Springer Undergraduate Texts in Mathematics and Technology

Series Editors

Jonathan M. Borwein Helge Holden

Editorial Board

Lisa Goldberg Armin Iske Palle E.T. Jorgensen Stephen M. Robinson

Mario Lefebvre

Basic Probability Theory with Applications

Mario Lefebvre Dpartement de mathmatiques et de gnie industriel cole Polytechnique de Montral, Qubec C.P. 6079, succ. Centre-ville Montral H3C 3A7 Canada mlefebvre@polymtl.ca

Series Editors Jonathan M. Borwein Faculty of Computer Science Dalhousie University Halifax, Nova Scotia B3H 1W5 Canada jborwein@cs.dal.ca

Helge Holden Department of Mathematical Sciences Norwegian University of Science and Technology Alfred Getz vei 1 NO-7491 Trondheim Norway holden@math.ntnu.no

ISBN 978-0-387-74994-5 e-ISBN 978-0-387-74995-2 DOI 10.1007/978-0-387-74995-2 Springer Dordrecht Heidelberg London New York
Library of Congress Control Number: 2009928845 Mathematics Subject Classification (2000): 60-01 Springer Science+Business Media, LLC 2009 All rights reserved. This work may not be translated or copied in whole or in part without the written permission of the publisher (Springer Science+Business Media, LLC, 233 Spring Street, New York, NY 10013, USA), except for brief excerpts in connection with reviews or scholarly analysis. Use in connection with any form of information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed is forbidden. The use in this publication of trade names, trademarks, service marks, and similar terms, even if they are not identified as such, is not to be taken as an expression of opinion as to whether or not they are subject to proprietary rights. Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)

To the memory of my father

I will never believe that God plays dice with the universe. Albert Einstein

Then they gave lots to them, and the lot fell upon Matthias, and he was counted with the eleven apostles. Acts 1: 26

Preface
The main intended audience for this book is undergraduate students in pure and applied sciences, especially those in engineering. Chapters 2 to 4 cover the probability theory they generally need in their training. Although the treatment of the subject is surely sucient for non-mathematicians, I intentionally avoided getting too much into detail. For instance, topics such as mixed type random variables and the Dirac delta function are only briey mentioned. Courses on probability theory are often considered dicult. However, after having taught this subject for many years, I have come to the conclusion that one of the biggest problems that the students face when they try to learn probability theory, particularly nowadays, is their deciencies in basic dierential and integral calculus. Integration by parts, for example, is often already forgotten by the students when they take a course on probability. For this reason, I have decided to write a chapter reviewing the basic elements of dierential calculus. Even though this chapter might not be covered in class, the students can refer to it when needed. In this chapter, an eort was made to give the readers a good idea of the use in probability theory of the concepts they should already know. Chapter 2 presents the main results of what is known as elementary probability, including Bayes rule and elements of combinatorial analysis. Although these notions are not mathematically complicated, it is often a chapter that the students nd hard to master. There is no trick other than doing a lot of exercises to become comfortable with this material. Chapter 3 is devoted to the more technical subject of random variables. All the important models for the applications, such as the binomial and normal distributions, are introduced. In general, the students do better when examined on this subject and feel that their work is more rewarded than in the case of combinatorial analysis, in particular. Random vectors, including the all-important central limit theorem, constitute the subject of Chapter 4. I have endeavored to present the material as simply as possible. Nevertheless, it is obvious that double integrals cannot be simpler than single integrals. Applications of Chapters 2 to 4 are presented in Chapters 5 to 7. First, Chapter 5 is devoted to the important subject of reliability theory, which is used in most engineering disciplines, in particular in mechanical engineering. Next, the basic queueing models are studied in Chapter 6. Queueing theory is needed for many computer science engineering students, as well as for those in industrial engineering. Finally, the last application considered, in Chapter 7, is the concept of time series. Civil engineers, notably those specialized in hydrology, make use of stochastic processes of this type when they want to model various phenomena and forecast the future values of a given variable, such as the ow of a river. Time series are also widely used in economy and nance to represent the variations of certain indices.

