Independently and Identically distributed random variables What does it mean for two random variables to be "identically distributed"? Does it mean that they come from the same probability distribution?
Suppose $X$ and $Y$ are iid random variables. The 'identically distributed' part means both random variables have the same distribution function (cdf). Formally this can be stated as 
$$F_X(z)=F_Y(z),$$
where $F_X(\cdot)$ and $F_Y(\cdot)$ are the marginal cdfs of $X$ and $Y$, respectively. The 'independently distributed' part means the joint cdf of $X$ and $Y$, denoted $F_{XY}(x,y)$ is simply the product of the marginal cdfs $F_X(x)$ and $F_Y(y)$, i.e. 
$$F_{XY}(x,y)=F_X(x)F_Y(y).$$