[Math] Mathematical description of a random sample

probabilityprobability theoryrandom-functions

Mathematical description of a random sample: which one is it and why?

  1. $X_1(\omega), X_2(\omega), …, X_n(\omega)$, where $X_1, …, X_n$ are different but i.i.d. random variables.

  2. $X(\omega_1), X(\omega_2), …, X(\omega_n)$, where $X$ is a (single) random variable.

Best Answer

Let's say that the result of an experiment is a n-tuple of real numbers. When we accept 1. as a model of our experiment, we have a probability space $\Omega$ and a random variable $$ X: \Omega \to \mathbb{R}^n $$ The outcome of an experiment corresponds to a $\omega \in \Omega$ and therefore to an n-tuple $(X_1(\omega), ..., X_n(\omega))$. This model allows us to ask if the elements of this n-tuple are independent and if not, what their joint distribution is.

If we accept 2. as a model, we have a probability space $\Omega$ and a tuple of random variables $$ X_i: \Omega \to \mathbb{R} $$ so that the n-tuple is a random variable of the probability space $\Omega^n$ (Cartesian product). So, in this case, the independence of the elements of the tuple is built into the model. If the elements of the tuple are supposed to be independent, it does not matter.

Note that in the first case we can set $X_i = X_j$, either strict or modulo a null set; in this case we will have a tuple of identically distributed random variables. Choice no.1 does not necessarily imply that the elements of the n-tuple are different random variables (either strictly different or modulo a null set).

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