December 28,2017

MA 202

Part I :
Probability and statistics

¥ class Test 1 15%

Exam 35%
Mid . Seen

tutorial )
Thu Feb 2018 ( during
Test
1
Class → , ,
.
.

ability .

We start with a random experiment .

) all
C denoted S or R is the set
of possible
The samplespau_
random
outcomes
of the experiment .

Examples :

Toss a
coin S =
{ H ,T }
Ci )
. .

1,2 3. 4,5 6 }
Roll a die S =
{ , , .

C ii )
.

I a- i. je
6 }
dice S { ( iij ) : .

l iii ) Roll a
pair of
Darts

¥-5
Civ ) ←
"
"
↳ " }
"
" "
" " "
.

"

PCD )
a
Arcade 2

ITC 1)
 Events .

subsets S to which one

consists those of
set events of
The of
meaningfully assign probability
.

can
be
not subset may
S though every
( event is a subset
of ,

Every
an
event ) .

events
F to denote set
of
.

Use

Examples
} { } ¢ S }
{
T
F = { H , , .

ci )
,

Cii ) f =

⇐ subsets
all of S
S set
of
=
set
power of

ciii ) F = PCs )

Civ ) F c- PCs ) F + PCs ) .

(
,

events F note that each

that the collection of
assume
We 'll always satisfies
Fe PCs ) )
subset S i.e.
F of ,

element of is a ,

( In particular ,
F is non -
empty )
) S F then
)
Ci e
for all I >
.

A F I

( it ,

Az to F i.e.
Ai belong
,

l Ii )
If ,
. - .
.

)
¥
lie Ai e F
# to F
.
.

,
Ai belongs

F their AC =
SIA is element F
) A C- an
of
If
C iii
.

T
complement of A

SIA =
{ XES : x ¢ A}
 F is won -

empty
Property ci ) ensures

under countable unions

that F is closed .

Property
C ii ) says
closed undertaking complements
.

that F is
Ciii )
Property says
which is
li
'
)
replaced by
TO that Ci ) is
Show if
"
then S E F
"
F empty
.

'
Ci ) is non
-

Ci )
'
czii ) ciii )
Ci ) Cii ) Ciii ) <⇒ , ,

show that , ,

if
and only if
.

exists BEF ( by Cip )

thus there
Ci )
'
Cii ) Ciii ) hold . ,

Suppose , ,

sod : .

Bu Bc = SEF
Cii )
.

) BCEF By ,

By Ciii
.

mean either finite or

countable
" "
we

Note When
,

:
- we
say

countable infinite
.

union ?
write BUBC as infinite
Can one
 Dec .
29,2017 .

with random
Start experiment .

the all outcomes the

The sampled S is set
of possible of
random experiment .

events
F is a
family of
subsets
of
S satisfying
The collection of

S F ( i.e. F is non
-

empty )
§
E
Ci ) ,

Ai
of F
Then is
elements so .

Ai Az
are

If
,
Cii ) ,
. .
.
.

, ,

AC SIA £ F
AEF then
=

If
.

C iii ) ,

Examples :

} # ES { H } EF
S={ H ,t
.

Ci ) .

S { 3 } EF
{ 3. 6 } 3 e
.

( ii ) S -
1,2 , 4,5 ,

{ 1,3 ,
5
} EF .

F
Definition with the family of
have the sample space
s equipped
)
,

Suppose we
is a function
( or probabihtymedme_
events .
A probability
[0 t
P F D
→ s .
.
,
;

Ci ) Pkf ) =o

Cii ) PCs ) = I
F ( i.e. Ain Aj =$
events in

pairwise disjoint
,

Ai Az are

If
C iii ) , ,
...

) then
whenever itj ,

PH ) Ai
=

IE Pai ) .

,
,

( s F. P ) is called a
probability space
triple
.

The ,
 Example p, ( { H} ) =P , ( ft } )=tz
{ Hit } F, =
{ ¢ s ,
{ H } { T }}
s
, ,
=
,

{ Hit } Fz F, Pz ( { H7)= 0.6

sz
=
=

Pz ( {T } ) =
0.4

FACT
space
Probability
-

be
Let CS F. P ) a

then
Pairwise disjoint
,
,

Ai Az
An EF are

If ,
=&
.

,
.

,
.

Ann Antz
.

Set

¥
. - . .

)
=

Check
,PCAi
:

PC ,§,Ai )
.

disjoint
pairwise
.

where sets are

have A ,A2
Now , ,
. . .

to
P
get
Now use defn of
¥ § Ai Also
.

,
Air
.

But ,
HAD
PC # Ai
) =
IF .
,

'
I%nAit¥pA
'

)
Thus PC # A ;) FEMA
.

5 AUAC
Check
.

=
:

1- PCA )
PCAC )
.
=

Let AEF Then ,

2 PCAC )
.

PCA ) t
PCAU At )
.

So
An Ac =$ ,

Also
*
.

- 1

3 .
let A ,

BeF.ThenPCAuB3-tPCA7tPCB7-PCAnBTQGs@Ch.t
" '

Eggimann .
 Examples and 80% either
bike 50% swim
Tnacommunity
i.
,
60% of people ,

that person
do the probab
a

( both ) What is .

bike or swim or .

random bikes and swims ?

at
chosen

that randomly
chosen person bikes .

let A be event
swims .

Let B -

0 8
PCA ) 0.6 p( Au B)
'

= = .

PCB ) =
0.5

PCA ) t PCB ) PCANB )

PCAUB )
-

PCA ) PCB ) PCAVB )

PCAN B) + -
=

0.6 + 0.5 -
0.8
=

Et
=
0.3 .

3
Let's check formula in .

( BIA ) A BIA are disjoint .

That AUB = Au .

Clearly , ,

Note

So
PLBIA )
,

PCA ) t .

PCAUB )
=

Bley
So PCBIA ) =
PCBVANB ) )
BIA ) .
,

Note that
=

PCB ) PCANB )
/
= - .

( BICANB ) ) SO
B ( An B) u
,
.
=

P ( \ Can B) )
PCB ) = PCANB ) + B

PCB ) PCANB )
PCBICAAB ) )
- .

So ,
=
 E
;c±nIEwptiI⇒m
spare
'

D= C

\
V
C

1
Dlc )
# -
s

disjoint .

So PCC ) t PCDIC )
PCD )
.

=
,

4 . let Ai B ,
C E F .
Then ,

PCBAC )
PC An B) -

+ PCB )
PCC )
-

+
PCAVBVC ) = PCA )

PCAN Bnc )
PCANC )
+
.

TO Check this !

-
S is an event i.e.
subset
of
, ,

S is finite . ( Note that every

Suppose
AES
F= PCs ) ) Then , for any
,

element A
.

in
#
-
of
PCA ) =
1¥
elements in S
NLS ) #
.

of
-
 P) be
Let CS , F
,
a
probeb .

space
.

style sphere P :
F → [ at

for i }
¥,A
S { XES XEAI some
Ai c = :

S →
sample space
.

{ Ai : leien } .
Here .
;

}
§
Ai for each Kien
Ai =
{ XES : XE

AiT=
,

subsets S
{ of of
.

have a sequence ,

Suppose we

for every i > }

xeti
1

I { xes
.

}
:
some i 31 Ai
Ai for
=

{
#
xes xe
.

:
Ai =
,

events C i.e. each Aie F)

3¥
,

{ Ai sequence of IN
Suppose
is a

for all ije

/ pairwise
,

disjoint if
IF
exclusive
the events { Ai is mutually
that
Say
,

have A in Aj=¢
with itj
.

we
,

De 's laws
:(I )c If At
(I
Ai
)° § AF

HE
=

Ai

}
Morgan
=

, ,

'T
CIA Iaf ( iIaij=e ae .

,
 Properties ( s , F. P ) is a
pro
bab .

Ap .
A , B. C ,
A , , Az ,
.
.
.
are all events .

(i) PCAC ) = i -
PCA )
A E B is )
( Note That assumption necessary .

Then PCBIA ) PCB ) -

PCA )
C ii ) A EB
=

If ,

PCA ) EPCB )
then
C iii )
If A E B
.

PCAVB ) PCA ) t PCB ) PCANB )

Civ )
-
=

PCBNC ) PCANC ) + PCAN Bnc )

PCC ) PCANB )
.

PCB )
- -

t
PCAUBUC ) PCA ) t
-
=

w) PC µ ,
Ai ) E
II ,
PCAD .

Examine at least
"
6
"
?
probability
one

rolled three times What is the

of getting
A fair die is .

" "
at least 6
getting
one
interest A is event
i.e. of
.

let A be event
of
,
,

Then ,
PCA ) =
1- MAC ) .

