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Concept
Random variable
Summary
A random variable (also called random quantity, aleatory variable, or stochastic variable) is a mathematical formalization of a quantity or object which depends on random events. The term 'random variable' can be misleading as it is not actually random nor a variable, but rather it is a function from possible outcomes (e.g., the possible upper sides of a flipped coin such as heads and tails ) in a sample space (e.g., the set ) to a measurable space (e.g., in which 1 corresponding to and −1 corresponding to ), often to the real numbers.
Informally, randomness typically represents some fundamental element of chance, such as in the roll of a dice; it may also represent uncertainty, such as measurement error. However, the interpretation of probability is philosophically complicated, and even in specific cases is not always straightforward. The purely mathematical analysis of random variables is independent of such interpretational difficulties, and can be based upon a rigorous axiomatic setup.
In the formal mathematical language of measure theory, a random variable is defined as a measurable function from a probability measure space (called the sample space) to a measurable space. This allows consideration of the pushforward measure, which is called the distribution of the random variable; the distribution is thus a probability measure on the set of all possible values of the random variable. It is possible for two random variables to have identical distributions but to differ in significant ways; for instance, they may be independent.
It is common to consider the special cases of discrete random variables and absolutely continuous random variables, corresponding to whether a random variable is valued in a discrete set (such as a finite set) or in an interval of real numbers. There are other important possibilities, especially in the theory of stochastic processes, wherein it is natural to consider random sequences or random functions. Sometimes a random variable is taken to be automatically valued in the real numbers, with more general random quantities instead being called random elements.
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Ontological neighbourhood
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Statistics
Statistics (from German: Statistik, () "description of a state, a country") is the discipline that concerns the collection, organization, analysis, interpretation, and presentation of data. In applying statistics to a scientific, industrial, or social problem, it is conventional to begin with a statistical population or a statistical model to be studied. Populations can be diverse groups of people or objects such as "all people living in a country" or "every atom composing a crystal".
Cumulative distribution function
In probability theory and statistics, the cumulative distribution function (CDF) of a real-valued random variable , or just distribution function of , evaluated at , is the probability that will take a value less than or equal to . Every probability distribution supported on the real numbers, discrete or "mixed" as well as continuous, is uniquely identified by a right-continuous monotone increasing function (a càdlàg function) satisfying and .
Probability theory
Probability theory or probability calculus is the branch of mathematics concerned with probability. Although there are several different probability interpretations, probability theory treats the concept in a rigorous mathematical manner by expressing it through a set of axioms. Typically these axioms formalise probability in terms of a probability space, which assigns a measure taking values between 0 and 1, termed the probability measure, to a set of outcomes called the sample space.