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You are on page 1of 97

Saravanan Vijayakumaran

sarva@ee.iitb.ac.in

Department of Electrical Engineering

Indian Institute of Technology Bombay

January 21, 2010

Our approach

the tools of probability theory

Our approach

the tools of probability theory

Our approach

the tools of probability theory

Outline

Introduction to Probability Theory

Sample Space

Events

Probabilities Dened on Events

Conditional Probability

Independent Events

Bayes Theorem

Random Variables

Random Variables

Discrete Random Variables

Continuous Random Variables

Expectation of a Random Variable

What is a sample space?

Denition

A sample space is the set of all possible outcomes of an experiment and

is denoted by S.

Examples

Tossing of two coins: S = {(H, H), (T, H), (H, T), (T, T)}

A box contains three balls: one red, one green and one blue. Ball is

drawn, replaced and a ball is drawn again. What is S? Without the

replacement, what is S?

What is a sample space?

Denition

A sample space is the set of all possible outcomes of an experiment and

is denoted by S.

Examples

Tossing of two coins: S = {(H, H), (T, H), (H, T), (T, T)}

A box contains three balls: one red, one green and one blue. Ball is

drawn, replaced and a ball is drawn again. What is S? Without the

replacement, what is S?

What is a sample space?

Denition

A sample space is the set of all possible outcomes of an experiment and

is denoted by S.

Examples

Tossing of two coins: S = {(H, H), (T, H), (H, T), (T, T)}

A box contains three balls: one red, one green and one blue. Ball is

drawn, replaced and a ball is drawn again. What is S? Without the

replacement, what is S?

What is a sample space?

Denition

A sample space is the set of all possible outcomes of an experiment and

is denoted by S.

Examples

Tossing of two coins: S = {(H, H), (T, H), (H, T), (T, T)}

drawn, replaced and a ball is drawn again. What is S? Without the

replacement, what is S?

What is a sample space?

Denition

A sample space is the set of all possible outcomes of an experiment and

is denoted by S.

Examples

Tossing of two coins: S = {(H, H), (T, H), (H, T), (T, T)}

drawn, replaced and a ball is drawn again. What is S? Without the

replacement, what is S?

What is a sample space?

Denition

A sample space is the set of all possible outcomes of an experiment and

is denoted by S.

Examples

Tossing of two coins: S = {(H, H), (T, H), (H, T), (T, T)}

drawn, replaced and a ball is drawn again. What is S? Without the

replacement, what is S?

What is a sample space?

Denition

A sample space is the set of all possible outcomes of an experiment and

is denoted by S.

Examples

Tossing of two coins: S = {(H, H), (T, H), (H, T), (T, T)}

drawn, replaced and a ball is drawn again. What is S? Without the

replacement, what is S?

What is a sample space?

Denition

A sample space is the set of all possible outcomes of an experiment and

is denoted by S.

Examples

Tossing of two coins: S = {(H, H), (T, H), (H, T), (T, T)}

drawn, replaced and a ball is drawn again. What is S? Without the

replacement, what is S?

What is a sample space?

Denition

A sample space is the set of all possible outcomes of an experiment and

is denoted by S.

Examples

Tossing of two coins: S = {(H, H), (T, H), (H, T), (T, T)}

drawn, replaced and a ball is drawn again. What is S? Without the

replacement, what is S?

What is an event?

Denition

An event is any subset of a sample space.

Examples

head appears on the ip of a coin.

even number appears when the die is rolled.

the event that the car stops working between one and three years.

What is an event?

Denition

An event is any subset of a sample space.

Examples

head appears on the ip of a coin.

even number appears when the die is rolled.

the event that the car stops working between one and three years.

What is an event?

Denition

An event is any subset of a sample space.

Examples

head appears on the ip of a coin.

even number appears when the die is rolled.

the event that the car stops working between one and three years.

What is an event?

Denition

An event is any subset of a sample space.

Examples

head appears on the ip of a coin.

even number appears when the die is rolled.

the event that the car stops working between one and three years.

More about events

Denition

For an event E, E

c

is the complement of E. It consists of all outcomes in

the sample space S that are not in E.

Examples

c

= {1, 3, 5}.

In general, S

c

= where denotes the empty set corresponding to

the null event consisting of no outcomes.

More about events

Denition

For an event E, E

c

is the complement of E. It consists of all outcomes in

the sample space S that are not in E.

Examples

c

= {1, 3, 5}.

