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Formula Sheet Probability and Random Processes
Formula Sheet Probability and Random Processes
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Basics (Set theory, Axioms of Probability, Total Probability, Baye’s Theorem)
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4 5 23 ∞ 1, 23 ∞ 0, 23 , &
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9 4 5 * 23 * 23 &23
Distribution and Density Functions (Single Random Variable)
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1 PQR, :3 S
>TB , U 0
= B
:3 ?
( @ (
B>MN
< :3 1 23 < :3 A&A CDEFFGDH, :3
>
ON
>= >= √2KL *
1 1 >B N >B N K 4K *
PQR, 23 1
>TB , U 0, V
, * WDXYPGCZ, :3 *
*ON , 23 1
*ON , U 0, V
L[ , L
S S L 2 2
1 ^GH_`GDY, :3 - - 1>- , V
, 1
EHG], :3 , 5 5 ^, 23 , 5 5 ^, 1, U ^
^ ^
S -
CP_`PaWGb H_ _] cPWH_EYYG aWGDYF EHaGY ]GWFa FEbbPFF,
, :3
R_GFF_H,
, :3
>T , V
S 1 1
,! 1 -> , V
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*
:B | =
2B 2B g :B g
|4
<
|4 :3 & 23 d4 5 e4 f gh , Ri]
:B >= 1 2B g 1 2B g
= =
no4 ^mp no4p ^nomp
Expectations
1
bPHaWDY YG`Ga, ¾ 4 ' 4 , x V
r, L * 9 ∞ j ¾ Ã ¾~Êr, L *
Stochastic Processes
¤· ¢da h…a BÆ ,…,B· ;¼Æ ,…,¼·
HaZ _WiPW , 2aÆ …aH Æ , … , ; Æ , … ,
®4 5 , … , 4 5 , :aÆ …aH Æ , … , ; Æ , … , Æ H
¤Bª …¤B·
2 ; 2 , ∞; , * = =
no4 * p Ì,
: ; < : , * ; , * &* r3 n4p < :; &
>= >=
= =
DEa_b_tDW, , * Ì , * r3 r3 *
DEa_b_WW, Ì , * no4 4* p < < * : , * ; , * & *
>= >=
, * bW_FF b_WW, Ì3k , * no4 m* p bW_FF b_tDW, , *
b_WW b_P]], , *
Í, *, * Ì3k , *
r3 rk *
¿ZGaP H_GFP, , * 0, * , r 0, Î 1@Î ±±±, :aÆ …aH Æ , … , ; Æ , … , :aÆ …aH Æ , … , ; Æ b, … ,
Î
±±, V
, no4 4* p Ì * ÌÎ, no4 * p Ì0, Î ÌÎ |r|* , Î , ÌÎ ÌÎ, Ì0 U ÌÎ
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Ï_GHaYX ±±, no4 4* p Ì3k * Ì3k Î, 3k Î Ì3k Î r3 rk
m , 4 `P`_WXYPFF, m &
& 4 ) V
V.
j
Systems with Stochastic Inputs
=
YGHPDW, m Ðo4p 4 Ñ < 4 gg&g, x
Ðo@p, n¬Ðo4p Ьno4p, 4 m
>=
=
YGHPDW, 4Ò
mÒ, Ó, 48 m8 , YGHPDW, nomp no4p Ñ r3 < g&g
>=
= =
1 =
YGHPDW, Ì3k , * < Ì33 , * gg&g , Ìkk ? R_¿PW FRPb, Õ ÖÌÎ < ÌÎ
>y×Ø
&Î j ÌÎ < Õ
y×¼ &Õ
>= >= 2K >=
ÙÚ Û ±Ü, @Î Û 1,1 Û 2K@Õ,
yÝØ Û 2K@Õ Þ
1 B 1 1 >B« «
Integration (all integrals are w.r.t x)
<
ß B
< || <
ß B«
< < sin cos < cos
ß ß 1
1 ß B« 1 1
< tan ln || <
ß B« ß
< > « < l < A
ß 1
& & l A &. &. & & & ß B &
Differentiation
l A æ ç >
ß
ß B
æ
Bç
B
& & * & & & & & & *
& &
sin cos cos
& &
^ 1 *
è è & ^
Matrix Operations
& >
é ê ,
: ë
|| * ** (y
Prepared by: Hammad Munawar (Institute of Avionics and Aeronautics, Islamabad, Pakistan) hammadmunawar@gmail.com
(COPYRIGHT STATEMENT: May be used / distributed / edited freely, as long as the name of the original author is included)