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Lectures 4 - 7 In many situations, one is interested in only some aspects of the random experiment. For example, consider the experiment of tossing unbiased coins and we are only interested in number of 'Heads' turned up. The probability space corresponding to the experiment of tossing coins is given by
and
is described by
. So our
interest is only on certain function of the sample space. But all functions defined on the sample space are not useful, in the sense that we may not be able to assign probabilities to all basic events associated with the function. So one need to restrict to certain class of functions of the sample space. This motivates us to define random variables.
is said to be a
by
Example 2.0.14
Let
. Define
as follows:
Then
is a random variable.
Let
. Define
Since
is a random variable.
Note that any map is a random variable for the probability space given in Example 2.0.14 but this is not the case with probability space given in Example 2.0.15. is a random variable imply that the basic events this imply a larger class of events associated with examine this, one need the following -field. associated are in . Does ) ? To
-field
and is denoted by
Therefore
Hence
For
Therefore
Also, for
Therefore,
where
. Thus,
be a function. Then
is a random variable on
iff
Set
Also
Hence
is a
-field. Now from (2.0.2) and Lemma 2.0.1, it follows that for all .
. i.e,
Remark 2.0.1
for all
, then
Theorem 2.0.4
Let
Then Proof.
is a
-field.
Hence For
and
Hence
implies
. Similarly from
it follows that
Remark 2.0.2 is in
The occurrence or nonoccurence of the event or not. Thus collects all such information. Hence
Example 2.0.16
Let
. Then
Theorem
2.0.5
If and
are
random
variables
on
and
then
[Here
means
] Now
Hence
for all
. Therefore
is a random variable.
For
is a random variable.
Since variable.
is their sum,
is a random
Theorem 2.0.6
(i) If (ii) If are random variables, so are is a sequence of random variables and , .
Theorem 2.0.7
Let
such that
Then
defined by
Hence
Now suppose
If
and
such that
(2.0.3)
Since that
and
is a
-field
Therefore
is a random variable.