In general, S

c

= where denotes the empty set corresponding to

the null event consisting of no outcomes.

More about events

Denition

For an event E, E

c

is the complement of E. It consists of all outcomes in

the sample space S that are not in E.

Examples

c

= {1, 3, 5}.

In general, S

c

= where denotes the empty set corresponding to

the null event consisting of no outcomes.

More about events

Denition

For events E and F, E F is called the union of E and F. It consists of

all outcomes in the sample space S that are either in E or F or in both E

and F.

Examples

E F = {2, 4, 5, 6}

If E

1

, E

2

, E

3

, . . . are events,

n=1

E

i

is the event that consists of all

the outcomes that are in E

n

for at least one value of n = 1, 2, 3, . . ..

More about events

Denition

For events E and F, E F is called the union of E and F. It consists of

all outcomes in the sample space S that are either in E or F or in both E

and F.

Examples

E F = {2, 4, 5, 6}

If E

1

, E

2

, E

3

, . . . are events,

n=1

E

i

is the event that consists of all

the outcomes that are in E

n

for at least one value of n = 1, 2, 3, . . ..

More about events

Denition

For events E and F, E F is called the union of E and F. It consists of

all outcomes in the sample space S that are either in E or F or in both E

and F.

Examples

E F = {2, 4, 5, 6}

If E

1

, E

2

, E

3

, . . . are events,

n=1

E

i

is the event that consists of all

the outcomes that are in E

n

for at least one value of n = 1, 2, 3, . . ..

More about events

Denition

For events E and F, E F is called the intersection of E and F. It

consists of all outcomes in the sample space S that are in both E and F.

Examples

E F = {4, 6}

If E

1

, E

2

, E

3

, . . . are events,

n=1

E

i

is the event that consists of the

outcomes that are in every E

n

for n = 1, 2, 3, . . ..

Denition

Events E and F are said to be mutually exclusive if E F = . Mutually

exclusive events have no outcomes in common.

More about events

Denition

For events E and F, E F is called the intersection of E and F. It

consists of all outcomes in the sample space S that are in both E and F.

Examples

E F = {4, 6}

If E

1

, E

2

, E

3

, . . . are events,

n=1

E

i

is the event that consists of the

outcomes that are in every E

n

for n = 1, 2, 3, . . ..

Denition

Events E and F are said to be mutually exclusive if E F = . Mutually

exclusive events have no outcomes in common.

More about events

Denition

For events E and F, E F is called the intersection of E and F. It

consists of all outcomes in the sample space S that are in both E and F.

Examples

E F = {4, 6}

If E

1

, E

2

, E

3

, . . . are events,

n=1

E

i

is the event that consists of the

outcomes that are in every E

n

for n = 1, 2, 3, . . ..

Denition

Events E and F are said to be mutually exclusive if E F = . Mutually

exclusive events have no outcomes in common.

More about events

Denition

For events E and F, E F is called the intersection of E and F. It

consists of all outcomes in the sample space S that are in both E and F.

Examples

E F = {4, 6}

If E

1

, E

2

, E

3

, . . . are events,

n=1

E

i

is the event that consists of the

outcomes that are in every E

n

for n = 1, 2, 3, . . ..

Denition

Events E and F are said to be mutually exclusive if E F = . Mutually

exclusive events have no outcomes in common.

Probability of an Event

Denition

For each event E of a sample space S, a number P(E) called the

probability of the event E is assigned which satises the following three

conditions:

1. 0 P(E) 1

2. P(S) = 1

3. For any sequence of events E

1

, E

2

, . . . that are pairwise mutually

exclusive, i.e. E

n

E

m

= for n = m, we have

P

_

_

n=1

E

n

_

=

n=1

P(E

n

)

Example

1

2

.

Probability of an Event

Denition

For each event E of a sample space S, a number P(E) called the

probability of the event E is assigned which satises the following three

conditions:

1. 0 P(E) 1

2. P(S) = 1

3. For any sequence of events E

1

, E

2

, . . . that are pairwise mutually

exclusive, i.e. E

n

E

m

= for n = m, we have

P

_

_

n=1

E

n

_

=

n=1

P(E

n

)

Example

1

2

.

Probability of an Event

Denition

For each event E of a sample space S, a number P(E) called the

probability of the event E is assigned which satises the following three

conditions:

1. 0 P(E) 1

2. P(S) = 1

3. For any sequence of events E

1

, E

2

, . . . that are pairwise mutually

exclusive, i.e. E

n

E

m

= for n = m, we have

P

_

_

n=1

E

n

_

=

n=1

P(E

n

)

Example

1

2

.