PIAC ) =

(5g )3
PCA ) = I -

(E) .

anbinatovial Techniques .

outcomes
with the case where S is finite C i.e.
only finitely many possible
work
,

Format ,
we
F PCs ) Further for A e S
Here
=
, ,

) equally likely
.

and each outcome is

random
.
,

the exp
.

of
PCA ) = NCAI = #ofekmenkinA_ .

S
NG ) # of elements in
 objects from A objects ( O< )
containing
rsn
DHI : -
An ordered
arrangement of
r a set n

the
is called an
r-ekmentpnmutati_ of A
,
or a
permutation of elements
of A taken

r at a time .

A elements is
set
number permutations of containing
n
The r element a
of
.

npr
n!(n)
=

-
r !

Example three bio and five music books are

put on

three statistics
That two anthropology four Cs ,
?
Suppose
,

together
,

That all books same subject are

at random What is the probability of

bookshelf
.

identical
books
.

two are
Assume no

event interest 17 books

Let
of
be
SOI A
.

sample
.

: Let S be the space

.

'

So PCA ) NCA)_
equally likely
=

,
is
.

17 ! Each outcome
.

Mls ) =

NCS )

×3 ! × 3 ! × 51 × 5 !
2 ! 4 !
NCA ) × .
=

PCA ) = 2 ! 4 ! 3 ! 3 ! 5 ! 5 !

.
÷
 have
Suppose
we n
objects ,
not all
of
which are distinct .
How many permutations ?

Let's answer via an example .

Examplefind BERKELEY
letters
distinct permutations of
.

the number
of
that X
8¥
=

Check
Let x be no
of permutation
.
.

theorem where n are

K
different types
,
objects of ,

permutations
n
of
The number
of distinguishable
alike , nz are alike , . .
- .
, nk are alike and ,ni=n
the ,
is

,
! nz !
n!n .
- - .
nk !

Jan .
2,2018 .

Definition objects ( ten ) is called

from set A containing
n an

objects
a
unordered selection of
r

An
the element A taken time
of r at a
combination
relementconbaon of A of
.

or a
,

(
denoted by ncr
A objects )
or
Total element comb set is
containing nr
a in

of of
no . r . .

-
"
"
w choose r
 npr
n!r
Note that ncrxr ! = ⇒ ncr =

! In - r ) !

txample and
deck 52 cards 7 cards are drawn at random (a) without replacement ,

From an
ordinary of ,

that at least
of
The cards is King ?
the
probability
one a
What
(b) with replacement .
is

PCA )
'

PCA ) l
.
-

interest
=

A be event
Let of .

replacement)
INF
cards without
PCAC ) PC 7
=

(a) = No King
in

PCA ) =
1-
( ttf )
⇒
7

(b) PCAC ) =

-487
527
Pc A) = It
(E)

theorem
1 Binomial expansion )
(F) "iyi
(
n
.

Here
"
× x. yer )
¥
,

here Cxty )
=
.

0 we
For any
n > ,

.
 Conditionalpnbabihihy odd number
"
3
"
Let B be event one
gets an .

a
Roll die Let A be event one
gets
.

Examples a .

basedonthisinformation
B has occurred and we compute probab .

of A
know
PCA ) =

lg
.

If we

MAIB )
denoted
conditionalprobabofagovenb
.

about the
,

we're
, talking
PCAI 139 =
0
PCAIC ) lz
.

=
s or 4
.

let C be event one

gets
.

PCAIB ) }
=
.

Definition PCB ) 0 then The conditional

events
If
>
and let A. B be .
,

CS F P) be a
probe b. space
let ,
be
.

to
A B denoted PCAIB ) ,
is defined
probability of given ,

PFAIB ) =
PCAIB) .

PCB )

Ay for Ain Azn Aznaq

A. Az As
.

events A B Write
Notation : . Write AB for An B for ,
.

Given That three are

random ( without replacement

) from deck
of
52 .

cards at
Exampled Draw eight
That rest spades too ?
probab
are
what is The .

spades ,

least Let A be event That all are spades

have at 3
spades
.

be event we
.

Let B
Solution
Want PCAIB ) .
PIAIB ) =

M¥3,34 -

( log
)
PCA ) =

PCAB )
as
AB = A =

spades )
£ PC Exactly x
( At least ) =

PCB ) =P 3 spades
X=3

8- X
non
.
spades )
=
×÷2g
PCX spades ,

8
E) sex )
z
-
=

x⇒ a

(¥)
So PCAIB )

Estee
=

PCB ) ¥0
←A. PCA ) ¥0
.

events t
,

B be s .
.

PCB ) PCAIB )
PCAB )=
PCAID
.

|
PCAIB ) =

Multiplication Rule .

PCB )
PCAB ) =
p( A) p( By A ) ,

PLBIA ) =
PAB)_
PCA )
 PCBC )
PCABC ) = PCAIBC ) PCBC ) provided > o

PCBC ) > 0

{ provided PCC ) } not needed once

.

PCBI C) PCC ) 0
>
PCAIBC )
.

An ) PCAZ An ) o
provided
>
PCA I Az An ) PCAZ
. - .

An )
.

PCA Az
. .
. .

.
= , . . - .

,
. .

An
= PCA I Az ,
. .
.
An ) PIAZIAS . . .
An )PfAs . . .
)

An ) PCAZI As An ) Plan ilan ) Plan ) Law

of
PIAIIAZ
. .

= . .
. . . .

multiplication
.

.
. . .

÷n.8,2O=
PCB )
if
> o
PCAIB ) PCB )
.

PCAB ) =

PCA ) > 0
PCBIA ) PCA ) if
.

I
0
PCAI An >

) if
,
An
.
. .

PCA , Az
.

An i )
IA Az
-
,

Plan
.
.
.

)
.

An
.

,
-
.

PCA , Az
=
.
. .

An ) PCAZIADPCAD
Ami ) PCAN IA ,
MANIA
-2
.

Az
.
.

,
.
. .
.

= . .

,
.

multiplication
.

law
of
 Examplellrn
contains 5 red and 4 blue chips . A total of 4 chips is drawn sequentially without
replacement .

colours alternate ?
that
What is pvobab .

red ( resp blue chip ) ith draw

chip .
on .

event
) getting
a

let Ri lrup Bi be of n
it
For
.

e 4
conditioning
1
,
're
PCB 122133124 )
PCAIB ) → we

PCR , 132123134 ) + "

1
-

We want on B

( Rs IR Bz ) PCBZI Ri ) PCR ? ,

P ( 134114132123 ) P ,

PCR , BzR}Bq ) =

3g
.

4g .

4g .

5g

B , 122 ) PCRZIBDPCB )
) PCB }
,
1
PC 1241131122133
PIB 122133124 )
=

details )
,

( fill in

=
- .
.

Law total probability From the picture ,

of -
t PCABD t PCAB , ) t PCABQ )
PCABD
A P (A) =

|¥a¥#yT
=
PCAIBDPCB ) ,
t PCAIBZ ) PIBD t PCAIBD PCBs ) t PCAIB 4) PlB¢)

probab
-

(s F P ) -7 space
.

precisely
.

Now more ,
. . .

it
,

¥ Bj= of
sit S Bi and Bin whenever
collection events =

}
.

Bz Bn be a
of
Let { B , , ,
. .
.

Bi 's are mutually

Bn } Partition of s
i. e.
,

/ pairwise disjoint
a
{ Bi 132
.

Call ,
exclusive
. .

,
.

,
Let A be event
any
.

A = An S = An
(¥ ,
Bi
) =

it,
CABI?

PCABI )
have PCA ) =

§e .

pairwise disjoint
we
B, Bn are ,

Since
,
,
.
. .
,

then
get
we
PCBI ) > 0 for all i

If
,

total )
"
( Law probability
) of
.

PCA ) =
[ PCAIBI ) PCBI
irl

to machines I I with
probab .

ExampI anted
-

it is
arrives
# I When
job
,

labelled I. I
probab
,

produce defective
.

machines I output
,

Four I w .

The
.

machines
task
-

Also a ,

0.4 0.2 resp ,

given
0.25 0.15
with object probab that
.

what is
making
,

tasked an
, ,
,
,
is
.

factory
o.O ,
,
0.02 ,
0.05 ,
0.1 resp .

Tf

defect free
will be ?
object
.

each event A B. C A Az etc

what
.

, , , , ,

to make it clear
need vent
On
[ Note : .
any exam , you

represent ] .

i
task to machine |gi<
event That is
given
,
y
Bi be
Let
PCAC ) PCAC) , Pca )
Want
= -

defective
.

item is .

A be event
Let PCBD 0.4 PCBD 0.2
1327=0.15
=

PC
174317=025
= .

