Professional Documents
Culture Documents
Lecture slides
by
Dr. Suchandan Kayal
Department of Mathematics
National Institute of Technology Rourkela
Rourkela - 769008, Odisha, India
Autumn, 2020
Outline (Part-I)
Random variable
Historical motivation
.
Birth of a offspring:
Experiment
An experiment is observing something happen or conducting
something under certain conditions which result in some
outcomes.
Example
Rainfall: It is a consequence of several things such as cloud
formation, elnino occurrence, humidity, atmospheric pressure
etc. Finally, we observe that there is rainfall. Thus, observing
weather is an experiment.
Types of experiment
Deterministic experiment: It results known outcomes under
certain conditions.
Random experiment: Under fixed conditions, the outcomes
are not known.
Basic notions (random experiment)
Random experiment
An experiment is said to be a random experiment if the
following conditions are satisfied.
The set of all possible outcomes of the experiment is known
in advance.
The outcomes of a particular performance (trial) of the
experiment can not be predicted in advance.
The experiemnt can be repeated under identical conditions.
Sample space
The collection of all possible outcomes of a random experiment
is called the sample space. It is denoted by Ω.
Basic notions (sample space and event)
Sample space/examples
Throwing of a die. Here Ω = {1, 2, 3, 4, 5, 6}.
Throwing of a die and tossing of a coin simultaneously.
Ω = {1, 2, 3, 4, 5, 6} × {H, T }
A coin is flipped repeatedly until a tail is observed.
Ω = {T, HT, HHT, HHHT, · · · }
Lifetime of a battery. Here Ω = [0, 10000].
Event
An event is a set of outcomes of an experiment (a subset of the
sample space) to which a probability is assigned.
Basic notions
Remarks on event
When the sample space is finite, any subset of the sample
space is an event. In this case, all elements of the power set
of the sample space are defined as events.
This approach does not work well in cases where the
sample space is uncountably infinite. So, when defining a
probability space it is possible, and often necessary to
exclude certain subsets of the sample space from being
events.
In general measure theoretic description of probability
spaces an event may be defined as an element of a selected
sigma-field of subsets of the sample space.
Basic notions (impossible and sure events)
Impossible event
An event is said to be impossible if the probability of
occurrence of that event is zero. For example, during the rolling
of a six faces die, the event that the face 7 will occur.
Sure event
An event with probability of occurrence one is called the sure
event. The sample space of any random experiment is always a
sure event. ANother example could be that the lifetime of a
battery is a nonnegative number.
Basic notions
Various operations
Union:
A ∪ B means occurrence of at least one of A and B.
∪ni=1 Ai means occurrence of at least one of Ai , i = 1, · · · , n.
∪∞i=1 Ai means occurrence of at least one of Ai ,
i = 1, · · · , ∞.
Intersection:
A ∩ B means simultaneous occurrence of both A and B.
∩ni=1 Ai means simultaneous occurrence of Ai , i = 1, · · · , n.
∩∞
i=1 Ai means simultaneous occurrence of Ai , i = 1, · · · , ∞.
Exhaustive events:
If ∪ni=1 Ai = Ω, we call A1 , · · · , An to be exhaustive events.
Basic notions
A. Classsical approach
Assumptions:
A random experiment results in a finite number of equally
likely outcomes.
Let Ω = {ω1 , · · · , ωn } be a finite sample space with n ∈ N
possible outcomes, N denotes the set of natural numbers.
For a subset E of Ω, |E| denotes the number of elements in
E.
Result:
The probability of occurrence of an event E is given by
Observations
For any event E, P (E) ≥ 0
For mutually exclusive events E1 , · · · , En ,
∑n
| ∪ni=1 Ei | ∑
n ∑
n
i=1 |Ei | |Ei |
P (∪ni=1 Ei ) = = = = P (Ei )
n n i=1
n i=1
|Ω|
P (Ω) = |Ω| = 1.
Methods of assigning probabilities/Classsical approach
(cont...)
Example-1
Suppose that in your section, we have 150 students born
in the same year. Assume that a year has 365 days. Find
the probability that all the students of your section are
born on different days of the year.
