Probability Basics

Bernouli Random Variable

Consider a experiment which has two mutually exclusive outcomes.Let be a sample space . Let A represent subset of sample space with which we associate a probability measure p. A Bernouli random variable is a function dened on the sample space which takes on values 1 if A else it takes value 0.

X : > {0, 1} such that X() =

1 0

if A if A /

(1) (2)

A Bernoulli random variable is often written as an indicator function 1A : > 0, 1 such that 1A () = 1 0 if A if A / (3) (4) The Bernoulli random variable X has a range of 0, 1. The probability distribution function (or pdf) of X is dened on the range of X as being the probability that X equals k . P r(X = k) = p 1p if k = 0 if k = 1 (5) (6) This can also be written as P r(X = k) = pk (1 p)1k for k = 0, 1 Mean and Variance of Bernouli Random variable is given by E(x) = p and V ar(X) = pq The expected value of indicator random variable is probability of that element belongs to set A E(1A ) = p 1

Binomial distribution

Let us consider a experiment with sample space .Let A be a event dened on the sample space .The probability measure associated with occurence of event A is p. Let us consider N trials of the experiment.Let us dene X as random variable which counts the total number of occurence of event A in N trials.Thus range of X is 0, 1...N Probability distribution function of X is probability of having k occurences in N attempts is given by, P r(K = k) = n k p (1 p)N k k

There are many ways to obtain k successes in N attempts ,but each of these sequences occurs with probability pk (1 p)nk It is required that we choose k successes in N attempts this can be obtained in N k ways The expected value (or mean ) of the binomial distribution is the average number of occurrences in repeated sequences of n attempts. This value is easily computed by E[X] = np. The variance of binomial distribution is given by V ar(X) = npq.

The mode is the most likely number of occurrences in n attempts. This value is always given by the largest integer k such that k (n + 1)p, denoted by k = |(n + 1)p| However, when (n + 1)p is actually an integer, then the binomial distribution will be bimodal . In this case this value of k = (n + 1)p and the previous integer k 1 will be the two modes. The most likely number of occurence being k and k-1 will be equally likely. The binomial distribution models sampling with replacement experiments. A Bernoulli distribution X is a special case of a binomial distribution having exactly 1 attempt. The outcome of a Binomial can be thought of as the net number of successes in a set of N independent Bernoulli trials each of which has the same probability of event p. A Binomial Distribution is the sum of Independent Bernoulli Random Variables P r(X = k) = p 1p if k = 0 if k = 1 (7) (8)

If we consider N independent bernouli trials then number of time event occurs can be expressed as
N

zi = X
i

Binomial distribution can be used to model number of successes in N trials of experiment in which Each trial results in one of two possible outcomes, which are termed either success or failure. The probability of success remains the same from one trial to the next. The outcomes of the trials are independent of one another.

Multinomial Distribution

The binomial distribution allows one to compute the probability of obtaining a given number of binary outcomes The multinomial distribution can be used to compute the probabilities in situations in which there are more than two possible outcomes. A multinomial trials process is a sequence of independent, identically distributed random variables , where each random variable can take now values.For the Bernoulli process, this corresponds to 2. Therefore this is a generalization of a Bernoulli trials process. Let us consider a sample space .Let following events be dened on the sample space. A0 , A2 , ...AK .Let probability measure be associated with occurence of each event. p1 , p2 , ...pk .Let X be take value 0, 1...k if A0 , A2 , ...AK respectively. probability than random variable X takes on value x is given by
k

P (X = x) = px =
i

pj

(x=j)

where (x = j) = 1 if x = j 0 otherwise (9) (10) We performs N trials of experiment.Let Xi be random variable which denotes the number of time that event Ai occurs in N trials of experiment. The probability density function of multinomial distribution is P r(X1 = x1 and....Xk = xk ) The number of ways in which Xi can take values xi can be expressed as P (X1 = x1 , . . . , Xk = xk ) = pxk k 0; otherwise.
x1 n! x1 !xk ! p1

when

k i=1

xi = n

(11) (12)

Each of the k components separately has a binomial distribution with parameters n and pi , for the appropriate value of the subscript i, and, because of the constraint that the sum of the components is n, they are negatively correlated. img class=tex src=/images/math/937255d8662634f0f37ce76403d96184.png alt=E(Xi ) = npi . >