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When the number of events that can take place is becoming larger, or
the number of individual possibilities is large, this rather simple idea of
probability fails. Therefore, it has to be given a solid mathematical
definition before approaching problems with higher complexity.
When the number of events that can take place in a single situation is
large, it is impossible to consider each event individually as like in the
example of the dice thrown. Hence, the whole set of events is
summarized by introducing the concept of the random variable. It is a
variable, which can assume the values of different events in that
particular situation (or the sample space). It gives a mathematical
sense to simple events in the situation, and mathematical way of
addressing the event. More precisely, a random variable is a real
value function over the elements of the sample space. The random
variables can either be discrete or continuous. They are usually
denoted by the uppercase letters of the English alphabet.
1. f(x) 0
2. f(x) = 1
A function f(x) that is defined over the set of real numbers is called the
probability density function of the continuous random variable X, if and
only if,
2. f(x) dx = 1
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