Here's an example - throwing two coins
- Set (some people call sample space) $S = \{ HH, HT, TH, TT\}$
- A measure $\mu$ assigns a (non-negative) real number to every ("measurable" - in this case you can ignore this adjective) subset of your set. Morally, this corresponds to the 'probability' of that subset happening.
- For example (if the two coins are fair), $\mu(X) = 1$, $\mu(\{HH\}) = 1/4$, $\mu(\{HH, HT\}) = 1/2$ etc.
- A random variable is a (measurable) function $X: S \rightarrow \mathbb{R}$. An example of a random variable is "How many H's did you get". So $X(HH) = 2, X(HT) = 1, X…