Meaning of Independent Identically distributed random variables

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Discussion Overview

The discussion revolves around the concept of Independent Identically Distributed (IID) random variables, focusing on the definitions and implications of independence and identical distribution. Participants explore the relationship between the probability density function (pdf), cumulative distribution function (cdf), mean, and variance in the context of IID variables.

Discussion Character

  • Conceptual clarification, Debate/contested

Main Points Raised

  • One participant expresses confusion about the meaning of identically distributed random variables, particularly whether having the same pdf and cdf implies the same mean and variance.
  • Another participant asserts that if random variables have the same pdf, they must also have the same mean and variance by definition.
  • A third participant clarifies that while the random variables in question are all normal, differing parameters mean they do not share the same distribution functions, thus they are not IID, only independent.

Areas of Agreement / Disagreement

Participants do not reach a consensus on the implications of identical distribution, with some asserting that differing parameters prevent the variables from being IID, while others discuss the definitions without agreement on the specific example provided.

Contextual Notes

The discussion highlights potential misunderstandings regarding the definitions of IID random variables and the implications of having different parameters in normal distributions. There is an assumption that the definitions of pdf and cdf are understood, but the implications for mean and variance remain contested.

dionysian
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I am a little fuzzy on the meaning of Independent Identically distributed random variables. I understand the independent part but still not 100% on the identically distributed part. I understand that identically distributed means they have the same pdf and cdf but does this mean that they have the same mean and variance?

For example if i have a sequence of random variables: N(0,1),N(2,4),N(3,5) and they are all independent are they IID?
 
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If they have the same pdf, then they by definition have the same mean and variance.
 


For example if i have a sequence of random variables: N(0,1),N(2,4),N(3,5) and they are all independent are they IID?
They are all normal, but since the parameters are different, the distribution functions are different. (Not IID, only I).
 
Last edited:


Thanks.
 

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