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Random Variable
A random variable is a function from the sample space Ω to .
Random Variable is Real-Valued with Probability One
If X:Ω is a random variable, then P(X)=1.
Since X is a function from Ω to , every ωΩ satisfies X(ω). Therefore {ωΩ:X(ω)}=Ω. Hence P(X)=P(Ω)=1 by the definition of a probability measure.
Random Variable as a Measurable Function
On a probability space (Ω,,P), a real-valued random variable is a function X:Ω such that {ωΩ:X(ω)x} for every x.
Random Variable and Binary Relation Syntax Sugar
Suppose that X:Ω is a random variable and that is a binary relation on . Then for any a we define {Xa}:={ωΩ:X(ω)a}.

Since {Xa} is an event, we can take its probability. When the meaning is clear, we use the syntactic reduction

P(Xa):=P({Xa}).
Distribution Function
The distribution function of a random variable X is the function FX:[0,1] defined by FX(x):=P(Xx).
Distribution Function Properties
If F is the distribution function of a random variable, then F is non-decreasing, right-continuous, limxF(x)=0, and limxF(x)=1.
Let F=FX. If xy, then every ω{Xx} satisfies X(ω)xy, so ω{Xy}. Thus {Xx}{Xy}, and monotonicity of probability gives F(x)=P(Xx)P(Xy)=F(y). Therefore F is non-decreasing.

For the limit at infinity, define An:={Xn}. Then AnΩ, because every real value X(ω) is at most some integer n. By continuity of probability,

limnF(n)=limnP(An)=P(Ω)=1. Since F is non-decreasing and F(x)1, integer values determine the monotone function limit at infinity gives limxF(x)=1.

For the limit at negative infinity, define Bn:={Xn}. Then Bn: the events are decreasing, and no real number is less than or equal to n for every n. By continuity of probability and probability of the impossible event,

limnF(n)=limnP(Bn)=P()=0. Since F is non-decreasing and F(x)0, this implies limxF(x)=0.

Finally, fix x and define Cn:={Xx+1n}. Then Cn{Xx}: the events are decreasing, and ω lies in every Cn exactly when X(ω)x. By continuity of probability,

limnF(x+1n)=limnP(Cn)=P(Xx)=F(x). Since F is non-decreasing, the values F(x+h) with h0+ are squeezed between F(x) and values of the form F(x+1n) with n. Hence limh0+F(x+h)=F(x), so F is right-continuous.
Probability from Distribution Function
If FX is the distribution function of X, then for a<b, P(a<Xb)=FX(b)FX(a).
Let Ea:={Xa}andEb:={Xb}. Since a<b, if ωEa, then X(ω)a<b, so ωEb. Thus EaEb.

By set difference decomposition, Eb is the disjoint union of EbEa and EbEa. Also,

EbEa={a<Xb}, because ωEbEa exactly when X(ω)b and it is not true that X(ω)a, which is the same as a<X(ω)b. Since EaEb, intersection with a superset is itself gives EaEb=Ea.

Therefore, by probability of set difference,

P(a<Xb)=P(EbEa)=P(Eb)P(EbEa)=P(Eb)P(Ea)=FX(b)FX(a).
Random Variable Function Composition
Suppose that X:ΩD is a random variable and that g:DY is a function. Then g(X) denotes the composition g(X):=gX, so g(X):ΩY is the function defined by (g(X))(ω)=g(X(ω)).

Note that when we compose a measurable real-valued function with a random variable, we obtain a new random variable.

Discrete Random Variable
A random variable X is discrete if the set of values X(Ω) is countable.
Identically Distributed Random Variables
Random variables X and Y are identically distributed if their distribution functions agree: P(Xx)=P(Yx) for every x.
Independent Random Variables
Given two random variables X,Y on the same sample space, we say that X is independent of Y and write XY iff for any A,B with P(YB)>0, the conditional probability satisfies P(XA|YB)=P(XA).
Multivariate Random Variable
Suppose that we have a finite collection of random variables Xi each with their own sample space Ωi. Then the tuple  𝐗 =(X1,Xn) is said to be a multivariate random variable and is a function from Ω1××Ωnn.
Joint Distribution Function
The joint distribution function of a random vector (X1,,Xn) is F(x1,,xn)=P(X1x1,,Xnxn).
Independent Random Variables by Events
Random variables X1,,Xn are independent if the events {X1B1},,{XnBn} are independent for every choice of Borel sets B1,,Bn.
Functions of Independent Random Variables are Independent
If X and Y are independent random variables and g,h: are Borel measurable functions, then g(X) and h(Y) are independent.
Let A,B be Borel sets. Since g and h are Borel measurable, the inverse images g1(A) and h1(B) are Borel sets.

By the definition of random variable function composition and inverse image of a composition,

{g(X)A}={Xg1(A)} and {h(Y)B}={Yh1(B)}. Because X and Y are independent random variables and g1(A), h1(B) are Borel sets, we have P({g(X)A}{h(Y)B})=P({Xg1(A)}{Yh1(B)})=P(Xg1(A))P(Yh1(B))=P(g(X)A)P(h(Y)B). Therefore g(X) and h(Y) are independent by the definition of independent random variables.

Note that above simply says that given any A,BR the events EA:=XA and EB:=YB

Independence as a Product
By independence of random variables, ABP(XAXB)=P(XA)P(XB)
Independence is Reflexive
ABBA
Follows from the previous corollary.
Independence Practice
Suppose that A,B are two events such that P(AB)=P(B)=25 and AB:
  • Determine P(A)
  • Obtain the probabilities P(AB),P(AB),P(AB)
  • Determine the conditional probability P(AB|AB)

We start by determining P(A), firstly we know that 25=P(B)=P(AB)=P(A)P(AB)=P(A)P(A)P(B)=P(A)(1P(B))=P(A)(125)=P(A)(35) therefore we deduce that P(A)=23

Collection of Independent Events
Suppose we have some collection Ai,iI of events for some index set I, then we say that this collection of events are independent if