PCA ) =
Y§gp( Alpa )p( B ;).
.

PIAI PLA 0.05

PIAIBD = 0.01 1327 = 0-02
,
1133 ) =
PCAIBD
,

to -1
 made I ?
The what
probab it by machine
Follow
If known to be
item is was
is
!
defective
.

up ,

Ptt 132 ? PCAIBDPCBZ )

P ( 1321A ) =

-
=
- "

PCA ) PCAIBI ) PCBD

,§g
-

January 9,2018

Bayesian
A
kit Then for any event
{ be PCB ;) for all n ,
let }
Bn
partition
,
Ba o
of s
.

Bi , ,
a
Suppose
>
,
. . .

we have
probability )
n
total
) PCBI ) ( Law of
PCA ) =

ZPCAIBI
its

then
Fix 11 Ken
PCA ) 0
Suppose
>
.

Theorem
PCAlBk)PlBk)_
'

Bayes
PCBHA ) =

Mapping i
ie '

'

YBHH.tn#pcAlBisPCB= |

Example 44 of dots to
dashes and 46
of
comm system changes
transmitting and signals dash a
dot
.

transmitted are dots and 60% are dashes what rs

probab
dok 40%
.

to
If of signals
,

dashes .

dot received transmitted dot ?

that a was
actually a

that dash is transmitted .

dot is transmitted and Bc bethe event

let B be event that a

PIB ) =
0.4 .
PCBC) = 0.6 .
Let A be event that dot is received . Want PCBIA ) .

PCBC ) 0.6
0.4
=

PCB )
.

PCAIBC ) =

to
PCAIB )
if
.

=
.

PCAIB ) PCB )
Bayes
'
theorem PCBIA )
By
=
,
-

PCAIBC ) PCBC)
PCAIB ) PCB ) t

ttitfo
they
-

Independent Always CSIF P)

, ,
given
.

B independent
that A and
if
are

Suppose A B are events .

Suppose PCA ) > 0 ,
PCB ) > 0 .

Say
PCB ) )
PCAIB ? =
PCA ) ( or PCBIA ) =

Cii ) reduces to
and
,

O
PCA ) and / or
PCB ) equals ,

works when
which Ci )
Want defer of independence ⇒ PCAB ) PCAJPCBY
a =

⇒
.

PCA ?
PCAIB ) PCPA.BZ#=PfA7
[ scratcwwork
=

when PLA ) > 0 PCB ) > 0 ...

above
.

PLA ) MB )
PCAB )
independent if
.

A B
=

Deft :
day That events are

PLA ) PCB )
-
,

PCA ) PCB ) PCC ) PLAB ) =

,

PCABC )
if
,

independent
=

that events A Bic are

Say
,

PCB ) PCC ) PCAC ) PCA ) PCC )

PCBC )
=
.

=
,
 I In for distinct
K
Events Ai ,
Az ,
. . .

,
An are said to be independent if P ( Ai ) = PCA ;) and
any
,

events Aj , , Ajz ,
. . -
, Aja ( k= 2,3 ,
. .
.

,
n - I ) ,
we have

Pins Aji )
=

¥ ,
Pttji ) .

←
mid
Problem 10 Given CSI ,
P ) .

(a) Show that Set , of EF .

Since F there exists AEF So ACEF So AUACEF i.e. SEF

is non
empty some ,
.
-
, .

,
.
,
,

So ,
Sc =
of C- 7 .

(b) If { An }T= ,
EF
,
then
§ ,
An EF .

,
t ÷ n 31 ,
An EF .

F
T
Anc EF t n 71 So Anc e which implies
Since An e F Anc e F .
Now ,
.

, ,

,
n=l

'

( all ,
Anc
) e F

Attn÷
'
'
An
) =
n
n - I n -1
 Find { 13nF of pairwise disjoint events t
EF for sequence
.

An
a
.

(c) let nzi

every
.

for all n3i ,

pynn Ai =

§ ,
Bi ,
and
¥ ,
At -

¥ ,
Bi .

Aiu As ) In for n ? 2 set

}\ ( general
,

A
,

Al Bz Az\A
.

Let B, = let =
,
,
Bz =

Bn= An\(
II Ai
) .

for
let jcx )
If
Ai kiem
Bi ⇒
In
some
that Let Ai xe
.

Ai XE
Now check =
UN
.

,
,
it
- in
-

RHS XERHS
¥
Bi
.

LHS i.e.
⇐ ,

Bjcx ,
.

,
Then XE
N } sit XE Ai
{
.

i 1,2
.

the smallest index E , ,

. .
.

be

is
Other direction easy
.

LHS e RHS
Thus
.

Bi
for
§ Ai ?y
.
=

Work argument , ,
,
•

ZPHN
'

I )
'

(d) Let An e. F An > i. show that P

( ,
An
n
-
I

PCBN ) PCAN )
Bn s An So
E .

Cc ) Note That .
,

Bn > I be as in
part
.

Let ,
n ,

¥
{
' An "
) Z
Non £
#
1

PCBN )
( I. ) =P Bn
'

P an
NZI

Fanta
by
,
since Bn 's are

disjoint
pairwise
 Tutorial
)
Problem 7
by
partld

FAN e F An > i.
show that P( § ,
An
) 31 -

¥ Mail .

gpnbfgm.la

#
-

B
PCBC ) P(n§ Anc ) II.
PCAE )

⇐ If
=

)° Anc so
Now Bc An =
, ,
PCBC )
=

PCB )
.

=
I -
. ,
,

Plane )
a

) ⇒ I PCBC ) 2 I
§q
-

PCANC
So PCBC ) [
-

-
x -

,
-

not
PCB >

P( I. An
) > I -

{ Ptti ) .
 Random variables

F. P ) be variable lrr )
Let ( s ,
a
probability space .

Roughly ,
a random .
is
simply a real .
valued function

whose domain is S .

Examples
( number heads Here S={
( i) Toss a coin fair ) thrice .
Let X be the
of .

,
HHH ,
HHT ,
HTH ,
THH ,
HTT ,
THT ,
TTH ,

F= PCs ) Here X :S
→ R defined H TTT }
( )
.

TTT
,

:
f }
.

w
TTT
=

if
we

we { HTT , THT , TTH }

if
( }
THH
{ HHT HTH
Xcw ) if
= we , ,

HHH ( we { HHH } )
if
we
3

Defn R called random variable ( )

A
nv
function X :S
'

→ is

Teti
a .

F. P ) be probab space
.

( s a
.

F
,

} E { S Xcw ) ⇐ } c-
{ X
: x
ex we
.

xeR The set

V.
if
,

x ECO domain
× }

#§FR
{ we S :
Xlw ) Ex } =
{ Xtx

xerlcodomain
- x
q
# / shorthand
-

the
v.
.

↳ if
× is r .✓ .

set { Xex } e F
} E { S Xcw )±x }
.

we :
Ex
 Let's how this works in above example
definition
.

see

needs to show that HXER ,

X
one
show that is r v.
) To
of fair
a ,

(
.

Three tosses coin

Ci )
.

wes :X < } is in F
{ )
( x

{ X } I
w .

Ex
the set
values
of
a
for
.

what { X Ex } is ,
various
Let's see

§
0
if
x<

¢
i
O<x<
if
?#,*
?
{ " " ' =

iexa
, ... . , it
<3
S\{ HHH }
if
2£ x

S
if
3±×

Definition R be the cumulative distribution function

X :S
→ r
and let a ✓
-
He
. .

P) be a
probab space
.

]
is the function F ! R → [ oil
defined by
( f.) X f.
c. d. of ( Note that domain of c- d.

P ( X Ex
) =P ( es :X ( w ) Ex
) )
of
w rv
Ftc ) domain
.

is co
.
.
 ?
What is c. d. f. in Ci )

[ ] Fcx )= PCX E x
)

•O
F R → Oil
( i) ( cont 'd ) : ,

1 -

if
" < °

o_0
o_0
71g
-
-
- -
- .
-

<
0£
if
1
' '
48 in

f;
.
.
-

'÷:s÷¥:n
it
e. "

,
.
3 ex
1
if

then { YEX } E { YE p}
⇐
R with &< p
If .pe
.

,
a ,
r.ir
Let Y be a
.

of Y
-

df
÷
G is
EGCP ) where c. . .

) Thus GH ) ,

) EPCYE p
( ye
,

so P &
.

Jan .
16,2018

Let's look at some further examples of rv .

V
check that Y is a "
One
'

( ii ) Roll two fair dice Let Y be the the numbers dice

can

of
.
sum on .

s =
{ Cij ) :
leiije 6 } .
Y( ( iij ) ) =
itj .

Y takes values in { 213 ,

.
. .