Probability of an Event

Denition

For each event E of a sample space S, a number P(E) called the

probability of the event E is assigned which satises the following three

conditions:

1. 0 P(E) 1

2. P(S) = 1

3. For any sequence of events E

1

, E

2

, . . . that are pairwise mutually

exclusive, i.e. E

n

E

m

= for n = m, we have

P

_

_

n=1

E

n

_

=

n=1

P(E

n

)

Example

1

2

.

Probability of an Event

Denition

For each event E of a sample space S, a number P(E) called the

probability of the event E is assigned which satises the following three

conditions:

1. 0 P(E) 1

2. P(S) = 1

3. For any sequence of events E

1

, E

2

, . . . that are pairwise mutually

exclusive, i.e. E

n

E

m

= for n = m, we have

P

_

_

n=1

E

n

_

=

n=1

P(E

n

)

Example

1

2

.

Probabilities of Events

Equally Likely Events

If a sample space is composed of N equally likely mutually exclusive

events, probability of each event is

1

N

.

Probability of the complement

P(E

c

) = 1 P(E)

Probability of the union

P(E F) = P(E) + P(F) P(E F)

Probabilities of Events

Equally Likely Events

If a sample space is composed of N equally likely mutually exclusive

events, probability of each event is

1

N

.

Probability of the complement

P(E

c

) = 1 P(E)

Probability of the union

P(E F) = P(E) + P(F) P(E F)

Probabilities of Events

Equally Likely Events

If a sample space is composed of N equally likely mutually exclusive

events, probability of each event is

1

N

.

Probability of the complement

P(E

c

) = 1 P(E)

Probability of the union

P(E F) = P(E) + P(F) P(E F)

Conditional Probability

Denition

For two events E and F, the probability of the occurrence of E given that

F has occurred is called the conditional probability of E given F and is

denoted by P(E|F). Furthermore, P(E|F) =

P(EF)

P(F)

whenever P(F) > 0.

Example

Suppose a box has balls numbered one to ten and one ball is drawn

from it. S = {1, 2, . . . , 10}

If we are told that the number on the ball is at least ve, what is the

probability that the number is actually ten?

P(E|F) =

P(EF)

P(F)

=

P(E)

P(F)

=

1

10

6

10

=

1

6

Suppose we are told instead that the number is at most ve, then

P(E|F) = 0.

Conditional Probability

Denition

For two events E and F, the probability of the occurrence of E given that

F has occurred is called the conditional probability of E given F and is

denoted by P(E|F). Furthermore, P(E|F) =

P(EF)

P(F)

whenever P(F) > 0.

Example

Suppose a box has balls numbered one to ten and one ball is drawn

from it. S = {1, 2, . . . , 10}

If we are told that the number on the ball is at least ve, what is the

probability that the number is actually ten?

P(E|F) =

P(EF)

P(F)

=

P(E)

P(F)

=

1

10

6

10

=

1

6

Suppose we are told instead that the number is at most ve, then

P(E|F) = 0.

Conditional Probability

Denition

For two events E and F, the probability of the occurrence of E given that

F has occurred is called the conditional probability of E given F and is

denoted by P(E|F). Furthermore, P(E|F) =

P(EF)

P(F)

whenever P(F) > 0.

Example

Suppose a box has balls numbered one to ten and one ball is drawn

from it. S = {1, 2, . . . , 10}

If we are told that the number on the ball is at least ve, what is the

probability that the number is actually ten?

P(E|F) =

P(EF)

P(F)

=

P(E)

P(F)

=

1

10

6

10

=

1

6

Suppose we are told instead that the number is at most ve, then

P(E|F) = 0.

Conditional Probability

Denition

For two events E and F, the probability of the occurrence of E given that

F has occurred is called the conditional probability of E given F and is

denoted by P(E|F). Furthermore, P(E|F) =

P(EF)

P(F)

whenever P(F) > 0.

Example

Suppose a box has balls numbered one to ten and one ball is drawn

from it. S = {1, 2, . . . , 10}

probability that the number is actually ten?

P(E|F) =

P(EF)

P(F)

=

P(E)

P(F)

=

1

10

6

10

=

1

6

P(E|F) = 0.

Conditional Probability

Denition

For two events E and F, the probability of the occurrence of E given that

F has occurred is called the conditional probability of E given F and is

denoted by P(E|F). Furthermore, P(E|F) =

P(EF)

P(F)

whenever P(F) > 0.

