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Singular distribution

From Wikipedia, the free encyclopedia

In probability, a singular distribution is a probability distribution concentrated on a set of Lebesgue measure zero, where the probability of each point in that set is zero.

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Transcription

Contents

Other names

These distributions are sometimes called singular continuous distributions, since their cumulative distribution functions are singular and continuous.

Properties

Such distributions are not absolutely continuous with respect to Lebesgue measure.

A singular distribution is not a discrete probability distribution because each discrete point has a zero probability. On the other hand, neither does it have a probability density function, since the Lebesgue integral of any such function would be zero.

In general, distributions can be described as a discrete distribution (with a probability mass function), an absolutely continuous distribution (with a probability density), a singular distribution (with neither), or can be decomposed into a mixture of these.

Example

An example is the Cantor distribution; its cumulative distribution function is a devil's staircase. Less curious examples appear in higher dimensions. For example, the upper and lower Fréchet–Hoeffding bounds are singular distributions in two dimensions.

See also

External links


This page was last edited on 15 June 2019, at 23:43
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