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Probability Space
A probability space is a measure space (Ω,,P) such that P(Ω)=1.
Event
Suppose that (Ω,,P) is a probability space. An event is an element of .
Random Variable
Suppose that (Ω,,P) is a probability space. A random variable is a measurable function X:Ω.
Distribution of a Random Variable
Suppose that X:Ω is a random variable. The distribution of X is the probability measure μX on defined by μX(B):=P(X1(B)) for every Borel set B.
Expectation as an Integral
Suppose that X is a random variable on (Ω,,P). If the integral is defined, the expected value of X is E(X):=ΩXdP.
Independence of Events
Events A and B are independent if P(AB)=P(A)P(B).
Independence of Random Variables
Random variables X1,,Xn are independent if for all Borel sets B1,,Bn, P(X1B1,,XnBn)=k=1nP(XkBk).
Monotone Convergence Theorem for Expectations
Suppose that 0X1X2 are random variables and X(ω)=limnXn(ω). Then E(X)=limnE(Xn).
Dominated Convergence Theorem for Expectations
Suppose that X1,X2, are random variables that converge pointwise to X, and suppose that |Xn|Y for every n, where E(Y)<. Then E(X)=limnE(Xn).
Weak Law of Large Numbers
Suppose that X1,X2, are independent identically distributed random variables with finite expected value μ. Then 1nk=1nXkμ in probability.
Strong Law of Large Numbers
Suppose that X1,X2, are independent identically distributed random variables with finite expected value μ. Then 1nk=1nXkμ almost surely.