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2 (de) vizualizări22 paginiProbability Review by Professor Arabin Kumar Dey, Department of Mathematics, Indian Institute of Technology Guwahati (IIT G).

Jun 09, 2017

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Probability Review by Professor Arabin Kumar Dey, Department of Mathematics, Indian Institute of Technology Guwahati (IIT G).

© All Rights Reserved

2 (de) vizualizări

Probability Review by Professor Arabin Kumar Dey, Department of Mathematics, Indian Institute of Technology Guwahati (IIT G).

© All Rights Reserved

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Probability Review

Assistant Professor

Department of Mathematics

Indian Institute of Technology Guwahati

Probability Review

Consider an experiment whose outcome is not known in advance.

Sample space S is the set of all possible outcomes in the

experiment.

Any subset A S of the sample space is called an event.

Complement of an event A, denoted by Ac , is the set of all possible

outcomes not in A.

Union of two events : A B consists of all outcomes that are either

in A or in B or in both.

Intersection of two events: A B (often denoted by AB) consists of

all outcomes in both A and B.

Mutually exclusive events: If AB = , i.e. no outcomes in both A

and B so that A and B can not both occur, we say they are mutually

exclusive events.

These definitions can naturally extend to more than a pair of events.

Axioms of probability

Probability Review

A.

Three axioms of probability : a) 0 P(A) 1

b) P(S) = 1 with S, the sample space.

Pn of mutually exclusive events A1 , A2 ,

c) For any sequence

P(ni=1 Ai ) = i=1 P(Ai ) for n = 1, 2, ,

Consequence : P(Ac ) = 1 P(A) for any event A.

Conditional Probability

Probability Review

For any two events A and B, we define

Arabin Kumar Dey

P(AB)

P(A|B) =

P(B)

P(A) = P(AB) + P(ABc )

= P(A|B)P(B) + P(A|Bc )P(Bc )

the sample space S. Then we have the Law of Total Probability:

n

X n

X

P(A) = P(A Bi ) = P(A|Bi )P(Bi )

i=1 i=1

Independence

Probability Review

P(A|B) = P(A)

P(AB) = P(A)P(B)

Random variables

Probability Review

X is a discrete random variable if it takes either a finite or at most

countable number of possible values. Otherwise, it is continuous.

Cumulative distribution function (cdf): F(x) = P(X x).

Discrete: probability mass function (pmf) p(x) = P(X = x).

dF(x)

Continuous: probability density function (pdf) f (x) = dx

Rx

It can be shown that: F(x) = f (z)dz and that

Z a+ 2

P(a <X <a+ )= f (z)dz f (a)

2 2 a 2

Multivariate Random Variable

Probability Review

Sometimes called random vectors. Notation : (X, Y)

Arabin Kumar Dey

Joint cdf: F(x, y) = P(X x, Y y).

Discrete pmf : p(x, y) = P(X = x, Y = y).

2

Continuous pdf : f (x, y) = xy

F(x,y)

.

For any set of real numbers C and D, we have

Z Z

P(X C, Y D) = f (x, y)dxdy

xC,yD

P(X C, Y D) = P(X C)P(Y D).

f (x, y) = fX (x)fY (y) for two independent random variables X and Y

.

Note also that if X and Y are independent and so will G(X) and

H(Y).

Expectation

Probability Review

Discrete :

Arabin Kumar Dey X

E(g(X)) = g(x)p(x)

x

Continuous : Z

E(g(X)) = g(x)p(x)dx

Linearity of expectation :

E(aX + b) = aE(X) + b

.

Special cases:

a) Mean of X : X = E(X).

b) Variance of X : Var(X) = X2 = E[(X X )2 ].

c) One can show that variance can also be expressed as

V(X) = E(X 2 ) [E(X)]2

Expectation - the multivariate case

Probability Review P P

Arabin Kumar Dey

Discrete: E(g(X, Y)) = x y g(x, y)p(x, y)

R R

Continuous : E(g(X, Y)) = g(x, y)f (x, y)dxdy

Covariance of X and Y : Cov(X, Y) = E[(X X )(Y Y )]. One

can show that you can also write this as

Cov(X, Y) = E(XY) E(X)E(Y).

Important property: Var(X + Y) = Var(X) + Var(Y) + 2Cov(X, Y).

If X and Y are independent, then Cov(X, Y) = 0 so that

and Y are not necessarily independent.

Correlation between X and Y :

Cov(X, Y)

corr(X, Y) = p

V(X)V(Y)

Inequalities and the laws of large numbers

Probability Review

Markovs inequality: Suppose X takes only non-negative values.

Arabin Kumar Dey

Then for any a > 0,

E(X)

P(X > a) .

a

and variance 2 . Then for any positive k,

1

P(|X | k) 2

k

of i.i.d. random variables with mean . Then for any > 0,

X1 + X2 + + Xn

P(| | > ) 0 as n

n

a sequence of i.i.d. random variables will converge to its mean.