Preface

VII

No matter the level and the background of the students taking a course on probability theory, one thing is always true: as mentioned above, they must try to solve many exercises before they can feel that they have mastered the theory. To this end, the book contains more than 400 exercises, many of which are multiple part questions. At the end of each chapter, the reader will nd some solved exercises, whose solutions can be found in Appendix C, followed by a large number of unsolved exercises. Answers to the even-numbered questions are provided in Appendix D at the end of the book. There are also many multiple choice questions, whose answers are given in Appendix E. It is my pleasure to thank all the people I worked with over the years at the Ecole Polytechnique de Montr eal and who provided me with interesting exercises that were included in this work. Finally, I wish to express my gratitude to Vaishali Damle, and the entire publishing team at Springer, for their excellent support throughout this book project.

Mario Lefebvre Montr eal, July 2008

Contents

Preface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

vi

List of Tables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xiii List of Figures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 Review of dierential calculus . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.1 Limits and continuity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.2 Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.3 Integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.3.1 Particular integration techniques . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.3.2 Double integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.4 Innite series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.4.1 Geometric series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.5 Exercises for Chapter 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Elementary probability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.1 Random experiments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.2 Events . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.3 Probability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.4 Conditional probability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.5 Total probability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.6 Combinatorial analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.7 Exercises for Chapter 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Random variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.1.1 Discrete case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.1.2 Continuous case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.2 Important discrete random variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.2.1 Binomial distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.2.2 Geometric and negative binomial distributions . . . . . . . . . . . . . . . . 3.2.3 Hypergeometric distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.2.4 Poisson distribution and process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.3 Important continuous random variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . xv 1 1 3 7 9 12 14 15 18 27 27 28 29 32 35 36 39 55 55 55 57 61 61 64 66 68 70

Contents

3.3.1 Normal distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.3.2 Gamma distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.3.3 Weibull distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.3.4 Beta distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.3.5 Lognormal distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.4 Functions of random variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.4.1 Discrete case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.4.2 Continuous case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.5 Characteristics of random variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.6 Exercises for Chapter 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 Random vectors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.1 Discrete random vectors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.2 Continuous random vectors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.3 Functions of random vectors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.3.1 Discrete case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.3.2 Continuous case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.3.3 Convolutions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.4 Covariance and correlation coecient . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.5 Limit theorems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.6 Exercises for Chapter 4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Reliability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.1 Basic notions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.2 Reliability of systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.2.1 Systems in series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.2.2 Systems in parallel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.2.3 Other cases . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.3 Paths and cuts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.4 Exercises for Chapter 5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Queueing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.1 Continuous-time Markov chains . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.2 Queueing systems with a single server . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.2.1 The M/M/1 model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.2.2 The M/M/1 model with nite capacity . . . . . . . . . . . . . . . . . . . . . . 6.3 Queueing systems with two or more servers . . . . . . . . . . . . . . . . . . . . . . . . . 6.3.1 The M/M/s model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.3.2 The M/M/s/c model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.4 Exercises for Chapter 6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

70 74 77 78 80 81 81 82 83 94 115 115 118 124 125 127 128 131 135 137 161 161 170 170 172 176 178 183 191 191 197 199 207 212 212 218 220

Contents

XI

Time series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.2 Particular time series models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.2.1 Autoregressive processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.2.2 Moving average processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.2.3 Autoregressive moving average processes . . . . . . . . . . . . . . . . . . . . . 7.3 Modeling and forecasting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.4 Exercises for Chapter 7 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

227 227 235 235 244 249 251 261

A B C D E

List of symbols and abbreviations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 269 Statistical tables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 275 Solutions to Solved exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 281 Answers to even-numbered exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 325 Answers to multiple choice questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 333

References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 335 Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 337

List of Tables

3.1

Means and variances of the probability distributions of Sections 3.2 and 3.3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Distribution function of the binomial distribution . . . . . . . . . . . . . . . . . . . . . Continued . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Distribution function of the Poisson distribution . . . . . . . . . . . . . . . . . . . . . . Values of the function (z ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Continued . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Values of the function Q1 (p) for some values of p . . . . . . . . . . . . . . . . . . . .

