Probability (statistics square one)

I put all the blame on my procrastination! It has been so long since I wanted to know what is Kalman filter and how to use it, but all the fun I had with my games hinders me to do so. To cut it short, I did some browsing on the net and found that Kalman filter is actually based on Bayesian inference, which is a statistical method. Knowing that, I was both happy and sad. I was happy because now I know one of the uses of statistics which I learned years ago when I was sitting in undergraduate school. The sad thing is I already forgot them all! So, in this post I will share what I learned about statistics, from square one. I hope you will get something from it. In most of the statistics books I glance through, they always have probability as one of the topics. So I will start with learning what it actually is. Let $x$ be the set of the possible outcomes, and $F$ is a collection of subsets of $x$. A probability on $(x, F)$ is $\mu : F\rightarrow [0, 1]$. In other words, to every set in...