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The Empirical Cumulative Distribution Function Is Rank-Based

There is a relationship between rank-based statistics and the notion of an empirical distribuion function. The empirical cumulative distribution function can be written as

\[\hat F (t) \triangleq \frac{1}{n} \sum_{i=1}^n \mathbb{I}_{X_i \leq t}\]

Note that \(\text{rank}(x) = \sum_{i=1}^n \mathbb{I}_{X_i \leq x}\) is a rank, and thus we have

\[\hat F (x) = \frac{\text{rank}(x)}{n}\]

where we have restricted the parameter $t$ to the subset of the domain of $\hat F$ that are observed.

We can have cumulative distribution functions on things that are partially-ordered, not just subsets of the real numbers.

The real numbers are totally-ordered, but note that every total order is a partial order.

The empirical cumulative distribution function according to GCT uniformly converges to the true cumulative distribution $F$ if it exists.

This post is licensed under CC BY 4.0 by the author.

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