Random variable Definition and 282 Threads

In probability and statistics, a random variable, random quantity, aleatory variable, or stochastic variable is described informally as a variable whose values depend on outcomes of a random phenomenon. The formal mathematical treatment of random variables is a topic in probability theory. In that context, a random variable is understood as a measurable function defined on a probability space that maps from the sample space to the real numbers.

A random variable's possible values might represent the possible outcomes of a yet-to-be-performed experiment, or the possible outcomes of a past experiment whose already-existing value is uncertain (for example, because of imprecise measurements or quantum uncertainty). They may also conceptually represent either the results of an "objectively" random process (such as rolling a die) or the "subjective" randomness that results from incomplete knowledge of a quantity. The meaning of the probabilities assigned to the potential values of a random variable is not part of probability theory itself, but is instead related to philosophical arguments over the interpretation of probability. The mathematics works the same regardless of the particular interpretation in use.
As a function, a random variable is required to be measurable, which allows for probabilities to be assigned to sets of its potential values. It is common that the outcomes depend on some physical variables that are not predictable. For example, when tossing a fair coin, the final outcome of heads or tails depends on the uncertain physical conditions, so the outcome being observed is uncertain. The coin could get caught in a crack in the floor, but such a possibility is excluded from consideration.
The domain of a random variable is called a sample space, defined as the set of possible outcomes of a non-deterministic event. For example, in the event of a coin toss, only two possible outcomes are possible: heads or tails.
A random variable has a probability distribution, which specifies the probability of Borel subsets of its range. Random variables can be discrete, that is, taking any of a specified finite or countable list of values (having a countable range), endowed with a probability mass function that is characteristic of the random variable's probability distribution; or continuous, taking any numerical value in an interval or collection of intervals (having an uncountable range), via a probability density function that is characteristic of the random variable's probability distribution; or a mixture of both.
Two random variables with the same probability distribution can still differ in terms of their associations with, or independence from, other random variables. The realizations of a random variable, that is, the results of randomly choosing values according to the variable's probability distribution function, are called random variates.
Although the idea was originally introduced by Christiaan Huygens, the first person to think systematically in terms of random variables was Pafnuty Chebyshev.

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  1. R

    Polynomial transformation of random variable

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  2. Q

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  3. B

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  4. S

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  5. G

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  6. W

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  7. M

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  8. M

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  9. M

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  10. P

    Random variable, expected value,Variance

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  11. I

    Find Density Functions of X, Y, Z Variates

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  12. I

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  13. H

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  14. S

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  15. S

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  16. E

    Random Variable Measurability w.r.t. Sigma Fields

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  17. J

    Let X be a continuous random variable. What value of b minimizes E (|X-b|)? Giv

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  18. J

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  19. E

    Gaussian random variable joint density with discrete pdf

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  20. P

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  21. Rasalhague

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  22. M

    Expectation of a random variable

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  23. W

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  24. S

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  25. R

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  27. F

    Continuous random variable (stats)

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  28. C

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  29. R

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  30. N

    Conditional expectation of exponential random variable

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  31. N

    Conditional expectation of exponential random variable

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  32. S

    Probability function of a discrete random variable

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  33. T

    What is the cdf of the area of a square with a uniform distribution over (0, 5)?

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  34. D

    Probability - transformation of a random variable

    In an analog to digital conversion and analog waveform is sampled, quantized and coded. A quantized function is a function that assigns to each sample value x a value y from a generally finite set of predetermined values. Consider the quantized defined by g(x)=[x]+1, where [x] denotes the...
  35. D

    Probability theory - Poisson and Geometric Random Variable questions

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  36. B

    Finding E[X^2] from a given random variable with distinct probability

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  37. Q

    Finding the PDF of Y = X2 with Given E(X) and E(X2)

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  38. A

    Product of gaussian random variable with itself

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  39. H

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  40. K

    About random variable and Binomial distribution

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  41. J

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  42. mnb96

    Difference between random variable and observation

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  43. S

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  44. E

    How to get the probability from the mean of a random variable?

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  45. R

    Probability - Poisson Random Variable

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  46. mnb96

    Probability density function of transformed random variable

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  47. T

    2-Dimensional random variable probability

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  48. K

    Functions of a Random Variable

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  49. B

    X is a random variable so is |X|?

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  50. S

    What is the Probability of Y being Greater than 5 Given X Equals a Constant?

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