,
12 } .
C iii ) Dart board S= { lxiy )ER2
:
xlty
'
El } .
Let Z be the distance from point where dont lands to

,/xityT Z
check that
Let's is a r.ir
center the board Zcxiy )
.

Here
=

the
of
.
.

show that t re R { Z er } e F
Need to , .

S Zcx y )
er }
{
:
} Cxiy ) E , .

e-
Zcw )
=
r
S
{ Zer } =
{ we :

§
< 0

if
r

it 0£ " '
" }
{ Ztr } =

's 'eR2 : 't +5£

'

nity
't I } r > l Fer )
gay )eR if
:

÷÷÷t
For ) FCMEPCZ er )
Let F be the c. d-
f. of Z .
Write .

#
if
r< o
o

|
for , p 0€ re ,
if
=

r > 1

if
1
 The
let × be a r.ir .
on ( s
,
F, P ) with a -
d.
f .
F .
Then ,

following Properties hold

F Flx ) E
Fly ) whenever x <
y ( Why ? Fcx ) PCX Ex ) Fey ) =
PCXEY )
is men
decreasing
=

)
.

( i
-
i.e. ,
. ,

Since xcy ,
{ X Ex } E { XEY } .
so PCXE x ) EPCX <
y ) ) .

lien PCXET ) One rigorously )

1
→ can
So
=

PCX Et )
lim ( WM ? Fit ) = ,
.

(2) Fct ) =L .

t → a
show this .

t → a

(3) lim FH ) = 0 Can be

¢proved .

)
t→ a

for
.

Fltt ) FCH
Flu Flt ) Write
.

te R lim ' =

for
.

any
,
continuous i.e.
F right u→t+
,
(4)
,
is
-

Flt ) exists
Feu )
- .

lim
=

ttcr
point
i.e.
limits at each , , ,

(5) F possesses left u→t -

both )
'
'

which are neither C i.e. , possess

features of .

' r v. s and r v. s
discrete continuous
.

.
,
v.
Note There are r . s
,
: -

a c. d. f. !

Every
r . v.
possesses ( p.m f.)
function
.

to probability
mass
discrete also have access a

When with r v. we
working
.

CP
d. f)
density function
-

continuous -
, -
probability
-

!
e. d- f. makes sense for every v.v .

Again ,
 with Cb
Below ,
a , be IR a .

Feb ) Fca ) ( Why ? { XE b } = { XE a } u { a< Xeb } .)

Pc X c- b)
-
=

(6)
.

a <

\ /
disjoint
Eb )
so , PCX 's b) =P ( Xea ) + PCACX

b) ⇒ Fca ,

}v{ X a
}
×⇐R}={
>
Fla ) ? Xea
PIX a) I -

why {
(7)
>
= .

\ 1
of
disjoint
.

P( Xea )
PCX 1
-

a)
)
=
>

PCXEA ) = Fca '

( Of
.

course
Fla )
,
=
I -

find the following facts useful

.

We will
then
events Ai EAZE As E . .
-
.
,

have an
increasing sequence of
If
we
(A)

|"#@€sy;a
Pan '

PHIAY new
=

An
 events B 21322 then
have sequence of
If
,

(B)
,
.

,
. . .

we a
decreasing

PKIBD
'

Foam

M¥4
"

Bn a

Bin
n
this
} {
'
In } check .

XE a-
( Why ? { X< a
My
=
.

(8) PIX < a) =

Fca -
) ,

÷ .

events
of
.

sequence
Here ,
An is
increasing

So '
In
) F( a-
'
In
) = Flat

( Xe a-
P
=
lnign
,

PC×< a) =

lnign .
.
 I FCA ) ( Why ? PCX >, a) I PCX < a)
a)
=

PCX
- -

(g) >,
=

=
1 -
Fca . ) )

{ X } { Xc a }u { X=a }
Fca why ?
Fla ) ) c- a =

PCX a) = .
-

( io
-
)
.

.
joint
PIX a)
PCX< a)
-
+
PCXE a) =

7 ⇒ Fla .
)
at
F is continuous

in F at a i.e. Fla )
-
Fla - ) .
In particular if ,

the ,
jump
,

Thus ,
PCX =a ) is
exactly
then PCX =
a) =O .

a ,
at
discontinuity
a
F has
iff
.

Thus P(X=a ) > 0

,

X < b }
} { Xea } u{a< .

{ ×< b =

Fcb ) Fca )
X< b)
-

Plain
-
.

(a)
+ PCacX< b)
PCX ea )
PCX< b) =

Flb ) Fla )
PCAEXIB )
-
-
= -

( 12 ) -
Fla )
( 13 ) PCAEX <
b) = Flb -
) -
Fla -
) Flb ) -

o×Efci
µ
with d 't Compute PlX< 2) ,PCX=2)
X be
,
Fix )
=
Let c.
Example rv
.

,
.

2- X< 2
1/2 1

P(ltX< 3) ,
PIX > 3k ) ,
Zexcz
ttz
⇐ * 73
P( 24<7 )
1 .
.
Discrete random variables .

Note :
-
countable =
finite or aeuntabh infinite .

taken
by X
The set values
Let X :S R be
If of
on
( sit P) be →
probab
a v.v
Let ,
a .
space .
.

) countable then X discretely

range of X
lie .
is ,
is called a
,

probabihitymassfvnctionlp
the countable set E =
{ x , ,x↳ .
.
. } The
values in
.

Suppose X is a r.ir .

taking
the function to
: R →
[ on ] defined by
.m .
f.) of
X is

PCX =
x )
pcx ) }
=

¢ E { x. xz

if
-

0
.

,
x
.
.

,
.

)
Also pcx
-

R
for an x e ,

70
pbe )
.

Notes c i)

Clearly Ai Aj of if itj
=

£17647 { X=xi } for 1.2 , .3 ,

.

i.

[
A
,

Let
.
-
.

) check
=
= 1
C ii .
: .
; ,

Mst
(§ )
i " '

§
so P Ai
.

Farmer { ×=x :}
=

,
= s . ,

Edgily
=
I
⇒
)
§gPfAi I
=

pcxi )

to be
necessarily satisfy
What are the conditions P must

Q: '

Suppose p : R →
to D ,
is
given
.

Y ?
f. of discrete v.v .

p.m some

Zpix
The countable set
9 be
.

let
.

aeuntably
x
all but many
for
.

) 0
A lil pcx
=
: -

( ii ) ) =L .

xeg
 function P R [0-1] satisfies
Note If
: →
. a

E countable
Ci )
pcx >
= 0 for all x
¢ E ,
where is

lii ) z =L
pcx > ,

xeE

rv X which has
p as its p.m .f .

then there exists a

.

E×amPI number heads let p

be the Pint of X .

fair Let X be the of

.

coin
Three fwps of
.

{ } =%
PC 27 318
pls ) 4g
Plo ) 4g
= =

finite pa >
=

set 0 '
'
i 2.3 ,
.

values
,
in
X takes ,
.

{ 2
33 thm
¢
0 '

if f. from p.m f. ?
'
x ' ' '
)=o How does d.
pcx get
-

one c. .

f. then

if
° d.
F
If
' ← is c-
18 ,

x=1
318 for XER
fix ) Zpcy )
.

* "

II:
"

. | gettin
otherwise .

0
° 0.5 FCX )
- .

Note
If
a = -

: .
,

That sum over of B O .

convention
Using
 In for KER Fbe ) =

-2 ply ) [ for discrete r v.

'
s
canoe
do this for cont .ru .

]
general
. .

,
,

YEE :yEx
countable
1
value
Definition values E E R The expected .
of possible
and set
.

p.m f.
)
discrete with pix
X be
.

rv
Let a .

to be
denoted EEX ] or ECX ) or EX ,
is
defined
X
of ,

The converges absolutely

.

series

EEX]
) provided
xtzqxptx
= ,

Note : -
value .

average
=
mean
expectation
=

value
=

Ci ) expected
absolutely if
where an ER
Say
that The series
§gan converges
Consider Egan
.

C ii )
xeni
text it
pix , =

{
←2 lanl < a .

O else .

not
y a

to x€N E. pen ' 1

-

IN with
Pcxtffyxp
.

€Yu÷P¥ values in n
taking
1
-

be a
discrete rv .

diverges
IE
This series
Ig
.

Efx )
x.
Here
.

,
,
 Announcement :
Office hours from 16:30 -
17:30 on Thu .

,
Jan .
25

Let X be a discrete rv .
with p.m
.

f. pix
>
taking
values in E .
let
g
: R → R .
Then ,
g( X ) is a r . v.
.

