The Cumulative Distribution Function for a Random Variable \

Each continuous random variable \ has an associated probability density function (pdf)
0 B. It records the probabilities associated with \ as areas under its graph. More
precisely,
the probability that a value of \ is between + and , T + \ , '+ 0 B .B.
For example,
$
T " \ $
'" 0 B .B
_
T $ \ T $ \ _ '$ 0 B .B
"
T \ " T _ \ " '_ 0 B .B
,

i) Since probabilities are always between ! and ", it must be that 0 B !

,
(so that '+ 0 B .B can never give a negative probability), and
ii) Since a certain event has probability ",
_
T _ \ _ " '_ 0 B .B total area under the graph of 0 B
The properties i) and ii) are necessary for a function 0 B to be the pdf for some random
variable \
We can also use property ii) in computations: since
_
$
_
'_
0 B .B '_ 0 B '$ 0 B .B "
$
_
T \ $ '_ 0 B .B " '$ 0 B .B " T \ $

The pdf is discussed in the textbook.

There is another function, the cumulative distribution function (cdf) which records the
same probabilities associated with \ , but in a different way. The cdf J B is defined by
J B T \ B.
J B gives the accumulated probability up to B. We can see immediately how the
pdf and cdf are related:
J B T \ B '_ 0 > .> (since B is used as a variable in the
upper limit of integration, we use some
other variable, say >, in the integrand)
B

Notice that J B ! (since it's a probability), and that

a) lim J B lim '_ 0 > .> '_ 0 > .> " and
B_
B_
B
_
b) lim J B lim ' 0 > .> ' 0 > .> !, and that
B

B_

B_ _

c) J w B 0 B (by the Fundamental Theorem of Calculus)

Item c) states the connection between the cdf and pdf in another way:
the cdf J B is an antiderivative of the pdf 0 B (the particular antiderivative
where the constant of integration is chosen to make the limit in a) true)
and therefore
T + \ , '+ 0 B .B J Bl,+ J , J + T \ , T \ +
,

________________________________________________________________________
Example: Suppose \ has an exponential density function. As discussed in class,
0 B

!
-/-B

B!
(where - ."
B!

If B !, '_ 0 > .> '! 0 > .> '! -/-> .> /-> lB! " /-B , so
B

J B

!
" /-B

B!
B!

If \ has mean . $, say, then -

"
.

"$ .

If we want to know T \ %, we can either compute

%
%
'_
0 B .B '_ " /"$ B .B !($'%!$, or (now that we have the formula for J B
$

we can simply compute J $ " /"$% " /%$ !($'%!$

(The graphs of 0 B and J B are shown on the last page before exercises. In the figure,
notice the values of lim J B and lim J B
B_

B_

________________________________________________________________________
Example: If \ is a normal random variable with mean . ! and standard deviation
#
#
B
5 " then its pdf is 0 B "#1 /B # , and its cdf J B "#1 '_ /> # .>.
#

Because there is no elementary antiderivative for /> # , its not possible to find an
#
B
elementary formula for J B. However, for any B, the value of "#1 '_ /> # .> can
be estimated, so that a graph of J B can be drawn. (See figure on the last page before
exercises.)

Example: More generally, probability calculations involving a normal random variable

\ are computationally difficult because again there's no elementary formula for the
cumulative distribution function J B that is, an antiderivative for the probability
den=ity function
0 B

"
5 #1

/B. #5

Therefore it's not possible to find an exact value for

T + \ , '+

"
5 #1

/B. #5 .B J , J +

Suppose \ is a normal random variable with mean . "* and standard deviation
5 "(. If we want to find T $ \ #, we need to estimate
"
"(#1

'2 /B"*# #"(# .B J # J $

3

This can be done with Simpson's Rule. However, such calculations are so important that
the TI83-Plus Calculator has a built in way to make the estimate:
Punch keys 28. HMWX V
Choose item 2 on the menu: normalcdf
On the screen you see
normalcdf
Fill in
normalcdf $ # "* "(
and the TI-83 gives the approximate value of the integral above: !&#"480
The general syntax for the
command is
If you enter only
then the TI-83 assumes . ! 5 "
as the default values

normalcdf (lowerlimit,upperlimit,. 5 )
normalcdf lowerlimit,upperlimit

Note that using the values for . 5 example given above:

T . 5 \ . 5
T . #5 \ . # 5
T . $5 \ . $ 5

normalcdf # $' "* "( !')#(

normalcdf "& &$ "* "( !*&%&
normalcdf $# ( "* "( !**($

In fact (as may have been mentioned in class) these probabilities come out the same for
any normal random variable, no matter what the values of . and 5 : for example, the
probability that any normal random variable takes on a value between one standard
deviation of its mean is 0.6827

Exercises:
1. A certain uniform random variable \ has pdf 0 B

"& # B (
!
otherwise.

a) What is T ! \ $?

b) Write the formula for its cdf J B

c) What is J $ J ! ?

2. A certain kind of random variable as density function 0 B

"
1 " B# .

a) What is T \ "?

b) Write the formula for its cdf J B

c) Write a formula using J B that gives the answer to part a). Check that it
agrees with your numerical answer in a).