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1. Can an arbitrary mapping be a Random Variable? (P(X<= x) an event and P(X= -inf) and P(X= +inf)); Borel field and Rho-Algebra. – Only functions X for which CDF can be specified are RVs.{-- Jacob} 2. What is a Complex RV? When the RV itself is a REAL function? 3. Random Element is the other name for RV

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1. RV is a function (single valued) whose domain is the sample space and whose range is the real line.

2. Random Variable: Outcome of the experiment is random; the value an RV takes is a Variable; hence the name Random Variable

3. When are two RVs said to be equivalent? ( iff P[ { w: x1(w) not equals x2(w) } ] =0)

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1. Mixed case is least important type of RV, but it occurs in some problems of Practical Interest.

E.g.; Spin a Pointer on the Wheel with numbers from 0 to 99 and denote an R.V X= 0 when pointer stops anywhere between 0 and 10 and X= 1 when pointer stops anywhere between 11 and 20 and X= the pointer value itself when stops anywhere else.

Note: Mixed RV will have a discrete but not a stair-case CDF 1. What are/can be the Sample Spaces (Continuous or Discrete) for each of the above three types of RVs? 2. These can similarly be classified based on their CDF also. 3. So, enough of this, but how do we express an RV?

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1. In fact, if you go on drawing a graph while constrained by the above three conditions in the slide, that would eventually become a valid Distribution function. 2. Additional properties? 3. P{X > x} = 1 – F(x) 4. P{x1<X< = x2} = F(x2) – F(x1) ; x2>x1 5. P{X = x} = F(x) – F(x -) – Eq 4 6. At a discontinuity point of the distribution, the left and right limits are different and so, from above Eq 4, P{X = x0} = F(x0) – F(x0 -) > 0 – Eq 5 and thus the only discontinuities can be of the jump type and occur at points x0 where Eq 5 is satisfied. These points always can be enumerated in sequence and they are at most countable in number.

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1. While the CDF introduced in the last section represents a mathematical tool to statistically describe a random variable, it is often quite cumbersome to work with CDFs. For example, we will see later in this talk that the most important and commonly used random variable, the Gaussian random variable, has a CDF that cannot be expressed in closed form. Furthermore, it can often be difficult to infer various properties of a random variable from its CDF. To help circumvent these problems, an alternative and often more convenient description known as the probability density function (PDF) is often used. 2. The probability density function (PDF) of the r.v. X evaluated at the point x is the probability that the r.v. X lies in an infinitesimal interval about the point X = x, normalized by the length of the interval.

3. Non-negativity property of the pdf follows from the monotonically increasing nature of the CDF.

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1. What can you get from a given pdf? 2. pmf because it looks like point wise and like probability, mass also is conserved.

3. Properties of pdf: 1.non negative 2.total area unity, etc.

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1. Gaussian : First used by De Moviere for modeling measurement errors and later justified by Laplace and later rigorously justified by Carl F. Gauss. Lot of other distributions (e.g., binomial and poisson) can be approximated by this.

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1. How to generate a Gaussian distribution given an uniform distribution[0,1)? – BoxMuller Method:

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1. Note that rho-squared in the Rayleigh case is not its variance.

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1. f XY(u,v) is the joint density function of RVs X and Y. 2. It is easy to show that the above f X|Y (x|Y= y) satisfies the required properties of a density function. Its indeed a valid pdf. 3. Similarly the equation for f Y|X (y|X= x)

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1. Implying that the conditional p.d.fs coincide with their unconditional p.d.fs. This makes sense, since if X and Y are independent r.vs, information about Y shouldn’t be of any help in updating our knowledge about X. 2. We can easily prove Baye’s Theorem for p.d.fs from the previous ideas discussed.

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1. f XY(u,v) is the joint density function of RVs X and Y. 2. It is easy to show that the above f X|Y (x|Y= y) satisfies the required properties of a density function. Its indeed a valid pdf. 3. Similarly the equation for f Y|X (y|X= x)

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1. For a Gaussian rv (with mean=0) X, Y = X2 is a Chi-Square rv with one degree of freedom (n = 1).

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*** For references, plz refer the last slide of Part-1 of this series. ***

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1. Consider Y = a + X. |X| << |a| ; Yn = (a+X)n = an so the nth moment doesn’t give much insight into the characterization of the randomness. SO we have to use Central Moments. 2. With central moments, the mean is subtracted from the variable before the moment is taken in order to remove the bias in the higher moments due to the mean. Note that not all random variables have finite moments and/or central moments. coefficient of skewness is negative shows that the exponential PDF is skewed to the left of its mean.

3. 4.

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