Example

Suppose a box has balls numbered one to ten and one ball is drawn

from it. S = {1, 2, . . . , 10}

probability that the number is actually ten?

P(E|F) =

P(EF)

P(F)

=

P(E)

P(F)

=

1

10

6

10

=

1

6

P(E|F) = 0.

Conditional Probability

Denition

For two events E and F, the probability of the occurrence of E given that

F has occurred is called the conditional probability of E given F and is

denoted by P(E|F). Furthermore, P(E|F) =

P(EF)

P(F)

whenever P(F) > 0.

Example

Suppose a box has balls numbered one to ten and one ball is drawn

from it. S = {1, 2, . . . , 10}

probability that the number is actually ten?

P(E|F) =

P(EF)

P(F)

=

P(E)

P(F)

=

1

10

6

10

=

1

6

Suppose we are told instead that the number is at most ve, then

P(E|F) = 0.

Conditional Probability

Remark

Sometimes P(E|F) is given and we want to calculate P(E F).

Example

probability

1

2

.

probability

1

3

.

of a fair coin. What is the probability that he will get an AA in

EE708?

AA in whatever course he chooses. P(E|F) =

1

3

.

P(E F) = P(E|F)P(F) =

1

3

1

2

=

1

6

Conditional Probability

Remark

Sometimes P(E|F) is given and we want to calculate P(E F).

Example

probability

1

2

.

probability

1

3

.

of a fair coin. What is the probability that he will get an AA in

EE708?

AA in whatever course he chooses. P(E|F) =

1

3

.

P(E F) = P(E|F)P(F) =

1

3

1

2

=

1

6

Conditional Probability

Remark

Sometimes P(E|F) is given and we want to calculate P(E F).

Example

probability

1

2

.

probability

1

3

.

of a fair coin. What is the probability that he will get an AA in

EE708?

AA in whatever course he chooses. P(E|F) =

1

3

.

P(E F) = P(E|F)P(F) =

1

3

1

2

=

1

6

Conditional Probability

Remark

Sometimes P(E|F) is given and we want to calculate P(E F).

Example

probability

1

2

.

probability

1

3

.

of a fair coin. What is the probability that he will get an AA in

EE708?

AA in whatever course he chooses. P(E|F) =

1

3

.

1

3

1

2

=

1

6

Conditional Probability

Remark

Sometimes P(E|F) is given and we want to calculate P(E F).

Example

probability

1

2

.

probability

1

3

.

of a fair coin. What is the probability that he will get an AA in

EE708?

AA in whatever course he chooses. P(E|F) =

1

3

.

1

3

1

2

=

1

6

Conditional Probability

Remark

Sometimes P(E|F) is given and we want to calculate P(E F).

Example

probability

1

2

.

probability

1

3

.

of a fair coin. What is the probability that he will get an AA in

EE708?

AA in whatever course he chooses. P(E|F) =

1

3

.

P(E F) = P(E|F)P(F) =

1

3

1

2

=

1

6

Independent Events

Denition

Two events E and F are said to be independent if P(E F) = P(E)P(F)

Example

n

denote the event that the sum

of the die values is n.

Let F

m

denote the event that the rst die value equals m.

E

6

= {(1, 5), (2, 4), (3, 3), (4, 2), (5, 1)} and

F

4

= {(4, 1), (4, 2), (4, 3), (4, 4), (4, 5), (4, 6)}.

P(E

6

F

4

) = P({(4, 2)}) =

1

36

= P(E

6

)P(F

4

) =

5

36

1

6

Independent Events

Denition

Two events E and F are said to be independent if P(E F) = P(E)P(F)

Example

n

denote the event that the sum

of the die values is n.

Let F

m

denote the event that the rst die value equals m.

E

6

= {(1, 5), (2, 4), (3, 3), (4, 2), (5, 1)} and

F

4

= {(4, 1), (4, 2), (4, 3), (4, 4), (4, 5), (4, 6)}.

P(E

6

F

4

) = P({(4, 2)}) =

1

36

= P(E

6

)P(F

4

) =

5

36

1

6

Independent Events

Denition

Two events E and F are said to be independent if P(E F) = P(E)P(F)

Example

n

denote the event that the sum

of the die values is n.

Let F

m

denote the event that the rst die value equals m.

E

6

= {(1, 5), (2, 4), (3, 3), (4, 2), (5, 1)} and

F

4

= {(4, 1), (4, 2), (4, 3), (4, 4), (4, 5), (4, 6)}.