Efg ( x ) ]
) series
absolutely
gcx pm provided
BY )
converges
GCX )
.

is
given
,§g
= ,

The expectation of

]
above
Notation EN )2 defined
quantity well
[
as
( this is
provided
. -

E ×
.

Van ( X )
-

defined to be ,

of X is
The variance
not exist ]
will definitely
.

exist Van (X ) .

not
EFX ) [ If EIX ] does ,

Write µ
-
?
about µ
on
average
.

does X fluctuate ,

how much
of X
value But
average
.

X deviates
[ how much
Intuition µ gives measure
of
:
want
to
.

if
a
0 we
EEX M = '

X
-
,

about µ
function
-

µ
:
.

Fluctuation X
of should take a non -

negative
from
]
we
µ
TO
,

EFX ] tb for constants b.

[ EFAX + b)
a.
be EIIX µD
a
that One would
=

Check X option
-

of µ
- .

A more
useful measure is Van ( X ) =

Eflx -

µp ] =

Ef ( X
-
MY ] .

]
exists the standard deviation of X is defined by 0×= Ivax
Van ( X )
If
,

ETXI then Van ( X ) EFXY -

( EIX ] )2
Claim
=

If
: < a .

-
,

[ One can show that

if EIXY
< a
,
then EIX ] exists ) .
TO )
 Let
µ= EFX ] .
Van CX) =
EFCX -

µp ] =
Ef X2 -

2µX t µ2 ]

EFXY -

2µEfX7 + Etµ2 )

ELXY 2µr µ2 EEX ] µ2 EfX2 ] ( EIX ] )2

=
- = -

+
-
=
.

R Hien we have
constants aie
p.m f. pix )
) R -7 R ,
,

(
!
X with
For discrete gi
,

Claim
.

,
: -
r.ir .

:C X ) ] TO
E[ aigilx ) ] §yxi Efg
=

ME
,

GCEIX] )
!
Note : -

Typically , EIGCX ) ) +

µ=E[X] Let
exists r > o n > 1

X be Suppose
,
rrv
Terminology Let
.
.

a .

nth
EIXM of X
moment

rth moment
of X
Eflxlr ]
absolute .

EECX µ)
"
] nth central moment
of X .

a×+b¥2van(
-

be R have Elaxtb ] = a EFX ] + b Van ( X)

X constants a. we
For
,

Facts
,
rr .

•a×+b
=
lalox .

@
Some frequently
'
encountered discrete r .
v. s .

Bernardine Prob
with two outcomes success ( s ) failure (F) We assume
p
=

of
s
random experiment
.

: ,
,
trial
.

Bernoulli :

Prob F X Bernoulli trial called

tp The is
which counts in
of v. no successes a a

of
= . . r . .

tsp if
(
x=1
X Bernoulli them its
Pmt

Banonltinvif
is
If
is
put
,

* o

0 else .

Van ( X ) =p Ctp ) dpctps TO

Cheek that EIX ] =p , EEXY =p ,
,
o×=

Binomial
.

be the number
have Bernoulli trials each with
prob of p Let X of
successes .

We w
independent
success .
.

and The f. of X is
X is called a
binomial with parameters n
p p.m .
.
.

"

"t5
"

alt it
⇐ air ...
n

p
{
. , =

O else .

] n2p2 np2t Var ( X ) a- p )

@
'

EIXI EEX np np
=

that up
± = -

One can check ,

 Poisson rv .

values zt { 0,1 2
} is said to be a Poisson with parameter X
in
X
if
.

= , t.ir
taking
. .

A
,
.

fix x > o .
r . v .

X has the p.m

.
f .

"
xea
IF
.

5 it

{
,=
pcx

0 else .

set Zt
3 ° for all a € R .
Also except for the countable ,

' ,

pix
this indeed p.m f Clearly ,
a
that
.

is
.

Let's check

else Finally
is
everywhere
,

Zero
.

)
pcx

E÷
II. ←
×¥ et E.
Eaton
=

x
@

EIX ] X Van LX) -

X EFX ] = litx TO
Poisson It ) then
= ,

Claim If X
,
~
: - ,

- "
X OR
I Poisson distribution
with parameter
" which has a

Read as X is a
r.ir .

"
A
with parameter
.

" Poisson r v.
X
.

is a
 Continmnsrandmaabes
G. F P) with c- d-
f F is said to be a
continuous if there exists
X
.

A r.ir
defined
on ,

the function f called

.

is
for
,§
XER the
all
If
case
du such is
flu
,

Ex ) )
)
.

f [
=
.t
: R → 0
,
a s .

X
p@kFtndnnCp.d
. f.) of .

then is also
points g
finitely
,

) except perhaps at many

R →
to ) with f ( above
Note
If agrees
a

g
:
: ,
x
XER
-

fgcuidn for
all .

FK )
X
=

a
p
. d. f. for ,
i.e.
,

- A

d- f. F and p
.d .

f. f .

on
(s F P ) with c.

Let X be a cont .
v.v .
, ,

Notes have f > I

and
may
so we
.

probability
:# density of
,
Rather it is a
is not a
probability .

XER }
a

S U An Here S -
}
{ X }
.

=
En
Clearly
§ flu
An
.

2 I Check : Let = .
,

)du
.
=
n=i
.

-
p
events So ,

sequence of
.

The An 's form an

increasing

I = Pls ) =

nligna
Pan ) -

nlignafanfeuidu
=

I feuidu
< to Pla < X Eb ) =

fabfhndx .

b R with a
For c- ,
3 a.
any
.

;{ ↳ the )dx §fcx)dx

=

fcxxsdx
.

PCXE b) PCXEA )
-

Fla )
⇐b) Feb )
-

Pla X
=

<
-

? =

why
 PCX a) ⇐ for 's ]
[
4 For AER 0 holds continuous r.r.
only
=

any This
.
.
.

"gMisnBfft
.hn
slteguemnaa
Bn 's form a
decreasing

F{a-yn<×±@
-7
?
WM { X=a}=
n=1

Xlw ) Ea for all n

⇒ we RHS .

Yn
.

⇒ L
WELHS ⇒ Xcw ) =a . a-

Suppose .

⇒ WELHS
Xcw )=a
.

so
for
.

n ,

Xcw ) ± every
.

a
Now
we RHS ⇒ a- yn <

suppose
.

So , p(X= a) =
him P ( a- 4n< XE a
) =
thing
.
f fix )dx = O .

n→ a
a- 4n

PCAEX < b) = PCa<X< b) =

§ fcxsdx .

b) Place Xeb ) =

5 Pca < XE =

)
.

For cont 415=0

Fca ) Fla ) a rnv .

,
.

- .

PCX a)
(
.

Reason count
=
: or
r.v.rs continuous
out
.

F the
of
.

6 The c. d.
f .

differentiable
.

F is
almost everywhere
.

[ For this class ,

7 F is
differentiable
)
.

Then Cale
( by Fund
. .

ftx
.

exuptpuhapspaatntipnigtetynmany
F 'Ge)= §fct)dt
=

XER then da
at
F differentiable
,
,

If
is
= a

F
'
.
.§futdt ddzfatfaldt
fjkfcttdt § Htldt
- =

Fix ) =
# .
day
 Not : . Let X be a continuous r.ir .
with c. d. f. F and
p
.
d- f. f. Then ,
F and f are related by
K

points continuity of fcx >

ffatdt flat Fkx ) at all
of
Fix >
.

=
,

Example
1
Uniform rv .
on ( a. b) .

[ Here -
a < a < be a
]

¥-50
fcx )
.

X ( b) has the p d- f.
uniform
a.

-
/
.

A r . v . on

b X ~
Unit Ca b)

bta if a<x<
,

fhn={ else
b- a

|×=
if x< a

check that c- d- f. is FH ' -

a<→<_b
( D I
-77
if
.

b- a

if x b
1 >

2
Exponential
rr
X ~
Exp ( X )
.

distributed with
parameter t X has the d. f.
La . x > o .
A continuous rv . X is said to be exponentially if p
.

* ( Could have said a > °

)
if 70

µ
to ×

{
fix , =

else
O =

Check indeed
p
d f C D. In )
that flx ) is
.

.
a .
.
 *
e- )
if
0
Fix > C D I. y
given by
d- x
f.
1 -

check that is ) =
.

c.

{ 0 else

normal XN NO 1)
3- Standard rv .
,

to be standard normal rv ( written X~ Nco 1) ) if X has the

p.d.fi
X said a ,

A is
.

continuous r.ir .

X%

#
-

R
1- for a €
fcx )
fix
e
) =

VZF

Fh¥yIeIE¥a .

.£*ytn=5t%dt=
- a
1

Remains to show
for an x
.

is indeed p d.
f Clearly fcxszo
.

the > above a

that
.
.

