Mathematical Statistics for Engineers: Nguyễn Ngọc Tứ

Mathematical Statistics for Engineers
Nguyễn Ngọc Tứ
Nguyễn Ngọc Tứ Lecture 1 1 / 31

Introduction
• Topic: Mathematical Statistics for Engineers

• Syllabus on web: www.fhqlms.hcmute.edu.vn
• Email: tunn@hcmute.edu.vn
• Text: Mathematical Statistics for Engineers, Jay L. Devore
Read the text!
• Reference: Introduction to Probability, 2nd Edition
D. P. Bertsekas and J. N. Tsitsiklis, Athena Scientific, 2008
• Coursework:
- Quizz 1: 15%
- Quizz 2: 15%
- Homework: 15%
- Attendance: 5%
- Final exam: 50%

Lecture outline
• Probability models
- sample space
- probability law
• Principles of counting
• Many examples
- permutations
- k-permutations
- combinations
- partitions
• Axioms of probability
• Examples and Exercises

Sample space
Definition
Consider a trial (or an experiment) that has a random outcome. The
set of all possible outcomes is the sample space, Ω.
Example
Rolling a (6-sides) die:

Sample space
Definition
Consider a trial (or an experiment) that has a random outcome. The
set of all possible outcomes is the sample space, Ω.
Example
Rolling a (6-sides) die: Ω = { , , , , , }

Tossing a coin: Ω = {. . . }.
Tossing two coins: Ω = {. . . }.

"Events are what we assign a probability to"
Definition
An event A is a subset of Ω. We say that an event A has (not)
occurred if the outcome of the trail is (not) contained in A.
Example
Tossing a coin and getting a head A = {H}.

Tossing two coins and getting at least one head:
Definition
Example

A = {. . . }.
Rolling a die and getting an even number:
Definition
Example

A = {. . . }.
A = {. . . }.
Rolling two dice and getting a total of 5:
Definition
Example

A = {. . . }.
A = {. . . }.
Rolling two dice and getting a total of 5:
A = {. . . }.

The language of sets
Let us consider subsets of a set Ω.

Definition
The complement of A ⊂ Ω is denoted Ac ⊂ Ω:
w ∈ Ac ⇔ w ∈
/ A.
Clearly, (Ac )c = A.
Example: Empty set
The complement of Ω is the empty set ∅:
w∈
/ ∅, ∀w ∈ Ω.

Definition
The union of A and B is denoted A ∪ B:
w ∈ A ∪ B ⇔ w ∈ A or w ∈ B or both.
Remark
For all subsets A of Ω,
A ∪ Ω = Ω, A ∪ ∅ = A.

Definition
The intersection of A and B is denoted A ∩ B:
w ∈ A ∩ B ⇔ w ∈ A and w ∈ B.
If A ∩ B = ∅, then we say A and B are disjoint.
Remark
For all subsets A of Ω,
A ∩ Ω = A, A ∩ ∅ = ∅.

De Morgan’s law
Definition: De Morgan’s law
Let A, B be subsets of Ω. Then
(A ∪ B)c = Ac ∩ B c and (A ∩ B)c = Ac ∪ B c .
Proof.
w ∈ (A ∪ B)c ⇔ w ∈
/ A∪B
⇔w ∈
/ A and w ∈
/B
⇔ w ∈ Ac and w ∈ B c
⇔ w ∈ Ac ∩ B c .
The other equality if proved similarly (?).

Exercises
1. Four universities—1, 2, 3, and 4—are participating in a holiday basketball

tournament. In the first round, 1 will play 2 and 3 will play 4. Then the two
winners will play for the championship, and the two losers will also play.
One possible outcome can be denoted by 1324 (1 beats 2 and 3 beats 4 in
first-round games, and then 1 beats 3 and 2 beats 4).
a. List all outcomes in Ω.
b. Let A denote the event that 1 wins the tournament. List outcomes in A.
c. Let B denote the event that 2 gets into the championship game. List
outcomes in B.
d. What are the outcomes in A ∪ B and in A ∩ B ? What are the outcomes
in Ac ?
2. Give two events A and B. Find the X event from the following equation:
(X ∪ A)c ∪ (X ∪ Ac )c = B

