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Hanoi, 2024
1 Probability
2 Random Variables
Content
1 Probability
2 Random Variables
PROBABILITY
PROBABILITY
P (A ∪ B) = P (A) + P (B) − P (A ∩ B)
P (A ∩ B)
P (A|B) = .
P (B)
P (A ∩ B) = P (A)P (B).
PROBABILITY
Total probability rule (two events): For any events A and B,
P (B | E1 ) P (E1 )
P (E1 |B) =
P (B|E1 ) P (E1 )+P (B|E2 ) P (E2 )+ ... +P (B|Ek ) P (Ek )
Content
1 Probability
2 Random Variables
RANDOM VARIABLES
Content
1 Probability
2 Random Variables
f (xi ) = 1/n.
Binomial Distribution
Binomial Distribution
A random experiment consists of n Bernoulli trials such that:
The trials are independent.
Each trial results in only two possible outcomes, labeled as ”success”
and ”failure.”
The probability of a success in each trial, denoted as p, remains
constant.
The random variable X that equals the number of trials that result in a
success has a binomial random variable with parameters 0 < p < 1 and
n = 1, 2, . . . The probability mass function of X is
and
µ = E(X) = np and σ 2 = V (X) = np(1 − p).
Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 15 / 28
Discrete random variables Some distributions
Geometric Distribution
Geometric Distribution
In a series of Bernoulli trials (independent trials with constant probability p
of a success), let the random variable X denote the number of trials until
the first success. Then X is a geometric random variable with parameter
0 < p < 1 and
f (x) = (1 − p)x−1 p x = 1, 2, . . .
and
µ = E(X) = 1/p and σ 2 = V (X) = (1 − p)/p2 .
and
µ = E(X) = r/p and σ 2 = V (X) = r(1 − p)/p2 .
Hypergeometric Distribution
Hypergeometric Distribution
A set of N objects contains: K objects classified as successes, N − K objects
classified as failures, A sample of size n objects is selected randomly (without
replacement) from the N objects, where K ≤ N and n ≤ N .
Let the random variable X denote the number of successes in the sample. Then
X is a hypergeometric random variable and
x n−x
CK .CN −K
f (x) = n , x = max{0, n + K − N } to min{K, n}
CN
−n
and µ = E(X) = np and σ 2 = V (X) = np(1 − p) N N −1 ,
N −n
where p = K/N and is called the finite population correction factor .
N −1
Poisson Distribution
Poisson Distribution
The random variable X that equals the number of events in a Poisson
process is a Poisson random variable with parameter 0 < λ, and the
probability mass function of X is
e−λ λx
f (x) = x = 0, 1, 2, . . .
x!
and
µ = E(X) = λ, σ 2 = V (X) = λ.
Content
1 Probability
2 Random Variables
1 −(x−µ)2
f (x) = √ e 2σ2 −∞<x<∞
2πσ
is a normal random variable with parameters µ, where −∞ < µ < ∞, and
σ > 0. Also,
E(X) = µ and V (X) = σ 2
and the notation N µ, σ 2 is used to denote the distribution.
µ=0 and σ2 = 1
and !
x − 0.5 − np
P (x ≤ X) = P (x − 0.5 ≤ X) ∼
=P p ≤Z
np(1 − p)
The approximation is good for np > 5 and n(1 − p) > 5.
Exponential Distribution
Exponential Distribution
The random variable X that equals the distance between successive events
of a Poisson process with mean number of events λ > 0 per unit interval is
an exponential random variable with parameter λ. The probability density
function of X is
f (x) = λe−λx for 0 ≤ x < ∞
and
1 1
µ = E(X) = and σ 2 = V (X) = .
λ λ2