Limit of Cumulative Distribution Function at Negative Infinity

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Theorem

Let $\struct {\Omega, \Sigma, \Pr}$ be a probability space.

Let $X$ be a random variable on $\struct {\Omega, \Sigma, \Pr}$.

Let $F_X$ be the cumulative distribution function.


Then:

$\ds \lim_{x \mathop \to -\infty} \map {F_X} x = 0$

where $\ds \lim_{x \mathop \to -\infty} \map {F_X} x$ denotes the limit at $-\infty$ of $F_X$.


Proof

From Sequential Characterisation of Limit at Minus Infinity of Real Function: Corollary, we aim to show that:

for all decreasing real sequences $\sequence {x_n}_{n \mathop \in \N}$ with $x_n \to -\infty$ we have $\map {F_X} {x_n} \to 0$

at which point we will obtain:

$\ds \lim_{x \mathop \to -\infty} \map {F_X} x = 0$

Since $\sequence {x_n}_{n \mathop \in \N}$ is decreasing, we have:

the sequence $\sequence {\hointl {-\infty} {x_n} }_{n \mathop \in \N}$ is decreasing.

From Limit of Decreasing Sequence of Unbounded Below Closed Intervals with Endpoint Tending to Negative Infinity, we have:

$\ds \bigcap_{n \mathop = 1}^\infty \hointl {-\infty} {x_n} = \O$

Let $P_X$ be the probability distribution of $X$.

From Probability Distribution is Probability Measure, we have:

$P_X$ is a finite measure.

From Measure of Limit of Decreasing Sequence of Measurable Sets, we have:

$\ds \map {P_X} \O = \lim_{n \mathop \to \infty} \map {P_X} {\hointl {-\infty} {x_n} }$

So, we obtain:

\(\ds 0\) \(=\) \(\ds \map {P_X} \O\) Probability Distribution is Probability Measure, Definition of Probability Measure
\(\ds \) \(=\) \(\ds \lim_{n \mathop \to \infty} \map {P_X} {\hointl {-\infty} {x_n} }\)
\(\ds \) \(=\) \(\ds \lim_{n \mathop \to \infty} \map {F_X} {x_n}\) Definition of Cumulative Distribution Function

Since $\sequence {x_n}_{n \mathop \in \N}$ was arbitrary, we have:

for all decreasing real sequences $\sequence {x_n}_{n \mathop \in \N}$ with $x_n \to -\infty$ we have $\map {F_X} {x_n} \to 0$.

So, from Sequential Characterisation of Limit at Minus Infinity of Real Function: Corollary, we have:

$\ds \lim_{x \mathop \to \infty} \map {F_X} x = 0$

$\blacksquare$


Sources