P(E

6

F

4

) = P({(4, 2)}) =

1

36

= P(E

6

)P(F

4

) =

5

36

1

6

Independent Events

Denition

Two events E and F are said to be independent if P(E F) = P(E)P(F)

Example

n

denote the event that the sum

of the die values is n.

Let F

m

denote the event that the rst die value equals m.

6

= {(1, 5), (2, 4), (3, 3), (4, 2), (5, 1)} and

F

4

= {(4, 1), (4, 2), (4, 3), (4, 4), (4, 5), (4, 6)}.

6

F

4

) = P({(4, 2)}) =

1

36

= P(E

6

)P(F

4

) =

5

36

1

6

Independent Events

Denition

Two events E and F are said to be independent if P(E F) = P(E)P(F)

Example

n

denote the event that the sum

of the die values is n.

Let F

m

denote the event that the rst die value equals m.

6

= {(1, 5), (2, 4), (3, 3), (4, 2), (5, 1)} and

F

4

= {(4, 1), (4, 2), (4, 3), (4, 4), (4, 5), (4, 6)}.

6

F

4

) = P({(4, 2)}) =

1

36

= P(E

6

)P(F

4

) =

5

36

1

6

Independent Events

Denition

Two events E and F are said to be independent if P(E F) = P(E)P(F)

Example

n

denote the event that the sum

of the die values is n.

Let F

m

denote the event that the rst die value equals m.

6

= {(1, 5), (2, 4), (3, 3), (4, 2), (5, 1)} and

F

4

= {(4, 1), (4, 2), (4, 3), (4, 4), (4, 5), (4, 6)}.

P(E

6

F

4

) = P({(4, 2)}) =

1

36

= P(E

6

)P(F

4

) =

5

36

1

6

Independent Events

Remarks

of F does not aect the probability of E.

The probability being the same does not mean the event E is not

aected.

Example

Let E

n

denote the event that the sum of the die values is n. Let F

m

denote the event that the rst die value equals m.

E

7

= {(1, 6), (2, 5), (3, 4), (4, 3), (5, 2), (6, 1)},

F

4

= {(4, 1), (4, 2), (4, 3), (4, 4), (4, 5), (4, 6)},

F

3

= {(3, 1), (3, 2), (3, 3), (3, 4), (3, 5), (3, 6)}.

P(E

7

|F

4

) =

P({(4,3)})

P(F

4

)

=

P({(3,4)})

P(F

3

)

= P(E

7

|F

3

) = P(E

7

) =

1

6

Independent Events

Remarks

of F does not aect the probability of E.

The probability being the same does not mean the event E is not

aected.

Example

Let E

n

denote the event that the sum of the die values is n. Let F

m

denote the event that the rst die value equals m.

E

7

= {(1, 6), (2, 5), (3, 4), (4, 3), (5, 2), (6, 1)},

F

4

= {(4, 1), (4, 2), (4, 3), (4, 4), (4, 5), (4, 6)},

F

3

= {(3, 1), (3, 2), (3, 3), (3, 4), (3, 5), (3, 6)}.

P(E

7

|F

4

) =

P({(4,3)})

P(F

4

)

=

P({(3,4)})

P(F

3

)

= P(E

7

|F

3

) = P(E

7

) =

1

6

Independent Events

Remarks

of F does not aect the probability of E.

The probability being the same does not mean the event E is not

aected.

Example

Let E

n

denote the event that the sum of the die values is n. Let F

m

denote the event that the rst die value equals m.

E

7

= {(1, 6), (2, 5), (3, 4), (4, 3), (5, 2), (6, 1)},

F

4

= {(4, 1), (4, 2), (4, 3), (4, 4), (4, 5), (4, 6)},

F

3

= {(3, 1), (3, 2), (3, 3), (3, 4), (3, 5), (3, 6)}.

P(E

7

|F

4

) =

P({(4,3)})

P(F

4

)

=

P({(3,4)})

P(F

3

)

= P(E

7

|F

3

) = P(E

7

) =

1

6

Independent Events

Remarks

of F does not aect the probability of E.

The probability being the same does not mean the event E is not

aected.

Example

n

denote the event that the sum of the die values is n. Let F

m

denote the event that the rst die value equals m.

