ThmDex – An index of mathematical definitions, results, and conjectures.
Real empirical probability distribution function converges pointwise to the true distribution function
Formulation 0
Let $X_1, X_2, X_3, \ldots \in \text{Random}(\Omega \to \mathbb{R})$ each be a D3161: Random real number such that
(i) $X_1, X_2, X_3, \ldots$ is an D3358: I.I.D. random collection
Let $x \in \mathbb{R}$ be a D993: Real number.
Then \begin{equation} \lim_{N \to \infty} \frac{1}{N} \sum_{n = 1}^N I_{\{ X_n \leq x \}} \overset{a.s.}{=} \mathbb{P}(X_1 \leq x) \end{equation}
Formulation 1
Let $X_1, X_2, X_3, \ldots \in \text{Random}(\Omega \to \mathbb{R})$ each be a D3161: Random real number such that
(i) $X_1, X_2, X_3, \ldots$ is an D3358: I.I.D. random collection
(ii) $F : \mathbb{R} \to [0, 1]$ is a D205: Probability distribution function for $X_1$
Let $x \in \mathbb{R}$ be a D993: Real number.
Then \begin{equation} \mathbb{P} \left( \lim_{N \to \infty} \frac{1}{N} \sum_{n = 1}^N I_{\{ X_n \leq x \}} = F(x) \right) = 1 \end{equation}
Proofs
Proof 0
Let $X_1, X_2, X_3, \ldots \in \text{Random}(\Omega \to \mathbb{R})$ each be a D3161: Random real number such that
(i) $X_1, X_2, X_3, \ldots$ is an D3358: I.I.D. random collection
Let $x \in \mathbb{R}$ be a D993: Real number.
Since we can write $\{ X_1 \leq x \} = \{ X_1 \in (-\infty, x] \}$, this result is a special case of R5393: I.I.D. real empirical distribution measure converges to a probability for a fixed Borel set. $\square$