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Random variable

Probability theory

Probability axioms Probability space Sample space Elementary event Event Random variable Probability measure Complementary event Joint probability Marginal probability Conditional probability Independence Conditional independence Law of total probability Law of large numbers Bayes' theorem Boole's inequality Venn diagram Tree diagram

In probability and statistics, a random variable or stochastic variable is a variable whose value is subject to variations due to chance (i.e. randomness, in a mathematical sense). As opposed to other mathematical variables, a random variable conceptually does not have a single, fixed value (even if unknown); rather, it can take on a set of possible different values, each with an associated probability. A random variable's possible values might represent the possible outcomes of a yet-to-be-performed experiment or an event that has not happened yet, or the potential values of a past experiment or event whose already-existing value is uncertain (e.g. as a result of incomplete information or imprecise measurements). They may also conceptually represent either the results of an "objectively" random process (e.g. 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 instead related to philosophical arguments over the interpretation of probability. The mathematics works the same regardless of the particular interpretation in use. Random variables can be classified as either discrete (i.e. it may assume any of a specified list of exact values) or as continuous (i.e. it may assume any numerical value in an interval or collection of intervals). The mathematical function describing the possible values of a random variable and their associated probabilities is known as a probability distribution. The realizations of a random variable, i.e. the results of randomly choosing values according to the variable's probability distribution are called random variates.

Random variable The basic concept of "random variable" in statistics is real-valued. However, one can consider arbitrary types such as boolean values, categorical variables, complex numbers, vectors, matrices, sequences, trees, sets, shapes, manifolds, functions, and processes. The term random element is used to encompass all such related concepts. An example is the stochastic process, a set of indexed random variables (typically indexed by time or space). These more general concepts are particularly useful in fields such as computer science and natural language processing where many of the basic elements of analysis are non-numerical. Such general random elements can sometimes be treated as sets of real-valued random variables often more specifically as random vectors. For example: A "random word" may be parameterized by an integer-valued index into the vocabulary of possible words; or alternatively as an indicator vector, in which exactly one element is a 1 and the others are 0, with the 1 indexing a particular word into a vocabulary. A "random sentence" may be parameterized as a vector of random words. A random graph, for a graph with V edges, may be parameterized as an NxN matrix, indicating the weight for each edge, or 0 for no edge. (If the graph has no weights, 1 indicates an edge, 0 indicates no edge.) However, reduction to numerical values is not essential for dealing with random elements: a randomly selected individual remains an individual, not a number. The formal mathematical treatment of random variables is dealt with in the subject of probability theory. In that context, random variables are defined in terms of functions defined on a probability space.

Definition

A random variable is defined on a set of possible outcomes (the sample space ) and a probability distribution that associates each outcome with a probability. A random variable represents a measurable aspect or property of the outcomes, and hence associates each outcome with a number. That is, a random variable is formally defined as a mapping (a function) from the sample space to the real numbers. In an experiment a person may be chosen at random, and one random variable may be its age, and another its number of children. Random variables are typically classified as either discrete or continuous. Discrete variables can take on either a finite or at most a countably infinite set of discrete values. Their probability distribution is given by a probability mass function which directly maps a value of the random variable to a probability. Continuous variables, however, take on values that vary continuously within one or more (possibly infinite) intervals. As a result there are an uncountably infinite number of individual outcomes, and each has a probability 0. As a result, the probability distribution for many continuous random variables is defined using a probability density function, which indicates the "density" of probability in a small neighborhood around a given value. More technically, the probability that an outcome is in a particular range is derived from the integration of the probability density function in that range. In the case where the sample space is some subset of the real numbers, both concepts can be united using a cumulative distribution function (CDF), which describes the probability that an outcome will be less than or equal to a specified value. This function is necessarily monotonically non-decreasing, with a minimum value of 0 at negative infinity and a maximum value of 1 at positive infinity. The CDF of a discrete distribution will consist mostly of flat areas along with sudden jumps at each outcome defined in the sample space, while the CDF of a continuous distribution will typically rise gradually and continuously. Distributions that are partly discrete and partly continuous can also be described this way.

