ) = P (A), with A = {X }. This event is the impossible event, RV X is a real variable, so F (= ) = P () = 0. Proof. Property 2: This is a consequence of the fact that probability is a nondecreasingf function, i.e. if A B then P (A) P (B). Indeed, recall that if A B then the set B can be partitioned into B = A + B A , so, using the additivity property of probability, P (B) = P (A) + P B A P (A). If x1 x2 , then the corresponding events A = {X x1 } and B = {X x2 } have the property that A B. Therefore P ({X x1 }) P ({X x2 }), which by the denition of a CDF means F (x1 ) F (x2 ). Proof. Property 3: This property is related to the nondecreasing property of the CDF: going backwards, to the left, toward , the CDF can only decrease or stay constant. If F (x0 ) = 0, to the left of x0 it can only stay constant (=0) since it cannot take negative values. For x x0 the events A = {X x} and B = {X x0 } have the property that A B, therefore 0 F (x) = P ({X x}) P ({X x0 }) = F (x0 ) = 0 therefore F (x) = 0. Proof. Property 4: This is a consequence of the properties of probability of complementary events: recall that P A = 1 P (A). SetA = {X x}; then its complement (the set of all elementary events which are not in A) is A = {X > x}, i.e. {X x} + {X > x} = S = R. As above, P A = 1 P (A), but with from the denition of the CDF, P A = P ({X > x}) = 1 P ({X x}) = 1 F (x).
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Proof. Property 5: This property shows how to use the CDF to calculate the probability that RV X returns a value in a given interval [x1 , x2 ]. The CDF is dened on semi-innite intervals of the form (, x1 ] and (, x2 ]. Note that the events A = {X (, x1 ]}, B = {X (, x2 ]} and C = {X (x1 , x2 ]} are in the relationship B =A+C since A and C are disjoint and B = A C. Therefore P (B) = P (A) + P (C), or P (C) = P (B) P (A). Hence the property. II) The number xu for which the CDF F (x) has the value F (xu ) = u is called the udF is even, that is f (x) = f (x), percentile of F . Show that if the derivative f (x) = dx then (1) F (x) = 1 F (x) (2) x1u = xu . (3) Draw a sketch of the CDF and its derivative. Explain on the plot the above relations. Proof. 1) Since f (x) = dF , one can write dx
x x

F (x) =

f (s) ds, and, F (x) =

f (s) ds.

Changing the variable in the last integral to t = s, with s = t;

x x

ds = dt;

s = x t = x;

s = t = ;

and using the fact that f (t) = f (t) yields f (s) ds =

f (t)(dt) =
x

f (t) dt =
x

f (t) dt = F () F (x) = 1 F (x).

2)Using the above denition of the percentile, F (x1u ) = 1 u and F (xu ) = u. Obviously, this means that F (x1u ) = 1 F (xu ). From point 1), this implies that x1u = xu . 3) A sketch is shown below

III) Show that if X is an RV that can take values only in a nite interval, a X b, then F (x) = 1 for every x b and F (x) = 0 for every x a.

Proof. If a X b, from the denition of a CDF, F (a) = 0 and F (b) = 1. Since F is nondecreasing with values in the interval [0, 1], from x b follows that 1 = F (b) F (x) 1, therefore F (x) = 1 for any x b. A similar reasoning works for the second statement: if x a, 0 F (x) F (a) = 0.

IV) Show that if X and Y are two RVs such that X Y at every trial, then FY (a) FX (a) for every a R.

Proof. From the hypothesis, X and Y are two RVs such that X Y at every trial, i.e. for every elementary event, X() Y (). Let AX be the set of elementary events such that the observed value X() a. In set algebra notation AX = { : X() a} . Denote similarly, AY = { : Y () a}. By the denition of CDF, FX (a) = P (AX ) ; FY (a) = P (AY ) . If AY AX , then using the monotonicity property of probability, P (AY ) P (AX ), and consequently FY (a) FX (a) . Indeed, let AY . This means that Y () a, but also since X() Y () a, so also belongs to AX , AX .

V) RV X takes only positive values. Show that if the conditional probability

P ({s < X s + s1 } |{X > s}) = P ({X s1 })

for any s, s1 0, then the Cumulative Distribution Function (CDF) FX (t) = 1 ect , where c is a constant.
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Proof. Denote A = {s < X s + s1 }, B = {X > s} and C = {X s1 }; with the denition of conditional probability, the relationship can be written P (A B) = P (C) . P (B) Note also that A = B, which means that A B = A = {s < X s + s1 }, so in fact the relation is P (A) = P (C) . P (B) Denote by FX (t) the CDF of RV X. For the sake of clarity, lets rename s1 = s. Then P (A |B ) = P (A) = F (s + s) F (s); P (B) = 1 F (s); The relation becomes F (s + s) F (s) = F (s). 1 F (s) valid for any s, s 0. For a xed s, let s ds. Then F (s) F (ds) = F (0) + P (C) = F (s).

dF ds, ds 0 dF F (s + s) F (s) F (s + ds) F (s) = ds. ds Note also that F (0) = 0.(Why?) The relation then becomes 1 dF ds = 1 F (s) ds or equivalently F dF = c, where c = 1F ds This is a differential equation; integrating from s = 0: dF = c ds, 1F
F F 0

dF ds

ds
0

.
0

dF = cs; 1F

d(1 F ) = cs. 1F

so
0

d log(1 F ) = cs;

log (1 F (s)) = cs,

F (s) = 1 ecs .