Beruflich Dokumente
Kultur Dokumente
This lecture is partly based on [Huang, Acero and Hon, 2001, ch. 3]
probability
– Axiom I: 𝑃 𝐴𝑖 ≥ 0
– Axiom II: 𝑃 𝑆 =1 A1 A2 A3 A4 event
– I shuffle the three cards, then pick one and show you one side only.
The side visible to you is RED
• Obviously, the card has to be either A or C, right?
– I am willing to bet $1 that the other side of the card has the same
color, and need someone in class to bet another $1 that it is the other
color
• On the average we will end up even, right?
• Let’s try it!
– 𝑃 𝐴𝐶 = 1 − 𝑃 𝐴
– 𝑃 𝐴 ≤1
– 𝑃 ∅ =0
– 𝑔𝑖𝑣𝑒𝑛 𝐴1 … 𝐴𝑁 , 𝐴𝑖 ∩ 𝐴𝑗 = ∅, ∀𝑖𝑗 ⇒ 𝑃 ⋃𝑁
𝑘=1 𝐴𝑘 =
𝑁
𝑘=1 𝑃 𝐴𝑘
– 𝑃 𝐴1 ⋃𝐴2 = 𝑃 𝐴1 + 𝑃 𝐴2 − 𝑃 𝐴1 ∩ 𝐴2
– 𝑃 ⋃𝑁
𝑘=1 𝐴𝑘 =
𝑁 𝑁 𝑁+1
𝑘=1 𝑃 𝐴𝑘 − 𝑗<𝑘 𝑃 𝐴𝑗 ∩ 𝐴𝑘 + ⋯ + −1 𝑃 𝐴1 ∩ 𝐴2 … ∩ 𝐴𝑁
– 𝐴1 ⊂ 𝐴2 ⇒ 𝑃 𝐴1 ≤ 𝑃 𝐴2
B has
A AB B A AB B
occurred
B3
B1 BN-1
B2 BN
B4
– This is known as Bayes Theorem or Bayes Rule, and is (one of) the
most useful relations in probability and statistics
𝑃 𝑐𝑜𝑛𝑑| + =
𝑃 +|𝑐𝑜𝑛𝑑 𝑃 𝑐𝑜𝑛𝑑
= =
𝑃+
𝑃 +|𝑐𝑜𝑛𝑑 𝑃 𝑐𝑜𝑛𝑑
= =
𝑃 +|𝑐𝑜𝑛𝑑 𝑃 𝑐𝑜𝑛𝑑 + 𝑃 +|≦𝑐𝑜𝑛𝑑 𝑃 ≦𝑐𝑜𝑛𝑑
0.90 × 0.01
= =
0.90 × 0.01 + 1 − 0.98 × 0.99
= 0.3125
P(X<x)
of a random variable 𝑋 is defined as the
probability of the event 𝑋 ≤ 𝑥
𝐹𝑋 𝑥 = 𝑃 𝑋 ≤ 𝑥 −∞<𝑥 <∞
– Intuitively, 𝐹𝑋 𝑏 is the long-term proportion 100 200 x(lb)
300
of times when 𝑋 𝜉 ≤ 𝑏
P(X<x)
• lim 𝐹𝑋 𝑥 = 1 3/6
𝑥→∞ 2/6
• lim 𝐹𝑋 𝑥 = 0 1/6
𝑥→−∞
• 𝐹𝑋 𝑎 ≤ 𝐹𝑋 𝑏 𝑖𝑓 𝑎 ≤ 𝑏 1 2 3 4 5 6 x
cdf for rolling a dice
+
• FX 𝑏 = lim 𝐹𝑋 𝑏 + = 𝐹𝑋 𝑏
ℎ→0
pdf
is defined as the derivative of 𝐹𝑋 𝑥
𝑑𝐹𝑋 𝑥
𝑓𝑋 𝑥 =
𝑑𝑥 x(lb)
100 200 300 400 500
– Properties 4/6
3/6
pmf
• 𝑓𝑋 𝑥 > 0 2/6
𝑏 1/6
• 𝑃 𝑎 < 𝑥 < 𝑏 = ∫𝑎 𝑓𝑋 𝑥 𝑑𝑥
𝑥 1 2 3 4 5 6 x
• 𝐹𝑋 𝑥 = ∫−∞ 𝑓𝑋 𝑥 𝑑𝑥 pmf for rolling a (fair) dice
∞
• 1 = ∫−∞ 𝑓𝑋 𝑥 𝑑𝑥
𝑑 𝑃 𝑋<𝑥 ∩𝐴
• 𝑓𝑋 𝑥|𝐴 = 𝐹 𝑥|𝐴 𝑤𝑒𝑟𝑒 𝐹𝑋 𝑥|𝐴 = 𝑖𝑓 𝑃 𝐴 > 0
𝑑𝑥 𝑋 𝑃𝐴
• But, intuitively, we know that the probability should be zero (or very,
very small)
x(lb)
100 200 300 400 500
• How do we explain this paradox?
pdf for a person’s weight
• The pdf DOES NOT define a probability, but a probability DENSITY!
• To obtain the actual probability we must integrate the pdf in an interval
• So we should have asked the question: what is the probability of
somebody weighting 124.876 lb plus or minus 2 lb?
1
5/6 • The probability mass function is a ‘true’ probability (reason why we call
4/6 it a ‘mass’ as opposed to a ‘density’)
3/6 • The pmf is indicating that the probability of any number when rolling a
pmf
2/6 fair dice is the same for all numbers, and equal to 1/6, a very
1/6 legitimate answer
• The pmf DOES NOT need to be integrated to obtain the probability (it
1 2 3 4 5 6 x cannot be integrated in the first place)
pmf for rolling a (fair) dice
Xk Xk Xk Xk Xk
Xi Xi Xi Xi Xi
Cik=-sisk Cik=-½sisk Cik=0 Cik=+½sisk Cik=sisk
rik=-1 rik=-½ rik=0 rik=+½ rik=+1