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Review of Probability and Statistics1

# Review of Probability and Statistics1

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05/01/2013

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Introduction to Pattern Recognition Ricardo Gutierrez-Osuna Wright State University 1
Lecture 2: Review of Probability and Statistics
g
Probability
n
Definition of probability
n
Axioms and properties
n
Conditional probability
n
Bayes Theorem
g
Random Variables
n
Definition of a Random Variable
n
Cumulative Distribution Function
n
Probability Density Function
n
Statistical characterization of Random Variables
g
Random Vectors
n
Mean vector
n
Covariance matrix
g
The Gaussian random variable

Introduction to Pattern Recognition Ricardo Gutierrez-Osuna Wright State University
Basic probability concepts
g
Definitions (informal)
n
Probabilities are numbers assigned to events that indicate “
how likely”
it is thatthe event will occur when a random experiment is performed
n
A
probability law
for a random experiment is a rule that assigns probabilities tothe events in the experiment
n
The
sample space
S of a random experiment is the set of all possible outcomes
g
Axioms of probability
n
Axiom I:
n
Axiom II:
n
Axiom III:
A
1
A
2
A
3
A
4
event
p     r     o       b     a       b       i       l       i      t     y
A
1
A
2
A
3
ProbabilityLaw
A
4
Sample space
+== =
ji ji ji i
]P[A]P[A]AP[Athen,AAif 1P[S]]P[A0
U I

Introduction to Pattern Recognition Ricardo Gutierrez-Osuna Wright State University
More properties of probability
{ }
{ }
]P[A]P[Athen,AAif ]A...AP[A1)(...]AP[A]P[A]AP[ ]AP[A]P[A]P[A]AP[A ]P[A]AP[then ji,AAif,,...AA,Agiven 0]P[1P[A]P[A]1]cP[A
2121 N211NNk jk jN1kkN1kk21211 N1kkN1kk jiN21
++= +=== ==
+<====
:7PROPERTY:6PROPERTY:5PROPERTY:4PROPERTY:3PROPERTY:2PROPERTY:1PROPERTY
I I I I  I U I
UU
2