Solution
Denote the event that all the students are born on different
days of the year by E. Here,
Solution
Denote the event that getting exactly two heads in three
tosses of a fair coin by E. Here,
and
E = {HHT, HT H, T HH}.
|E|
Thus, P (E) = |Ω| = 38 .
Methods of assigning probabilities/Classsical approach
(cont...)
Drawbacks
The random experiment must produce equally likely
outcomes.
The total number of outcomes of the random experiment
must be finite.
Methods of assigning probabilities
Observations
For any event E, P (E) ≥ 0
For mutually exclusive events E1 , · · · , En ,
( n )
∪ ∑
n
P Ei = P (Ei )
i=1 i=1
P (Ω) = 1.
Methods of assigning probabilities/Relative frequency
Example-3
After tossing a fair coin, we have the following outputs:
Solution
Note that
2k−1
k = 1, 2, · · ·
an 1 2 2 3 4 4 3k−2 ,
= , , , , , , · · · = 3k−2
2k
, k = 1, 2, · · ·
n 1 2 3 4 5 6
2k , k = 1, 2, · · ·
3k
an 2
Thus, lim = = P (H).
n→∞ n 3
Methods of assigning probabilities/Relative frequency
approach (cont...)
Drawbacks
The probability has been calculated based on an
approximation.
The random experiment has to be conducted a large
number of times. This is not always possible since some
experiments are costly (launching satellite).
√
n
lim = 0 ⇒ P (E) = 0 (not correct !).
n→∞ n
√
n− n
lim = 1 ⇒ P (E) = 1 (not correct !).
n→∞ n
Axiomatic approach to probability
Basic concepts
A set whose elements are themselves set is called a class of
sets. For example, A = {{2}, {2, 3}}.
A set function is a real-valued function whose domain is a
class of sets.
A sigma-field of subsets of Ω is a class F of subsets of Ω
satisfying the following properties:
(i) Ω ∈ F
(ii) E ∈ F ⇒ E c = Ω − E ∈ F (closed under complement)
(iii) Ei ∈ F , i = 1, 2, · · · ⇒ ∪∞
i=1 Ei ∈ F (closed under countably
infinite unions)
F = {ϕ, Ω} is a sigma (trivial) field.
Suppose A ⊂ Ω. Then, F = {ϕ, Ω, A, Ac } is a sigma field of
subsets of Ω.
Axiomatic approach to probability (cont...)
Definition
Let Ω be a sample space of a random experiment. Let F be the
event space or a sigma field of subsets of Ω. Then, a probability
function or a probability measure is a set function P , defined on
F, satisfying the following three axioms:
For any event E ∈ F , P (E) ≥ 0 (nonnegativity)
For a countably infinite collection of mutually exclusive
events E1 , E2 , · · · , we have
∞
∪ ∞
∑
P( Ei ) = P (Ei )
i=1 i=1
∪
n ∑
n
P( Ei ) = P (Ei )
i=1 i=1
Proof
See it during lecture.
Inequalities
Proof
See it during the lecture.
Note
To prove Boole’s inequality for the countable set of events, we
can use ∪ni=1 Ei → ∪∞
i=1 Ei for n → ∞ along with the continuity
of the probability measure P.
Inequalities (cont...)
Bonferroni’s inequality
Let (Ω, F, P ) be a probability space and let E1 , · · · , En ∈ F ,
where n ∈ N. Then,
( n )
∩ ∑
n
P Ei ≥ P (Ei ) − (n − 1).
i=1 i=1
Proof
See it during the lecture.
Note
The Bonferroni’s inequality holds only for the probability of
finite intersection of events!
Conditional probability
Example
Let us toss two fair coins. Let A denote that both coins show
same face and B denote at least one coin shows head. Obtain
the probability of happening of A given that B has already
occured.
Solution
Listen to my lecture.
Definition
Let (Ω, F, P ) be a probability space and B ∈ F be a fixed event
such that P (B) > 0. Then, the conditional probability of event
A given that B has already occured is defined as
P (A ∩ B)
P (A|B) = .
P (B)
Conditional probability (cont...)