7

= {(1, 6), (2, 5), (3, 4), (4, 3), (5, 2), (6, 1)},

F

4

= {(4, 1), (4, 2), (4, 3), (4, 4), (4, 5), (4, 6)},

F

3

= {(3, 1), (3, 2), (3, 3), (3, 4), (3, 5), (3, 6)}.

P(E

7

|F

4

) =

P({(4,3)})

P(F

4

)

=

P({(3,4)})

P(F

3

)

= P(E

7

|F

3

) = P(E

7

) =

1

6

Bayes Theorem

Theorem

Given two events E and F where P(F) > 0, Bayes theorem states that

P(E|F) =

P(F|E)P(E)

P(F)

.

Remarks

calculating P(E|F).

P(E) = P[(E F) (E F

c

)] = P(E F) + P(E F

c

)

= P(E|F)P(F) + P(E|F

c

)P(F

c

)

Bayes Theorem

Theorem

Given two events E and F where P(F) > 0, Bayes theorem states that

P(E|F) =

P(F|E)P(E)

P(F)

.

Remarks

calculating P(E|F).

P(E) = P[(E F) (E F

c

)] = P(E F) + P(E F

c

)

= P(E|F)P(F) + P(E|F

c

)P(F

c

)

What is a random variable?

Denition

A random variable is a real-valued function dened on a sample space.

Examples

{Heads} and 0 otherwise.

outcome (i , j ).

experiment, we can think of the set of possible values as a new

sample space and probabilities can be assigned to subsets of this

space.

3

36

What is a random variable?

Denition

A random variable is a real-valued function dened on a sample space.

Examples

{Heads} and 0 otherwise.

outcome (i , j ).

experiment, we can think of the set of possible values as a new

sample space and probabilities can be assigned to subsets of this

space.

3

36

What is a random variable?

Denition

A random variable is a real-valued function dened on a sample space.

Examples

{Heads} and 0 otherwise.

outcome (i , j ).

experiment, we can think of the set of possible values as a new

sample space and probabilities can be assigned to subsets of this

space.

3

36

What is a random variable?

Denition

A random variable is a real-valued function dened on a sample space.

Examples

{Heads} and 0 otherwise.

outcome (i , j ).

experiment, we can think of the set of possible values as a new

sample space and probabilities can be assigned to subsets of this

space.

3

36

What is a random variable?

Denition

A random variable is a real-valued function dened on a sample space.

Examples

{Heads} and 0 otherwise.

outcome (i , j ).

experiment, we can think of the set of possible values as a new

sample space and probabilities can be assigned to subsets of this

space.

3

36

Cumulative distribution function

Denition

The cumulative distribution function (cdf) F() of a random variable X is

dened for any real number a, < a < by

F(a) = P(X a)

Properties

F() = 1.

F() = 0.

Cumulative distribution function

Denition

The cumulative distribution function (cdf) F() of a random variable X is

dened for any real number a, < a < by

F(a) = P(X a)

Properties

F() = 1.

F() = 0.

Cumulative distribution function

Denition

The cumulative distribution function (cdf) F() of a random variable X is

dened for any real number a, < a < by

F(a) = P(X a)

Properties

F() = 1.

F() = 0.

Cumulative distribution function

Denition

The cumulative distribution function (cdf) F() of a random variable X is

dened for any real number a, < a < by

F(a) = P(X a)

Properties

F() = 1.

F() = 0.

Discrete Random Variable

Denition

A discrete random variable is random variable (RV) whose range is nite

or countable, i.e. it takes a nite or countable number of values.

Denition

For a discrete RV, we dene the probability mass function p(a) as

p(a) = P[X = a]

Properties

If X takes on values x

1

, x

2

, x

3

, . . ., then p(x

i

) > 0, i = 1, 2, . . . and

p(x) = 0 for all other values x.

i =1

p(x

i

) = 1

F(a) =

x

i

a

p(x

i

)

Discrete Random Variable

Denition

A discrete random variable is random variable (RV) whose range is nite

or countable, i.e. it takes a nite or countable number of values.

Denition

For a discrete RV, we dene the probability mass function p(a) as

p(a) = P[X = a]

Properties

If X takes on values x

1

, x

2

, x

3

, . . ., then p(x

i

) > 0, i = 1, 2, . . . and

p(x) = 0 for all other values x.

i =1

p(x

i

) = 1

F(a) =

x

i

a

p(x

i

)

Discrete Random Variable

Denition

A discrete random variable is random variable (RV) whose range is nite

or countable, i.e. it takes a nite or countable number of values.

