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H2 Mathematics
A trial is conducted. The trial has two possible outcomes - success and
failure, each having probability p and 1 p respectively. (This trial is called
a Bernoulli trial). Then a Bernoulli random variable X is defined as
(
1 , if the trial succeeded
X=
0 , if the trial failed
1
4. Variance and Standard Deviation
The variance is
the probability that there are k successes and n k failures. Hence the PMF
of X B(n, p) is
n k
P (X = k) = p (1 p)nk
k
3. Expected Value
2
Alternatively, E(X) = np can be derived from a not-so-elegant brute force
approach.
n n
X n k nk X n k
E(X) = k p (1 p) = lim x x (1 p)nk
k=0
k xp x
k=0
k
= lim x (x + 1 p)n = lim xn(x + 1 p)n1 = np
xp x xp
A brute force approach can also be used to prove that var(X) = np(1 p).
3
3. Poisson Random Variable
.
1. Definition
4
3. Approximation to Binomial Random Variable
The previous section was essentially a proof of what is called the Poisson
Limit Theorem which provides us with a useful approximation of the bino-
mial random variable. That is, for n large (say n > 50) and np small (say
np < 5),
B(n, p) Pois(np)
E(X) =
Using the fact that B n, tends to Pois(), we may easily derive the
n
variance of X Pois() as well.
var(X) = lim n 1 =
n n n
5
4. Normal Distribution
.
1. Deriving the Central Limit Theorem
2 2
so as n , nX (t) exp t .
2
Let us now determine the probability density function of lim nX. No-
n
tice that the characteristic function of a random variable is simply a Fourier
transform of its PDF. Thus by Fourier inversion,
Z Z ( 2 )
2 2
1 2 2 1 ix x
lim fnX (x) = eitx e t /2 dt = exp t + 2 2 dt
n 2 2 2 2
6
ix
Let the integrand be f t + 2 . By Cauchys Integral Theorem, the inte-
ix
gral of f t + 2 over R is equal to the integral of f (t) over R since the
integral of f (t) over R, R + ix2 decays exponentially as R . Thus
Z
x2
2
1
lim f nX (x) = exp 2 exp t2 dt
n 2 2 2
x2 2 t2
Z
1
= exp 2 e dt
2 2
x2
1
= exp 2
2 2
R 2
The last equality follows from the fact that et dt = . (There are
several ways to prove this result. The most common methods include the
use of polar coordinates or Eulers reflection formula).
So as n ,
X1 + X2 + + X n
n
x2
1
will approach a probability distribution that has a PDF of exp 2 .
2 2
This is known as the Central Limit Theorem.
7
3. Two (Very) Important Properties
8
5. Normal Approximation to Binomial Random Variable
9
5. Worked Examples (Easy)
.
1. Find the minimum number of rolls of two dice required such that the
1
probability of getting two sixes at least twice is at least .
2
Solution:
Solving the inequality (with GC), we get that the minimum n is n = 61.
2. There is a concert and only 2500 tickets are available, so one must send
in applications for a chance to obtain tickets. If you sent in 100 applications,
and the total number of applications is 125000, find the probability that you
will get a ticket, and explain why this probability is close to 1 e2 .
Solution:
Let X be the random variable that counts the number of accepted appli-
cations out of the 100 sent in. Its PMF is
100
124900
k 2500k
P (X = k) = 125000
2500
10
To intuitively understand why this probability is close to 1 e2 , we see that
the process of choosing 2500 tickets out of 125000 (without replacement)
can be roughly estimated by 2500 independent Bernoulli trials (i.e. choosing
tickets with replacement). This is because the probability of choosing a
given ticket remains almost constant since 125000 >> 2500. Thus we can
estimate the PMF of X as that of a binomial random variable.
k 2500k
2500 100 124900
P (X = k)
k 125000 125000
20 e2
P (X 1) 1 = 1 e2
0!
3. n dice are simultaneously rolled 46n1 times. You win a round if you get
six on every dice rolled in one of the rolls. Show that probability of winning
at least one round is roughly 1 e2/3 when n is large.
Solution:
Let X be the random variable that counts the number of times you get
all sixes on every roll of k dice. Then X B(4 6n1 , 6n ) with PMF
k 46n1 k
4 6n1
1 1
P (X = k) = 1 n
k 6n 6
11
4. On average, 100 plane crashes happen a year. Estimate the probability
that more than 150 plane crashes will happen in a time period of a year.
Solution:
Solution:
Solution:
12
7. In a betting game, Alex has 21 probability of losing 1 dollar, 41 probability
of winning 1 dollar and 14 probability of winning 2 dollars every bet. Estimate
the probability that his net win is at most 20 dollars after 100 bets.
Solution:
Let Xk count the amount won from the k-th bet. Then the expected value
and variance are
1 1 1 1
E(Xk ) = 1 +1 +2 =
2 4 4 4
2
1 1 1 1 27
var(Xk ) = (1)2 + 12 + 22 =
2 4 4 4 16
13