Probability

Books:

• Groundwork of mathematical probability and statistics-A Gupta

• A first course in Probability-S Ross
• Mathematical statistics with applications-Miller & Miller
• Introduction to probability and statistics- Rohatgi & Saleh
• Fundamentals of Probability- Ghahramani
• An introduction to probability theory and its application- W. Feller
• Introduction to the theory of statistics- Mood, Graybill, Boes

Random Experiment:

An experiment 𝐸 is called random if

• all possible outcomes of the experiment are known in advance,

• it is impossible to predict the outcome of a particular performance of E,
• E can be repeated under identical conditions infinitely many times.

E.g., Tossing of a fair coin, Rolling of a fair die are the random experiments.

Sample Space:

The set of all possible outcomes of a random experiment is called sample space and is usually
denoted by 𝑆.

Each outcome in a sample space is called sample point.

E.g.,

I. The sample space for the possible outcomes of one toss of a coin is 𝑆 = {𝐻, 𝑇}.
II. The sample space for a random experiment in which a pair of dice are rolled is 𝑆 =
{(𝑥, 𝑦)|𝑥 = 1,2, … ,6, 𝑦 = 1,2, … ,6}.
III. The sample space for an experiment in which a coin is flipped until a head appears for
the first time consists of the sample points 𝐻, 𝑇𝐻, 𝑇𝑇𝐻, 𝑇𝑇𝑇𝐻, … Here the sample
space contains countably infinite number of points.
IV. The sample space for the length of the life of a certain electronic component is 𝑆 =
{𝑡|𝑡 ≥ 0}.

Event:

An event is a subset of a sample space.

E.g.

• In example II, a possible event would be constructed as 𝐴=

{{(𝑥, 𝑦)|𝑥 + 𝑦 = 9, 𝑥 = 1,2, … ,6, 𝑦 = 1,2, … ,6}.
 • In example IV, the subset 𝐹 = {𝑡|0 ≤ 𝑡 < 6} is an event that the component breaks
down before the end of six years.

Note: An event will always be a subset of the sample space, but for sufficiently large sample
spaces not all subsets will be events. If the sample space consists of only a finite number of
points, then every subset of 𝑆 will be an event.

Events are classified into following categories:

1. Simple Event: It cannot be decomposed further into smaller events. E.g. In tossing a
coin, the events ‘𝐻’ and ‘𝑇’ are simple events.
2. Compound Event: It can be decomposed further. E.g. While throwing a die, the event
‘Even face’ is compound.
3. Complementary Event: An event which consists in the negation of another is called
complementary event of the later event. E.g. If a fair coin is flipped, ‘𝐻’ is the
complementary event of ‘𝑇’.
4. Certain Event: Its occurrence is sure. E.g. {𝐻, 𝑇} is a certain event for flipping a coin.
5. Impossible Event: There is certainty in its non-occurrence. E.g. The event ‘7’ is
impossible for rolling an unbiased die.
6. Mutually Exclusive Events: Two events having no elements in common is said to be
mutually exclusive. Mathematically, events 𝐴 & 𝐵 are exclusive if 𝐴 ∩ 𝐵 = ∅. E.g.
The events ‘Even faces’ and ‘Odd faces’ are mutually exclusive while a die is rolled.
7. Exhaustive set of Events: A collection of events is said to be exhaustive if in every
performance of the corresponding random experiment 𝐸 at least one event (not
necessarily the same event for every performance) belonging to the collection occurs.
{𝐴𝛼 |𝛼 ∈ 𝐼} is said to be exhaustive iff ⋃𝛼∈𝐼 𝐴𝛼 = 𝑆; 𝑆 is the corresponding sample
space.

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Classical Definition of Probability:

The classical definition concept can be applied when all possible outcomes of a random
experiment are equally likely to occur and are finite in number. If a random experiment 𝐸
results in 𝑁 equally likely possibilities, of which one must occur and 𝑛𝐴 is regarded as no. of
favourable cases connected to the event 𝐴 of the experiment 𝐸, then probability of 𝐴 is
𝑛
defined by 𝑃(𝐴) = 𝑁𝐴.

A major drawback of classical definition of probability is its limited applicability, as there are
many situations in which the possibilities that arise cannot all be regarded as equally likely.
This would be the case, for instance, if we are concerned with the outcome of an election, or
if we are concerned with a person’s recovery from a disease.

Frequency Definition of Probability:

The widely used concept of probability is the frequency interpretation, according to which the
probability of an event is the proportion of the time that events of the same kind will occur in
the long run.

Let 𝐴 be an event connected to a random experiment 𝐸. Let 𝐴 occurs 𝑛𝐴 times when 𝐸 is

𝑛
repeated 𝑛 times under identical conditions. The ration 𝑛𝐴 is called relative frequency or the
frequency ration of event 𝐴 and is denoted by 𝑓(𝐴). It is so when n becomes large the
𝑛
frequency ration 𝑓(𝐴) gradually approaches to a more or less constant i.e. 𝑓(𝐴) = 𝑛𝐴 → a
constant as n becomes large, the situation is regarded as statistical regularity. The value of the
limit is then called probability of event 𝐴.
𝑛𝐴
∴ 𝑃(𝐴) = lim .
𝑛→∞ 𝑛
This definition of probability is associated with few draw backs which are
𝑛𝐴
• In practical purpose, lim cannot be computed since it is impossible to repeat an
𝑛→∞ 𝑛
𝑛𝐴
experiment infinitely many times. Moreover, if for a large 𝑛, is taken as an
𝑛
approximation for the probability of 𝐴, there is no way to analyze the error.
𝑛
• There is no reason to believe that the limit of 𝑛𝐴 as 𝑛 → ∞ exists. Moreover, there is
no reason to believe that, in a different series of experiments and for the same event 𝐴
this ratio approaches the same limit.
• By this definition, probabilities that are based on our personal belief and knowledge
are not justifiable. Statements like ‘The probability that the price of essential
commodities will increase 30% in next six months’, ‘The probability that it will rain
in next month is 15%’.

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