Solution Ex. 1

Solution Ex. 1

Ω={ ,
}
b. Event A contains the outcomes where 1 is first in the list

Solution Ex. 1

Ω={ ,
}
A={ }

Solution Ex. 1

Ω={ ,
}
A={ }
c. Event B contains the outcomes where 2 is first or second

Solution Ex. 1

Ω={ ,
}
A={ }
B={ }

Solution Ex. 1

Ω={ ,
}
A={ }
B={ }
d. The compound event A ∪ B contains the outcomes in A or B or both

Solution Ex. 1

Ω={ ,
}
A={ }
B={ }
d. The compound event A ∪ B contains the outcomes in A or B or both
A∪B ={ ,
}
A ∩ B = ∅, since 1 and 2 can’t both get into the championship game.
Ac = Ω \ A = {
}

Classical probability
Definition: Probability
Let Ω = {w1 , w2 , . . . , wN }. Let A ⊆ Ω be an event. Then the prob-

ability of A is
Number of outcomes in A |A|

P(A) = = .
Number of outcomes in Ω N

Examples
Example: (cont.)
You draw a number at random from {1, 2, . . . , 30}. What is the prob-
ability of the following events:
1. A= the number drawn is even
2. B= the number drawn is divisible by 3
3. C= the number drawn is less than 12
Answers:
Examples
Example: (cont.)
Answers:
15
1. A = {2, 4, 6, . . . , 30}, so |A| = 15 and hence P(A) = 30 = 21 .
Examples
Example: (cont.)
Answers:
15
1. A = {2, 4, 6, . . . , 30}, so |A| = 15 and hence P(A) = 30 = 21 .
2. B = { }, so |B| = . . . and hence P(B) = .
Examples
Example: (cont.)
Answers:
15
1. A = {2, 4, 6, . . . , 30}, so |A| = 15 and hence P(A) = 30 = 21 .
2. B = { }, so |B| = . . . and hence P(B) = .
3. C = { }, so |C | = . . . and hence P(C ) = .

Counting
Example
1. One person going from A to C must go through B. Knowing

that from A to B there are 3 different paths, from B to C have
2 different paths. How many ways to get from A to C?
2. A menu has 4 staters, 3 mains, 2 desserts. How many possible
meals combinations are there?

Counting
Example
1. One person going from A to C must go through B. Knowing

that from A to B there are 3 different paths, from B to C have
2 different paths. How many ways to get from A to C?
2. A menu has 4 staters, 3 mains, 2 desserts. How many possible
meals combinations are there?
Theorem: Fundamental rule of counting

• r stages.
• mi choices at stage i.
Total number of choices is m1 × m2 × . . . mr .

Counting
Example
1. a. Beethoven wrote 9 symphonies, and Mozart wrote 27 piano

concertos. If a university radio station announcer wishes to play first
a Beethoven symphony and then a Mozart concerto, in how many
ways can this be done?
b. The station manager decides that on each successive night (7
days per week), a Beethoven symphony will be played, followed by
a Mozart piano concerto, followed by a Schubert string quartet (of
which there are 15). For roughly how many years could this policy
be continued before exactly the same program would have to be
repeated?
2. How many ways can {1, 2, . . . , n} be ordered?

Permutation
Theorem
Permutation: Number of ways of ordering n elments is
n × (n − 1) × . . . 1 = n!
Example
Probability that 6 rolls of a die all given different numbers?

Permutation
Theorem
n × (n − 1) × . . . 1 = n!
Example
, , , , ,
A = all given different numbers,

Permutation
Theorem
n × (n − 1) × . . . 1 = n!
Example
, , , , ,
A = all given different numbers, |A|=. . .

Ω, sample space,
Permutation
Theorem
n × (n − 1) × . . . 1 = n!
Example
, , , , ,

Ω, sample space, |Ω| = . . .
Answer:
Permutation
Theorem
n × (n − 1) × . . . 1 = n!
Example
, , , , ,

Ω, sample space, |Ω| = . . .
Answer: P(A) = ...... .

Partitions - Permutation with repetition
Example
1. There are 3 identical chairs, including 2 yellow chairs, 1 white

chair. How many ways to place 3 chairs in a long table with three
seats?
2. An plays 12 games. How many cases to An win 5 games, loses 3
games, and draws 4 games?

