A matrix whose entries are random variables is called random matrix.

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A random matrix is usually dealt with by studying and specifying the characteristics of the associated random vector, obtained by stacking its columns. So, for example, given a random matrixwe can study its associated vectorizationwhich is a random vector and can be dealt with using all the standard tools usually employed to deal with random vectors.

A random matrix is said to be discrete if the associated random vector is discrete and it is said to be absolutely continuous if the associated random vector is absolutely continuous.

The lecture entitled Random vectors provides more details about random matrices and their probability distributions.

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- Type I error
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- Probability density function
- Discrete random variable
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