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Random variables are usually denoted with upper-case letters. For example, there could be a random variable $X$. Now, because vectors are usually denoted with a bold lower-case letter (e.g. $\mathbf{z} = (z_0, \dots, z_{n})^{\mathsf{T}}$ and matrices with a bold upper-case letter (e.g. $\mathbf{Y}$), how should I denote a vector of random variables? I think $\mathbf{x} = (X_0, \dots, X_n)^\mathsf{T}$ looks a bit odd. On the other hand if I see $\mathbf{X}$ I would first think it is a matrix. What is the usual way to do this? Of course, I think it would be best to state my notation somewhere in the beginning of paper.

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The convention to specify vectors or matrices with bold letters is much more frequently upheld than the convention of upper-case letters for random variables. In the articles I usually read (econometrics, time-series regression mostly) the latter convention is not used, i.e. the random variables are usually lower-case.

Look for the influential papers in your field and try to copy their conventions. Stating the notation somewhere in the beginning is a must usually.

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