Chapter

1
Probability: Basic Concepts
and Random Variables
 Outline
Sample Space and Event
Probability
Random Variable
Discrete Random Variables
Con9nuous Random Variable and Con9nuous
Probability Distribu9on
Types of Con9nuous Random Variables
Condi9onal Probability
 Sample Space and Event
Sample space is dened as the set of all possible
outcomes ( ).
Example, Coin Toss: Two outcomesH and T. So sample
space
=
{ H
, T
} .
5-point Likert scale: = { SA
, A , N
, D }
, SD
Event is a subset of a sample space.
event Heads 1 = {Heads} and event Tails 2 = {Tails}
Compliment of event: ( Heads ) = (Tails )
c

Union of event: E U F
is even with either E or F or both.
Intersec9on of event: E I F Both E and F must present.
 Probability
Empirical Approach: Compu9ng probability by running
experiment for n 9mes and probability is nearer to true
values as n approaches innity.
Axioma@c Approach: Simpler aspects of probability called
as axioms.
Three axioms: Sample space as S and any event in S as Ei
!S such as , for i = 1, 2,, then
Axiom 1: 0 Ei 1, Probability of event Ei is between 0 and
1.
Axiom 2: P (S) = 1, Probability of sample space is 1.

Axiom 3: P U Ei = P ( Ei ) for (where Ei I E j =, for all i, j )
i =1 i =1
 Probability
Probability of odd outcomes on roll of a dice:
P(Odd Outcomes) = P(1) P(3) P(5) = P(1) + P(3) + P(5)
1 1 1 3
P(Odd Outcomes) = + + = = .5
6 6 6 6

Proposi9ons:
P( E C ) 1 P( E )
E F , then, P(E ) P(F )
P(E F ) = P (E ) + P (F ) P ( E F )
 Random Variable
Random variable is a real valued func9on dened on the sample
space.
Example: One point for correct answer. Two problems. Then sample
space is S = {SS, SF, FS, FF}.
We dene random variable points earned (Y)
P {Y = 0} = P {( FF )} =
1
4
= .25

P {Y = 1} = P {( SF ) , ( FS )} =
2
= .50
4
P {Y = 2} = P {( SS )} =
1
= .25
4
Distribu@on Func@on: A formula to express probabili9es associated
with values of random variable. For example, the probability of the
sum of two dice rolled (2 to 12) can be expressed as f(x) = (6 | x 7
|) / 36
The Expected Value and Variance
Expected value (E) or expecta9on of a random variable
is the average or mean of the random variable.
E [ X ] =
x p(x)
for discrete random variable.
x:p( x )>0

+
= x p(x)dx
E(X) for con9nuous random variable.

Variance of random variable is

Var(X) = E ( X )
2

Var(X) = E X ( E [ X ])
2 2
 Discrete Random Variable
A discrete random variable is one that takes a countable,
innite or nite number of values.
A set of posi9ve integers and coun9ng them as rst
element, second element.
Types of discrete random variables: (i) Bernoulli random
variable and distribu9on (ii) Bernoulli random variable
and distribu9on (ii) Poisson random variable and
distribu9on.
Bernoulli Random Variable and Distribu@on
Jacob Bernoulli (16541705) from a famous family of
mathema9cians, Bernoulli family.
Lets us dene the probability of success as p and the probability
of failure as 1 p.
A random variable (X) takes a value 1 for success and 0 for
failure.
P( x) = p x (1 p)1 x
If the sample space is S = (0, 0, 1, 1, 1), then
(1 p) (1 p) ( p) ( p) ( p) = p3 (1 p)2 = p3 q 2

P( x) = p x (1 p)n x

Example: The probability of successfully solving ve problems.

 Binomial Random Variable and
Binomial Distribu@on
The Bernoulli is concerned with a specic order. For example, S
= (0, 0 , 1, 1, 1).
Three successes in ve afempts can happen in many ways.
n n n! 5! 120
= C x = = = = 10
x (n x)! x ! (5 3)! 3! 12
n
P( x) = p x (1 p) n x
x
The probability of passing an exam is 0.75. What is the
probability that from 10 students, any random 4 students will
pass the exam? It can be worked out with binomial.
Poisson Random Variable and Poisson
Distribu@on
S. D. Poisson (1873)
x
P( X = x) = e
x!
where X is a random variable, e = 2.718 and lambda is
the parameter of Poisson.
Example: If the weekly average accidents on a specic
road is 2, then what is the probability that in a given
week there is only 1 accident?
The x = 1, lambda = 2.
 Con@nuous Random Variable and
Con@nuous Probability Distribu@on
Con@nuous Random Variable: A set of uncountable
possible values
f (x) 0 for < x <


f (x) dx = 1
b
a
f (x) dx = P(a x b)

Probability is not of a specic value but it is of a range.

Types: Uniform, exponen9al, normal, Z, chi-square, F,
Students t, gamma, beta, Weibull.
 Uniform Random Variable
and Uniform Distribu@on
1
for < x <
f (x) =
0 elsewhere

Rectangular distribu9on
Useful in understanding
the sta9s9cal theory.
Few direct applica9ons

 Exponen@al Distribu@on
x
f (x) = e
Rate parameter is the number of events that occur in
a given 9me interval.
An event is occurring ! 9mes per unit of 9me (e.g.,
hour)
The average number of 9mes an event will occur in t
hours is t!.
t t 0
t
e =e
0!
P(T > t ) = e t
 Normal Distribu@on
( x )2

1 2 2
f (x) = e for < x <
2
The mean, median and mode are same ().
The normal distribu9on is symmetric about the mean .
two parameters, and ,
normal distribu9on is family of normal distribu9ons.
Normal distribu9on is a con9nuous distribu9on that can take
values from to + .
The highest frequency is in the middle and the frequency tapers
down at either extremes.
Most of the area under normal curve is within the rst 3
standard devia9ons at both sides
Standard Normal Distribu@on (Z)
x
Z=

Z (standard normal distribu9on) has a mean =
0 (zero) and variance = 1 (one)
Very useful in sta9s9cal theory and
applica9ons
1
1 Z2
f (x) = e 2
2
 Other Distribu@ons
Distribu@on Func@on

k
Chi-square
= Z i2
2

i=1

F-distribu@on 12 / df1
F= 2
2 / df2
t-distribu9on
Z Z/ k
t= =
2 / k 2
Gamma Distribu@on
e x ( x) 1
f (x) =
( )
Beta Distribu@on
1
f (x) = x a1 (1 x)b1
B(a,b)
Jointly Distributed Random Variable
Jointly distributed random variables take a pair of
values.
For example, success on rst two problems(X) and
success on all problems (X).
X = {0, 1, 2} and Y = {0, 1, 2, 3,4, 5}
Random variable takes values like (0, 0), (0, 1), , (2, 5)
Probabili9es of each can be obtained

(
E(X,Y ) = xi y j P X = xi ,Y = y j
i j
)