Independence of random variables

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The problem of representing a random variable and a random function in terms of independent variables and functions is solved. Such representations for normal distributions are well known and play an important role in solving fundamental questions of linear controllable systems [see \textit{W. Feller}, ``An introduction to probability theory and its applications. Vol. II (1966; Zbl 0138.10207) and \textit{J. Doob}, ``Stochastic processes (1953; Zbl 0053.26802)].











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