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Petter Mostad

2005.09.19

Repetition

• Sample space, set theory, events,

probability

• Conditional probability, Bayes theorem,

independence, odds

• Random variables, pdf, cdf, expected value,

variance

Some combinatorics

• How many ways can you make ordered

selections of s objects from n objects?

Answer: n*(n-1)*(n-2)*…*(n-s+1))

• How many ways can you order n objects?

Answer: n*(n-1)*…*2*1 = n! (”n faculty”)

• How many ways can you make unordered

selections of s objects from n objects?

Answer: n ⋅ (n − 1) ⋅K ⋅ (n − s + 1) n! n

= =

s! s !(n − s )! s

The Binomial distribution

• Bernoulli distribution: One experiment, with

probability π.

• If you have n independent experiments, each with

probability π, what is the probability of s

successes?

• To compute this probability, we find the

probability of getting successes in exactly a

particular set of experiments, and multiply with

the number of choices of such sets.

The Binomial distribution

The random variable X has a Binomial

distribution if it has the distribution as

above: n s

P ( X = s ) = π (1 − π )

n− s

s

E ( X ) =nπ

Var ( X ) =nπ (1 − π )

Example

• In a clinic, 20% of the patients come

because of problem X. If the clinic treats 20

patients one day, what is the probability that

zero, one, or two patients will come because

of problem X?

The Hypergeometric distribution

• Assume N objects are given, and s of these

are ”successes”. Assume n objecs are

chosen at random. The distribution of the

number of successes among these is the

hypergeometric distribution:

s N − s

x n − x

P( x) =

N

n

Example

• A class consists of 20 girls and 10 boys. A

group of 5 students is selected at random.

What is the probability that it will contain 0,

1, or 2 girls?

The Poisson distribution

• Assume ”successes” happen independently,

at a rate λ per time unit. The probability of

x successes during a time unit is given by

the Poisson distribution: −λ x

e λ

P( x) =

x!

E( X ) = λ

Var ( X ) = λ

Example

• Assume patients come to an emergency

room at an average rate of 1 per hour. What

is the probability that 3 or more patients

will come within a particular hour?

The Poisson and the Binomial

• It is possible to construct a Binomial variable

quite similar to a Poisson variable:

– Subdivide time unit into n subintervals.

– Set the probability of success in each subinterval to λ/n.

– Letting n goto infinity, the two processes become

identical.

• The above argument can be used to find the

formula for the Poisson distribution.

• Also: Poisson approximates Binomial when n is

large and p is small.

Bivariate distributions

• Probability models where the outcomes are

pairs (or vectors) of numbers are called

bivariate (or multivariate) random variables:

– P ( x, y ) = P ( X = x ∩ Y = y )

– marginal probability: P ( x) = ∑ P ( x, y )

y P ( x, y )

– conditional probability: P( x | y) =

P( y )

– X and Y are independent if for all x and y:

P ( x, y ) = P ( x ) P ( y )

Example

• The probabilities for

– A: Rain tomorrow

– B: Wind tomorrow

are given in the following table:

Light rain 0.05 0.1 0.15 0.04

Heavy rain 0.05 0.1 0.1 0.05

Covariance and correlation

• Covariance measures how two variables

vary together:

Cov( X , Y ) = E [ ( X − E ( X ))(Y − E (Y ))] = E ( XY ) − E ( X ) E (Y )

Cov( X , Y ) Cov( X , Y )

Corr ( X , Y ) = =

σ XσY Var ( X )Var (Y )

Properties of the expectation and

variance

• E ( X + Y ) = E ( X ) + E (Y )

• E (aX + b) = aE ( X ) + b

• Var (aX ) = a 2Var ( X )

• If X,Y independent, then E ( XY ) = E ( X ) E (Y )

• If X,Y independent, then Cov( X , Y ) = 0

• If Cov(X,Y)=0 then

Var ( X + Y ) = Var ( X ) + Var (Y )

Continuous random variables

• Used when the outcomes are best modelled

as real numbers

• Probabilities are assigned to intervals of

numbers; individual numbers generally

have probability zero

Cdf for continuous random variables

• As before, the cumulative distribution

function F(x) is equal to the probability of

all outcomes less than or equal to x.

• Thus we get P (a < X ≤ b) = F (b) − F (a )

• The probability density function is however

b

now defined so that

P (a < X ≤ b) = ∫ f ( x)dx

a

x0

• We get that

F ( x0 ) = ∫

−∞

f ( x)dx

Expectations

• The expectation of a continuous random

variable X is defined as

E ( X ) = ∫ xf ( x)dx

• The variance, standard deviation,

covariance, and correlation are defined

exactly as before, in terms of the

expectation, and thus have the same

properties

Example: The uniform distribution

on the interval [0,1]

• f(x)=1

• F(x)=x 1 1

2 1

• E ( X ) = ∫ xf ( x)dx = ∫ xdx = 2 x =

1 1

2

0

0 0

• Var ( X ) = E ( X 2

) − E ( X ) 2

1

= ∫ x d ( x) − ( 0.5 ) = 13 − 14 = 121

2 2

0

The normal distribution

• The most used continuous probability

distribution:

– Many observations tend to approximately

follow this distribution

– It is easy and nice to do computations with

– BUT: Using it can result in wrong conclusions

when it is not appropriate

The normal distribution

• The probability density function is

1 − ( x − µ )2 / 2σ 2

f ( x) = e

2πσ 2

• where E ( X ) = µ Var ( X ) = σ 2

• Notation N ( µ , σ 2 )

• Standard normal distribution N (0,1)

• Using the normal density is often OK unless

the actual distribution is very skewed

Normal probability plots

• Plotting the quantiles

of the data versus the Normal Q-Q Plot of Household income in thousands

quantiles of the 4

distribution. 3

• If the data is

2

Expected Normal

1

approximately 0

normally distributed, -1

approximately show a -3

straight line

-200 0 200 400 600 800 1 000 1 200

Observed Value

The Normal versus the Binomial

distribution

• When n is large and π is not too close to 0 or 1,

then the Binomial distribution becomes very

similar to the Normal distribution with the same

expectation and variance.

• This is a phenomenon that happens for all

distributions that can be seen as a sum of

independent observations.

• It can be used to make approximative

computations for the Binomial distribution.

The Exponential distribution

• The exponential distribution is a distribution for

positive numbers (parameter λ):

f (t ) = λ e − λt

when events arrive randomly at a constant rate

E (T ) = 1/ λ Var (T ) = 1/ λ 2

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