Example
Solution
Clearly,
(13) (13)(39) (13)
+
P (A ∩ B) = P (A) = 6
(52) and P (B) = 5 1
(52) 6
.
6 6
(13
6)
Thus, P (A|B) = .
( )(39
13
5
+ 13
1) (6)
Conditional probability (cont...)
Note
For events E1 , E2 · · · , En ∈ F , n ≥ 2, we have
P (E1 ∩ E2 ) = P (E1 )P (E2 |E1 ) if P (E1 ) > 0
P (E1 ∩ E2 ∩ E3 ) = P (E1 )P (E2 |E1 )P (E3 |E1 ∩ E2 ) if
P (E1 ∩ E2 ) > 0. This condition also gurantees that
P (E1 ) > 0, since E1 ∩ E2 ⊂ E1
P (∩ni=1 Ei ) =
P (E1 )P (E2 |E1 )P (E3 |E1 ∩E2 ) · · · P (En |E1 ∩E2 ∩· · ·∩En−1 ),
provided P (E1 ∩ E2 ∩ · · · ∩ En−1 ) > 0, which also
guarantees that P (E1 ∩ E2 ∩ · · · ∩ Ei ) > 0, for
i = 1, 2, · · · , n − 1.
Conditional probability (cont...)
Example
An urn contains four red and six black balls. Two balls are
drawn successively, at random and without replacement,
from the urn. Find the probability that the first draw
resulted in a red ball and the second draw resulted in a
black ball.
Solution
Let A denote the event that the first draw results in a red
ball and B that the second ball results in a black ball.
Then,
4 6 12
P (A ∩ B) = P (A)P (A|B) = × = .
10 9 45
Total probability
Proof
Let F = ∪i∈A Ei . Then, P (F ) = P (Ω) = 1 and
P (F c ) = 1 − P (F ) = 0. Again,
E ∩ F c ⊂ F c ⇒ 0 ≤ P (E ∩ F c ) ≤ P (F c ) = 0.
Total probability (cont...)
Proof (cont...)
Thus,
P (E) = P (E ∩ F ) + P (E ∩ F c )
= P (E ∩ F )
= P (∪i∈A (E ∩ Ei ))
∑
= P (E ∩ Ei )
i∈A
∑
= P (E|Ei )P (Ei ),
i∈A
Theorem
Let (Ω, F, P ) be a probability space and let {Ei ; i ∈ A} be a
countable collection of mutually exclusive and exhaustive events
with P (Ei ) > 0 for i ∈ A. Then, for any event E ∈ F , with
P (E) > 0, we have
P (E|Ej )P (Ej )
P (Ej |E) = ∑ , j ∈ A.
i∈A P (E|Ei )P (Ei )
Proof
For j ∈ A,
P (Ej ∩E)
= ∑ P (E|E
P (E|Ej )P (Ej ) P (E|Ej )P (Ej )
P (Ej |E) = P (E) = P (E) )P (E )
from
i∈A i i
the theorem of total probability.
Bayes theorem (cont...)
Note
P (Ej ), j ∈ A are known as the prior probabilities.
P (Ej |E) are known as the posterior probabilities.
Bayes theorem (cont...)
Example
Urn U1 contains four white and six black balls and urn U2
contains six white and four black balls. A fair die is cast and
urn U1 is selected if the upper face of die shows 5 or 6 dots,
otherwise urn U2 is selected. A ball is drawn at random from
the selected urn.
Given that the drawn ball is white, what is the conditional
probability that it came from U1 .
Given that the ball is white, find the conditional
probability that it came from urn U2 .
Solution
W → drawn ball is white;
E1 → Urn U1 is selected;
E2 → Urn U2 is selected.
Bayes theorem (cont...)
Solution (contd...)
E1 and E2 are mutually exclusive and exhaustive events.
P (W |E1 )P (E1 )
(i) P (E1 |W ) =
P (W |E1 )P (E1 ) + P (W |E2 )P (E2 )
10 × 6
4 2
1
= 4 = 4.
10 × 6 + 10 × 6
4 2 6
Note
If P (B) = 0, then P (A ∩ B) = 0 = P (A)P (B) for all
A ∈ F . That is, if P (B) = 0, then any event A ∈ F and B
are independent.
