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In probability theory and statistics, a collection of random variables is independent and identically distributed if each random variable has the same probability distribution as the others and all are mutually independent. This property is usually abbreviated as i. i. d.
In statistics, it is commonly assumed that observations in a sample are effectively i. i. d. The assumption (or requirement) that observations be i. i. d. tends to simplify the underlying mathematics of many statistical methods. In practical applications of statistical modeling, however, the assumption may or may not be realistic. To partially test how realistic the assumption is on a given data set, the autocorrelation can be computed, lag plots drawn or turning point test performed.
Often the i. i. d. assumption arises in the context of sequences of random variables. Then "independent and identically distributed" implies that an element in the sequence is independent of the random variables that came before it. An i. i. d. sequence does not imply that the probabilities for all elements of the sample space or event space must be the same. For example, repeated throws of loaded dice will produce a sequence that is i. i. d., despite the outcomes being biased.
Suppose that the random variables and are defined to assume values in . Let and be the cumulative distribution functions of and , respectively, and denote their joint cumulative distribution function by .
Two random variables and are identically distributed if and only if .
Two random variables and are independent if and only if .
Two random variables and are i. i. d. if they are independent and identically distributed, i.e. if and only if
The following are examples or applications of i. i. d. random variables:
- A sequence of outcomes of spins of a fair or unfair roulette wheel is i. i. d. One implication of this is that if the roulette ball lands on "red", for example, 20 times in a row, the next spin is no more or less likely to be "black" than on any other spin.
- A sequence of fair or loaded dice rolls is i. i. d.
- A sequence of fair or unfair coin flips is i. i. d.