Derivative of cumulative function

In summary, the conversation is about finding the derivative of a function F(x) that represents the probability of Y being less than or equal to g(x). The formula for F(x) is derived using the density and cumulative distribution functions of Y. The final derivative is found to be F'(x) = h(g(x))g'(x), where the sign is determined by the sign of g'(x)/x.
  • #1
toltol
3
0
Hi everybody,

Can someone tell me the formula to I should use to find the derivative of the following function, with respect to x:

F(x)=Probability[Y<=g(x)]

dF(x)/dx = ??

Thank you for your help.

Toltol
 
Last edited:
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  • #2
Well, first step, let h(y) be the density function for Y, and let H(y) be the cumulative distribution function for Y. Now we have
F(x)=P(Y<=g(x))
=[tex]\int_{-\infty}^{g(x)} h(y) dy[/tex]
=H(g(x))
Now, can you differentiate that?
 
  • #3
Thank you mXSCNT.

If F(x)=P[Y<=g(x)]=H[g(x)]

Thus, the derivative is:

F'(x)=dH[g(x)]/dg(x) . dg(x)/x

The term dH[g(x)]/dg(x) is >0; Thus, the sign of F'(x) is the sign of dg(x)/x.

Am I ok?

Thank you,
Toltol
 
  • #4
H'(g(x)) g'(x) = h(g(x)) g'(x)
 
  • #5
Thank you mXSCNT.

It's OK.
 

1. What is the derivative of a cumulative function?

The derivative of a cumulative function is the rate of change of the function at a specific point. It represents the slope of the tangent line to the cumulative function at that point.

2. How is the derivative of a cumulative function calculated?

The derivative of a cumulative function can be calculated using the power rule, product rule, quotient rule, or chain rule depending on the form of the function. It involves taking the limit of the difference quotient as the change in the independent variable approaches zero.

3. What is the significance of the derivative of a cumulative function?

The derivative of a cumulative function is important because it helps us understand how the function changes over time or with respect to the independent variable. It can also be used to find maximum and minimum points of the function.

4. How does the derivative of a cumulative function relate to the original function?

The derivative of a cumulative function is related to the original function through the fundamental theorem of calculus. It states that the derivative of the cumulative function is equal to the original function at that point.

5. Can the derivative of a cumulative function be negative?

Yes, the derivative of a cumulative function can be negative. This means that the function is decreasing at that point. The sign of the derivative gives us information about the direction of change of the function.

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