Mathematical Description of Random Sample
In mathematical terms, given a random variable X with distribution F, a random sample of length n (where n may be any of 1,2,3,...) is a set of n independent, identically distributed (iid) random variables with distribution F.
A sample concretely represents n experiments in which the same quantity is measured. For example, if X represents the height of an individual and n individuals are measured, will be the height of the i-th individual. Note that a sample of random variables (i.e. a set of measurable functions) must not be confused with the realizations of these variables (which are the values that these random variables take, formally called random variates). In other words, is a function representing the measurement at the i-th experiment and is the value actually obtained when making the measurement.
The concept of a sample thus includes the process of how the data are obtained (that is, the random variables). This is necessary so that mathematical statements can be made about the sample and statistics computed from it, such as the sample mean and covariance.
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