If P (B) > 0, then A and B are said to be independent if
and only if P (A|B) = P (A).
Independence
Let (Ω, F, P ) be a probability space. Let A ⊂ R be an index set
and let {Eα : α ∈ A} be a collection of events in F.
Events {Eα : α ∈ A} are said to be pairwise independent if
any pair of events Eα and Eβ , α ̸= β in the collection
{Ej : j ∈ A} are independent, that is, if
P (Eα ∩ Eβ ) = P (Eα )P (Eβ ), α, β ∈ A and α ̸= β.
Let A = {1, 2, · · · , n} for some n ∈ N . The events
E1 , · · · , En are said to be independent if for any sub
collection {Eα1 , · · · , Eαk } of {E1 , · · · , En } (k = 2, 3, · · · , n)
∏
n
P (∩nj=1 Eαj ) = P (Eαj ).
j=1
Independence
Independence ⇒ pairwise independence
pairwise independence ⇏ Independence (always!)
Solution
See during the lecture!
Assignment-I
Problems
Q1. A student prepares for a quiz by studying a list of ten
problems. She only can solve six of them. For the quiz, the
instructor selectes five questions at random from the list of
ten. What is the probability that the student can solve all
five problems on the examination?
Q2. A total of n shells is fired at a target. The probability that
the ith shell hitting the target is pi , i = 1, · · · , n. Find the
probability that at least two shells out of n find the target.
Q3. A bag contains 5 white and 2 black balls and balls are
drawn one by one without replacement. What is the
probability of drawing the second white ball before the
second black ball?
Assignment-I (cont...)
Problems
Q4. Balls are drawn repeatedly and with replacement from a
bag consisting of 60 white and 30 black balls. What is the
probability of drawing the third white ball before the
second black ball?
Q5. Let A and B be two events which are independent. Then,
show that A and B c , Ac and B, and Ac and B c are
independent.
Q6. Consider the experiment of tossing a coin three times. Let
Hi , i = 1, 2, 3, denote the event that the ith toss is a head.
Assuming that the coin is fair and has an equal probability
of landing heads or tails on each toss, the events H1 , H2
and H3 are mutually independent.
Assignment-I (cont...)
Problems
Q7. When coded messages are sent, there are sometimes errors
in transmission. In particular, Morse code uses “dots" and
“dashes", which are known to occur in the proportion of
3 : 4. This means that for any given symbol,
3 4
P (dot sent) = and P (dash sent) = .
7 7
Suppose there is interference on the transmission line, and
with probability 18 a dot is mistakenly received as a dash,
and vice versa. If we receive a dot, can we be sure that a
dot was sent? (Ans. 21/25)
Solve more problems other than these exercises if you are
willing to have good grade.
Part-II
Random variable
Motivation
Someone may not be interested in the full physical
description of the sample space or events. Rather, one may
be interested in the numerical characteristic of the event
considered.
For example, suppose some components have been put on a
test. After ceratain time t > 0, we may be interested that
how many of these are functioning or how many are not
functioning. Here, we are not interested which unit have
failed to work.
To study certain phenomena of a random experiment, it is
required to quantify the phenomena. One option is to
associate a real number to every outcome of the random
experiment. This encourages us to develop the concept of
the random variable.
Random variable (cont...)
Definition
Let (Ω, F, P ) be a probability space and let X : Ω → R be a
given function. We say that X is a random variable if
Alternative
Let (Ω, F, P ) be a probability space. Then, a real valued
measurable function defined on the sample space is known as
the random variable.
Random variable (cont...)
Theorem
Let (Ω, F, P ) be a probability space and let X : Ω → R be a
given function. Then, X is a random variable if and only if
for all a ∈ R.
Random variable (cont...)
Example
Consider the experiment of tossing of a coin. Then, the sample
space is Ω = {H, T }. Define X as the number of heads. Then,
X(H) = 1 and X(T ) = 0. Consider
Definition
A function F : R → R defined by
Theorem
Let FX be the distribution function of a random variable X.
Then,
FX is non-decreasing.
FX is right continuous.
FX (∞) = 1 and FX (−∞) = 0.