Example
1. There are 3 identical chairs, including 2 yellow chairs, 1 white

chair. How many ways to place 3 chairs in a long table with three
seats?
2. An plays 12 games. How many cases to An win 5 games, loses 3
games, and draws 4 games?
Theorem: Multinomial coefficient

Partitions of n objects into r groups with the ith group having ni
objects:
n n!
=
n1 , n2 , . . . , nr n1 !n2 ! . . . nk !

Example
52 card deck, dealt to 4 players. Find P(each gets an ace).

• number of outcomes:
Example

...
......
• count number of ways of distributing the 4 aces:
Example

...
......
• count number of ways of distributing the 4 aces: . . .
• count number of ways of dealing the remaining 48 cards:
Example

...
......
...
......
Answer:
Example

...
......
...
. . . . . .. . .
Answer:
......

Combinations
Example
Select randomly 2 people from 3 people A, B, C to form a group.

How many ways to select a group?

Combinations
Example
Select randomly 2 people from 3 people A, B, C to form a group.

How many ways to select a group?
Notation and Formula

n
: number of k-elment subsets of a given n-element set.
k

n n!
= Cnk =
k k!(n − k)!

k-permutations
Example
Select randomly 2 people from 3 people A, B, C to form a group so

that the first chosen person is the leader. How many ways to select
a group?

k-permutations
Example
Select randomly 2 people from 3 people A, B, C to form a group so

that the first chosen person is the leader. How many ways to select
a group?
Proposition: k-permutations of n objects
Two way of constructing an ordered sequence of k distinct items:

1. Choose k items, one at a time:
n!
n(n − 1)(n − 2) . . . (n − k + 1) = choices
(n − k)!
2. Choose
k items,
then ordered them (k! possible orders).
n n!
Hence, · k! = =: Akn .
k (n − k)!

σ-field and Probability Axioms
Definition
A family F of subsets of Ω is a σ-field if
1. Ω ∈ F
2. if A1 , A2 , . . . ∈ F, then ∪∞
i=1 Ai ∈ F
3. if A ∈ F, then Ac ∈ F
Axioms
1. Nonnegativity: P(A) ≥ 0, ∀A ⊂ F.
2. Normalization: P(Ω) = 1.
3. Additivity: If A ∩ B = ∅, then P(A ∪ B) = P(A) + P(B).

Probability law
Definition: Probability measure
A Probability measure on (Ω, F) is a function P : F → [0, 1] satis-

fying
P(Ω) = 1
if Ai ∈ F, i = 1, 2, . . . are such that Ai ∩ Aj = ∅ for all i 6= j,
then
X∞
∞
P (∪i=1 Ai ) = P(Ai ).
i=1
The triple (Ω, F, P) is called a probability space.

Basic properties of probability measures
Theorem
1. P(Ac ) = 1 − P(A).
2. If A ⊆ B, then P(A) ≤ P(B).
3. P(A ∪ B) = P(A) + P(B) − P(A ∩ B).
P(A ∪ B ∪ C ) = P(A) + P(B) + P(C )
−P(AB) − P(AC ) − P(BC ) + P(ABC ).
Example: Fair coins
Tossing a coin has Ω = {H, T }. Let P(H) = p and P(T ) = 1 − p.

The coin is fair if p = 12 .

Basic properties of probability measures
Example
13. A computer consulting firm presently has bids out on three

projects. Let Ai = {awarded project i}, for i = 1, 2, 3 and suppose
that
P(A1 ) = 0.22, P(A2 ) = 0.25, P(A3 ) = 0.28, P(A1 ∩ A2 ) = 0.11,
P(A1 ∩ A3 ) = 0.05, P(A2 ∩ A3 ) = 0.07, P(A1 ∩ A2 ∩ A3 ) = 0.01.