Let's
,
check

[ Aside : . Let's compute It

.§e±%dt .

§ fdfangysdydx
-

( fabtcxdx )(§g4)dY ) .

# ) (I et%dy
)
*
kdx
'
I =
e-

region of integration
§§
to coordinates lrio ) For
polar
f- k¥9 ]
.

exp dydx .

Change
.

O E r < a 0 E A EZIT
,

"
r%
J=
fEr%rdr
I2= § § e- rdr DO =
§ ( §Er%rdr| DO 2 'T
=
°

u=r4z du =
rdr

-
.
]
"

I =
HIT
J J =
f 5 du = 1

o
 density =p d. f
Examples
.
.

The time it takes for a student to finish a test C in hours ) has a

density of the form
Ka
if
' < a < 2
" ← ' > I

fix
{
, =

0 else .

takes student to finish test

randomly selected
time it
function
}
( b) Calculate distribution of a
D. [ y
find
.

( a, a .

that student finishes test in < 75 min ?

Find
.

(c) probab .

Expectation
denoted EIX ]
fins The expectation of X defined by
is
cont with p d- f. then
If
is
X
rv ,
Deft :
a
.

. .
,
.

?
requirement
§
this
absolutely
←
Why
EFX ] xftx dx provided integral
.

) converges
=

§ Xfcx
,

-
EFX] xfhndx ) dx
§
.
=
+

§
.

i.e. , ixiftx ) da ' a '

Riemann
- a =

gaxfex
, an -

↳ tostada
Justification using sums .

Expectation
=
expected
value
#
= mean =

average
value
,
- 1
- ± ,

"
But is not
"
( )
possibly
a a
a
-

Iz well
defined
.

that Ii are
-

Note ,

Ii Iz
least
EEX ] if
at
of
" "
well one ,

defined
is
defined
-

well -
.

To finite result need both I ,Iz to be finite

finite
.

get
we
is .
,

finite
iff
both I t Iz
that Ii Iz < a

have
.

are ,
Since I , ,
Iz 3 0 ,
we ,

But I + Is =

f lxlfixldx Hence , The requirement .

.

-
*
 Tutorial Show
PCXE ) for all XEIR Suppose X is
symmetric
PCX )
- n .

symmetric
.

-
x
>
#± × is

(a) NIXIE t ) =
ZFH ) -
1

(b) PCIXI > t ) =

211 -
Fits ] symmetric
X is

PCX -
t ) =
Flt ) t FC -
t ) - 1 since
(c)

-
PCXZ x ) =
p(×< - x
)
PCXEX ) 1-
-

PCX a) 1 -
=
>

) FXER
MX PCXLX
.

> x ) =

Let t 0 PC 1×1 et )
=

PC .

t<×< t ) t )
(a)
> .

= PCX a- t 7 - PCX >

]=
→
ZFCH
)
1
[ FCH
-

t
PKET ) PC X< fit )
1 - .

= -
-
-
=

= Fit ) -

[I -
PCX > -
t ) ]

=
Fit ) -

[ 1 -
PCXEH ]
=
Fct ) -

[ I -
FH ) ] =
ZFCH -
I

P( 1×1 ) PCIXIET )
=
1-
(b) > t
.

.
= .

fi Fttif Fat + Ftt ) 1

PCXLT ) t
) FH )
= -

PCXET ) Fit ) PCX

.

>
-
= -

p(X=t)=
- -

- =

( c )
 Note Let X be a cont r with d. f. fix ) Let h : R R Then
: v.
p →
-
. - .
.
.

Elhlx ) ]
.§hixsfx)dx
=
,
provided integral converges absolutely
( i. e.

§; lhixyfcxsdn < a
) .

@
€×%"P÷ is called Carthy
< a
rv
< n a
.

foe
a
c-
f.
-

with d. )=
p
.
,

x2
.

It

EFX) does not exist

(b) Show that
.

(a) Find c .

cart with
p df few ) and EFX ) =m .

be rv
Notation
.
.

Let X a . .

X )
Van IX ) =

Ef ( X -
m )2 ] ( Variance of

not exist
May
.

)
0×= draw ( standard deviation
of X .

be real constants
IR Let an
.

R to &
functions
,
be
mapping
,
hn
.

,
. .

hi ha
.

Let
Claim :
. .

, , ,
.

Then
cont rv
with pd f. fix )
-
.

let X be
.

a .

TO
Ef IE ,
dihill )
)
=

¥ ,
xiethilx ) ) .

hi I EFX] )
! Note that EEHICX) ) =/
Warning
 Note that VARCX ) =
EIXY -
( EFX ] )2 .

2mEfdtm2EIl1
MY EEXY
EFCX MP ] EfX2 zmX +
-

EFX )
=

Van ( X )
-

Check :
=

Let
.

=
- m= .

M
|

=
EEXY
-

2m2 + Mr

=
EFX ] - m2

Example
EIX ] EIXY Van ( X )
TAX Exp (d) Compute
.

"

tej if
~ .
, ,

f. text
{
X has d-
X Expo ) if
P
.

that

.ge?0#EfX1=.f*XtIx1dx=fSxXei*dx=..
Reau
-

.
( Int .

by Park ) D. I. y .

( EFXY ) [
D EY assume
Vaulx ) safely
EHY
→
.

yt
.

Should get
=
.

lxlmeitkdx
,

§
< a

]
.

0
all >
for
m
.

€×Tft÷ no , , evaluate EEX ] ,

Etxt ,
VMN ) -

×%
.

,
,

for XER
f. toe
yte
Y has d- ) - .

Y~ Nco D their p
If
.

, ,

checked that
.§lx1flx)dx<
a

should have
.

[ Technically
we
,

×%d×
↳ 5 =O this Write a
Efy ] X. case

ate true in
.

= .

§×¥#e→2dx t.ftx.ee#hdx .
]
 EEXY =

.§x2 .tt#e*hdx=2Tonyt..=ea%da=y2zfgx2et%da
.

n2en%dx dv=×e*%d×
Integrate by parts
u=X
I
§
= .

Hk
du= dx v = -
e-

I =

( -
xe→%
µ
-

§ -
e→%dn =

WHY§et%dx +
=

.§e→%dx
be

e→%dx
4¥ .§ :#
=
.

1-

Thus EEXY = 1

EFCX MM )
,

'

them
( May easier
'
be
.

Varcx ) . ECXY -

( EEXD

Van 1 X) =
1
.

o×=l .

moments existence lower moments

Existence implies of
.

FACI of higher
 Definition
said to be
nmmadydi_d its d.
f. is
of the form
A X is
if p
.

r .
✓ .

constants
KIT
R Here ER 02>0
{ } for µ
e are

=1=
.

fix
-
, ,

)
.

exp

421T 02

⇒ X is a normal v.v
]
distributed a .

[ X is normally
N ( 02 )
we write X~ µ ,

In this case ,

02=1
if µ=O
normal
Note Standard
.

,
: .

CX ) =o2
X Nlµ 02 ) Then EFX) =
µ ,
Van

If
.

~ ,

Claim
,
: .

.§ffx
1
) da D. I .y
That
'

check
.

d. f Just need to
indeed
p
.

the
is a
.

) above
.

Check That
Problein
D
[ Here )
Xfµ_ NCO o
then Z o >

N 1 07 =
is ,
.

X µ ,
.

If
, ,

fact

P( ) =p ( X < toe
)
)
X ox µ
P(lzµL
Proof : ) µ<-
-

plz ± =
-
± x = a

Fx ( ) ]
[
+ oe
µ
Thus Fzlx ) =

fag
µ+oe

KII
.

}dt
,

exP{
-

PCX ± µ + on ) =

Plzen ) =

- a

It
Let z =
TI ⇒ dz = 1
o
o

t Z When t have Z a n
When
a
a ox we
µ+
=
.
- =
- •
,
.
,
 Ptt 's x ) =

.FM !=,¥
exp
{#
-

¥ } -

.fr#zei242dz

Thus Z ~
NLO , 1) .

Suppose EEX ] EFXY exist

It with
p
d. f. fix )
.

X be cont
.

let

@
.
rn .
.

Then E[ Xtb ] a EEX ] tb

the aXtb a =
rrv
be R Consider . .
,

Let a .

a2 Var ( X )
Van ( AX + b)
.

by
"

brute force
"
]
[ One do this
.
.

x) 02 can
EEXI Van C =

N (µ 02 ) Then µ
=

X
.

,
Let
Claim
~ ,
, .

: .

that X to Z and so
µ
,
Know
=

know that Z NCO , D

Z
\fµL
~
Let
.

EFZ ] and Van CZ ) I

Van ( Z ) Since
' =
=o
Var ( X )
,

and
= o

EFZ ]
.

