计量经济学（北京大学，陈东）01_distribution_theory.pdfVIP

Topic 1: Distribution Theory Advanced Econometrics (I) Dong Chen School of Economics, Peking University 1 Random Variables and Distribution Define a random variable, x, to be a variable whose value realizations are uncertain. We shall quantify this uncertainty by assigning some probability to likely values. For example, we may write Pr (x = xm ) = p, where p ∈ [0, 1] . (1.1) In (1.1), x is the name of the random variable., xm is the value that x may take, and p is the probability assigned. Ran