Random variable

Examples

The possible outcomes for one coin toss can be described by the sample space = {heads, tails}. We can introduce a real-valued random variable Y that models a $1 payoff for a successful bet on heads as follows:

If the coin is equally likely to land on either side then Y has a probability mass function given by:

A random variable can also be used to describe the process of rolling a die and the possible outcomes. The most obvious representation is to take the set = {1, 2, 3, 4, 5, 6} as the sample space, defining the random variable X to be equal to the number rolled. In this case,

and

An example of a continuous random variable would be one based on a spinner that can choose a horizontal direction. Then the values taken by the random variable are directions. We could represent these directions by North, West, East, South, Southeast, etc. However, it is commonly more convenient to map the sample space to a random variable which takes values which are real numbers. This can be done, for example, by mapping a direction to a bearing in degrees clockwise from North. The random variable then takes values which are real numbers from the interval [0, 360), with all parts of the range being "equally likely". In this case, X = the angle spun. Any real number has probability zero of being selected, but a positive probability can be assigned to any range of values. For example, the probability of choosing a number in [0, 180] is . Instead of speaking of a probability mass function, we say that the probability density of X is 1/360. The probability of a subset of [0,360) can be calculated by multiplying the measure of the set by 1/360. In general, the probability of a set for a given continuous random variable can be calculated by integrating the density over the given set. An example of a random variable of mixed type would be based on an experiment where a coin is flipped and the spinner is spun only if the result of the coin toss is heads. If the result is tails, X = 1; otherwise X = the value of the spinner as in the preceding example. There is a probability of that this random variable will have the value 1. Other ranges of values would have half the probability of the last example.

Measure-theoretic definition

The most formal, axiomatic definition of random variables involves measure theory. Continuous random variables are defined in terms of sets of numbers, along with functions that map such sets to probabilities. Because of various difficulties (e.g. the Banach-Tarski paradox) that arise if such sets are insufficiently constrained, it is necessary to introduce what is termed a sigma-algebra to constrain the possible sets over which probabilities can be defined. Normally, a particular such sigma-algebra is used, the Borel -algebra, which allows for probabilities to be defined over any sets that can be derived either directly from continuous intervals of numbers or by a finite or countably

Random variable infinite number of unions and/or intersections of such intervals. The measure-theoretic definition is as follows. Let (, , P) be a probability space and (E, ) a measurable space. Then an (E, )-valued random variable is a function X: E which is (, )-measurable. The latter means that, for every subset B , its preimage X 1(B) where X 1(B) = {: X() B}.[1] This definition enables us to measure any subset B in the target space by looking at its preimage, which by assumption is measurable. When E is a topological space, then the most common choice for the -algebra is to take it equal to the Borel -algebra (E), which is the -algebra generated by the collection of all open sets in E. In such case the (E, )-valued random variable is called the E-valued random variable. Moreover, when space E is the real line , then such real-valued random variable is called simply the random variable.

In this case the observation space is the real numbers. Recall, observation space, the function is a real-valued random variable if generates the Borel -algebra is the probability space. For real

on the real numbers, and it suffices to check measurability on any generating set. Here we can prove measurability on this generating set by using the fact that .

If a random variable defined on the probability space is given, we can ask questions like "How likely is it that the value of is bigger than 2?". This is the same as the probability of the event

which is often written as for short. Recording all these probabilities of output ranges of a real-valued random variable X yields the probability distribution of X. The probability distribution "forgets" about the particular probability space used to define X and only records the probabilities of various values of X. Such a probability distribution can always be captured by its cumulative distribution function

and sometimes also using a probability density function. In measure-theoretic terms, we use the random variable X to "push-forward" the measure P on to a measure dF on R. The underlying probability space is a technical device used to guarantee the existence of random variables, sometimes to construct them, and to define notions such as correlation and dependence or independence based on a joint distribution of two or more random variables on the same probability space. In practice, one often disposes of the space altogether and just puts a measure on R that assigns measure 1 to the whole real line, i.e., one works with probability distributions instead of random variables.

Moments

The probability distribution of a random variable is often characterised by a small number of parameters, which also have a practical interpretation. For example, it is often enough to know what its "average value" is. This is captured by the mathematical concept of expected value of a random variable, denoted E[X], and also called the first moment. In general, E[f(X)] is not equal to f(E[X]). Once the "average value" is known, one could then ask how far from this average value the values of X typically are, a question that is answered by the variance and standard deviation of a random variable. E[X] can be viewed intuitively as an average obtained from an infinite population, the members of which are particular evaluations of X.

