Since this chapter is not intended to be a complete and rigorous treatment of probability, we will avoid the formal theory of probability and instead present a functional description. This should be sufficient preparation to understand the concept of a pdf, which is the goal of this section. The reader who is interested in delving deeper into the subject is encouraged to read the standard textbooks on the subject, a couple of which were named above.

To an event we will assign a probability , which is also denoted ), or ``probability of event ''. The quantity must satisfy the properties given in Figure 3 to be a legitimate probability.

Figure 3: Properties of a Valid Probability.

- 2.2.1 Joint, Marginal, and Conditional Probabilities
- 2.2.2 Random Variables
- 2.2.3 Expectation Value, Variance, Functions of r.v.'s
- 2.2.4 Variance of Linear Combination
- 2.2.5 Covariance and Correlation Coefficient