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Random Variables - Random Process
Random Variables - Random Process
Random Variables - Random Process
Basics of Probability
Probability of an Event
The probability of an event has been defined in several ways. Two of the
most popular definitions are: i) the relative frequency definition, and ii) the
classical definition.
Def. 2.11: The relative frequency definition:
Suppose that a random experiment is repeated n times. If the event A
occurs nA times, then the probability of A, denoted by P (A), is defined as
P ( A )=lim
nA
n
nA
n
Represents the fraction of occurrence of event A in n trials.
P ( A )=
NA
N
Conditional Probability
It represents the probability of event B occurring, given that event A
has occurred.
P ( A )=
P ( B ) P ( A|B )
P( A)
P( A) 0
Bayes Theorem
Let
A 1 , A 2 , An
P ( A j B )=
P ( BA j) P ( A j )
i=1
Independent events
If
( B| A )=P ( B ) , that the occurrence of event A does not affect the occurrence
P ( AB )=P ( A ) P( B)
X ( )
to every outcome
of the
[ a1 , a2 ]
{ X x } change
as the number x
P { X x } of the
event
is denoted by
F X ( x)
x . This number
of random variable
F X ( x)=P { X x }
Defined for every
from
f X (x)
F X ( x)
is called
X .
Statistical Averages
The PDF of a random variable provides a complete statistical characterization of the
variable. However, we might be in a situation where the PDF is not available but are
able to estimate (with reasonable accuracy) certain (statistical) averages of the
random variable. Some of these averages do provide a simple and fairly adequate
(though incomplete) description of the random variable. We now define a few of
these averages and explore their significance.
The mean value (also called the expected value, mathematical
expectation or simply expectation) of random variable X is defined as
Variance
Covariance
Correlation coefficient
x t . This situation is