Random variable

A random variable is a variable whose values depend on outcomes of a random event.[1] Also called random quantity, aleatory variable, or stochastic variable. It is formally defined as a measurable function. It maps from the sample space to a measurable space on the probability space.[2][3]

This graph shows how random variable is a function from all possible outcomes to real values. It also shows how random variable is used for defining probability mass functions.

A random variable's possible values might represent the possible outcomes of a yet-to-be-performed experiment, or the possible outcomes of a past experiment whose already-existing value is uncertain (for example, because of imprecise measurements or quantum uncertainty).[1] They may also conceptually represent either the results of an "objectively" random process (such as rolling a die) or the "subjective" randomness that results from incomplete knowledge of a quantity. The meaning of the probabilities assigned to the potential values of a random variable is not part of probability theory itself, but is instead related to philosophical arguments over the interpretation of probability. The mathematics works the same regardless of the particular interpretation in use.

As a function, a random variable is required to be measurable, which allows for probabilities to be assigned to sets of its potential values. It is common that the outcomes depend on some physical variables that are not predictable. For example, when tossing a fair coin, the final outcome of heads or tails depends on the uncertain physical conditions, so the outcome being observed is uncertain. The coin could get caught in a crack in the floor, but such a possibility is excluded from consideration.

The domain of a random variable is called a sample space, defined as the set of possible outcomes of a non-deterministic event. For example, in the event of a coin toss, only two possible outcomes are possible: heads or tails.

A random variable has a probability distribution, which specifies the probability of Borel subsets of its range. Random variables can be discrete, that is, taking any of a specified finite or countable list of values (having a countable range), endowed with a probability mass function that is characteristic of the random variable's probability distribution; or continuous, taking any numerical value in an interval or collection of intervals (having an uncountable range), via a probability density function that is characteristic of the random variable's probability distribution; or a mixture of both.

Two random variables with the same probability distribution can still differ in terms of their associations with, or independence from, other random variables. The realization of a random variable, that is, the results of randomly choosing values according to the variable's probability distribution function, are called random variates.

Although the idea was originally introduced by Christiaan Huygens, the first person to think systematically in terms of random variables was Pafnuty Chebyshev.[2][3]

Any random variable can be described by its cumulative distribution function, which describes the probability that the random variable will be less than or equal to a certain value.

In an experiment a person may be chosen at random, and one random variable may be the person's height. Mathematically, the random variable is interpreted as a function which maps the person to the person's height. Associated with the random variable is a probability distribution that allows the computation of the probability that the height is in any subset of possible values, such as the probability that the height is between 180 and 190 cm, or the probability that the height is either less than 150 or more than 200 cm.

In examples such as these, the sample space is often suppressed, since it is mathematically hard to describe, and the possible values of the random variables are then treated as a sample space. But when two random variables are measured on the same sample space of outcomes, such as the height and number of children being computed on the same random persons, it is easier to track their relationship if it is acknowledged that both height and number of children come from the same random person, for example so that questions of whether such random variables are correlated or not can be posed.

and (if the dice are fair) has a probability mass function ƒX given by:

An example of a continuous random variable would be one based on a spinner that can choose a horizontal direction. Then the values taken by the random variable are directions. We could represent these directions by North, West, East, South, Southeast, etc. However, it is commonly more convenient to map the sample space to a random variable which takes values which are real numbers. This can be done, for example, by mapping a direction to a bearing in degrees clockwise from North. The random variable then takes values which are real numbers from the interval [0, 360), with all parts of the range being "equally likely". In this case, X = the angle spun. Any real number has probability zero of being selected, but a positive probability can be assigned to any range of values. For example, the probability of choosing a number in [0, 180] is 12. Instead of speaking of a probability mass function, we say that the probability density of X is 1/360. The probability of a subset of [0, 360) can be calculated by multiplying the measure of the set by 1/360. In general, the probability of a set for a given continuous random variable can be calculated by integrating the density over the given set.

A mixed random variable is a random variable whose cumulative distribution function is neither discrete nor everywhere-continuous.[9] It can be realized as the sum of a discrete random variable and a continuous random variable; in which case the CDF will be the weighted average of the CDFs of the component variables.[9]

An example of a random variable of mixed type would be based on an experiment where a coin is flipped and the spinner is spun only if the result of the coin toss is heads. If the result is tails, X = −1; otherwise X = the value of the spinner as in the preceding example. There is a probability of 12 that this random variable will have the value −1. Other ranges of values would have half the probabilities of the last example.

Most generally, every probability distribution on the real line is a mixture of discrete part, singular part, and an absolutely continuous part; see Lebesgue's decomposition theorem § Refinement. The discrete part is concentrated on a countable set, but this set may be dense (like the set of all rational numbers).

The most formal, axiomatic definition of a random variable involves measure theory. Continuous random variables are defined in terms of sets of numbers, along with functions that map such sets to probabilities. Because of various difficulties (e.g. the Banach–Tarski paradox) that arise if such sets are insufficiently constrained, it is necessary to introduce what is termed a sigma-algebra to constrain the possible sets over which probabilities can be defined. Normally, a particular such sigma-algebra is used, the Borel σ-algebra, which allows for probabilities to be defined over any sets that can be derived either directly from continuous intervals of numbers or by a finite or countably infinite number of unions and/or intersections of such intervals.[10]

which is the cumulative distribution function (CDF) of an exponential distribution.

This is a noncentral chi-squared distribution with one degree of freedom.

There are several different senses in which random variables can be considered to be equivalent. Two random variables can be equal, equal almost surely, or equal in distribution.

In increasing order of strength, the precise definition of these notions of equivalence is given below.

To be equal in distribution, random variables need not be defined on the same probability space. Two random variables having equal moment generating functions have the same distribution. This provides, for example, a useful method of checking equality of certain functions of . However, the moment generating function exists only for distributions that have a defined Laplace transform.

For all practical purposes in probability theory, this notion of equivalence is as strong as actual equality. It is associated to the following distance:

where "ess sup" represents the essential supremum in the sense of measure theory.

Finally, the two random variables X and Y are equal if they are equal as functions on their measurable space:

This notion is typically the least useful in probability theory because in practice and in theory, the underlying measure space of the experiment is rarely explicitly characterized or even characterizable.

A significant theme in mathematical statistics consists of obtaining convergence results for certain sequences of random variables; for instance the law of large numbers and the central limit theorem.