Efx ] =
µ to

claim follows .
 Jointdistributionsofrn
Definition values in the countable sets
Let X ,
Y be discrete rv .
's on the same sample space
S
taking
The function to : 1122 → R
defined by
A. B resp
p.m .f )
.

function ( joint
) joint probability
.

Y called the mass

PCX is
-

y
pcx y )
= =x ,
,

X and Y
of
.

1122
) f y )
play
30 ( x. e
Note
.

: .
Ci )
both )
of A ¢ B C or
) if y
.

=O x or
Cii )
pcx , y

Ea ¥3 team
c "is .
.
1

'
?
p.m f.
s
the individual
how does find
.

X and Y one

Q : - Given The joint p.m

.

f. pcxiy )
of ,

X. Y
( marginal ) pm t.is of resp .

individual
.

)
py
(
Y ) be
Let pxta ,

PIX ) PCX YEB ) PCX x. Yay ) =

y )
¥3
'

tfgzpcx
- = , .
= =
x.
) x
pxcx
=

Similarly ,

Xenihy )
¥aP( Eaten
,y )
PCXEA )
=

Y
)
=
PCY y
=

) y
- =

pyly
= ,
 the be
joint f Let
py G)
) be
Let X. 4 be discrete values in A B Let pcxiy p.m pxcxs ,
.

taking
.

rv resp
.

.
, ,

R them The expectation HCX ,Y ) B

of
'
h
If
1122
f. : →

marginal
s
p.m ,
. .

y ) provided
series
absolutely i.e.
EHLXM ) ] hlx pcx converges
,

g)
,

In fag
= , , ,

hlniyllpix , ) <

§A FBI
, •
.

Suppose hcxiy ) = k .
Acc . to formula above ,

( fasting )
*
>
) =
Z xpxin
EIXI
¥
tiny
fax
a >
Ea
= = .

XEA
,

material learnt earlier !

with
x ) agrees

then
Similarly htniy ) =y
if
,
,

)
⇒
'
Y'
fc2.rs#aYtcaY ( Feat FEBYPYY
'*'
)
=

EH ] Y Pen 'D
Ea F.
=

Easy
= =

agrees
with
stuff
y )
earlier .

f.
'
XM always get marginal p.m s
Given joint p.m f.
.

can
.

we
Note : -

of ,

have f. Can ?
'

marginal p.m joint pmf

NO ! Not necessarily )
s
Suppose we we
always get
.
.

Yes XM are
independent
if
.

,
 Now for the case continuous v.v

of
.

continuous
X. Y
the same
sample space S are said to have a
joint
Deft defined
on
: -

Two v.v .

function f : 1122 →
R s .t for any
( nice ) subset
There exists negative
distribution
if
.

a non
-

1122 have
) fix ,y)dA
D
p(
we
of ( x. 4) ED
,

,µ
=

¥@
→
Y
( X. Y )

Plane 's )
tfffiaysdge
.

dxdy or dydx
s

1122
( X i ) S →
:

have joint p
d. f. they )
X. I
'

Y Let
jointp.de# of X
.

and
.

called the then also

fix
is
y )
.

is
f along
curve
,
obtained by changing
a ,
g
[ If g
is

joint p .
d. f .

]
not
.

Note The d. f. above is

unique
.

Ci )
p
: -

D)
.

has zero area

then PC ( X. 4) c- =O .

D
if
( in Note that ,

Ciii ) Note that we must have f- 70 .

[ PHERYER ) ,y)dA ]
fffcx
=

?
( i " why

¥ fix
=|
,y ) da .

- 1122

1
 d
(v) For a < b ,
cc ,

P ( a < XE b ,
cc Y E d) =

§ § fcx ,
y ) dydx

t#
lmay not be strict
Inequalities may
.

fx fy
'

d. f. ?
find The
marginal
s
does p
flxiy How
.

) one
Let X.
'
1 have
joint p
.
d-
f. .

)
Let E R
,x7xR
x

( ( X.
C-
.

4)
a

) =P
e
P (X ⇐ Ye R
PCX ex ) =
x
,

§ .§
.
the , g) dydx

§fCt
=/ [

ffxttsdt
dt

*
, y ) dy
)

t ) Why ? A : -
( i) fxlx ) 30 .

Cii ) PCX ± x ) =

indeed
Thus ,
fxlxl ;§fcx ,
g) dy
does

of X
d. f.
characteristics of marginal p
.

satisfy The
defining

,
y
'
d. f. of ×
The marginal p
s are
,
.

fxbe ) I§fmiy ) dy and fyly ) ;§ fexiy )dx respectively .

 have d-
f. fix ,y )
:R2 R
joint
X. I
'
let h → Then
Suppose p .
. .

Efhlx ,Y ) ) =
.FI fatdhcx ,y ) fix ,y ) dydx ,
provided series conv . abs .

hlx ) U a

Suppose
'

.f|x (§ fxfxex
.

)dx
fix ,y)dy|dx
.§ § xfcxiyldydx
=

EIX ] =

-
a

*
.

x )

§; } dxdy .§ yfylyldy
EFH yfcx g) = .

Check that ,

C 1,1 ) C 1.3 ) ( 2,3 )

ktk2ty2 ) g)
if
,
(
=
x. ,

Examples
# the 'T )
{
=

f. of XM be
joint p.m otherwise
.

O .

Get the £5
k Use ) ( 37=1 .

)
Pci
2.
p
}
Determine pa
i + +
.

(a) ,
,
.

(b) Find The

marginal p.m.fi 's
of
X. Y .

in x=2
unless x=

p×lx1=0
.

Note That
)
pxlxl
y[ pcxiy
=

!:
.
x=1
' " if
"

f
. .
it

,t±II
III.
YI
'
¥
.

/
else ,

O
 similar
Computation of pyly ) is .

(c) Compute EN ,
EFI ) .

7 )
EHY Ipxl + 217×(2
' = . - .

tepcxiy )
-

or
EIX ]= [
( MY )

e { a ,i ) ,
4 31,43 ) }

for EFY )
Similarly .

Example
given H
XIY

)=o
be
Tutu joint p
.
d. f. of y ( , ,p

#¥¥#¥¥¥
OEYEXEI
sexy if
tinny .
use .

)
fxtehfytt
.

(a) Compute ,
x

(b) Compute EFX ) ,

EFM .

ffcx ,y7dy
A

42
fxlx
at

(a) ) -

- a

OEREI
Suppose
.

§
C- ,o ) fxge
'll
For
8nn÷
XE
a
,
srxydy
=
=qn3
fxk they )d7
=
'

for nc.fi ,a ) , fxcx )=O

 4×3 0
them ,

fxcn )= if Exel

{ 0
else .

similar
of fycy
) is
Comp
.

EHY Efy ) C Easy

.

)
(b) Compute
.

{ Cxiy ) ERL y < 42 }

( X. Y )
:
c-
.

PKY <
X ) we want
(c) Compute .

(d) EIXM
Compute .

xyfae ,Y)dA =

§ § xy 8xy dydx
EEXY )
.

µp
,

Example bounded X2 and Y

- ×
R by
-

the y
-

A Nil ) is selected at random from region

point
Find d. f.
'

Compute ETN EIY )

d. t marginal p s ,

the
joint
.

Find p
. .

KY
R
for lay ) €

TO
"
const
fix y)
=
.

¥€k"
,

? 0 for cap ¢ R
fix ,y )
=
.

k a 1-
y=x2
.

Area C R)
Independent rv .

X said to be for
if
Two Y P) subsets
r.ir .
,
on C Sit ,
are
independent any
A. B
of R

( i.e. ,
AER ,
BER ) the events { XEA } { Ye B } are independent ,
i. e-
,
,

P ( {11*413}
) =P ( XEA ) PCYEB ) ,
i.e. ,

{ ( XIDEAXB }

{ XE A. YEB }

YEB ) PCXE A) PCYEB )

P ( XEA
=

tx e R
iff
Y
X. Y
,

independent
,
Two r.ir
are
Claim
.

: .

PCX ex ) PH< y )
P ( XEX Yey )
.

* a
,x]

YE to ,y )

pxcx
>
Pyly )
if pcx y )
X. Y independent
=

discrete Then are

,

X. Y rv

If
are .
,

for all x. y .

format
# fee fxlxsfycy )
Then X. Y independent
if y)
= .

If
cont .
v.v .

,
are ,
 Let X , ,X2 ,
. . .

,
Xn be r.ir .
on ( S , F P),
.

i all Xi discrete Then joint p.m f. is

If
)
.

C are ,

Xu=nn ) Here X. =
(X, Xn )
) P ( X, ,
. .

xi
.

pzcz
=
,
.
. - -
.

