Definition of Random Variable (from Durrett)

In summary, the conversation discusses Durrett's formal definition of a random variable and probability spaces. An example is given of drawing three balls from a box and taking their sum as the random variable. The confusion arises with Durrett's definition involving Borel sets, as the random variable only maps to discrete points, not intervals. However, it is still considered a random variable.
  • #1
CantorSet
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Hi everyone,

I'm confused about Durrett's formal definition of a random variable, as well his formal notions of probability spaces in general. I always try to make abstract definitions concrete through simple examples, but I can't wrap my head around this one:

Durrett defines:

X is a random variable if [tex]X: \Omega \rightarrow \Re[/tex] and for every Borel set [tex]B \subset R[/tex], we have [tex]X^{-1}(B) \in F[/tex], where F is the sigma-algebra on [tex]\Omega[/tex].

Well, I tried to make this concrete with a simple example. Suppose we have a box with 100 balls labeled from 1 to 100. We draw 3 balls from this box without replacement. Let X be the sum of these three balls. We know that X is a random variable and it takes on values from 3 to 297.

To interpret this example in the context of Durrett's formal definition, I guess [tex]\Omega[/tex] is the set of all subsets of size three from 1 to 100. So [tex]\Omega = \{\{1,2,3\} , \{1,2,4\}, ...\}[/tex] The sigma-algebra F is all collections of these subsets. Then, our random variable X basically only maps the subsets of size 3 to the integers from 3 to 279. So far so good.

But the definition says for every Borel set [tex]B \subset R[/tex], which we can take as [tex] B = (0,1) [/tex], a perfectly legit Borel set, and we would have [tex]X^{-1}(B) \in F[/tex]. But the problem is the random variable X only maps to discrete points, not intervals. So based on this definition, X wouldn't be a random variable. But I know it is.

Any suggestions on where I may be interpreting things wrong here?
 
Last edited:
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  • #2
X^(-1)(B) would in this case be the empty set, which is contained in any sigma-algebra.
 

1. What is a random variable?

A random variable is a numerical quantity whose value is determined by the outcome of a random event. It can take on different values with varying probabilities.

2. How is a random variable different from a regular variable?

A random variable is different from a regular variable because its value is not predetermined or fixed. It is determined by the outcome of a random event, whereas a regular variable has a specific, defined value.

3. What is the purpose of defining a random variable?

The purpose of defining a random variable is to formalize and quantify the uncertainty associated with a random event. It allows for the analysis and prediction of outcomes based on probability distributions.

4. What are the types of random variables?

The two main types of random variables are discrete and continuous. A discrete random variable can only take on a finite or countable number of values, while a continuous random variable can take on any value within a specified range.

5. How is a random variable represented mathematically?

A random variable is typically represented by a capital letter, such as X, and its possible values are denoted by lowercase letters, such as x. The probability distribution of a random variable can be described using a probability mass function (for discrete random variables) or a probability density function (for continuous random variables).

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