Solved – Why is cumulative distribution function monotone non-decreasing

cumulative distribution functionmathematical-statisticsprobability

If you have a quantity ${X}$ that takes some value at random, the cumulative distribution function ${F(x)}$ gives the probability that ${X}$ is less than or equal to ${x}$, that is:
\begin{equation*}
F(x)= P(X \leq x)
\end{equation*}

${F(x)}$ is bounded below by ${0}$, and bounded above by ${1}$ (because it doesn't make sense to have a probability outside ${[0,1]}$) and that it has to be non-decreasing in ${x}$.

My question is explain why the cumulative distribution function has to be monotone non-decreasing in ${x}$?

Best Answer

Because if $x \leq y$, then if $X \leq x$, it follows that $X \leq y$. Therefore, $P(X \leq x) \leq P(X \leq y)$.

More generally, probabilities are monotone in the sense that if $A$ and $B$ are events and $A \subseteq B$, then $P(A) \leq P(B)$. This follows from writing $B$ as the disjoint union of $A$ and $B \setminus A$, whence by the probability axioms $P(B) = P(A) + P(B \setminus A) \geq P(A)$ (since $P(B \setminus A) \geq 0$).

In the case of cumulative distribution functions with $x \leq y$, take $A = \{X \leq x\}$ and $B = \{X \leq y\}$.