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My summary sheet for MA2216 Probability, AY2013/2014 Sem 1

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Axiom 1. 0 P(A) 1

Axiom 2. P(S) = 1

Axiom 3. If A

1

, A

2

, are mutually exclusive (A

i

A

j

= ), then

P

_

_

i=1

A

i

_

=

i=1

P(A

i

)

Theorem 1 (Inclusion-Exclusion Principle).

P(A

1

A

2

An) =

n

r=1

_

_

(1)

r+1

1i

1

irn

P(A

i

1

A

i

2

A

ir

)

_

_

Denition 1 (Conditional Probability). Probability of B given A is

P(B|A) =

P(AB)

P(A)

1. P(AB) = P(A)P(B|A) = P(B)P(A|B)

2. P(A

1

A

2

An) = P(A

1

)P(A

2

|A

1

)P(A

3

|A

1

A

2

) P(An|A

1

A

n1

)

Theorem 2 (Law of Total Probability).

P(B) =

n

i=1

P(A

i

)P(B|A

i

)

Theorem 3 (Bayes Rule).

P(A

k

|B) =

P(A

k

)P(B|A

k

)

n

i=1

P(A

i

)P(B|A

k

)

For two events,

1. P(B) = P(A)P(B|A) +P(A

C

)P(B|A

C

)

2. P(A|B) =

P(A)P(B|A)

P(A)P(B|A) +P(A

C

)P(B|A

C

)

Denition 2 (Independence). Two events are independent if P(AB) =

P(A)P(B). Also, P(A|B) = P(A) and P(B|A) = P(B).

Denition 3 (Cumulative Distribution Function). F

X

(x) = P{X x}

Denition 4 (Probability Density Function). f

X

(x) = P{X = x}

Denition 5 (Continuous Random Variable). P{X = x} for all x R.

F

X

is a continuous function, with f

X

(x) = F

X

(x)

Denition 6.

E(X) =

_

x

xfx(x) for Discrete RV

_

xf

X

(x) dx for Continuous RV

E(aX +b) = aE(X) +b

Denition 7 (Moment Generating Function). M

X

(t) = E[e

tX

]

If there is a > 0 such that M(t) < for every |t| < , then E(X

k

) =

M

(k)

(0)

Denition 8 (Variance).

2

X

= E[(XEX)

2

] = EX

2

(EX)

2

Var(aX+

b) = a

2

Var(X), V ar(X+Y ) = V ar(X)+V ar(Y ) if X, Y are independent.

Theorem 4 (Tail Sum Formula). For non-negative integer-valued r.v. X,

E[X] =

k=1

P(X k) =

k=0

P(X > k)

Denition 9 (Binomial Distribution). X is the number of success that

occur in n independent Bernoulli trials, denoted as X B(n, p).

b(i; n, p) =

_

n

i

_

p

i

(1 p)

ni

EX = np, Var(X) = npq

Denition 10 (Poisson Distribution). X is the number of occurences

occuring in a specic interval such that the occurences are independent

between intervals, denote as X P()

p(i; ) = e

i

i!

EX = , Var(X) =

Suppose X B(n, p), n is large and p is small (< 0.1), then X P()

with = np.

Denition 11 (Geometric Distribution). X is the number of trials re-

quired until a success is obtained for a repeated Bernoulli Trial. Denote

X Geom(p).

f

X

(n) = (1 p)

n1

p

EX =

1

p

, Var(X) =

1p

p

2

Denition 12 (Negative Binomial Distribution). X is the number of

Bernoulli trials performed until r successes are obtained. Denote as X

NB(r, p).

f

X

(n) =

_

n 1

r 1

_

p

r

(1 p)

nr

EX =

r

p

, Var(X) =

r(1p)

p

2

Denition 13 (Hyper Geometric Distribution). X is the number of white

balls drawn without replacement when n balls are drawn in an urn with N

balls, out of which m are white. Denote X H(n, N, m).

f

X

(n) =

_

m

x

__

Nm

nx

_

_

N

n

_

EX =

nm

N

, Var(X) =

Nn

N1

n

m

N

(1

m

N

)

Denition 14 (Exponential Distribution). A good model for waiting time

scenarios, X Exp() if

f

X

(n) =

_

e

x

, x > 0

0 elsewhere

EX =

1

, Var(X) =

1

2

Exponential and geometric distribution are memoryless i.e. P{X > s +

t|X > t} = P{X > s}

Denition 15 (Gamma Distribution). X (, ) if

f

X

(n) =

_

()

x

1

e

x

, x > 0

0 elsewhere

The Gamma function is dened by

() =

_

0

x

1

e

x

dx

EX =

, Var(X) =

2

Note that

_

0

x

1

e

x

dx =

()

2

) if

n(x; , ) =

1

2

e

(x)

2

2

2

The Gamma function is dened by

() =

_

0

x

1

e

x

dx

EX = , Var(X) =

2

The standard normal r.v. is denoted by Z N(0, 1). For any X

N(,

2

), we have

X

N(0, 1)

Given X B(n, p) such that np(1 p) 10, we have X N(np, npq).

Remark 1 (Continuity Correction). If X B(n, p), then

{X = k} = {k 0.5 < X < k + 0.5}

{X k} = {X k 0.5}

{X k} = {X k + 0.5}

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