Advanced econometrics
Chapter 3 : Probability theory
By Lund University
All the probability theory that we need for this course
Basic probability theory, review
This section has some elementary lectures on probability theory. Most of this should be known to you. We go straight to the definition of a random variable. Behind the scenes are concepts such as experiment, sample space, outcome, and probabilities. If you are interested, you can read more here: Probability.
Random variable
Distribution functions
Standard normal
Expected value of a discrete random variable
Expected value of a continuous random variable
The variance of a random variable
The expected value and variance of a linear function of a random variable
The normal distribution
Covariance, correlation and independence (intro)
Conditional expectation and conditional variance, introduction
Sample as a sequence of random variables
Random vectors
To do: Random vector, EV of RV, Variance of RV, EV and Variance of linear functions, vectors of conditional expectations.