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Probability Review PDF
Probability Review PDF
YL. Chang
Fall 2015
Probability Review
August 19th, 2015
Definitions
(1) Sample space (S): the set of all possible outcomes of an experiment.
Example: rolling a die S = {1, 2, 3, 4, 5, 6}.
(2) Event (E): Any subset of the sample space S.
Example: the event that an even number appears on the roll.
Union: E F , Intersection: E F , Complement of E: E c .
(3) Probability of the event E, P (E) satisfies:
0 P (E) 1,
P (S) = 1,
If E F = , then P (E F ) = P (E) + P (F ), where is the empty set.
Hence,
P (E c ) = 1 P (E)
P () = 0
If E F 6= , P (E F ) = P (E) + P (F ) P (E F )
(4) Conditional Probability: P (E|F ) is the probability that event E occurs given that F has occurred.
P (E|F ) =
P (E F )
.
P (F )
n
X
i=1
P (E Fi ) =
n
X
P (E|Fi )P (Fi )
i=1
Suppose E has occurred and we are interested in determining which one of the Fj also occurred.
P (Fj |E) =
P (E Fj )
P (E|Fj )P (Fj )
= Pn
(Bayes formula)
P (E)
i=1 P (E|Fj )P (Fj )
(7) Random Variables: A random variable is a variable whose value is subject to variations due to chance.
Discrete random variable: can take on at most a countable number of possible values
Continuous random variable: can take on a continuum of possible values.
(8) Cumulative distribution function (cdf ): F (.) of the random variable X: for any real number
b, < b < ,
F (b) = P (X b)
Meaning: F (b) denotes the probability that the random variable X takes on a value that is less than or
equal to b.
Properties:
F (b) is non-decreasing function of b,
limb F (b) = F () = 1,
limb F (b) = F () = 0.
All probability questions about X can be answered in terms of the cdf F (.).
P (a < X b) = F (b) F (a).
(9) Probability mass function (pmf ) of X: A function that gives the probability that a discrete random
variable X is exactly equal to some value. Denote pmf p(a) = P {X = a}.
Properties: If X must assume one of the values x1 , x2 , ..., then
p(xi ) > 0, i = 1, 2, 3, ... and p(x) = 0, all other values of x.
P
i=1 p(xi ) = 1
F (x) = P (X x) =
x
X
y=
P (X = y) =
x
X
p(y).
y=
(10) Probability density function (pdf ) of X: A function that describes the relative likelihood for
continuous random variable X to take on a given value.
f (a) is a measure of how likely it is that the random variables that appear frequently in probability theory.
Properties:
R +
f (x)dx = P (X (, )) = 1
Rb
P (a X b) = a f (x)dx
Ra
P (X = a) = a f (x)dx = 0
Ra
F (a) = P (X (, a]) = f (x)dx
d
da F (a)
P (a
2
= f (a)
X a + 2 ) =
R a+ 2
a 2
f (a)
(11) Expectation: Intuitively, expectation of a r.v. is the long-run average value of repetitions of the
experiment it represents.
(a) Discrete random variable
P
E[X] = x:p(x)>0 xp(x)
P
E[g(X)] = x:p(x)>0 g(x)p(x)
(b) Continuous random variable
R +
E[X] = xf (x)dx
R +
E[g(X)] = g(x)f (x)dx
2
sd(X)
E(X)
V ar(X)
(E(X))2
Common Distributions
Bernoulli: Outcome can be classified as either a success or as a failure.
Eg: Whether or not the next vehicle contains a child
Binomial: Models the number of successes in n trials, when the trails are independent with common
success probability p.
Eg: the number of cars among the next 20 cars that have more than two bumper stickers
Geometric: Models the number of trials required until the first success, when the trails are independent
with common success probability p.
Eg: the number of cars that go by until there is a car carrying 3 people.
Poisson X poi(): Models the number of independent events that occur in a fixed amount of time
or space.
k e
for k = 0, 1, 2, ...
k!
Eg: the number of cars in the next 10 minutes containing two or more children.
P (X = k) =
Normal X N (, 2 ): Models the distribution of a process that can be thought of as the sum of a
number of component processes.
pdf:
(x)2
1
f (x) = e 22
2
Eg: the total number of people in the next 100 cars
Uniform X U (a, b): Models the outcomes are equally likely to be observed.
pdf:
(
1
if a x b
f (x) = ba
0
otherwise
cdf:
F (x) =
xa
ba
if x a
if a x b
if x > b
(
1 ex
F (x) =
0
if x 0
otherwise
if x y
if x > y
x
y
(
x
max(x, y) = x y =
y
min(x, y) = x y =
if x y
if x < y
x+ = max(x, 0)
x = max(x, 0)
1. Assume that D follows the following distribution. Please fill this table and calculate E[(23 D)] and
E[(23 D)+ ].
15
20
30
35
P[D = d]
0.2
0.3
0.2
0.3
23 D
15
20
23
23
(23 D)+
30 D
15
20
30
30
(D 30)+
E[X 25] =
(x 25)f (x)dx
40
(x 25)f (x)dx =
1
20
20
25
40
(x 25) =
20
Z
Z 40
1
(
(x 25)dx +
(x 25)dx)
20 20
25
Z 25
Z 40
1
1 1 2 25
=
(
xdx +
25dx) =
( x |20 + 25 x|40
25 )
20 20
20
2
25
1
225 75
1 1
=
(252 202 ) + 25(40 25) =
+
20 2
20
40
4
40
E[(25 X) ] =
20
1
1
(25 x)
dx =
20
20
+
25
(25 x)dx =
20
1
1
[25(25 20) x2 |25
]
20
2 20
P (X = 0) =
53
54
52
+
+ )
2!
3!
4!
5 k
3
4
5
X
e 5
5
5
5
P (X > 2) =
= e5 ( +
+
+ ...)
k!
3!
4!
5!
k=3
51
52
25
50
+
+ ) = 1 e5 (1 + 5 + )
0!
1!
2!
2
f 0 gdx
f g dx = f g
E[max(X, 7)] =
max(x, 7)7e7x dx
Z 7
max(x, 7)7e7x dx +
=
0
0
+
max(x, 7)7e7x dx
Z
= 49
e7x dx + 7
xe7x dx
1
1
1 e8x = 0.6
e8x = 0.4
8x = ln(0.4)
1
x = ln(0.4)
8
6. For X U (10, 20), find x such that F (x ) = 0.7.
x 10
= 0.7
20 10
x = 17.
F (x ) =
Z
7
1
( e7x )dx]
7