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I have a set of observed one-dimensional independent data set: X[1...N].

What is the official name of the simple estimation of CDF function with stepwise function P(x[i]) == i / N

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  • $\begingroup$ To follow up on @Scortchi's excellent answer, there's a Wikipedia article that may help. $\endgroup$
    – Glen_b
    Aug 16, 2013 at 22:05
  • $\begingroup$ @Glen_b: add it as a link in the answer. $\endgroup$
    – naught101
    Aug 17, 2013 at 1:21
  • $\begingroup$ Minutest of minute points, but this is about terminology. I'd say step function here. The word "stepwise" has quite different associations, indicating a method of predictor selection in model fitting. Although using the word "stepwise" is unlikely to cause real confusion, "step" is the better word here. $\endgroup$
    – Nick Cox
    Aug 17, 2013 at 9:48

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It's usually called the 'empirical cumulative distribution function', typically abbreviated to 'empirical CDF', or sometimes it's called just the 'empirical distribution function'.

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