This chapter begins with a review of elementary probability theory, conditional probability, and statistical independence. It explains the notion of a random variable and its distribution function or probability density function. It then introduces the concepts of mathematical expectation and variance and discusses several distributions often met in practice: the binomial, Gaussian, and Poisson distributions. The characteristic function of a random variable is defined and applied to the determination of the distribution of the sum of independent random variables. The central limit theorem is described but not proved.
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