Computer the probability of each event:
a. A1 ∪ A2
b. Ac1 ∩ Ac2 [Hint: (A1 ∪ A2 )c = Ac1 ∩ Ac2 ]
c. A1 ∪ A2 ∪ A3 d. Ac1 ∩ Ac2 ∩ Ac3
e. Ac1 ∩ Ac2 ∩ A3 f. (Ac1 ∩ Ac2 ) ∪ A3

Solution
a. P(A1 ∪ A2 ) =
b. P(Ac1 ∩ Ac2 ) =
c. P(A1 ∪ A2 ∪ A3 ) =
=
=
d. P(Ac1 ∩ Ac2 ∩ Ac3 ) =
=
e. P(Ac1 ∩ Ac2 ∩ A3 ) =
=
(using Venn diagram)
f. P[(Ac1 ∩ Ac2 ) ∪ A3 ] =
=

Exercises
25. The three most popular options on a certain type of new car are a built-
in GPS (A), a sunroof (B), and an automatic transmission (C). If 40% of
all purchasers request A, 55% request B, 70% request C, 63% request A or
B, 77% request A or C, 80% request B or C, and 85% request A or B or C,
determine the probabilities of the following events.
[Hint: “A or B” is the event that at least one of the two options is requested;
try drawing a Venn diagram and labeling all regions.]
a. The next purchaser will request at least one of the three options.
b. The next purchaser will select none of the three options.
c. The next purchaser will request only an automatic transmission and not
either of the other two options.
d. The next purchaser will select exactly one of these three options.

Solution Ex. 25
We have P(A) = 0.4, P(B) = 0.55, P(C ) = 0.7, P(A ∪ B) = 0.63
P(A ∪ C ) = 0.77, P(B ∪ C ) = 0.8, P(A ∪ B ∪ C ) = 0.85

Solution Ex. 25
P(A ∪ C ) = 0.77, P(B ∪ C ) = 0.8, P(A ∪ B ∪ C ) = 0.85
a. P(A1 ∪ A2 ∪ A3 ) =

Solution Ex. 25
P(A ∪ C ) = 0.77, P(B ∪ C ) = 0.8, P(A ∪ B ∪ C ) = 0.85
a. P(A1 ∪ A2 ∪ A3 ) =
b. P(none of the three options) =

Solution Ex. 25
P(A ∪ C ) = 0.77, P(B ∪ C ) = 0.8, P(A ∪ B ∪ C ) = 0.85
a. P(A1 ∪ A2 ∪ A3 ) =
b. P(none of the three options) =
c. From the Venn diagram, P(only an automatic transmission selected) =
=
d. P(exactly one) =

Exercises
26. A certain system can experience three different types of defects. Let
Ai (i = 1, 2, 3) denote the event that the system has a defect of type i.
Suppose that
P(A1 ) = 0.12, P(A2 ) = 0.07, P(A3 ) = 0.05, P(A1 ∪ A2 ) = 0.13

P(A1 ∪ A3 ) = 0.14, P(A2 ∪ A3 ) = 0.10, P(A1 ∩ A2 ∩ A3 ) = 0.01
a. What is the probability that the system does not have a type 1 defect?
b. What is the probability that the system has both type 1 and type 2
defects?
c. What is the probability that the system has both type 1 and type 2 defects
but not a type 3 defect?
d. What is the probability that the system has at most two of these defects?

Exercises
34. Computer keyboard failures can be attributed to electrical defects or

mechanical defects. A repair facility currently has 25 failed keyboards, 6 of
which have electrical defects and 19 of which have mechanical defects.
a. How many ways are there to randomly select 5 of these keyboards for a
thorough inspection (without regard to order)?
b. In how many ways can a sample of 5 keyboards be selected so that exactly
two have an electrical defect?
c. If a sample of 5 keyboards is randomly selected, what is the probability
that at least 4 of these will have a mechanical defect?

Exercises
35. A production facility employs 20 workers on the day shift, 15 workers
on the swing shift, and 10 workers on the graveyard shift. A quality control
consultant is to select 6 of these workers for in-depth interviews. Suppose
the selection is made in such a way that any particular group of 6 workers
has the same chance of being selected as does any other group (drawing 6
slips without replacement from among 45).
a. How many selections result in all 6 workers coming from
the day shift? What is the probability that all 6 selected workers will be from
the day shift?
b. What is the probability that all 6 selected workers will be from the same
shift?
c. What is the probability that at least two different shifts will be represented
among the selected workers?
d. What is the probability that at least one of the shifts will be unrepresented
in the sample of workers?
Exercises
38. A box in a certain supply room contains four 40-W lightbulbs, five 60-W
bulbs, and six 75-W bulbs. Suppose that three bulbs are randomly selected.
a. What is the probability that exactly two of the selected bulbs are rated
75-W?
b. What is the probability that all three of the selected bulbs have the same
rating?
c. What is the probability that one bulb of each type is selected?
d. Suppose now that bulbs are to be selected one by one until a 75-W bulb
is found. What is the probability that it is necessary to examine at least six
bulbs?

