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Introduction to Probability for Electrical Engineering
Prapun SuksompongSchool of Electrical and Computer EngineeringCornell University, Ithaca, NY 14853ps92@cornell.eduJanuary 23, 2008
Contents
1 Mathematical Background 4
1.1 Set Theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41.2 Enumeration / Combinatorics / Counting . . . . . . . . . . . . . . . . . . 91.3 Dirac Delta Function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
2 Classical Probability 20
2.1 Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
3 Probability Foundations 24
3.1 Algebra and
σ
-algebra . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 253.2 Kolmogorov’s Axioms for Probability . . . . . . . . . . . . . . . . . . . . . 293.3 Properties of Probability Measure . . . . . . . . . . . . . . . . . . . . . . . 313.4 Countable Ω . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 343.5 Independence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
4 Random Element 36
4.1 Random Variable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 374.2 Distribution Function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 384.3 Discrete random variable . . . . . . . . . . . . . . . . . . . . . . . . . . . . 414.4 Continuous random variable . . . . . . . . . . . . . . . . . . . . . . . . . . 424.5 Mixed/hybrid Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . 454.6 Independence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 464.7 Misc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48
5 PMF Examples 48
5.1 Random/Uniform . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 485.2 Bernoulli and Binary distributions . . . . . . . . . . . . . . . . . . . . . . . 495.3 Binomial:
B
(
n,p
) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 505.4 Geometric:
G
(
β
) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
5.5 Poisson Distribution:
P
(
λ
) . . . . . . . . . . . . . . . . . . . . . . . . . . . 535.6 Compound Poisson . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 575.7 Hypergeometric . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 575.8 Negative Binomial Distribution (Pascal / P´olya distribution) . . . . . . . . 585.9 Beta-binomial distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . 595.10 Zipf or zeta random variable . . . . . . . . . . . . . . . . . . . . . . . . . . 59
6 PDF Examples 59
6.1 Uniform Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 596.2 Gaussian Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 616.3 Exponential Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . 656.4 Pareto: Par(
α
)–heavy-tailed model/density . . . . . . . . . . . . . . . . . . 676.5 Laplacian:
L
(
α
) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 676.6 Rayleigh . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 686.7 Cauchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 696.8 Weibull . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69
7 Expectation 698 Inequalities 769 Random Vectors 80
9.1 Random Sequence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
10 Transform Methods 86
10.1 Probability Generating Function . . . . . . . . . . . . . . . . . . . . . . . . 8610.2 Moment Generating Function . . . . . . . . . . . . . . . . . . . . . . . . . 8710.3 One-Sided Laplace Transform . . . . . . . . . . . . . . . . . . . . . . . . . 8810.4 Characteristic Function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89
11 Functions of random variables 91
11.1 SISO case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9111.2 MISO case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9611.3 MIMO case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9811.4 Order Statistics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101
12 Convergences 108
12.1 Summation of random variables . . . . . . . . . . . . . . . . . . . . . . . . 11412.2 Summation of independent random variables . . . . . . . . . . . . . . . . . 11412.3 Summation of i.i.d. random variable . . . . . . . . . . . . . . . . . . . . . 11412.4 Central Limit Theorem (CLT) . . . . . . . . . . . . . . . . . . . . . . . . . 116
13 Conditional Probability and Expectation 117
13.1 Conditional Probability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11713.2 Conditional Expectation . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11813.3 Conditional Independence . . . . . . . . . . . . . . . . . . . . . . . . . . . 1192
14 Real-valued Jointly Gaussian 12015 Bayesian Detection and Estimation 123A More Math 126
A.1 Inequalities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126A.2 Summations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 127A.3 Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129A.4 Integration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 132A.5 Gamma and Beta functions . . . . . . . . . . . . . . . . . . . . . . . . . . 1353
Introduction to Probability and Random Signals
Info and Rating
Sections
« prev | next »- 1 Mathematical Background
- 1.1 Set Theory
- 1.2 Enumeration / Combinatorics / Counting
- 1.3 Dirac Delta Function
- 2 Classical Probability
- 2.1 Examples
- 3 Probability Foundations
- 3.1 Algebra and σ-algebra
- 3.2 Kolmogorov’s Axioms for Probability
- 3.3 Properties of Probability Measure
- 3.16. Properties of probability measures:
- 3.4 Countable Ω
- 3.5 Independence
- 4 Random Element
- 4.1 Random Variable
- 4.2 Distribution Function
- 4.3 Discrete random variable
- 4.4 Continuous random variable
- 4.5 Mixed/hybrid Distribution
- 4.6 Independence
- 4.7 Misc
- 5 PMF Examples
- 5.1 Random/Uniform
- 5.2 Bernoulli and Binary distributions
- 5.3 Binomial: B(n,p)
- 5.4 Geometric: G(β)
- 5.5 Poisson Distribution: P(λ)
- 5.6 Compound Poisson
- 5.7 Hypergeometric
- 5.8 Negative Binomial Distribution (Pascal / P´olya distribution)
- 5.9 Beta-binomial distribution
- 5.10 Zipf or zeta random variable
- 6 PDF Examples
- 6.1 Uniform Distribution
- 6.2 Gaussian Distribution
- 6.6. Gaussian distribution:
- 6.3 Exponential Distribution
- 6.4 Pareto: Par(α)–heavy-tailed model/density
- 6.5 Laplacian: L(α)
- 6.6 Rayleigh
- 6.7 Cauchy
- 6.8 Weibull
- 7 Expectation
- 8 Inequalities
- 9 Random Vectors
- 9.1 Random Sequence
- 10 Transform Methods
- 10.1 Probability Generating Function
- 10.2 Moment Generating Function
- 10.3 One-Sided Laplace Transform
- 10.4 Characteristic Function
- 11 Functions of random variables
- 11.1 SISO case
- 11.2 MISO case
- 11.3 MIMO case
- 11.4 Order Statistics
- 12 Convergences
- 12.1 Summation of random variables
- 12.2 Summation of independent random variables
- 12.3 Summation of i.i.d. random variable
- 12.4 Central Limit Theorem (CLT)
- 13 Conditional Probability and Expectation
- 13.1 Conditional Probability
- 13.2 Conditional Expectation
- 13.3 Conditional Independence
- A.1 Inequalities
- A.2 Summations
- A.3 Derivatives
- A.4 Integration
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