JIM PITMAN

PROBABILITY

Springer
 Contents

Preface v

1 Introduction 1
1.1 Equally Likely Outcomes 2
1.2 Interpretations 11
1.3 Distributions 19
1.4 Conditional Probability and Independence 33
1.5 Bayes' Rule 47
1.6 Sequences of Events 56
Summary 73
Review Exercises 75

2 Repeated Trials and Sampling 79

2.1 The Binomial Distribution 80
2.2 Normal Approximation: Method 93
2.3 Normal Approximation: Derivation (Optional) Ill
2.4 Poisson Approximation 117
Contents

2.5 Random Sampling 123

Summary 130
Review Exercises 132

3 Random Variables 139

3.1 Introduction 139
3.2 Expectation 162
3.3 Standard Deviation and Normal Approximation 185
3.4 Discrete Distributions 208
3.5 The Poisson Distribution 222
3.6 Symmetry (Optional) 237
Summary 248
Review Exercises 250

4 Continuous Distributions 259

4.1 Probability Densities 260
4.2 Exponential and Gamma Distributions 278
4.3 Hazard Rates (Optional) 296
4.4 Change of Variable 302
4.5 Cumulative Distribution Functions 311
4.6 Order Statistics (Optional) 325
Summary 334
Review Exercises 336

5 Continuous Joint Distributions 339

5.1 Uniform Distributions 340
5.2 Densities 346
5.3 Independent Normal Variables 357
5.4 Operations (Optional) 371
Summary 386
Review Exercises 387
 Contents XI

6 Dependence 393
6.1 Conditional Distributions: Discrete Case 393
6.2 Conditional Expectation: Discrete Case 401
6.3 Conditioning: Density Case 410
6.4 Covariance and Correlation 430
6.5 Bivariate Normal 449
Summary 464
Review Exercises 466

Distribution Summaries 475

Discrete 476
Continuous 477
Beta 478
Binomial . 479
Exponential 480
Gamma 481
Geometric and Negative Binomial 482
Hypergeometric 483
Normal 484
Poisson 486
Uniform 487

Examinations 489
Solutions to Examinations 498

Appendices 505
1 Counting 507
2 Sums 515
3 Calculus 517
4 Exponents and Logarithms 525
5 Normal Table 531

Brief Solutions to Odd-Numbered Exercises 533

Index 549