Lecture-04: Random Variable

1 Random Variable
Definition 1.1 (Random variable). Consider a probability space (Ω, F, P). A random variable X : Ω → R
is a real-valued function from the sample space to real numbers, such that for each x ∈ R the event

A X ( x ) , {ω ∈ Ω : X (ω ) 6 x } = { X 6 x } = X −1 (−∞, x ] = X −1 ( Bx ) ∈ F.

We say that the random variable X is F-measurable.

Remark 1. Recall that the set A X ( x ) is always a subset of sample space Ω for any mapping X : Ω → R, and
A X ( x ) ∈ F is an event when X is a random variable.

Example 1.2 (Constant function). Consider a mapping X : Ω → {c} ⊆ R defined on an arbitrary prob-
ability space (Ω, F, P), such that X (ω ) = c for all outcomes ω ∈ Ω. We observe that
(
∅, x < c,
A X ( x ) = X −1 ( Bx ) =
Ω, x > c.

That is A X ( x ) ∈ F for all event spaces, and hence X is a random variable and measurable for all event
spaces.
Example 1.3 (Indicator function). For an arbitrary probability space (Ω, F, P) and an event A ∈ F,
consider the indicator function 1 A : Ω → [0, 1]. Let x ∈ R, and Bx = (−∞, x ], then it follows that

Ω, x > 1,

A X ( x ) = 1 A ( Bx ) = Ac , x ∈ [0, 1),
−1

∅, x < 0.



That is, A X ( x ) ∈ F for all x ∈ R, and hence the indicator function 1 A is a random variable.

Remark 2. Since any outcome ω ∈ Ω is random, so is the real value X (ω ).

Remark 3. Probability is defined only for events and not for random variables. The events of interest for
random variables are the upper-level sets A X ( x ) = X −1 ( Bx ) for any real x.
Remark 4. Consider a probability space (Ω, F, P) and a random variable X : Ω → R that is G measurable for
G ⊆ F. If G ⊆ H, then X is also H measurable.

1.1 Distribution function for a random variable

Definition 1.4. For an F measurable random variable X : Ω → R defined on the probability space (Ω, F, P),
we can associate a distribution function (CDF) FX : R → [0, 1] such that for all x ∈ R,

FX ( x ) , P( A X ( x )) = P({ X 6 x }) = P ◦ X −1 (−∞, x ] = P ◦ X −1 ( Bx ).

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 Example 1.5 (Constant random variable). Let X : Ω → {c} ⊆ R be a constant random variable defined
on the probability space (Ω, F, P). The distribution function is a right-continuous step function at c with
step-value unity. That is, FX ( x ) = 1[c,∞) ( x ). We observe that P({ X = c}) = 1.

Example 1.6 (Indicator random variable). For an indicator random variable 1 A : Ω → {0, 1} defined
on a probability space (Ω, F, P) and an event A ∈ F, we have

1,
 x > 1,
FX ( x ) = 1 − P( A), x ∈ [0, 1),

0, x < 0.


Lemma 1.7 (Properties of distribution function). The distribution function FX for any random variable X sat-
isfies the following properties.

1. The distribution function is monotonically non-decreasing in x ∈ R.

2. The distribution function is right-continuous at all points x ∈ R.
3. The upper limit is limx→∞ FX ( x ) = 1 and the lower limit is limx→−∞ FX ( x ) = 0.
Proof. Let X be a random variable defined on the probability space (Ω, F, P).

1. Let x1 , x2 ∈ R such that x1 6 x2 . Then for any ω ∈ A x1 , we have X (ω ) 6 x1 6 x2 , and it follows that
ω ∈ A x2 . This implies that A x1 ⊆ A x2 . The result follows from the monotonicity of the probability.
2. For any x ∈ R, consider any monotonically decreasing sequence x ∈
RN such that limn xn = x0 . It
follows that the sequence of events A xn = X −1 (−∞, xn ] ∈ F : n ∈ N , is monotonically decreasing
and hence limn∈N A xn = ∩n∈N A xn = A x0 . The right-continuity then follows from the continuity of
probability, since

FX ( x0 ) = P( A x0 ) = P( lim A xn ) = lim P( A xn ) = lim F ( xn ).

n ∈N n ∈N xn ↓ x

3. Consider a monotonically increasing sequence x ∈ RN such that limn xn = ∞, then ( A xn ∈ F : n ∈ N)

is a monotonically increasing sequence of sets and limn A xn = ∪n∈N A xn = Ω. From the continuity of
probability, it follows that

lim FX ( xn ) = lim P( A xn ) = P(lim A xn ) = P(Ω) = 1.

xn →∞ n n

Similarly, we can take a monotonically decreasing sequence x ∈ RN such that limn xn = −∞, then
( A xn ∈ F : n ∈ N) is a monotonically decreasing sequence of sets and limn A xn = ∩n∈N A xn = ∅. From
the continuity of probability, it follows that limxn →−∞ FX ( xn ) = 0.

