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Lecture

Random Vectors and Gaussian Random Vectors

In course

COM-417: Advanced probability and applications

In this course, various aspects of probability theory are considered. The first part covers the main theorems in the field (law of large numbers, central limit theorem), while the second part focuses on the theory of martingales and concentration inequalit ...

Description

This lecture covers the concept of random vectors and Gaussian random vectors, defined as F-measurable random vectors with values in Rd. It explains the properties of continuous random vectors and variables, along with the spectral theorem for symmetric and positive semi-definite functions.

Instructors (2)

Olivier Lévêque

Olivier Lévêque was born in Switzerland in 1971. He received the physics diploma from EPFL in 1995 and completed his PhD in mathematics at EPFL in 2001. Since then, he has been with the Laboratory of Information Theory at EPFL. He spent the academical year 2005-2006 at the Electrical Engineering Department of Stanford University, where he was appointed as lecturer. His research interests include stochastic analysis, random matrices, wireless communications and information theory.

Yanina Yurina Shkel

Official source

Related concepts (18)

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.

Multivariate random variable

In probability, and statistics, a multivariate random variable or random vector is a list or vector of mathematical variables each of whose value is unknown, either because the value has not yet occurred or because there is imperfect knowledge of its value. The individual variables in a random vector are grouped together because they are all part of a single mathematical system — often they represent different properties of an individual statistical unit.

Multivariate normal distribution

In probability theory and statistics, the multivariate normal distribution, multivariate Gaussian distribution, or joint normal distribution is a generalization of the one-dimensional (univariate) normal distribution to higher dimensions. One definition is that a random vector is said to be k-variate normally distributed if every linear combination of its k components has a univariate normal distribution. Its importance derives mainly from the multivariate central limit theorem.

Measurable function

In mathematics and in particular measure theory, a measurable function is a function between the underlying sets of two measurable spaces that preserves the structure of the spaces: the of any measurable set is measurable. This is in direct analogy to the definition that a continuous function between topological spaces preserves the topological structure: the preimage of any open set is open. In real analysis, measurable functions are used in the definition of the Lebesgue integral.

Measurable cardinal

In mathematics, a measurable cardinal is a certain kind of large cardinal number. In order to define the concept, one introduces a two-valued measure on a cardinal κ, or more generally on any set. For a cardinal κ, it can be described as a subdivision of all of its subsets into large and small sets such that κ itself is large, ∅ and all singletons , α ∈ κ are small, complements of small sets are large and vice versa. The intersection of fewer than κ large sets is again large.

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