Support of a random variable

The support of a random variable is the set of values that the random variable can take.

For example, if a random variable can only take two values, 0 and 1, its support, denoted by , is:

The lecture entitled Random variables explains the concept of support in more detail.

Support of a random vector

The same definition applies to random vectors. If is a random vector, its support is the set of values that it can take.

For example, if is a -dimensional vector and its entries can take any real value, then its support is:

The concept extends in the obvious manner also to random matrices.