Example 3: Random Variables

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Example 3 Consider the sample space associated with the single toss of a fair die. The sample space is given
by .

If we define the random variable that associates a real number equal to the number on the face of the die,
then .
.

Probability Space Induced by a Random Variable

The random variable induces a probability measure on defined by

The probability measure satisfies the three axioms of probability:

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