GNU Scientific Library – Reference Manual: Random Number Distribution Introduction

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### 20.1 Introduction

Continuous random number distributions are defined by a probability density function, p(x), such that the probability of x occurring in the infinitesimal range x to x+dx is p dx.

The cumulative distribution function for the lower tail P(x) is defined by the integral, and gives the probability of a variate taking a value less than x.

The cumulative distribution function for the upper tail Q(x) is defined by the integral, and gives the probability of a variate taking a value greater than x.

The upper and lower cumulative distribution functions are related by P(x) + Q(x) = 1 and satisfy 0 <= P(x) <= 1, 0 <= Q(x) <= 1.

The inverse cumulative distributions, x=P^{-1}(P) and x=Q^{-1}(Q) give the values of x which correspond to a specific value of P or Q. They can be used to find confidence limits from probability values.

For discrete distributions the probability of sampling the integer value k is given by p(k), where \sum_k p(k) = 1. The cumulative distribution for the lower tail P(k) of a discrete distribution is defined as, where the sum is over the allowed range of the distribution less than or equal to k.

The cumulative distribution for the upper tail of a discrete distribution Q(k) is defined as giving the sum of probabilities for all values greater than k. These two definitions satisfy the identity P(k)+Q(k)=1.

If the range of the distribution is 1 to n inclusive then P(n)=1, Q(n)=0 while P(1) = p(1), Q(1)=1-p(1).