While determinism was pervasive through most of the development of classical physics, it could not be maintained and uncertainty was even embraced as a central theoretical feature [79][80], as such probabilities and statistics have taken an important part among scientific modelling.
Definition 96 (Probability measure) The measure space (Definition 92), where the measure (Definition 91) has the properties
is called a probability measure. The values assigned by the measure to the subsets are called probabilities.
From the construction of probability as a measure it follows for a configuration as shown in Figure 4.8 that
which illustrates a few basic properties of probabilities which follow directly from the use of a -algebra (Definition 88) in the definition of a probability measure (Definition 96). The fact that the focus is not always on the introduction of a measure on a space, but rather on the resulting structure as a whole, warrants the following definition.
Definition 97 (Probability space) A measure space (Definition 92), where is a probability measure (Definition 96), is called a probability space.
Definition 98 (Random Variable) Given a probability space (Definition 97) and a measurable space (Definition 90) a mapping of the form
The following definition facilitates the characterization of random variables and thus eases their handling.
Definition 99 (Probability distribution function) Given a random variable (Definition 98) joining the probability space (Definition 97) and the measurable space (Definition 90), it can be used to define a mapping of the following form:
A concept closely related to the probability distribution function which allows for a local description, is given next.
Definition 100 (Probability density function) Given a probability distribution function (Definition 99) the probability density function is defined as satisfying the relation
Definition 101 (Expectation value) Given a probability space (Definition 97) and a random variable (Definition 98) the expectation value is defined by the prescription
In case a probability distribution (Definition 100) is given, the expectation value also takes the shape
Among the infinite number of conceivable probability measures a few select are provided in the following, since they have uses in Section 7.2.
Definition 102 (Uniform distribution) A probability distribution (Definition 99) on a space , which has a constant probability density function (Definition 100) is called a uniform distribution.
Definition 103 (Exponential distribution) The exponential distribution is associated to the cumulative distribution function (Definition 99).
Definition 104 (Normal distribution) A probability distribution function with a probability density function of the shape
If this is the case and furthermore and , it is commonly called standard normal distribution.
The importance of the normal distribution can be linked to the central limit theorem, which states that a series of independently distributed random variables approaches normal distribution in the limit and thus can be approximated using normal distribution.
The normal distribution can also be used to define other distributions as in the following.
Definition 105 (Lognormal distribution) A random variable , which is obtained from a normally distributed (Definition 104) variable by