Distribution function (cont...)
Example
Suppose that a fair coin is independently flipped thrice. Then,
the sample space is
Example (cont...)
The distribution function of X is
0, x<0
1
0≤x<1
8,
FX (x) = 2 , 1 ≤ x < 2
1
8, 2 ≤ x < 3
7
1, x ≥ 3.
Note
Let −∞ < a < b < ∞. Then,
P (a < X ≤ b) = P (X ≤ b) − P (X ≤ a)
P (a < X < b) = P (X < b) − P (X ≤ a)
P (a ≤ X < b) = P (X < b) − P (X < a)
P (a ≤ X ≤ b) = P (X ≤ b) − P (X < a)
P (X ≥ a) = 1 − P (X < a)
P (X > a) = 1 − P (X ≤ a)
Theorem
Let G : R → R be a non-decreasing and right continuous
function for which G(−∞) = 0 and G(+∞) = 1. Then, there
exists a random variable X defined on a probability space
(Ω, F, P ) such that the distribution function of X is G.
Distribution function (cont...)
Example
Consider a function G : R → R defined by
{
0, x<0
G(x) = −x
1−e , x≥0
Observations
Clearly, G is nondecreasing, continuous and satisfies
G(−∞) = 0 and G(∞) = 1. Thus, G is a distribution
function for a random variable X.
Since G is continuous, we have
P (X = x) = G(x) − G(x− ) = 0 for all x ∈ R, where G(x− )
is the left hand limit of G at the point x.
Distribution function (cont...)
Example (cont...)
For −∞ < a < b < ∞, P (a < X < b) = P (a ≤ X < b) =
P (a ≤ X ≤ b) = P (a < X ≤ b) = G(b) − G(a).
P (X ≥ a) = P (X > a) = 1 − G(a) and
P (X < a) = P (X ≤ a) = G(a).
P (2 < X ≤ 3) = G(3) − G(2) = e−2 − e−3
P (−2 < X ≤ 3) = G(3) − G(−2) = 1 − e−3
P (X ≥ 2) = 1 − G(2) = e−2
P (X > 5) = 1 − G(5) = e−5 .
Note that the sum of sizes of jumps of G is 0.
Types of the random variables
Definition
A random variable X is said to be of discrete type if there
exists a non-empty and countable set SX such that
and
∑ ∑
PX (SX ) = P (X = x) = [FX (x) − FX (x− )] = 1.
x∈SX x∈SX
Theorem
Let X be a random variable with distribution function FX and
let DX be the set of discontinuity points of FX . Then, X is of
discrete type if and only if
P (X ∈ DX ) = 1.
Definition
Let X be a discrete type random variable with support SX . The
function fX : R → R defined by
{
P (X = x), x ∈ SX
fX (x) =
0, x ∈ SX
c
Example
Let us consider a random variable X having the distribution
function FX : R → R defined by The distribution function of X
is
0, x<0
1
8, 0≤x<2
1
2≤x<3
4,
FX (x) = 2 , 3 ≤ x < 6
1
5 , 6 ≤ x < 12
4
8 , 12 ≤ x < 15
7
1, x ≥ 15.
Solution
The set of discontinuity points of FX is DX = {0, 2, 3, 6, 12, 15}
∑
and P (X ∈ DX ) = x∈DX [FX (x) − FX (x− )] = 1. Thus, the
random variable X is of discrete type with support
SX = DX = {0, 2, 3, 6, 12, 15}. The probability mass function is
1
8, x ∈ {0, 2, 15}
{
1
FX (x) − FX (x− ), x ∈ SX 4, x=3
fX (x) = 3
= 10 , x=6
0, x ∈ SX
c
3
40 , x = 12
0, otherwise.
Discrete random variables (cont...)
Remark
The PMF of a discrete type random variable X having support
SX satisfies the following properties:
(i) fX (x) > 0 for all x ∈ SX and fX (x) = 0 for all x ∈ SX
c .
∑ ∑
(ii) x∈SX fX (x) = x∈SX P (X = x) = 1
Conversely, if a function satisfies the above two properties, then
it is a probability mass function.
Thank You