Understanding “randomness”

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Just a clarification

Although the previous answers are right whenever you try to spot the randomness of a pseudo-random variable or its multiplication, you should be aware that while Random() is usually uniformly distributed, Random() * Random() is not.

Example

This is a uniform random distribution sample simulated through a pseudo-random variable:

Histogram of Random() 

        BarChart[BinCounts[RandomReal[{0, 1}, 50000], 0.01]]

While this is the distribution you get after multiplying two random variables:

Histogram of Random() * Random() 

        BarChart[BinCounts[Table[RandomReal[{0, 1}, 50000] * 
                                 RandomReal[{0, 1}, 50000], {50000}], 0.01]]

So, both are “random”, but their distribution is very different.

Another example

While 2 * Random() is uniformly distributed:

Histogram of 2 * Random()

        BarChart[BinCounts[2 * RandomReal[{0, 1}, 50000], 0.01]]

Random() + Random() is not!

Histogram of Random() + Random()

        BarChart[BinCounts[Table[RandomReal[{0, 1}, 50000] + 
                                 RandomReal[{0, 1}, 50000], {50000}], 0.01]]

The Central Limit Theorem

The Central Limit Theorem states that the sum of Random() tends to a normal distribution as terms increase.

With just four terms you get:

Histogram of Random() + Random() + Random() + Random()

BarChart[BinCounts[Table[RandomReal[{0, 1}, 50000] + RandomReal[{0, 1}, 50000] +
                   Table[RandomReal[{0, 1}, 50000] + RandomReal[{0, 1}, 50000],
                   {50000}],
         0.01]]

And here you can see the road from a uniform to a normal distribution by adding up 1, 2, 4, 6, 10 and 20 uniformly distributed random variables:

Histogram of different numbers of random variables added

Edit

A few credits

Thanks to Thomas Ahle for pointing out in the comments that the probability distributions shown in the last two images are known as the Irwin-Hall distribution

Thanks to Heike for her wonderful torn[] function

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