Existence of Independent and Identically Distributed Sequences
theoremProbabilitythm:existence-iid-sequence-2026aLet be a probability measure on , with the Borel -algebra. Then there exist a probability space and a sequence of random variables on it that is independent and identically distributed with common distribution .
One may take , , and the restriction to of Lebesgue measure, which is a probability measure since the interval has Lebesgue measure .
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