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Victormanuel.Casero@uclm.es
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Probability–Victormanuel.Casero@uclm.es
Outline
1. Basic properties.
2. Random Variables.
3. Remarkable distributions.
Probability–Victormanuel.Casero@uclm.es
Introduction
Probability–Victormanuel.Casero@uclm.es
Concepts
I Sample space, Ω.
For a die, Ω = {1, 2, 3, 4, 5, 6}.
Probability–Victormanuel.Casero@uclm.es
Events
I Elementary event, w .
I Impossible event, φ.
I Certain event, Ω.
I Complementary event, AC .
I Union event, A ∪ B.
Probability–Victormanuel.Casero@uclm.es
Definition
favourable events
p=
possible events
I Frequentism (Empirical probability)
fn n→∞
pn = −→ p
n
I Subjectivism (Bayesian)... Bets
Probability–Victormanuel.Casero@uclm.es
Properties
1. P(A) ≥ 0, ∀A ⊂ Ω
2. P(Ω) = 1
⊂ Ω mutually exclusive 2 by 2
3. A1 , A2 , A3 , . . .P
P(∪i=1 Ai ) = ∞
∞
i=1 P(Ai )
Probability–Victormanuel.Casero@uclm.es
Conditional probability
P(AB)
Additional information: B occurred, P(B) > 0, P(A|B) =
P(B)
Probability–Victormanuel.Casero@uclm.es
Total Probability Theorem
Probability–Victormanuel.Casero@uclm.es
Bayes Theorem
P(B|Ak )P(Ak )
P(Ak |B) = Pn
i=1 P(B|Ai )P(Ai )
Independent events:
P(A|B) = P(A) ⇔ P(B|A) = P(B) ⇔ P(AB) = P(A)P(B)
Probability–Victormanuel.Casero@uclm.es
Example
Probability–Victormanuel.Casero@uclm.es
Random variables, concepts
Examples:
X Distribution P
0(non defective) or 1(defective) Bernoulli P(X=1)=p
Number of defectives in n items Binomial P(X=k)=...
Number from a die rolled Uniform P(even)=3/6
Temperature at 9am in a place P(T> 50o C)≈ 0
Probability–Victormanuel.Casero@uclm.es
Cumulative distribution function, cdf
F (x) = P(X ≤ x)
Properties:
1. 0 ≤ F (x) ≤ 1
2. ‘Increasing’ (non decreasing)
3. limx→−∞ F (x) = 0, limx→+∞ F (x) = 1
4. P(X > x) = 1 − F (x)
5. P(a < X ≤ b) = F (b) − F (a)
6. Right-continuous
Probability–Victormanuel.Casero@uclm.es
Probability distribution function, pdf
X discrete:
f (x) = P(X = x)
X (absolutely) continuous:
Z b
∃f (x)|P(a < X < b) = f (x)dx
a
Properties:
1. f (x) ≥ 0, ∀x
P R∞
2. (disc) x f (x) = 1 = −∞ f (x)dx (cont)
3. X continuous, P(X = x) = 0, ∀x ⇒ P(X < a) = P(X ≤ a)
dF (x)
4. X continuous, f (x) =
dx
Probability–Victormanuel.Casero@uclm.es
Examples/Exercises
I P(1/3 ≤ U ≤ 2/3)?
cx ,0 ≤ x ≤ 4
I f (x) =
0 , otherwise
I c?
I P(1 ≤ X ≤ 2)?
I P(X ≥ 2)?
Probability–Victormanuel.Casero@uclm.es
Bivariate distributions
X /Y y1 y2 ...
x1 p11 p12 . . . p1· MarginalP
distribution of X:
x2 p21 p22 . . . p2· f1 (xi ) = yj f (xi , yj )
.. .. .. .. | {z } | {z }
. . . . pi· pij
p·1 p·2 ... 1
P
Marginal distrib. of Y: p·j = f2 (yj ) = xi f (xi , yj )
RR
I Both continuous: P((X , Y ) ∈R R) = R f (x, y )dxdy
∞
Marginal distrib.: f1 (x) = −∞ f (x, y )dy ...
Probability–Victormanuel.Casero@uclm.es
Examples/Exercises
X /Y 1 2 3 4
1 0.1 0 0.1 0 0.2
2 0.3 0 0.1 0.2 0.6
3 0 0.2 ? 0 ?
0.4 0.2 ? 0.2 ?
I P(X ≥ 2, Y ≥ 2) = ...
Probability–Victormanuel.Casero@uclm.es
Conditional distributions
f (x, y )
I If f2 (y ) 6= 0 ⇒ f12 (x|y ) =
f2 (y )
f (x, y )
I If f1 (x) 6= 0 ⇒ f21 (y |x) =
f1 (x)
I Discrete case:
P(X = x, Y = y ) f (x, y )
f12 (x|y ) = P(X = x|Y = y ) = =
P(Y = y ) f2 (y )
I X and Y independent variables ⇐⇒ f (x, y ) = f1 (x)f2 (y ), ∀x, y
I Ex.(cont.):
I f12 (2|4) = ...
I f12 (3|3) = ...
I f21 (4|1) = ...
I Are X and Y independent variables?
