**Are you an EPFL student looking for a semester project?**

Work with us on data science and visualisation projects, and deploy your project as an app on top of GraphSearch.

Lecture# Random Variables: Basics

Description

This lecture covers the basics of random variables, including the distinction between deterministic and stochastic signals, random variable mapping, probability measurement through cumulative distribution and density functions, expectation, moments, and special cases like Gaussian and Uniform random variables. It also explores relations between random variables, such as cross-correlation, covariance, uncorrelated and independent elements.

Login to watch the video

Official source

This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.

In MOOCs (4)

Related concepts (39)

Instructors (3)

Related lectures (1)

Digital Signal Processing I

Basic signal processing concepts, Fourier analysis and filters. This module can
be used as a starting point or a basic refresher in elementary DSP

Digital Signal Processing II

Adaptive signal processing, A/D and D/A. This module provides the basic
tools for adaptive filtering and a solid mathematical framework for sampling and
quantization

Digital Signal Processing III

Advanced topics: this module covers real-time audio processing (with
examples on a hardware board), image processing and communication system design.

Digital Signal Processing IV

Advanced topics: this module covers real-time audio processing (with
examples on a hardware board), image processing and communication system design.

Covariance

In probability theory and statistics, covariance is a measure of the joint variability of two random variables. If the greater values of one variable mainly correspond with the greater values of the other variable, and the same holds for the lesser values (that is, the variables tend to show similar behavior), the covariance is positive. In the opposite case, when the greater values of one variable mainly correspond to the lesser values of the other, (that is, the variables tend to show opposite behavior), the covariance is negative.

Quantile function

In probability and statistics, the quantile function outputs the value of a random variable such that its probability is less than or equal to an input probability value. Intuitively, the quantile function associates with a range at and below a probability input the likelihood that a random variable is realized in that range for some probability distribution. It is also called the percentile function (after the percentile), percent-point function or inverse cumulative distribution function (after the cumulative distribution function).

Covariance matrix

In probability theory and statistics, a covariance matrix (also known as auto-covariance matrix, dispersion matrix, variance matrix, or variance–covariance matrix) is a square matrix giving the covariance between each pair of elements of a given random vector. Any covariance matrix is symmetric and positive semi-definite and its main diagonal contains variances (i.e., the covariance of each element with itself). Intuitively, the covariance matrix generalizes the notion of variance to multiple dimensions.

Uncorrelatedness (probability theory)

In probability theory and statistics, two real-valued random variables, , , are said to be uncorrelated if their covariance, , is zero. If two variables are uncorrelated, there is no linear relationship between them. Uncorrelated random variables have a Pearson correlation coefficient, when it exists, of zero, except in the trivial case when either variable has zero variance (is a constant). In this case the correlation is undefined.

Sample mean and covariance

The sample mean (sample average) or empirical mean (empirical average), and the sample covariance or empirical covariance are statistics computed from a sample of data on one or more random variables. The sample mean is the average value (or mean value) of a sample of numbers taken from a larger population of numbers, where "population" indicates not number of people but the entirety of relevant data, whether collected or not. A sample of 40 companies' sales from the Fortune 500 might be used for convenience instead of looking at the population, all 500 companies' sales.

Probability Distributions in Environmental Studies

Explores probability distributions for random variables in air pollution and climate change studies, covering descriptive and inferential statistics.