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1.1

Elementary probability theory


Probability spaces

Throughout this text, the set of all possible outcomes, the sample space, is denoted by . If is nite an event is any set F and its probability is simply |F| . (1.1) P(F) = || Together with a Borel -algebra B and a probability measure P : B [0, 1], an innite forms a probability space (, B, P). Any F B is an event and its probability is P(F). Clearly, in the nite case the two denitions of P are practically equivalent. Let A and B be events. The probability of A given B (P(B) = 0) is called conditional probablity and is dened as P(A | B) = P(A B) . P(B) (1.2)

If P(A B) = P(A)P(B), events A and B are called independent.

1.2

Random variables and probability distributions

Let (, B, P) be a probability space. We say that function X : B R is a (real-valued) random variable if { | X () r} B r R. (1.3)

A random variable is called discrete if its image is countable and continious if its image is uncountable. Random variables are closely related to random distributions: The latter describe the probabilities associated with the values of the former. Let X be a random variable. The function : R R (x) = P({ | X () = x}) (1.4)

is called the probability mass function of X if X discrete and probability density function if its continuous. The graph of the function characterises probability distribution of X . The cumulative distribution function : R R of a real valued random variable X is dened as (x) = P({ | X () x}). (1.5)

A series representation of a probability mass function is called a probabilitygenerating function. Let X : B K N be a random variable. Its probabilitygenerating function G is G(z) = z k P(k), (1.6)
kK

which converges absolutely at least when |x| < 1. Let X : B R be a discrete random variable with an image K and let : R R be its probability mass function. The expectation value of X is dened as E[X ] = k (k). (1.7)
iK

For a continious random variable X : B R with a probability density function : R R, the denition is obtained via Lebesgue integration E(X ) =

X =
R

(1.8)

Let E[X ] = . The standard deviation of X , denoted , is dened as = E[(X )2 ]. (1.9)

A common example of a discrete distribution is the Poisson distribution. A discrete real-valued random variable is said to have a Poisson distribution with a parameter [0, ) if its probabilty mass function is (k) = k e . k! (1.10)

It can be easily shown that for a Poisson-distributed X , E(X ) = var(X ) = . Another important discrete distribution is the binominal distribution. A discrete real-valued random variable is binominally distributed with parameters n N and p [0, 1] if its probability mass function is (k) = n k p (1 p)nk . k (1.11)

Which is the probability for an event with a probability p to occur k times in a series of n independent tests. The most frequently encountered continious random distribution is the Gaussian distribution or the normal distribution. A continious real-valued random variable, with an expectation value and a standard deviation , is gaussian or normal if its density function is (x) =
1 x 2 1 e 2 ( ) . 2

(1.12)

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