Random Variable

A random variable is a measurable function from a probability space (S,S,P) into a measurable space (S^',S^') known as the state space (Doob 1996). Papoulis (1984, p. 88) gives the slightly different definition of a random variable X as a real function whose domain is the probability space S and such that:

1. The set {X<=x} is an event for any real number x.

2. The probability of the events {X=+infty} and {X=-infty} equals zero.

The abbreviation "r.v." is sometimes used to denote a random variable.

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