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You are on page 1of 13

H2 Mathematics

explained here. Basic knowledge of PMF, PDF, CDF, expected value (mean),

variance etc. is required)

.

1. Definition

A trial is conducted. The trial has two possible outcomes - success and

failure, each having probability p and 1 p respectively. (This trial is called

a Bernoulli trial). Then a Bernoulli random variable X is defined as

(

1 , if the trial succeeded

X=

0 , if the trial failed

(

p , if k = 1

P (X = k) =

1 p , if k = 0

3. Expected Value

E(X) = 1 p + 0 (1 p) = p

1

4. Variance and Standard Deviation

The variance is

p

(X) = p(1 p)

.

1. Definition

B(n, p) counts the number of successes obtained in these n Bernoulli

trials. In other words, if X1 , X2 , , Xn are n independent Bernoulli random

variables,

B(n, p) = X1 + X2 + + Xn

2. Probability Mass Function

the probability that there are k successes and n k failures. Hence the PMF

of X B(n, p) is

n k

P (X = k) = p (1 p)nk

k

3. Expected Value

ables X1 , X2 , , Xn . By the linearity of expectation,

n

X n

X

E(X) = E(Xk ) = p = np

k=1 k=1

2

Alternatively, E(X) = np can be derived from a not-so-elegant brute force

approach.

n n

X n k nk X n k

E(X) = k p (1 p) = lim x x (1 p)nk

k=0

k xp x

k=0

k

= lim x (x + 1 p)n = lim xn(x + 1 p)n1 = np

xp x xp

the variance of X B(n, p) can be calculated as follows.

n

X n

X

var(X) = var(X1 + X2 + + Xn ) = var(Xk ) = p(1 p) = np(1 p)

k=1 k=1

p

(X) = np(1 p)

A brute force approach can also be used to prove that var(X) = np(1 p).

n

2 n

X

= k pk (1 p)nk n2 p2

k=0

k

n

X n k

= lim x x x (1 p)nk n2 p2

xp x x k

k=0

= lim x x (x + 1 p)n n2 p2

xp x x

= lim x xn(x + 1 p)n1 n2 p2

xp x

xp

= np(1 p)

3

3. Poisson Random Variable

.

1. Definition

known that on average, events occur in a time interval t. The Poisson

random variable Pois() counts the number of events that occur in a

time interval t.

It follows that the average number of events that occur in a time interval of

t is . Now, make the assumption that t is sufficiently small such that

n

the probability of more than one event occurring in t is negligible. Now

let Xk be the random variable that equals 1 when one event occurs in the

k-th interval of duration t, and 0 otherwise. It is easy to see that Xk is

approximately a Bernoulli random variable with mean , so X Pois()

n

can be approximated by

X X1 + X2 + Xn B n,

n

fort small

B n, approaches the PMF of X Pois(). By Stirlings approximation,

n

k nk

n

P (X = k) = lim 1

n k n n

n n

k nk

2n n e

= lim p 1

n k! 2(n k)(n k)nk e(nk) n n

r nk

1 n k k k

= lim e 1+

n k! nk nk

k

e

=

k!

4

3. Approximation to Binomial Random Variable

The previous section was essentially a proof of what is called the Poisson

Limit Theorem which provides us with a useful approximation of the bino-

mial random variable. That is, for n large (say n > 50) and np small (say

np < 5),

B(n, p) Pois(np)

E(X) =

Using the fact that B n, tends to Pois(), we may easily derive the

n

variance of X Pois() as well.

var(X) = lim n 1 =

n n n

(X) =

X k e

= k2 2

k=0

k!

X k

= e (k + 1) 2

k=0

k!

2

X k

X k

= e + e 2

k=0

k! k=0

k!

2

= e e + e e = 2

5

4. Normal Distribution

.

1. Deriving the Central Limit Theorem

ables with E(Xk ) = 0 and var(X) = 2 for all k = 1, 2, , n. We now

introduce the concept of the characteristic function of a random variable X,

which is defined as

(it)2 E(X 2 )

X (t) = E(eitX ) = 1 + itE(X) + + O(t3 )

2!