Probability–Victormanuel.Casero@uclm.es
Moments
Mathematical Expectation:
P
xf (x) Discrete case
µ = E (X ) = R ∞x
−∞ xf (x)dx Continuous case
Probability–Victormanuel.Casero@uclm.es
Moments Properties
I Expectation:
1. does not exist always (divergent sum or integral)
R∞
2. E (r (X )] = −∞ r (x)f (x)dx
3. Linear: E (aX + b) = aE (X ) + b
4. If P(a ≤ X ≤ b) = 1 ⇒ a ≤ E (X ) ≤ b
Probability–Victormanuel.Casero@uclm.es
Moments Properties
I Variance
1. P(X = c) = 1 ⇐⇒ Var (X ) = 0
2. Var (a + bX ) = b 2 Var (X )
3. X1 , . . . , Xn indep.vars.
⇒ Var (X1 + . . . + Xn ) = Var (X1 ) + . . . + Var (Xn )
Probability–Victormanuel.Casero@uclm.es
Moments Properties
Probability–Victormanuel.Casero@uclm.es
Exercises
0.1 ,x = −2
0.4 ,x =0
I X with pdf f (x) =
0.3 ,x =1
0.2 ,x =4
I E (X ) = 0.9 = ...
I Var (X ) = ...
I Var (4X − 7) = ...
2x ,0 < x < 1
I X with pdf f (x) =
0 , otherwise
I E (X ) = 2/3 = ...
I Var (X ) = ...
Probability–Victormanuel.Casero@uclm.es
Inequalities
I Markov’s inequality:
E (X )
If P(X ≥ 0) = 1 and E (X ) exits ⇒ ∀t > 0, P(X ≥ t) ≤
t
I Chebyshev’s inequality:
Var (X )
If Var (X ) exits ⇒ ∀t > 0, P(|X − E (X )| ≥ t) ≤
t2
I Application: Sample size computations.
X1 , . . . , Xn independent and identically distributed random sample
X1 + . . . + Xn σ2
X = ... ⇒ P(|X − µ| ≥ t) ≤ 2
n nt
Probability–Victormanuel.Casero@uclm.es
Remarkable discrete distributions
Name Notation pdf E (X ) = µ
Values f (xi ) Var (X ) = σ 2
1 Pn
Uniform U[{x1 , x2 , . . . , xn }] 1/n xi
n i=1
1 Pn
x1 , x2 , . . . , xn x 2 − µ2
n i=1 i
Rolling a die ...
Bernoulli b(p) f (1) = p p
0,1 pq
Tossing a coin, Quality control (defective, non)...
n x n−x
Binomial B(n, p) x p q np
0,1,. . .,n npq
n independent Bernoulli’s experiments
e −λ λx
Poisson P(λ) λ
x!
0,1,. . . λ
Daily phone calls, N of defectives in 1 m2 ...
o
Probability–Victormanuel.Casero@uclm.es
Relationships
I b(p) ∼ B(1, p)
I P(λ)
I X ∼ P(λ) ⇒ aX ∼ P(aλ)
I X1 , . . . , Xk independent with P(λi )
⇒ X1 + . . . + Xk ∼ P(λ1 + . . . + λk )
I B(n, p) ∼ P(np)
if n is sufficiently large and p is sufficiently small
(Rule of thumb: n ≥ 100 and np ≤ 20)
Probability–Victormanuel.Casero@uclm.es
Remarkable continuous distributions
Name Notation pdf µ(mean)
Values f (xi ) σ 2 (variance)
1
Uniform U[a, b] (a + b)/2
b−a
x ∈ [a, b] (b − a)2 /12
1 1 (x − µ)2
Normal N(µ, σ 2 ) √ exp{− } µ
2πσ 2 2 σ2
(Gaussian) x ∈R σ2
βα
Gamma γ(α, β) x α−1 e βx α/β
Γ(α)
x >0 α/β 2
Time to failure...
Exponential Exp(β) ∼ γ(1, β)
Γ(α + β) α−1 α
Beta B(α, β) x (1 − x)β−1
Γ(α)Γ(β) α+β
αβ
x ∈ [0, 1] 2
(α + β) (α + β + 1)
Probability–Victormanuel.Casero@uclm.es
Standard normal distribution
I X ∼ N(µ, σ 2 ) ⇒ aX + b ∼ N(aµ + b, a2 σ 2 )
In particular,
X −µ
∼ Z ∼ N(0, 1)
σ
1 2
Z has pdf f (z) = √ e −z /2 and cdf F (z) (tables).
2π
I X1 , . . . , Xn independent
⇒ X1 + . . . + Xn ∼ N(µ1 + . . . + µn , σ12 + . . . + σ22 ).
In particular,
X ∼ N(µ, σ 2 /n)
.
Probability–Victormanuel.Casero@uclm.es
Montecarlo simulations
Probability–Victormanuel.Casero@uclm.es
Central Limit Theorem
X −µ L
√ −→ N(0, 1)
σ/ n n→∞
i.e.
X ∼ N(µ, σ 2 /n)
Probability–Victormanuel.Casero@uclm.es
Sample distributions
Probability–Victormanuel.Casero@uclm.es
Sample distributions (cont)
Z
T =p ∼ tn
Y /n
n
I E (T ) = 0(n > 1) and Var (T ) = (n > 2)
n−2
I Theorem: X1 , . . . , Xn r.s. from a Nµ, σ 2 ),
X −µ
T = √ ∼ tn−1
Sc / n
Probability–Victormanuel.Casero@uclm.es
Sample distributions (cont)
Y1 /m
X = ∼ Fm,n
Y2 /n
2
n>2 n n>4 n (2m + 2n − 4
I E (X ) = and Var (X ) =
n−2 m(n − 2)2 (n − 4)
1
I X ∼ Fm,n ⇒ ∼ Fn,m
X
2
I X ∼ tn ⇒ X ∼ F1,n
Probability–Victormanuel.Casero@uclm.es