[Math] The difference between “identically distributed” and having “common probability space”

probabilityprobability theory

Suppose that we have two random variables X and Y.
If we say they have a common probability space, does it mean that they are identically distributed? What is the difference between "identically distributed" and having "common probability space"?

Would you please give me an example of two random variables having the same probability space and but are not identically distributed, and another example of two random variables identically distributed and but they do not have the same probability space.

Thanks.

Best Answer

Since you asked for two specific sorts of examples, here are some small ones. First, consider a sample space consisting of two elements $a$ and $b$, with the probability measure that gives both points probability $\frac12$. Consider the following two random variables $X$ and $Y$, both defined on this sample space. $X(a)=X(b)=Y(a)=0$ and $Y(b)=5$. Then the probability distributions of $X$ and $Y$ are very different, so they are not identically distributed.

Second, consider a probability space consisting of four elements, $a,b,c,d$, each with probability $\frac14$. Let $Z$ be the random variable on this space defined by $Z(a)=Z(b)=0$ and $Z(c)=Z(d)=5$. Then this $Z$ and the $Y$ from the previous paragraph are identically distributed, but they are defined on different sample spaces.

(If you want really small examples, both sorts of examples can be built using $1$-element sample spaces, but then there's not much probability or randomness visible.)

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