Since E(Xk ) = 0 and var(X) = E(X 2 ) = 2 , the characteristic function of

Xk is

2

Xk (t) = 1 t2 + O(t3 )

2

X1 + X2 + + Xn

Let X = . Suppose we are interested in the properties

n

of nX. By the independence of X1 , X2 , , Xn ,

t t t

nX (t) = X1

X2 Xn

n n n

2

3

t

= exp n ln 1 t2 + O

2n n3/2

2 3

2 t

= exp t +O

2 n1/2

2 2

so as n , nX (t) exp t .

2

Let us now determine the probability density function of lim nX. No-

n

tice that the characteristic function of a random variable is simply a Fourier

transform of its PDF. Thus by Fourier inversion,

Z Z ( 2 )

2 2

1 2 2 1 ix x

lim fnX (x) = eitx e t /2 dt = exp t + 2 2 dt

n 2 2 2 2

6

ix

Let the integrand be f t + 2 . By Cauchys Integral Theorem, the inte-

ix

gral of f t + 2 over R is equal to the integral of f (t) over R since the

integral of f (t) over R, R + ix2 decays exponentially as R . Thus

Z

x2

2

1

lim f nX (x) = exp 2 exp t2 dt

n 2 2 2

x2 2 t2

Z

1

= exp 2 e dt

2 2

x2

1

= exp 2

2 2

R 2

The last equality follows from the fact that et dt = . (There are

several ways to prove this result. The most common methods include the

use of polar coordinates or Eulers reflection formula).

So as n ,

X1 + X2 + + X n

n

x2

1

will approach a probability distribution that has a PDF of exp 2 .

2 2

This is known as the Central Limit Theorem.

tributed if it has mean , variance 2 and PDF

(x )2

1

fX (x) = exp

2 2 2

By convention, Z N (0, 1) is said to be a standard normal distribution.

The CDF of X N (, 2 ) can be expressed in terms of the CDF of Z by

the elementary relation

x

FX (x) = P (X x) = FZ

7

3. Two (Very) Important Properties

constants a and b.

!

xb

xb a

x (a + b)

P (aX + b x) = P X = FZ = FZ

a a

and this shows that aX + b is normally distributed with mean a + b and

standard deviation a. This completes the proof.

independent, then X1 + X2 N (1 + 2 , 12 + 22 ).

calculation, the CF of X is

2

2

X (t) = exp t + it

2

Then by the independence of X1 and X2 ,

(12 + 22 ) 2

X1 +X2 (t) = X1 (t)X2 (t) = exp t + i(1 + 2 )t

2

This shows that X1 + X2 is also normally distributed and has mean 1 + 2

and variance 12 + 22 , hence completing the proof.

a slightly different form. Let Yk = Xk + for all k = 1, 2, , n. Then

Y1 , Y2 , , Yn are independent and identically distributed random variables

each with mean and variance 2 . Applying Property 1,

Y1 + Y2 + + Yn N (n, n 2 )

as n grows large.

8

5. Normal Approximation to Binomial Random Variable

pendent Bernoulli random variables X1 , X2 , , Xn , each with mean p and

variance p(1 p). By the Central Limit Theorem, as n grows large,

continuity correction has to be applied to improve the accuracy of the

approximation. Thus we instead approximate the CDF of X B(n, p) by

!

k + 12 np

P (X k) FZ p

np(1 p)

1. The characteristic function of X Pois() is

X k e it

X (t) = eikt = e(e 1)

k=0

k!

it 1)

X1 +X2 ++X (t) = X1 (t)X2 (t) X (t) = e(e

X = X1 + X2 + + X

Then by the Central Limit Theorem, X Pois(), a sum of independent

Poisson random variables with mean and variance 1, can be approximated

by (for large)

X = X1 + X2 + + X N (, )

This approximation is usually accurate when > 10. Continuity correction

should also be used when applicable.

9

5. Worked Examples (Easy)

.

1. Find the minimum number of rolls of two dice required such that the

1

probability of getting two sixes at least twice is at least .

