Math 2.0

statement proposition

Limit of the cumulative distribution function at infinity

Statement

Let XX be a real random variable with cumulative distribution function FXF_X. Then lim⁡x→+∞FX(x)=1.\lim_{x \to +\infty} F_X(x) = 1.

Remarks

The proof: the events {X≤n}\{X \le n\} increase with nn and their union is Ω\Omega. So continuity from below gives FX(n)→1F_X(n) \to 1, and FXF_X is nondecreasing. In the same way, lim⁡x→−∞FX(x)=0\lim_{x \to -\infty} F_X(x) = 0, because the events {X≤−n}\{X \le -n\} decrease to ∅\varnothing. The proof uses that XX takes only real values. For a random variable with values in [−∞,+∞][-\infty, +\infty], the limit is 1−P(X=+∞)1 - P(X = +\infty).

Explanations

L1 human

For a very large xx, it is almost sure that X≤xX \le x, because XX is some real number. So the probability FX(x)F_X(x) gets as close to 11 as we like.

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Sources

  1. Web https://en.wikipedia.org/wiki/Cumulative_distribution_function, Properties