Remark 5. If two reals x1 < x2 then FX ( x1 ) 6 FX ( x2 ) with equality if and only if P {( x1 < X 6 x2 }) = 0. This
follows from the fact that A x2 = A x1 ∪ X −1 ( x1 , x2 ].

1.2 Event space generated by a random variable

Definition 1.8 (Event space generated by a random variable). Let X : Ω → R be an F measurable ran-
dom variable defined on the probability space (Ω, F, P). The smallest event space generated by the events
A X ( x ) = X −1 ( Bx ) = X −1 (−∞, x ] for x ∈ R is called the event space generated by this random variable X,
and denoted by σ ( X ) , σ ({ A X ( x ) : x ∈ R}).

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Remark 6. The  event space generated by a random variable is the collection of the inverse of Borel sets,
i.e. σ ( X ) = X −1 ( B) : B ∈ B(R) . This follows from the fact that A X ( x ) = X −1 ( Bx ) and the inverse map

respects countable set operations such as unions, complements, and intersections. That is, if B ∈ B(R) =
σ ({ Bx : x ∈ R}), then X −1 ( B) ∈ σ ({ A X ( x ) : x ∈ R}). Similarly, if A ∈ σ( X ) = σ ({ A X ( x ) : x ∈ R}), then
A = X −1 ( B) for some B ∈ σ ({ Bx : x ∈ R}).

Example 1.9 (Constant random variable). Let X : Ω → {c} ⊆ R be a constant random variable defined
on the probability space (Ω, F, P). Then the smallest event space generated by this random variable is
σ ( X ) = {∅, Ω}.
Example 1.10 (Indicator random variable). Let 1 A be an indicator random variable defined on the
probability space (Ω, F, P) and event A ∈ F, then the smallest event space generated by this random
variable is σ ( X ) = σ ({∅, Ac , Ω}) = {∅, A, Ac , Ω}.

1.3 Discrete random variables

Definition 1.11 (Discrete random variables). If a random variable X : Ω → X ⊆ R takes countable values on
real-line, then it is called a discrete random variable. That is, the range of random variable X is countable,
and the random variable is completely specified by the probability mass function
PX ( x ) = P({ X = x }), for all x ∈ X.

Example 1.12 (Bernoulli random variable). For the probability space (Ω, F, P), the Bernoulli random
variable is a mapping X : Ω → {0, 1} and PX (1) = p. We observe that Bernoulli random variable is an
indicator for the event A , X −1 {1}, and P( A) = p. Therefore, the distribution function FX is given by

FX = (1 − p)1[0,1) + 1[1,∞) .

Lemma 1.13. Any discrete random variable is a linear combination of indicator function over a partition of the sample
space.
Proof. For a discrete random variable X : Ω → X ⊂ R on a probability space (Ω, F, P), the range X is count-
able, and we can define events Ex , {ω ∈ Ω : X (ω ) = x } ∈ F for each x ∈ X. Then the mutually disjoint
sequence of events ( Ex ∈ F : x ∈ X) partitions the sample space Ω. We can write
X (ω ) = ∑ x 1 Ex ( ω ) .
x ∈X

Definition 1.14. Any discrete random variable X : Ω → X ⊆ R defined over a probability space (Ω, F, P),
with finite range is called a simple random variable.

Example 1.15 (Simple random variables). Let X be a simple random variable, then X = ∑ x∈X x1 AX ( x)
where ( A X ( x ) = X −1 { x } ∈ F : x ∈ X) is a finite partition of the sample space Ω. Without loss of gener-
ality, we can denote X = { x1 , . . . , xn } where x1 6 . . . 6 xn . Then,

Ω,

 x > xn ,
−1
X (−∞, x ] = ∪ j=1 A xi , x ∈ [ xi , xi+1 ), i ∈ [n − 1],
i

∅,

x < x1 .


Then the smallest event space generated by the simple random variable X is {∪ x∈S A X ( x ) : S ⊆ X}.

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1.4 Continuous random variables
Definition 1.16. For a continuous random variable X, there exists density function f X : R → [0, ∞) such
that Z x
FX ( x ) = f X (u)du.
−∞

Example 1.17 (Gaussian random variable). For a probability space (Ω, F, P), Gaussian random vari-
able is a continuous random variable X : Ω → R defined by its density function

( x − µ )2
 
1
f X (x) = √ exp − , x ∈ R.
2πσ 2σ2