Denition

For a discrete RV, we dene the probability mass function p(a) as

p(a) = P[X = a]

Properties

If X takes on values x

1

, x

2

, x

3

, . . ., then p(x

i

) > 0, i = 1, 2, . . . and

p(x) = 0 for all other values x.

i =1

p(x

i

) = 1

F(a) =

x

i

a

p(x

i

)

Discrete Random Variable

Denition

A discrete random variable is random variable (RV) whose range is nite

or countable, i.e. it takes a nite or countable number of values.

Denition

For a discrete RV, we dene the probability mass function p(a) as

p(a) = P[X = a]

Properties

1

, x

2

, x

3

, . . ., then p(x

i

) > 0, i = 1, 2, . . . and

p(x) = 0 for all other values x.

i =1

p(x

i

) = 1

F(a) =

i

a

p(x

i

)

Discrete Random Variable

Denition

A discrete random variable is random variable (RV) whose range is nite

or countable, i.e. it takes a nite or countable number of values.

Denition

For a discrete RV, we dene the probability mass function p(a) as

p(a) = P[X = a]

Properties

1

, x

2

, x

3

, . . ., then p(x

i

) > 0, i = 1, 2, . . . and

p(x) = 0 for all other values x.

i =1

p(x

i

) = 1

F(a) =

x

i

a

p(x

i

)

The Bernoulli Random Variable

success or a failure.

failure

mass function of X is given by

p(0) = P[X = 0] = 1 q

p(1) = P[X = 1] = q

where q, 0 q 1 is the probability that the experiment is a

success.

The Bernoulli Random Variable

success or a failure.

failure

mass function of X is given by

p(0) = P[X = 0] = 1 q

p(1) = P[X = 1] = q

where q, 0 q 1 is the probability that the experiment is a

success.

The Bernoulli Random Variable

success or a failure.

failure

mass function of X is given by

p(0) = P[X = 0] = 1 q

p(1) = P[X = 1] = q

where q, 0 q 1 is the probability that the experiment is a

success.

The Binomial Random Variable

results in a success with probability q and in a failure with

probability 1 q.

said to be a binomial random variable.

parameters (n, q) is given by

p(i ) =

_

n

i

_

q

i

(1 q)

ni

, i = 0, 1, 2, . . .

where

_

n

i

_

=

n!

(n i )!i !

The Binomial Random Variable

results in a success with probability q and in a failure with

probability 1 q.

said to be a binomial random variable.

parameters (n, q) is given by

p(i ) =

_

n

i

_

q

i

(1 q)

ni

, i = 0, 1, 2, . . .

where

_

n

i

_

=

n!

(n i )!i !

The Binomial Random Variable

results in a success with probability q and in a failure with

probability 1 q.

said to be a binomial random variable.

parameters (n, q) is given by

p(i ) =

_

n

i

_

q

i

(1 q)

ni

, i = 0, 1, 2, . . .

where

_

n

i

_

=

n!

(n i )!i !

The Geometric Random Variable

a success are performed until a success occurs.

then X is said to be a geometric random variable with parameter q.

parameter q is given by

p(n) = P[X = n] = (1 q)

n1

q, n = 1, 2, . . .

The Geometric Random Variable

a success are performed until a success occurs.

then X is said to be a geometric random variable with parameter q.

parameter q is given by

p(n) = P[X = n] = (1 q)

n1

q, n = 1, 2, . . .

The Geometric Random Variable

a success are performed until a success occurs.

then X is said to be a geometric random variable with parameter q.

parameter q is given by

p(n) = P[X = n] = (1 q)

n1

q, n = 1, 2, . . .

Continuous Random Variable

on an uncountable number of values.

there exists a non-negative function f (x) dened for all real

x {, }, having the property that for any set B of real

numbers

P[X B] =

_

B

f (x) dx

The function f (x) is said to be the probability density function(pdf)

of the random variable X.

1 = {X (, )} =

_

f (x) dx

P{a X b} =

_

b

a

f (x) dx ;P{X = a} =

_

a

a

f (x) dx = 0

P{a

2

X a +

2

} =

_

a+

2

b

a

2

f (x) dx f (a)

_

a

f (x) dx

Continuous Random Variable

on an uncountable number of values.

there exists a non-negative function f (x) dened for all real

x {, }, having the property that for any set B of real

numbers

P[X B] =

_

B

f (x) dx

The function f (x) is said to be the probability density function(pdf)

of the random variable X.

