Probability and Statistics

B Madhav Reddy

madhav.b@srmap.edu.in

B Madhav Reddy Probability and Statistics 1 / 13

Theorem (Bayes’ formula)
Suppose that F1 , F2 , . . . Fn are mutually exclusive events such that
n
⋃ Fi = S (mutually exhaustive)
i =1

P(E ∩ Fj )
Then, P(Fj ∣E ) =
P(E )
P(E ∣Fj )P(Fj )
= n
∑ P(E ∣Fi )P(Fi )
i =1

B Madhav Reddy Probability and Statistics 2 / 13

Problem: A plane is missing and it is presumed that it was equally likely
to have gone down in any of three possible regions. Let 1 − αi denote the
probability the plane will be found upon a search of the i th region when
the plane is, in fact, in that region, i = 1, 2, 3.
What is the conditional probability that the plane is in the i th region, given
that a search of region 1 is unsuccessful, i = 1, 2, 3?
Solution: Let Ri , i = 1, 2, 3, be the event that the plane is in region i ; and
let E be the event that a search of region 1 is unsuccessful.
Given data - P(E c ∣R1 ) = 1 − α1 , P(Ri ) = 31 , i = 1, 2, 3.
We need to find P(Ri ∣E ) for each i = 1, 2, 3
Given that the plane is found in region 2 or 3, then there is no way it can
be found in region 1.
Thus, P(E ∣R2 ) = 1 = P(E ∣R3 ).

B Madhav Reddy Probability and Statistics 3 / 13

Thus, by Bayes’ formula,

P(E ∣R1 )P(R1 )

P(R1 ∣E ) =
P(E ∣R1 )P(R1 ) + P(E ∣R2 )P(R2 ) + P(E ∣R3 )P(R3 )
α1 ( 13 )
=
α1 ( 13 ) + (1) ( 31 ) + (1) ( 13 )
α1
=
α1 + 2
Now, for j = 2, 3

P(E ∣Rj )P(Rj )

P(Rj ∣E ) =
P(E ∣R1 )P(R1 ) + P(E ∣R2 )P(R2 ) + P(E ∣R3 )P(R3 )
(1) ( 13 )
=
α1 ( 13 ) + (1) ( 31 ) + (1) ( 31 )
1
=
α1 + 2

B Madhav Reddy Probability and Statistics 4 / 13

 P(E ∣F ) is not, in general, equal to P(E )
The information that F has occurred may affect the occurrence of E
When does P(E ∣F ) = P(E ), that is, occurrence of F has no effect on
occurrence of E ?
We say that the events E and F are independent if P(E ∣F ) = P(E )
Now, P(E ∣F ) = P(E ) ⇐⇒ P(E ∩ F ) = P(E )P(F )

Definition
Two events E and F are said to be independent if P(E ∩ F ) = P(E )P(F )
We say that E and F are dependent if they are not independent.

B Madhav Reddy Probability and Statistics 5 / 13

Example: A card is selected at random from an ordinary deck of 52
playing cards. If A is the event that the selected card is an ace and H is
the event that it is a heart.
Are A and H independent?
4 13
Solution: We have P(A) = 52 , P(H) = 52 and hence

1
P(A)P(H) = = P(A ∩ H)
52

Thus, A and H are independent.

B Madhav Reddy Probability and Statistics 6 / 13

Fact 6. If E and F are independent, then so are E and F c
Proof: We need to show that P(E ∩ F c ) = P(E )P(F c )

E = (E ∩ F ) ∪ (E ∩ F c ) and (E ∩ F ) ∩ (E ∩ F c ) = ∅

Ô⇒ P(E ) = P(E ∩ F ) + P(E ∩ F c )

= P(E )P(F ) + P(E ∩ F c ) (since E and F are independent)
Thus, P(E ∩ F c ) = P(E ) (1 − P(F )) = P(E )P(F c )

B Madhav Reddy Probability and Statistics 7 / 13

 Suppose now that E is independent of F and is also independent of G .
Is E then necessarily independent of F ∩ G ?
The answer, somewhat surprisingly, is no!

Example: Two fair dice are thrown. Let E denote the event that the sum
of the dice is 7. Let F denote the event that the first die equals 4 and G
denote the event that the second die equals 3.
Now, P(E ) = 61 , P(F ) = 1
6 and P(G ) = 1
6
1 1 1
Further, P(E ∩ F ) = 36 , P(E ∩ G ) = 36 , P(F ∩ G) = 36 and
1
P(E ∩ (F ∩ G )) = 36
P(E ∩ F ) = P(E )P(F ), P(E ∩ G ) = P(E )P(G ) but
P(E ∩ (F ∩ G )) ≠ P(E )P(F ∩ G )
Thus, E is independent of F and is also independent of G but E is not
independent of F ∩ G

B Madhav Reddy Probability and Statistics 8 / 13

Three events E , F , G are said to be independent if
P(E ∩ F ∩ G ) = P(E )P(F )P(G )
P(E ∩ F ) = P(E )P(F )
P(E ∩ G ) = P(E )P(G )
P(F ∩ G ) = P(F )P(G )

The events E1 , E2 , . . . , En are said to be independent if

P(Ei1 ∩ Ei2 ∩ ⋯ ∩ Eir ) = P(Ei1 )P(Ei2 )⋯P(Eir )

for any 1 ≤ r ≤ n and i1 , i2 , . . . , ir ∈ {1, 2, 3, . . . n}

B Madhav Reddy Probability and Statistics 9 / 13

Problem: A system composed of n separate components is said to be a
parallel system if it functions when at least one of the components
functions. For such a system, if component i , independent of other
components, functions with probability pi , i = 1, ..., n, what is the
probability the system functions?

Solultion: Let Ai denote the event that component i functions.

B Madhav Reddy Probability and Statistics 10 / 13

P(system functions) = 1 − P(system doesnot function)
= 1 − P(all components do not function)
= 1 − P(Ac1 ∩ Ac2 ∩ ⋯Acn )
= 1 − P(Ac1 )P(Ac2 )⋯P(Acn ) (independence)
= 1 − (1 − p1 )(1 − p2 )⋯(1 − pn )

B Madhav Reddy Probability and Statistics 11 / 13

Sometimes, experiment under consideration consists of performing a
sequence of subexperiments
For instance, if the experiment consists of continually tossing a coin,
we may think of each toss as being a subexperiment
In many cases, it is reasonable to assume that the outcomes of any
group of the subexperiments have no effect on the probabilities of the
outcomes of the other subexperiments
If such is the case, we say that the subexperiments are independent
If each subexperiment has the same set of possible outcomes, then
the subexperiments are often called trials.

B Madhav Reddy Probability and Statistics 12 / 13

Problem: Independent flips of a coin that lands on heads with probability
p are made. What is the probability that the first four outcomes are
(a) H, H, H, H
(b) T , H, H, H

Solution: Let Hi be the event that the i th toss lands in heads

(a) We need to determine P(H1 ∩ H2 ∩ H3 ∩ H4 ), which equals
P(H1 )P(H2 )P(H3 )P(H4 ) by independence
Thus, the required probability is p 4 .
(b) Here, we need to find P(H1c ∩ H2 ∩ H3 ∩ H4 ), which, again by
independence, equals P(H1c )P(H2 )P(H3 )P(H4 )
Thus, the desired probability is (1 − p)p 3 .

B Madhav Reddy Probability and Statistics 13 / 13