= ,

( X Rn )
Z ,
= - .
.

, ,
-

variables is Not interested in

find
marginal
TO over one
.

,
sum
"

Cni same R
) for all
-

)
-

t.IT pxilxi
,
z
-

iff
= .

independent px.cz
=

X , ,
...
,
Xn are

f ) satisfies
fycz
d
cont then
joint p
.
.

Xi
.

Cii ) all are

If
.

dan
×An ) fxixldxi
.

( X.
-

Aix
. -

P e
fa
- .
=

fan
.

. ...

interested in
variables is
Not
.

one
integrate
over
To find marginal ,

"
)eR
PI all =Cx .mn
for I
fxicxis
,
.

)
.

independent iff fx.cz

=

Here X Xu are
, , , ,
.

,
.
.
STATISTICS

Want to draw conclusions from data .

Example measurable
←
,

that have attribute

( population )
a
items
of
.

have collection
e
a
large whole
about
population
as
to draw conclusions a .

data want
sampling
and
analysing
,

By

make the toll assumption :

We will
often
.

the data
distribution C The Population ) such that are

There is an
underlying probability
distribution
drawn from this
.

independent r.ir .

temple .

bulb
Population
→ distribution governing lifetime of light .

Data X Xn lifetimes of
n
light bulbs
.

→ "
, , ,
. .
'
.

×e
if
o
)
x >

has d- f. foes {
.

F p
be Exp CX ) ( i.e.
.

For F could 0 else

instance pop
,
.

" " X is unknown and one wants to

In a
typical problem , perhaps

estimate A based on X , ,
. . .

,
Xn .
Terminology
F ( 'll this c- d. f- comes from either a
p.m.f.orp.d.tt
function
assume
Have a
population distribution we

random X ,Xn drawn from F X Xn are independent v.v

Have sample
.

i.e. , ,
. . .

,
a , , .
. . .
, ,

-
data ]
(S F. P ) each with d.
f. F
[ this constitutes .

c-
on
.

statistic
function
of
the data ,
e .

g .

In ,¥ Xi is a statistic .

simply
mean a
By a ,
we
,

drawn from F
X Xn
Data is randomsainple , ,
- .
.

,
dist F
Assumptions Have a
pop
.

. .

with e. d- f. F )
independent each
]
.

Xi Xn
EIX ,4
are
C exist
EEX ]
i.e. ,
.

F
.

sit
.

, .

,
with ,
.

[ we 'll work
,

D= Van ( X , )
EFXM let
.

Let µ= ,

µ
is called The
population
variance
02 called The
is population .
Xn
distributed Above ,
X. ,
. - -
. are

independent identically
.

[ Note ! i. i. d .
=

d.
f. toe Now
)
cont with p ,
Xi
.
.

Suppose
are
i. d. r.ir
.

i.
.

Xi
a

when are
/
~

T )) fhixifcmdn Similar argument

Efhlxi =
.

dif
]
c.
indep have same .

discrete
.
•
.

indup i
of
.
 n

the sample mean is the statistic defined X In E Xi

by
=

-
'

in ,
-
I
r .
V .

I sad
→
that Thus mean r.ir .

Note is a rv .
,

→ comet
population
mean .

EFXT Van CX )
Let's compute
.

) t.IE End ×nµ µ

=

In
Effing
.

=
=

Xi
EIXT =

,
,

µ
( AZ )=a2 Van (Z )
Reason Van
.

Claim : . Van CX ) =

§ .

y
,×i ¥y
'×i 7
Van ( Ee ) tr
Van
Van
( xtxznt.it# ) nt
=

vaji ) =
.
,

to be below
argued
.

;
independence
because
of
them
and EFXIY e •

independent
,

Xn
Claim :
If
Xi Xa are
Xi 's deep ]
if
are
true
,
.

,
- .

,
. .

not be
.

[ Note : may
-

Van ( FE
,
Xi ) =

§g Vaulx ;)

EFX] µy= EFY ]

Consider case n=2 Set X=X ,Y=Xz let µ×= ,
.

Proof
.
, .

; .

2×4+44 I My )2
( EIX ] )2 EFX 't µx +
-

EEIXTYP ) +7 =

Varlxty )
-
=

Elm µ×2 µy2

EIXY ZEIXY ] 2µ×µy
-

+ +
-
-
=
 '

EIXY ) EFXIEFH
2

EIX ] CEIX] ) 2
Efyy ( EFM )
'
=
-
t 2 -
+ -

÷
(X ) 1 Vault ) .

2 ( EEXM -
EIXIEIY ) )
÷ due to independence )

Let h R → R then
Aside : -

Suppose X. 4 are independent .

,
g
: .

EfhlX)glY ) ) =
efhlx ) ) EfglY)| .

independence fix ,
y) =f×
(a)
fylY ) .

f. fcxiyl By
,
d.
Y cont with joint p
.

Check Suppose X
.

: -
,
are .

({ ) (f) gaffyly
)dy
)
{
) dx
the Y) dydn hcxsfxcx
.fl
)
hixigiy
=

)gCY ) ]
'

Efhlx =

:xstyly )
=
efhcx ) ] Efgc 'M .
 be
let Xi , Xz ,
...
a collection
of
i. i. d. r.ir .
drawn from F .

Suppose µ= Efx , ] and D= Van CX , ) exist .

law numbers
of large

÷¥
to
population
mean

n§
with '
In
Xi =
µ Pwbab ' .

[ i.e. sample mean

In × ; com .

gn
,

.
,
,

as n → a
] .

Notation Sn Xi
: Let =

2
-

i=l

Centrallimittheorem to aib ER we have

for
<
a ,

( Xi ) I Then any
,

EEXII Var
=
=0
Suppose
.

← 02

e- ×%d×
→ a

fb¥#
as n .

see )
b
(
→
P a <

) 1£ Ef ±fgXi )
°

Efsyg ]
=

?
Efsgng
.

Note : .
what is

' '

¥
=
in
tn
'

Varcxi )
'

(§
=

) tn
)
Varcsn ) Van Xi
=

tn
Vahsfn
=

tn
=

,
,

Van ( sfn ) = 1
.

efsnhin ] . o
,
Van ( snth ) = 1
 cent
EFXY f. ?
.

Suppose X. Y are R -
valued rv . with EIXI =
EH ) ,
=

EFM .
Must X. y have same
p
.
d-

Centrallimitom
b have
for b ER with a < we
€ R 02 > O Then any
a. ,

Suppose
,
µ
.

§l¥5×%dx
as n
→ a

b)
.

P(
<
snagged
a < →

÷
EFYN) Van Mn ) ?
Qt What is
,

EtsHnµT o

q÷n{
=

EFM
.

Van CYD = I

Van Hn ) Van ( Sn nµ )
¥
-
=

§g VAY

÷
I

fan Van ( Sn )
¥
=
= = .

at
:
snf.tn#=snlnoyygM_=X-M_
By
Nlo
,
a ,
i )

GHI
Example
der sample of 36 is chosen

If
workers have 167 and st 27
Population of mean a ,

weights
.
. .

171
that sample mean lies between 163 and ( Integral expression will
suffice )
probab
.

approx
.
.
.

may
Solution der Thus
YI
167 and st =
4.5 ,
with
.

normal
X
mean
.
.

is
approx
.

=
167<171
CLT
using known
.

theoretically

X 167 )
) ( 163
-

I 167 <
-

( P
-

P 163C < 170 =

=P
( safe
" .<
Eide
0.8889

0.8889
) ftp.eithdx
.

P ( Xf!f7_
=
-0.8889 < < =

- 0.8889

%ds
Need either tables for § ex )
=

§ ytzeitkdz or
Fcx ) .

Ilya e- .
 Samphire
from distribution with µ
Variance 02 Let X be
sample
sample
mean
Xn
mean
Xi Xz
.

,
.

,
. .

,
.

The sample variance 52 is the statistic defined by

¥f×i*5
"
in
s

Etsy = or

S →
sample st .
der .

Let's compute E[s2 ] .

IT
( )s2 ¥,C xi
= -

m .

Von 1 w ) + ( EIWI )2t get

fact that EFWY =

Take expectations ,
use

xf 2X×i +512 } )
5)
Efln Ef En {
-

=
-
I )
,

tnxy
zxinzxitnti
2nF
'

) ef Enaxi
-

ef¥n,xi
= -

:
1

Ef ¥ ixy
'

= Xi -

,
 NEH ]
¥ efxiy
-
=

=
n EEXFI -
n EFXY

=
n
Van CX ,
) + nµ2 -
n ( one + µ2
)
⇒ or
-n#
#02
EFSY ( 1) 02
( nt ) n -
=

=o2
⇒
Efsy .