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MTH5401-Mathematical Statistics

Jayanthi Arasan

UPM

February 14, 2017

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1 Chapter 1-Probability

Chapter 1-Probability

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 1 Chapter 1-Probability

Learning outcome for Chapter 1

By the end of this chapter students should be familiar with the
following:
Basic probability concepts and axioms. Probability
calculations.
Conditional probability
Independent events
Mutually exclusive events
Total probability theory, Derivation of Bayes rule and its
applications.
Permutation and combinations

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 1 Chapter 1-Probability Probability Theory

Probability Theory

Probability theory deals with the study of random events, which

under repeated experiments yield different outcomes that have
certain underlying patterns about them.
An experiment that can be repeated under the same condition
is called random experiment.
Relative Frequency Definition: The probability of an event A
is defined as P(A) = lim nNA where nA is the number times
N→∞
the event A occurred N is the total number of trials/possible
outcomes.

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 1 Chapter 1-Probability Sample Space

Sample Space

The sample space S contains list(set) of all possible outcomes

of an experiment
The elements of the sample space are mutually exclusive and
collectively exhaustive.
Experiment of flipping a coin, S = {H, T }
Experiment of tossing 2 dice, S = {(i, j) : i, j = 1, 2, 3, 4, 5, 6}
S can be countable and finite, countable and infinite or
continuous, for example S = {(x, y )|0 ≤ x, y ≤ 2}
If S = {s1 , s2 , · · · , sk } then si ∈ S
If the elements in a set A1 are also the elements of set A2 , the
A1 ⊂ A2 . The symbol “⊂” is known as proper subset.
If A1 ⊂ A2 and A2 ⊂ A1 , the A1 = A2
A1 ∪ A2 contains all the elements in A1 or A2 or both.

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 1 Chapter 1-Probability Sample Space

Sample Space

A1 ∩ A2 contains all the elements that belongs to both A1 and

A2 .
A1 and A2 are mutually exclusive if A1 ∩ A2 = ∅
A0 called the complement of A contains all elements that is
not in A.
The set of all points in A1 that are not in A2 will be denoted
as A1 r A2 = {x ∈ A1 | x ∈ / A2 } = A02 ∩ A1
Events A1 , A2 , . . . Ak are mutually exclusive(disjoint) if the are
pairwise mutually exclusive Ai ∩ Aj = ∅ for all i 6= j
An event is a subset of the sample space and probability is
assigned to events.

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 1 Chapter 1-Probability Axioms of probability

Axioms of probability and Set Operations

P(A) ≥ 0
P(S) = 1
If A1 ∩ A2 = ∅ then P(A1 ∪ A2 ) = P(A1 ) + P(A2 )
Commutative laws
A1 ∪ A2 = A2 ∪ A1
A1 ∩ A2 = A2 ∩ A1
Associative laws
(A1 ∪ A2 ) ∪ A3 = A1 ∪ (A2 ∪ A3 )
(A1 ∩ A2 ) ∩ A3 = A1 ∩ (A2 ∩ A3 )
Distributive laws
(A1 ∪ A2 ) ∩ A3 = (A1 ∩ A3 ) ∪ (A2 ∩ A3 )
(A1 ∩ A2 ) ∪ A3 = (A1 ∪ A3 ) ∩ (A2 ∪ A3 )
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 1 Chapter 1-Probability Axioms of probability

DeMorgan’s laws
(A1 ∪ A2 )0 = A01 ∩ A02
(A1 ∩ A2 )0 = A01 ∪ A02

In general:
 n 0 n
Ai 0
S T
Ai =
i=1 i=1
 n
0 n
Ai 0
T S
Ai =
i=1 i=1

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 1 Chapter 1-Probability Axioms of probability

From the axioms:

i) P(∅) = 0
ii) P(A0 ) = 1 − P(A)
iii) P(A) ≤ 1
iv) P(A1 ∪ A2 ) = P(A1 ) + P(A2 ) − P(A1 ∩ A2 )

From (iv):

P(A1 ∪ A2 ∪ A3 ) = P[(A1 ∪ A2 ) ∪ A3 ]
= P(A1 ∪ A2 ) + P(A3 ) − P[(A1 ∪ A2 ) ∩ A3 ]
= P(A1 ) + P(A2 ) − P(A1 ∩ A2 ) + P(A3 ) − P[(A1 ∩ A3 ) ∪ (A2 ∩ A3 )]
= P(A1 ) + P(A2 ) − P(A1 ∩ A2 ) + P(A3 ) − P(A1 ∩ A3 ) −
P(A2 ∩ A3 ) + P(A1 ∩ A2 ∩ A3 )
= P(A1 ) + P(A2 ) + P(A3 ) − P(A1 ∩ A2 ) − P(A1 ∩ A3 ) −
P(A2 ∩ A3 ) + P(A1 ∩ A2 ∩ A3 )
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 1 Chapter 1-Probability Axioms of probability

Following that, for n events,

 n  n n
S P P
P Ai = P(Ai ) − P(Ai Aj ) +
i=1 i=1 i<j
n
P(Ai Aj Ak ) · · · (−1)n+1 P(A1 A2 · · · An )
P
i<j<k

Boole’s inequality
If A1 , A2 are two events, then
P(A1 ∪ A2 ) ≤ P(A1 ) + P(A2 )

Bonferonni’s inequality,
P(A1 ∩ A2 ) ≥ P(A1 ) + P(A2 ) − 1

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 1 Chapter 1-Probability Axioms of probability

Example 1

Out of students in a Masters class 40% are working,60% are

married and 30% are working and married. Determine the
probability that a randomly selected student is
i) either working or married
ii)neither working nor married.
Solution
i)P(WUM) = P(W ) + P(M) − P(W ∩ M) = 0.4 + 0.6 − 0.3 = 0.7
ii)P(W 0 ∩ M 0 ) = P[(W ∪ M)0 ] = 1 − P(W ∪ M) = 1 − 0.7 = 0.3

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 1 Chapter 1-Probability Axioms of probability

Example 2

Two fair dice are rolled and the outcomes were recorded.

If X and Y represent the numbers obtained. Calculate,

i)P[(X = 1, Y = 1) ∪ (X = 1, Y = 2)]
ii)P(X = 4)
iii)P(X+Y is even)
iv)P(min(X,Y)=3)

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 1 Chapter 1-Probability Axioms of probability

Example 3

It is given that S = {(x, y )|0 ≤ X , Y ≤ 1}.Find,

i) P(X + Y ≤ 1/2)
ii) P(X = 0.1, Y = 0.8)

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