PROBABILITY THEORYAND STOCHASTIC PROCESSES

Unit-I

Distribution and density function

Distribution Function:
P{ X x}

The probability

{ X x}

is the probability of the event

.It is a number that depends on

FX ( x )

x; that is, it is a function of x. We call this function, denoted

distributive function of the random variable X.

, the cumulative probability

Thus,
FX ( x) P{ X x}
FX ( x )
Often
to

is called just distribution function. The argument x is any real number ranging from
.

If X is a discrete random variable, consideration of its distribution function defined above shows
FX ( x )
that
must have a stairstep form, as shown in Fig 1.3.The amplitude of a step will equal the
probability of occurrence of the value of X where the step occurs. If the values X are denoted x i,
FX ( x )
we may write

as

FX ( x) P{ X xi }u ( x xi )
i 1

Where u(.) is the unit step function. The above equation can be written as,
N

FX ( x ) P ( xi )u ( x xi )
i 1

A continuous random variable will have a continuous distribution function. Example of

continuous function shown in Fig 1.4.
Density Function:

PROBABILITY THEORYAND STOCHASTIC PROCESSES

Unit-I

f X ( x)
The probability density function, denoted by
distributive function:
f X ( x)

, is defined as the derivative of the

dFX ( x)
dx

f X ( x)
We often call

just the density function of the random variable X.

FX ( x )

A continuous random variable will have a continuous distribution function, but

may have

f X ( x)
corners(points of abrupt change), in such cases
discontinuities.

is plotted as a function with step type

For discrete random variables having a stairstep form of distribution function, the derivative of
FX ( x )
is described with the help of unit-impulse function.
The unit-impulse and unit step functions are related by,

( x)

du ( x )
dx

Or
x

u ( x)

( )d

f X ( x)
Therefore

can be represented with unit-impulse function as,

f X ( x ) P ( xi ) ( x xi )
i 1

Thus, the density function of discrete random variable exists in the sense that we use impulse
FX ( x)
function to describe the derivative of

at its stairstep points.

PROBABILITY THEORYAND STOCHASTIC PROCESSES

Unit-I

Fig 1.3: Discrete case (Distribution and density function) Fig 1.4:Continuous case.

Properties
Distribution function:
FX ( x )
The distribution function has some specific properties derived from the fact that
probability. These are

is a

FX ( ) 0
(1)
FX () 1
(2)
0 FX ( x) 1
(3)
FX ( x1 ) FX ( x2 )ifx1 x
(4)
P{x1 X x2 } FX ( x2 ) FX ( x1 )
(5)
FX ( x ) FX ( x)

(6)
Properties 1, 2, 4 and 6 may be used as tests to determine the validity of distribution function.

PROBABILITY THEORYAND STOCHASTIC PROCESSES

Density function:
The density function has some properties stated below.
f X ( x) 0allx
(1)

(2)

f X ( x )dx 1

FX ( x)
(3)

f X ( )d

P{x1 X x2 }

x2

( x )dx

x1

(4)
Properties 1 and 2 are used to check the validity of specific density functions.

Unit-I