All scientists will know the importance of experiment and observation and, equally, be aware that the results of some experiments depend to a degree on chance. For example, in an experiment to measure the heights of a random sample of people, we would not be in the least surprised if all the heights were found to be different; but, if the experiment were repeated often enough, we would expect to find some sort of regularity in the results. Statistics, which is the subject of the next chapter, is concerned with the analysis of real experimental data of this sort. First, however, we discuss probability. To a pure mathematician, probability is an entirely theoretical subject based on axioms. Although this axiomatic approach is important, and we discuss it briefly, an approach to probability more in keeping with its eventual applications in statistics is adopted here.

We first discuss the terminology required, with particular reference to the convenient graphical representation of experimental results as Venn diagrams. The concepts of random variables and distributions of random variables are then introduced. It is here that the connection with statistics is made; we assert that the results of many experiments are random variables and that those results have some sort of regularity, which is represented by a distribution. Precise definitions of a random variable and a distribution are then given, as are the defining equations for some important distributions. We also derive some useful quantities associated with these distributions.