Preface to the Second Edition

Many systems encountered in science and engineering require an understand-

ing of probability concepts because they possess random variations. These
include messages arriving at a switchboard; customers arriving at a restaurant,
movie theatre or a bank; component failure in a system; traffic arrival at a junc-
tion; and transaction requests arriving at a server.
There are several books on probability and random processes. These books
range widely in their coverage and depth. At one extreme are the very rigorous
books that present probability from the point of view of measure theory and
spend so much time proving exotic theorems. At the other extreme are books
that combine probability with statistics without devoting enough time on the
applications of probability. In the middle lies a group of books that combine
probability and random processes. These books avoid the measure theoretic
approach and rather emphasize the axioms upon which the theory is based.
This book belongs to this group and is based on the premise that to the engi-
neer, probability is a modeling tool. Therefore, to an engineering student the
emphasis on a probability and random processes course should be on the
application of probability to the solution of engineering problems. Also, since
some of the engineering problems deal with data analysis, the student should
also be exposed to some knowledge of statistics. However, it is not necessary
for the student to take a separate class on statistics since most of the prereq-
uisites for statistics are covered in a probability course. Thus, this book differs
from other books in the sense that it presents two chapters on the essentials of
statistics.
The book is designed for juniors and seniors, but can also be used at lower grad-
uate levels. It grew out of the author’s fifteen years experience developing and
analyzing probabilistic models of systems in the industry as well as teaching an
introductory course on probability and random processes for over ten years in
two different colleges. The emphasis throughout the book is on the applica-
tions of probability, which are demonstrated through several examples that
deal with real systems. Since many students learn by “doing,” it is suggested that

xvi
 Preface to the Second Edition xvii

the students solve the exercises at the end of each chapter. Some mathematical
knowledge is assumed, especially freshman calculus and algebra.
This second edition of the book differs from the first edition in a few ways. First,
the chapters have been slightly rearranged. Specifically, statistics now comes
before random processes to enable students understand the basic principles
of probability and statistics before studying random processes. Second,
Chapter 11 has been split into two chapters: Chapter 8, which deals with
descriptive statistics; and Chapter 9, which deals with inferential statistics.
Third, the new edition includes more application-oriented examples to enable
students to appreciate the application of probability and random processes in
science, engineering and management. Finally, after teaching the subject every
semester for the past eleven years, I have been able to identify several pain
points that hinder student understanding of probability and random processes,
and I have introduced several new “smart” methods of solving the problems to
help ease the pain.
The book is divided into three parts as follows:

Part 1: Probability and Random Variables, which covers chapters 1 to 7

Part 2: Introduction to Statistics, which covers chapters 8 and 9
Part 3: Basic Random Processes, which covers chapters 10 to 12

A more detailed description of the chapters is as follows. Chapter 1 deals with

basic concepts in probability including sample space and events, elementary set
theory, conditional probability, independent events, basic combinatorial anal-
ysis, and applications of probability.
Chapter 2 discusses random variables including events defined by random vari-
ables, discrete random variables, continuous random variables, cumulative dis-
tribution function, probability mass function of discrete random variables, and
probability distribution function of continuous random variables.
Chapter 3 discusses moments of random variables including the concepts of
expectation and variance, higher moments, conditional expectation, and the
Chebyshev and Markov inequalities.
Chapter 4 discusses special random variables and their distributions. These include
the Bernoulli distribution, binomial distribution, geometric distribution, Pascal
distribution, hypergeometric distribution, Poisson distribution, exponential
distribution, Erlang distribution, uniform distribution, and normal distribution.
Chapter 5 deals with multiple random variables including the joint cumulative
distribution function of bivariate random variables, conditional distributions,
covariance, correlation coefficient, functions of multivariate random variables,
and multinomial distributions.
xviii Preface to the Second Edition

Chapter 6 deals with functions of random variables including linear and power
functions of one random variable, moments of functions of one random var-
iable, sums of independent random variables, the maximum and minimum of
two independent random variables, two functions of two random variables,
laws of large numbers, the central limit theorem, and order statistics
Chapter 7 discusses transform methods that are useful in computing moments
of random variables. In particular, it discusses the characteristic function, the
z-transform of the probability mass functions of discrete random variables
and the s-transform of the probability distribution functions of continuous ran-
dom variables.
Chapter 8 presents an introduction to descriptive statistics and discusses such
topics as measures of central tendency, measures of spread, and graphical
displays.
Chapter 9 presents an introduction to inferential statistics and discusses such
topics as sampling theory, estimation theory, hypothesis testing, and linear
regression analysis.
Chapter 10 presents an introduction to random processes. It discusses classifi-
cation of random processes; characterization of random processes including
the autocorrelation function of a random process, autocovariance function,
crosscorrelation function and crosscovariance function; stationary random
processes; ergodic random processes; and power spectral density.
Chapter 11 discusses linear systems with random inputs. It also discusses the
autoregressive moving average process.
Chapter 12 discusses special random processes including the Bernoulli process,
Gaussian process, random walk, Poisson process and Markov process.
The author has tried different formats in presenting the different chapters of the
book. In one particular semester we were able to go through all the chapters except
Chapter 12. However, it was discovered that this put a lot of stress on the students.
Thus, in subsequent semesters an attempt was made to cover all the topics in
Parts 1 and 2 of the book, and a few selections from Part 3. The instructor can
try different formats and adopt the one that works best for him or her.
The beginning of a solved example is indicated by a short line and the end of the
solution is also indicated by a short line. This is to separate the continuation of
a discussion preceding an example from the example just solved.