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Lecture

Variance and Independent Random Variables

In course

CS-101: Advanced information, computation, communication I

Discrete mathematics is a discipline with applications to almost all areas of study. It provides a set of indispensable tools to computer science in particular. This course reviews (familiar) topics as diverse as mathematical reasoning, combinatorics, disc ...

Description

This lecture covers the concepts of variance, independent random variables, and their properties, such as the law of unconscious statistician, Bienaymé's formula, and the characterization of variance. It also includes examples and proofs related to Bernoulli trials and the variance of random variables.

Instructor

Karl Aberer

Karl Aberer received his PhD in mathematics in 1991 from the ETH Zürich. From 1991 to 1992 he was postdoctoral fellow at the International Computer Science Institute (ICSI) at the University of California, Berkeley. In 1992, he joined the Integrated Publication and Information Systems institute (IPSI) of GMD in Germany, where he was leading the research division Open Adaptive Information Management Systems. In 2000 he joined EPFL as full professor. Since 2005 he is the director of the Swiss National Research Center for Mobile Information and Communication Systems ( NCCR-MICS, www.mics.ch ). He is member of the editorial boards of VLDB Journal, ACM Transaction on Autonomous and Adaptive Systems and World Wide Web Journal. He has been consulting for the Swiss government in research and science policy as a member of the Swiss Research and Technology Council ( SWTR ) from 2003 - 2011.

Official source

Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

Related concepts (32)

Random variable

A random variable (also called random quantity, aleatory variable, or stochastic variable) is a mathematical formalization of a quantity or object which depends on random events. The term 'random variable' can be misleading as it is not actually random nor a variable, but rather it is a function from possible outcomes (e.g., the possible upper sides of a flipped coin such as heads and tails ) in a sample space (e.g., the set ) to a measurable space (e.g., in which 1 corresponding to and −1 corresponding to ), often to the real numbers.

Variance

In probability theory and statistics, variance is the squared deviation from the mean of a random variable. The variance is also often defined as the square of the standard deviation. Variance is a measure of dispersion, meaning it is a measure of how far a set of numbers is spread out from their average value. It is the second central moment of a distribution, and the covariance of the random variable with itself, and it is often represented by , , , , or .

Convergence of random variables

In probability theory, there exist several different notions of convergence of random variables. The convergence of sequences of random variables to some limit random variable is an important concept in probability theory, and its applications to statistics and stochastic processes. The same concepts are known in more general mathematics as stochastic convergence and they formalize the idea that a sequence of essentially random or unpredictable events can sometimes be expected to settle down into a behavior that is essentially unchanging when items far enough into the sequence are studied.

Independent and identically distributed random variables

In probability theory and statistics, a collection of random variables is independent and identically distributed if each random variable has the same probability distribution as the others and all are mutually independent. This property is usually abbreviated as i.i.d., iid, or IID. IID was first defined in statistics and finds application in different fields such as data mining and signal processing. Statistics commonly deals with random samples. A random sample can be thought of as a set of objects that are chosen randomly.

Bernoulli distribution

In probability theory and statistics, the Bernoulli distribution, named after Swiss mathematician Jacob Bernoulli, is the discrete probability distribution of a random variable which takes the value 1 with probability and the value 0 with probability . Less formally, it can be thought of as a model for the set of possible outcomes of any single experiment that asks a yes–no question. Such questions lead to outcomes that are boolean-valued: a single bit whose value is success/yes/true/one with probability p and failure/no/false/zero with probability q.

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