The central limit theorem

Probability Review

mean and finite variance 2 . Then

X1 + X2 + + Xn n

lim P( < x) = (x)

n n

n

n

is asymptotically normal. (x) is the

CDF of standard normal.

Discrete distributions

Probability Review

Bernoulli

Binomial

Poisson

Geometric

Negative Binomial

Hypergeometric

Continuous distributions

Probability Review

Uniform

Normal, log-Normal

Exponential

Gamma

Exponential Distribution

Probability Review

X is Exponential with parameter if pdf is f (x) = ex , for

x > 0.

We write X Exp().

CDF: F(x) = 1 ex

Mean is E(X) = 1 and variance is Var(X) = 1

2

.

Some important properties:

Memoryless property : For all s, t 0, we have

any constant c.

Suppose X1 , X2 , , Xn be n independent Exponential r.v.s with

respective parameters 1 , 2 , , P

n . Then

M = min{X1 , X2 , , Xn } Exp( i i ), and the probability that Xj

is the smallest is given by P jj .

j

Gamma Random Variable

Probability Review

k

pdf f (x) = (k) ex xk1 x>0

We writeR X Gamma(k, ) and the Gamma function is defined by

(z) = 0 tz1 et dt.

Some properties: (z + 1) = z (z) and (n) = (n 1)!, for any

positive integer n.

k k

Mean is E(X) = and variance is Var(X) = 2

.

If X1 , , Xn are n i.i.d.

P Exponential r.v.s with common parameter

, then the sum X = i=1 Xi = X1 + + Xn has a Gamma(n, )

distribution.

Proofs will be provided in lectures.

Normal Distribution

Probability Review

X is said to be normally distributed with mean and variance 2 if

its pdf has the form

1 (x)2

f (x) = e 22 , < x <

2

We write X N(, 2 ).

In the case where = 0 and 2 = 1, we have a standard Normal

random variable Z.

Note that X

= Z N(0, 1)

The cdf of a standatd Normal is usually written as

Z x

1 z2

(x) = e 2 dz

2

so that the cdf of a Normal can be evaluated from the standard

Normal using F(x) = ( x ).

Standard Normal density curve

Probability Review

Percentile values for standard Normal distribution

horizontal axis value 1.282 1.645 1.960 2.326 2.576 3.090

upper tail area 0.1 0.05 0.025 0.01 0.005 0.001

Tail areas (under the density curve) represent probabilities.

Example: P(Z > 1.960) = 0.025 and

P(0 < Z < 1.960) = 1 0.5 0.025 = 0.475.

P(Z > 1.645) =?

P(Z < 2.326or > 2.326) =?

P(Z < ?) = 0.90 (i.e. what is the 90-th percentile?).

Also, evaluate the following probabilities: P(1 < Z < 1),

P(2 < Z < 2), and P(3 < Z < 3).

Log-normal random variables

Probability Review

with parameters and 2 if log(X) is Normal(, 2 ).

We write X LN(, 2 ).

It can be shown that its pdf has the form

1 (log x)2

f (x) = e 22 , x>0

2x

2 2 2

Mean is E(X) = e+ 2 and variance is Var(X) = e2+ (e 1).

Caution: Do not make the mistake that the mean and variance of a

log-normal random variable are and 2 .

Homogeneous Poisson process

Probability Review

Let N(t) be the number of events that occur in a time interval [0, t].

Then {N(t), t 0} is a poisson process with rate > 0 if

N(0) = 0

It has independent increments, i.e. number of events occurring in

disjoint time intervals are independent.

It has stationary increments, i.e. distribution of the number of events

that occur in a given interval depends only on the length of the

interval and not on its location.

It has unit jumps, i.e. limh0 P(N(h)=1)

h

= and

limh0 P(N(h)2)

h

= 0

As a consequence of this definition, it can be shown that the

number of events in any interval of lenght t has a Poisson

distribution with parameter t. That is, for all

s, t 0, n = 0, 1, ,

et (t)n

P(N(t + s) N(s) = n) =

n!

Interarrival times

Probability Review

Let T1 denote the time of the first event. For n > 1, let Tn denote

the elapsed time between the (n - 1)th and the nth events.

T1 , T2 , are called the interarrival times.

Result: The interarrival times T1 , T2 , are i.i.d. Exponential

random variables with parameter . (Proof in

The arrival time of the nth event (or the waiting time until the nth

event) is the sum of the interarrival times, i.e.

Sn = T1 + T2 + + Tn .

Obviously, the arrival time has a Gamma distribution (what are the

parameters?).

Conditional expectation and conditional variance

Probability Review

we have

E(E(X|Y)) = E(X)

Probability Review

Here is another job interview question. You die and are presented

with three doors. One of them leads to heaven, one leads to one day in

purgatory, and one leads to two days in purgatory. After your stay in

purgatory is over, you go back to the doors and pick again, but the doors

are reshuffled each time you come back, so you must in fact choose a

door at random each time. How long is your expected stay in purgatory?

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