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Mathematical Statistics for Engineers

Nguyễn Ngọc Tứ Lecture 1 1 / 31

• Topic: Mathematical Statistics for Engineers

Nguyễn Ngọc Tứ Lecture 1 2 / 31

Nguyễn Ngọc Tứ Lecture 1 3 / 31

Rolling a (6-sides) die:

Rolling a (6-sides) die: Ω = { , , , , , }

Nguyễn Ngọc Tứ Lecture 1 4 / 31

Tossing a coin and getting a head A = {H}.

Tossing a coin and getting a head A = {H}.

Tossing a coin and getting a head A = {H}.

Tossing a coin and getting a head A = {H}.

Nguyễn Ngọc Tứ Lecture 1 5 / 31

Let us consider subsets of a set Ω.

Example: Empty set

The complement of Ω is the empty set ∅:

Nguyễn Ngọc Tứ Lecture 1 6 / 31

Nguyễn Ngọc Tứ Lecture 1 7 / 31

If A ∩ B = ∅, then we say A and B are disjoint.

Nguyễn Ngọc Tứ Lecture 1 8 / 31

Let A, B be subsets of Ω. Then

(A ∪ B)c = Ac ∩ B c and (A ∩ B)c = Ac ∪ B c .

The other equality if proved similarly (?).

Nguyễn Ngọc Tứ Lecture 1 9 / 31

1. Four universities—1, 2, 3, and 4—are participating in a holiday basketball

Nguyễn Ngọc Tứ Lecture 1 10 / 31

a. List all outcomes in Ω.

Nguyễn Ngọc Tứ Lecture 1 11 / 31

a. List all outcomes in Ω.

Nguyễn Ngọc Tứ Lecture 1 11 / 31

a. List all outcomes in Ω.

Nguyễn Ngọc Tứ Lecture 1 11 / 31

a. List all outcomes in Ω.

Nguyễn Ngọc Tứ Lecture 1 11 / 31

a. List all outcomes in Ω.

Nguyễn Ngọc Tứ Lecture 1 11 / 31

a. List all outcomes in Ω.

Nguyễn Ngọc Tứ Lecture 1 11 / 31

a. List all outcomes in Ω.

Nguyễn Ngọc Tứ Lecture 1 11 / 31

Let Ω = {w1 , w2 , . . . , wN }. Let A ⊆ Ω be an event. Then the prob-

Number of outcomes in A |A|

Nguyễn Ngọc Tứ Lecture 1 12 / 31

Nguyễn Ngọc Tứ Lecture 1 13 / 31

1. One person going from A to C must go through B. Knowing

Nguyễn Ngọc Tứ Lecture 1 14 / 31

1. One person going from A to C must go through B. Knowing

Theorem: Fundamental rule of counting

Nguyễn Ngọc Tứ Lecture 1 14 / 31

1. a. Beethoven wrote 9 symphonies, and Mozart wrote 27 piano

2. How many ways can {1, 2, . . . , n} be ordered?

Nguyễn Ngọc Tứ Lecture 1 15 / 31

Probability that 6 rolls of a die all given different numbers?

Probability that 6 rolls of a die all given different numbers?

A = all given different numbers,

Probability that 6 rolls of a die all given different numbers?

A = all given different numbers, |A|=. . .

Probability that 6 rolls of a die all given different numbers?

A = all given different numbers, |A|=. . .

Probability that 6 rolls of a die all given different numbers?

A = all given different numbers, |A|=. . .

Nguyễn Ngọc Tứ Lecture 1 16 / 31

1. There are 3 identical chairs, including 2 yellow chairs, 1 white