Unit 4-Lecture 4: Random Variable

1 Random Variable

1.1 Definition:

• A random variable R on a probability space is a total function whose domain is the sample space.
• Notice that the name “random variable” is a misnomer, random variables are actually functions.

1.2 Indicator Random Variables

• An indicator random variable is a random variable that maps every outcome to either 0 or 1. Indicator random variables are also called Bernoulli variables.

1.3 Random Variable and Events

• Any assertion about the values of random variables defines an event.

2 Independence

Definition:

• Random variables R1 and R2 are independent iff for all x1, x2, the two events
  $$[R_1 = x_1]\ \ = \ \ [R_2 = x_2]$$
  are independent.
• Two events are independent iff their indicator variables are independent.
• Random variables $R_1, R_2,...,R_n$ are mutually independent iff for all $x_1,x_2...x_n$, the $n$ events:
  $$[R_1 = x_1],[R_2 = x_2],...,[R_n = x_n]$$
  are mutuall independent. They are k-way independent iff every subset of k of them are mutually independent.

3 Distribute Functions

Definition:

• Let $R$ be a random variable with codomain $V$. The probability density function of $R$ is a function
  $PDF_R:V \to [0,1]$ defined by:
  $$PDF_R(x) ::= \begin{cases} Pr[R=x]\quad\text{if x $\in$ range(R)}\\ 0\quad\quad\quad\quad\quad\text{if x $\notin$ range(R)} \end{cases}$$
• The cumulative distribution function is the function $CDF_R: \mathbb R \to [0,1]$ defined by:
  $$CDF_R(x) ::= Pr[R \le x]$$

Common Distributions:

• Bernoulli Distributions
• Uniform Distributions
• Binomial Distributions
  
  • general binomial density function
  • unbiased binomial distribution

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Reference

[1] Lehman E, Leighton F H, Meyer A R. Mathematics for Computer Science[J]. 2015.