2

Solution:

that counts

1

the number of times I get two sixes. Evidently, X B n, 36 so its PMF is

k nk

n 1 35

P (X = k) =

k 36 36

The probability of getting two sixes at least twice is

n n1

35 1 35 1

P (X 2) = 1 n

36 36 36 2

Solving the inequality (with GC), we get that the minimum n is n = 61.

2. There is a concert and only 2500 tickets are available, so one must send

in applications for a chance to obtain tickets. If you sent in 100 applications,

and the total number of applications is 125000, find the probability that you

will get a ticket, and explain why this probability is close to 1 e2 .

Solution:

Let X be the random variable that counts the number of accepted appli-

cations out of the 100 sent in. Its PMF is

100

124900

k 2500k

P (X = k) = 125000

2500

124900

2500

P (X 1) = 1 125000

0.867

2500

10

To intuitively understand why this probability is close to 1 e2 , we see that

the process of choosing 2500 tickets out of 125000 (without replacement)

can be roughly estimated by 2500 independent Bernoulli trials (i.e. choosing

tickets with replacement). This is because the probability of choosing a

given ticket remains almost constant since 125000 >> 2500. Thus we can

estimate the PMF of X as that of a binomial random variable.

k 2500k

2500 100 124900

P (X = k)

k 125000 125000

n = 2500 is sufficiently large and np = 2 is sufficiently small. Hence our

desired probability is roughly

20 e2

P (X 1) 1 = 1 e2

0!

3. n dice are simultaneously rolled 46n1 times. You win a round if you get

six on every dice rolled in one of the rolls. Show that probability of winning

at least one round is roughly 1 e2/3 when n is large.

Solution:

Let X be the random variable that counts the number of times you get

all sixes on every roll of k dice. Then X B(4 6n1 , 6n ) with PMF

k 46n1 k

4 6n1

1 1

P (X = k) = 1 n

k 6n 6

probability we seek is approximately

2 0 2/3

e

P (X 1) 1 3

= 1 e2/3

0!

11

4. On average, 100 plane crashes happen a year. Estimate the probability

that more than 150 plane crashes will happen in a time period of a year.

Solution:

variable X Pois(100). Then the probability we seek is

150

X 100k e100

P (X > 150) = 1 1.23 106

k=0

k!

5. IQ can be modelled by a normal distribution. Given that 2.275 percent

of the population have an IQ higher than 130, and 9.121 percent of the pop-

ulation have an IQ lower than 80, calculate the probability that out of 5

randomly picked people, their average IQ is greater than 110.

Solution:

are given in the question that

130 80

1 FZ = 0.02275 , FZ = 0.09121

80 4 130

So = and = 2. This yields = 100 and = 15. Suppose

3

X1 , X2 , , X5 are all N (100, 225) distributed. Then the probability we seek

is

550 500

P (X1 + X2 + + X5 > 550) = 1 FZ 0.0680

225 5

6. (continued) Suppose the IQ of aliens is N (70, 100) distributed. Determine

the probability that the combined IQ of 3 aliens exceeds that of 2 humans.

Solution:

X1 , X2 similarly. The probability we seek is

0 (2 100 3 70)

P (X1 + X2 Y1 Y2 Y3 < 0) = FZ 0.642

2 225 + 3 100

12

7. In a betting game, Alex has 21 probability of losing 1 dollar, 41 probability

of winning 1 dollar and 14 probability of winning 2 dollars every bet. Estimate

the probability that his net win is at most 20 dollars after 100 bets.

Solution:

Let Xk count the amount won from the k-th bet. Then the expected value

and variance are

1 1 1 1

E(Xk ) = 1 +1 +2 =

2 4 4 4

2

1 1 1 1 27

var(Xk ) = (1)2 + 12 + 22 =

2 4 4 4 16

1 27 675

distributed with mean 100 = 25 and variance 100 = . Thus

4 16 4

!

20 + 21 25

P (X1 + X2 + + X100 20) FZ p 0.365

675/4

13

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