A measurable function X: Ω → ℝ. Pushes a probability measure on Ω to a distribution on ℝ (F_X(x) = P(X ≤ x)).
Random variable
Related concepts
- σ-algebra F
- Expectation E[X]
- Central limit theorem
- Lebesgue integral
- Moment generating function
- Characteristic function
- Martingale
- Shannon entropy
- Jensen's inequality (probability)
- Markov's inequality
- Chebyshev's inequality (probability)
- Hoeffding's inequality
- Klein–Nishina angular distribution as a random variable (radiation-physics)