1 = {X (, )} =

_

f (x) dx

P{a X b} =

_

b

a

f (x) dx ;P{X = a} =

_

a

a

f (x) dx = 0

P{a

2

X a +

2

} =

_

a+

2

b

a

2

f (x) dx f (a)

_

a

f (x) dx

Continuous Random Variable

on an uncountable number of values.

there exists a non-negative function f (x) dened for all real

x {, }, having the property that for any set B of real

numbers

P[X B] =

_

B

f (x) dx

The function f (x) is said to be the probability density function(pdf)

of the random variable X.

1 = {X (, )} =

_

f (x) dx

P{a X b} =

_

b

a

f (x) dx ;P{X = a} =

_

a

a

f (x) dx = 0

P{a

2

X a +

2

} =

_

a+

2

b

a

2

f (x) dx f (a)

_

a

f (x) dx

Continuous Random Variable

on an uncountable number of values.

there exists a non-negative function f (x) dened for all real

x {, }, having the property that for any set B of real

numbers

P[X B] =

_

B

f (x) dx

The function f (x) is said to be the probability density function(pdf)

of the random variable X.

1 = {X (, )} =

_

f (x) dx

P{a X b} =

_

b

a

f (x) dx ;P{X = a} =

_

a

a

f (x) dx = 0

P{a

2

X a +

2

} =

_

a+

2

b

a

2

f (x) dx f (a)

_

a

f (x) dx

Continuous Random Variable

on an uncountable number of values.

there exists a non-negative function f (x) dened for all real

x {, }, having the property that for any set B of real

numbers

P[X B] =

_

B

f (x) dx

The function f (x) is said to be the probability density function(pdf)

of the random variable X.

1 = {X (, )} =

_

f (x) dx

P{a X b} =

_

b

a

f (x) dx ;P{X = a} =

_

a

a

f (x) dx = 0

P{a

2

X a +

2

} =

_

a+

2

b

a

2

f (x) dx f (a)

_

a

f (x) dx

Continuous Random Variable

on an uncountable number of values.

there exists a non-negative function f (x) dened for all real

x {, }, having the property that for any set B of real

numbers

P[X B] =

_

B

f (x) dx

The function f (x) is said to be the probability density function(pdf)

of the random variable X.

1 = {X (, )} =

_

f (x) dx

P{a X b} =

_

b

a

f (x) dx ;P{X = a} =

_

a

a

f (x) dx = 0

P{a

2

X a +

2

} =

_

a+

2

b

a

2

f (x) dx f (a)

_

a

f (x) dx

Continuous Random Variable

on an uncountable number of values.

there exists a non-negative function f (x) dened for all real

x {, }, having the property that for any set B of real

numbers

P[X B] =

_

B

f (x) dx

The function f (x) is said to be the probability density function(pdf)

of the random variable X.

1 = {X (, )} =

_

f (x) dx

P{a X b} =

_

b

a

f (x) dx ;P{X = a} =

_

a

a

f (x) dx = 0

P{a

2

X a +

2

} =

_

a+

2

b

a

2

f (x) dx f (a)

_

a

f (x) dx

Continuous Random Variable

on an uncountable number of values.

there exists a non-negative function f (x) dened for all real

x {, }, having the property that for any set B of real

numbers

P[X B] =

_

B

f (x) dx

The function f (x) is said to be the probability density function(pdf)

of the random variable X.

1 = {X (, )} =

_

f (x) dx

P{a X b} =

_

b

a

f (x) dx ;P{X = a} =

_

a

a

f (x) dx = 0

P{a

2

X a +

2

} =

_

a+

2

b

a

2

f (x) dx f (a)

_

a

f (x) dx

Continuous Random Variables

given by

f (x) =

_

1

ba

, if a < x < b

0, otherwise

2

if its pdf is given by

f (x) =

1

2

2

e

(x)

2

/2

2

, < x <

Continuous Random Variables

given by

f (x) =

_

1

ba

, if a < x < b

0, otherwise

2

if its pdf is given by

f (x) =

1

2

2

e

(x)

2

/2

2

, < x <

Expectation of a Random Variable

p(x), the expected value of X is given by

E[X] =

x:p(x)>0

xp(x).

function f (x), the expected value of X is given by

E[X] =

_

xf (x) dx

Expectation of a Random Variable

p(x), the expected value of X is given by

E[X] =

x:p(x)>0

xp(x).

function f (x), the expected value of X is given by

E[X] =

_

xf (x) dx

The End of the Beginning

The End of the Beginning

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