In probability theory, the expected value is a generalization of the weighted average. Informally, the expected value is the arithmetic mean of a large number of independently selected outcomes of a random variable. Since it is obtained through arithmetic, the expected value sometimes may not even be included in the sample data set; it is not the value you would "expect" to get in reality.
Probability theory or probability calculus is the branch of mathematics concerned with probability. Although there are several different probability interpretations, probability theory treats the concept in a rigorous mathematical manner by expressing it through a set of axioms. Typically these axioms formalise probability in terms of a probability space, which assigns a measure taking values between 0 and 1, termed the probability measure, to a set of outcomes called the sample space. Any specified subset of the sample space is called an event.
The following outline is provided as an overview of and topical guide to statistics:
In probability theory and related fields, a stochastic or random process is a mathematical object usually defined as a sequence of random variables, where the index of the sequence has the interpretation of time. Stochastic processes are widely used as mathematical models of systems and phenomena that appear to vary in a random manner. Examples include the growth of a bacterial population, an electrical current fluctuating due to thermal noise, or the movement of a gas molecule. Stochastic processes have applications in many disciplines such as biology, chemistry, ecology, neuroscience, physics, image processing, signal processing, control theory, information theory, computer science, and telecommunications. Furthermore, seemingly random changes in financial markets have motivated the extensive use of stochastic processes in finance.
In probability theory, there exist several different notions of convergence of random variables. The convergence of sequences of random variables to some limit random variable is an important concept in probability theory, and its applications to statistics and stochastic processes. The same concepts are known in more general mathematics as stochastic convergence and they formalize the idea that a sequence of essentially random or unpredictable events can sometimes be expected to settle down into a behavior that is essentially unchanging when items far enough into the sequence are studied. The different possible notions of convergence relate to how such a behavior can be characterized: two readily understood behaviors are that the sequence eventually takes a constant value, and that values in the sequence continue to change but can be described by an unchanging probability distribution.
In mathematics, a random walk, sometimes known as a drunkard's walk, is a random process that describes a path that consists of a succession of random steps on some mathematical space.
In probability theory, a martingale is a sequence of random variables for which, at a particular time, the conditional expectation of the next value in the sequence is equal to the present value, regardless of all prior values.
Discrete mathematics is the study of mathematical structures that are fundamentally discrete rather than continuous. In contrast to real numbers that have the property of varying "smoothly", the objects studied in discrete mathematics – such as integers, graphs, and statements in logic – do not vary smoothly in this way, but have distinct, separated values. Discrete mathematics, therefore, excludes topics in "continuous mathematics" such as calculus and analysis.
In probability theory, the conditional expectation, conditional expected value, or conditional mean of a random variable is its expected value – the value it would take "on average" over an arbitrarily large number of occurrences – given that a certain set of "conditions" is known to occur. If the random variable can take on only a finite number of values, the "conditions" are that the variable can only take on a subset of those values. More formally, in the case when the random variable is defined over a discrete probability space, the "conditions" are a partition of this probability space.
Mathematical statistics is the application of probability theory, a branch of mathematics, to statistics, as opposed to techniques for collecting statistical data. Specific mathematical techniques which are used for this include mathematical analysis, linear algebra, stochastic analysis, differential equations, and measure theory.
This glossary of statistics and probability is a list of definitions of terms and concepts used in the mathematical sciences of statistics and probability, their sub-disciplines, and related fields. For additional related terms, see Glossary of mathematics and Glossary of experimental design.
In probability theory, an empirical process is a stochastic process that describes the proportion of objects in a system in a given state. For a process in a discrete state space a population continuous time Markov chain or Markov population model is a process which counts the number of objects in a given state . In mean field theory, limit theorems are considered and generalise the central limit theorem for empirical measures. Applications of the theory of empirical processes arise in non-parametric statistics.
In probability theory, Donsker's theorem, named after Monroe D. Donsker, is a functional extension of the central limit theorem.
In probability theory, a standard probability space, also called Lebesgue–Rokhlin probability space or just Lebesgue space is a probability space satisfying certain assumptions introduced by Vladimir Rokhlin in 1940. Informally, it is a probability space consisting of an interval and/or a finite or countable number of atoms.
In probability theory, regular conditional probability is a concept that formalizes the notion of conditioning on the outcome of a random variable. The resulting conditional probability distribution is a parametrized family of probability measures called a Markov kernel.
This page lists articles related to probability theory. In particular, it lists many articles corresponding to specific probability distributions. Such articles are marked here by a code of the form (X:Y), which refers to number of random variables involved and the type of the distribution. For example (2:DC) indicates a distribution with two random variables, discrete or continuous. Other codes are just abbreviations for topics. The list of codes can be found in the table of contents.
In probability theory and statistics, the Poisson distribution is a discrete probability distribution that expresses the probability of a given number of events occurring in a fixed interval of time or space if these events occur with a known constant mean rate and independently of the time since the last event. It is named after French mathematician Siméon Denis Poisson. The Poisson distribution can also be used for the number of events in other specified interval types such as distance, area, or volume. It plays an important role for discrete-stable distributions.