Random variable Mathematically, this is known as the (generalised) problem of moments: for a given class of random variables X, find a collection {fi} of functions such that the expectation values E[fi(X)] fully characterise the distribution of the random variable X. Moments can only be defined for real-valued functions of random variables. If the random variable is itself real-valued, then moments of the variable itself can be taken, which are equivalent to moments of the identity function of the random variable. However, even for non-real-valued random variables, moments can be taken of real-valued functions of those variables. For example, for a categorical random variable X that can take on the nominal values "red", "blue" or "green", the real-valued function can be constructed; this uses the Iverson bracket, and has the value 1 if X has the value "green", 0 otherwise. Then, the expected value and other moments of this function can be determined.

A new random variable Y can be defined by applying a real Borel measurable function of a real-valued random variable X. The cumulative distribution function of is to the outcomes

If function g is invertible, i.e. g1 exists, and increasing, then the previous relation can be extended to obtain

and, again with the same hypotheses of invertibility of g, assuming also differentiability, we can find the relation between the probability density functions by differentiating both sides with respect to y, in order to obtain

If there is no invertibility of g but each y admits at most a countable number of roots (i.e. a finite, or countably infinite, number of xi such that y = g(xi)) then the previous relation between the probability density functions can be generalized with

where xi = gi-1(y). The formulas for densities do not demand g to be increasing. In the measure-theoretic, axiomatic approach to probability, if we have a random variable measurable function , then will also be a random variable on to of measurable functions is also measurable. (However, this is not true if procedure that allowed one to go from a probability space distribution of . on and a Borel , since the composition

Example 1

Let X be a real-valued, continuous random variable and let Y = X2. If y < 0, then P(X2 y) = 0, so

If y 0, then

so

Random variable

Example 2

Suppose is a random variable with a cumulative distribution

where

Then,

so

Example 3

Suppose is a random variable with a standard normal distribution, whose density is

We can find the density using the above formula for a change of variables:

In this case the change is not monotonic, because every value of has two corresponding values of and negative). However, because of symmetry, both halves will transform identically, i.e.

(one positive

Then:

Random variable

There are several different senses in which random variables can be considered to be equivalent. Two random variables can be equal, equal almost surely, or equal in distribution. In increasing order of strength, the precise definition of these notions of equivalence is given below.

Equality in distribution

If the sample space is a subset of the real line a possible definition is that random variables X and Y are equal in distribution if they have the same distribution functions:

Two random variables having equal moment generating functions have the same distribution. This provides, for example, a useful method of checking equality of certain functions of i.i.d. random variables. However, the moment generating function exists only for distributions that have a defined Laplace transform.

Two random variables X and Y are equal almost surely if, and only if, the probability that they are different is zero:

For all practical purposes in probability theory, this notion of equivalence is as strong as actual equality. It is associated to the following distance:

where "ess sup" represents the essential supremum in the sense of measure theory.

Equality

Finally, the two random variables X and Y are equal if they are equal as functions on their measurable space:

Convergence

A significant theme in mathematical statistics consists of obtaining convergence results for certain sequences of random variables; for instance the law of large numbers and the central limit theorem. There are various senses in which a sequence (Xn) of random variables can converge to a random variable X. These are explained in the article on convergence of random variables.

References

Literature

Fristedt, Bert; Gray, Lawrence (1996). A modern approach to probability theory. Boston: Birkhuser. ISBN3-7643-3807-5. Kallenberg, O. (1986) Random Measures, 4th edition. Academic Press, New York, London; Akademie-Verlag, Berlin. MR0854102 ISBN 0-12-394960-2 Kallenberg, O. (2001) Foundations of Modern Probability, 2nd edition. Springer-Verlag, New York, Berlin, Heidelberg). ISBN 0-387-95313-2 Papoulis, Athanasios (1965) Probability, Random Variables, and Stochastic Processes. McGrawHill Kogakusha, Tokyo, 9th edition, ISBN 0-07-119981-0.

Random variable

External links

Hazewinkel, Michiel, ed. (2001), "Random variable" (http://www.encyclopediaofmath.org/index.php?title=p/ r077360), Encyclopedia of Mathematics, Springer, ISBN978-1-55608-010-4

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