89 276 277 278 279 280 280

B.1 B.1 B.2 B.3 B.3 B.4

List of Figures

1.1 1.2 1.3 2.1 2.2 2.3 2.4 2.5 2.6 2.7 2.8 2.9 2.10 2.11 2.12 2.13 2.14 2.15 2.16 3.1 3.2 3.3 3.4 3.5 3.6 3.7

Joint density function in Example 1.3.5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Integration region in Example 1.3.5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Region A in solved exercise no. 8. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Venn diagram for Example 2.2.1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Venn diagram for three arbitrary events. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Probability of the union of two arbitrary events. . . . . . . . . . . . . . . . . . . . . . . Venn diagram for Example 2.3.1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Notion of conditional probability. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . System for part (a) of Example 2.4.1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Venn diagram for part (a) of Example 2.4.1. . . . . . . . . . . . . . . . . . . . . . . . . . System for part (b) of Example 2.4.1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Example of the law of total probability with n = 3. . . . . . . . . . . . . . . . . . . . Example of a tree diagram. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Tree diagram in Example 2.6.1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Figure for Exercise no. 1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Figure for Exercise no. 8. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Figure for Exercise no. 13. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Figure for Exercise no. 15. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Figure for Exercise no. 22. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Distribution function of the random variable in Example 3.1.1 (ii). . . . . . . Density function of the random variable in Example 3.1.3. . . . . . . . . . . . . . Distribution function of the random variable in Example 3.1.3. . . . . . . . . . Probability functions of binomial random variables. . . . . . . . . . . . . . . . . . . . Probability function of a geometric random variable. . . . . . . . . . . . . . . . . . . Density function of a normal random variable. . . . . . . . . . . . . . . . . . . . . . . . Density functions of various random variables having a gamma distribution with = 1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

13 14 19 28 29 31 32 33 34 34 35 36 37 37 42 45 46 47 48 57 59 60 62 64 71 75

XVI

List of Figures

3.8 3.9

Probability density function of a W(0.8, 0.5) random variable. . . . . . . . . . . Probability density functions of a W(0.8, 0.5) (continuous line) and an Exp(0.32) (broken line) random variables in the interval [5, 20]. . . . . . . . . . 3.10 Probability density function of a uniform random variable on the interval (a, b). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.11 Skewness coecient of exponential distributions. . . . . . . . . . . . . . . . . . . . . . 3.12 Skewness coecient of the uniform distribution. . . . . . . . . . . . . . . . . . . . . . . 4.1 4.2 4.3 4.4 5.1 5.2 5.3 5.4 5.5 5.6 6.1 6.2 6.3 6.4 6.5 7.1 7.2 Joint distribution function in Example 4.2.2. . . . . . . . . . . . . . . . . . . . . . . . . . Density function in Example 4.3.4. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Figure for Exercise no. 5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Figure for Exercise no. 6. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Failure rate function having the shape of a bathtub. . . . . . . . . . . . . . . . . . . A bridge system. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A bridge system represented as a parallel system made up of its minimal path sets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A bridge system represented as a series system made up of its minimal cut sets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Figure for Exercise no. 16. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Figure for multiple choice question no. 9. . . . . . . . . . . . . . . . . . . . . . . . . . . . . State transition diagram for the M/M/1 model. . . . . . . . . . . . . . . . . . . . . . . State transition diagram for the queueing model in Example 6.2.2. . . . . . . State transition diagram for the queueing model in Example 6.2.4. . . . . . . State transition diagram for the M/M/2 model. . . . . . . . . . . . . . . . . . . . . . . Figure for Example 6.3.1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

78 78 79 91 92 124 129 145 146 167 178 182 182 187 190 201 205 212 214 216

Joint probability density functions of a random vector having a bivariate normal distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 233 Scatter diagram of the data in Example 7.3.1. . . . . . . . . . . . . . . . . . . . . . . . . 255

C.1 Figure for solved exercise no. 12. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 299 C.2 Figure for solved exercise no. 27. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 305