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Statistics, IE6200
By: Professor Nasser Fard
Fall 2013
Lecture Two
Outline
Conditional Probability
Independent Events
Bayes Theorem
Random Variables (R.V.)
Expected Value and Variance
Discrete R.V.
Continuous R.V.
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Conditional Probability
We use probabilities because we are uncertain
about the exact outcome of an experiment.
New information can be available, which could
make us modify our belief (probability)
Conditional Probability, P(A|B), is the name
given to the new belief after receiving the new
information.
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P( A) 0
for
A
AB
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Independent Events
Two events A and B are independent if and only if
P(B|A) = P(B)
or
P(A|B) = P(A)
Otherwise, A and B are dependent.
This means additional knowledge of B does not change
the probability of A happening, and vice versa
Two events A and B are independent if and only if
P(AB) = P(A) . P(B)
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Independent Events
Multiplicative Rules
If in an experiment the events A and B can both
occur, then :
P(AB) = P(A) P(B|A)
P( A)
P( A)
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B2
A
AB1
AB2
AB3
B3
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P(B1)=0.3
P(B2)=0.45
B2
P(B3)=0.25
P(A|B3)=0.02
B3
P(A) = ?
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Bayes Theorem
If the events B1, B2 , Bk constitute a partition
of the sample space S (they are exhaustive and
mutually exclusive events), then for any event A
in S that P(A) 0,
PBr A
PBr P A | Br
PBr | A
k
for r 1,2,...k
P A
PBi P A | Bi
i 1
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P(B1)=0.3
P(B2)=0.45
P(A|B2)=0.03
B2
P(B3)=0.25
P(A|B3)=0.02
B3
P(B3|A) = ?
PB3 | A
PB3 P A | B3
PB1 P A | B1 PB2 P A | B2 PB3 P A | B3
(0.25)(0.02)
(0.3)(0.02) (0.45)(0.03) (0.25)(0.02)
0.005 10
0.0254 49
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Random Variable
Definition :
A Random Variable is a function that associates a
real number with each element in the sample space.
It is represented by capital letter, say X.
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16
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3) P (X A) f ( x), where A S
x A
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0.00
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Cumulative Distribution
Definition : The cumulative distribution F(x) of a
discrete random variable with probability
distribution f(x) is
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P(X)
1/6
1/6
1/6
2/6
1/6
3/6
1/6
4/6
1/6
5/6
1/6
6/6
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F(X)=P(Xx)
P (x) = 1/k,
where k is the total
number of outcomes
This probability
distribution is also
known as Discrete
Uniform.
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Mathematical Expectation
If f(x) is the p.m.f. of the random variable X of the
discrete type with space S and if the summation
u(x)f(x)
xS
u(x)f(x)
S
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EX xf(x)
xS
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E(aX+b)=aE(X)+b=a+b
Var(aX+b)=E[(aX+b)-(a+b)]2
= E[aX-a]2
=a2 E[X- ]2 =a2 2
Mean and Variance of a Sum
If X1, X2,, Xn are r.v.s with means i and variances i2,
and Y= X1+X2++Xn , then
E[Y]=a11+a22++ann and
V[Y]=a12 12+a22 22 ++ an2 n2
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Examples
1. E[5X+12]=5E[X]+12
V[5X+12]=25V[X]
2. E[X1]=1, E[X2]=-1
V[X1]=5, V[X2]=5, X1 and X2 are independent
a. E[X1-X2]= E[X1]- E[X2]= 1-(-1)=2
b. V[X1-X2]= V[X1]+V[X2]= 5+5=10
Note: V[-X2]=(-1)2 V[X2]=V[X2]
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Sample Mean
Consider we have n observation of the random variable
X, say x1,x2,,xn
Create a probability distribution by putting weight 1/n on
each of these values.
Sample mean is the arithmetic mean of the observations
and is denoted by x
1 n
x xi
n i 1
When is unknown,
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x is considered as an estimate of .
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Sample Variance
The variance of this empirical distribution is
obtained as:
n
n
1
1
(x i - x) 2 ( ) ( xi x ) 2
n
n i 1
i 1
2
s2
(x
x
)
n 1 i 1
n 1
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s s 0
2
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1. f ( x) 0 , for all x in S
2. f ( x)dx 1
S
b
3. P(a X b) f ( x)dx
a
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P( X a) P(a X a) f ( x)dx 0
a
and also
P(a X b) P(a X b) P(a X b) P(a X b)
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Examples
Example 1: Define random variable X with range
[0,2] and its pdf by f(x)=1/2 for all x between 0
and 2 and f(x)=0 for all other values of x. Then
we have:
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1
f ( x)dx 1/ 2dx x 1 0 1
0
2 0
2
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Examples (cont.)
Example 2: Lets X defines the life of a light bulb
and imagine its pdf has been defined as below:
1 x / 2
e
, x0
f ( x) 2
otherwise
0,
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F ( x) P( X x)
f (t )dt for - x
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2) lim F ( x) 0;
x
Example
The life time of a light bulb has c.d.f:
1 x t / 2
F ( x) e dt 1 e x / 2
2 0
and also :
P(2 X 3) F (3) F (2) (1 e(3/ 2) ) (1 e1 ) 0.145
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E( X )
xf ( x)dx
And, it Variance is :
Var ( X ) ( x ) f ( x)dx
2
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1 x / 2
x / 2
E ( X ) xe dx xe
e x / 2 dx 2
0
2 0
0
1
x / 2
2 x / 2
2
E ( X ) x e dx x e
e x / 2 dx 8
0
2 0
0
2
V (X ) 2
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