Ardon

Pillay - 2016

Probability Notes

Recall that = 1 ( 1 )
If you see E(Y2) anywhere as a given value remember
!
() = ( ! )
If the word, differs, is used, do the modulus of the variable in the P
brackets, e.g. X.
Remember that if ~ , = ! + ! + ! , Y consists of r
independent observations of X, therfore, ~ (, )
For questions asking for the ( + ) or the expectational equivalent,
find the variance or expectation of each. For Y= ! + ! + ! ! , find
variance just for X and then do () = (), because n
independent observations of X.
If its something with only 1-5 possible values, do a table like this, e.g. for
! !
! = + ! ,
! !!

2 1
( = )

Therefore, we can find () and () = ( ! ) !

1 2 = (!!!) (1), because
= ! = ! =
!
= ! = !!! =
!
= 1 ! = 1 !!! =
!
= 1 . ( 1 ) ! = 1 2 ( 1 ) !!! =

!!! !
1 = 1 . ( ) = 1 2 =
= ( 1 )

Distributions

1. Poisson
a. ~ ()
b. = , =
! !! !!
c. = = !! ~ , 0
d. A Poisson is a entity that relates means to a quantity, such as the
mean number of calls to a centre is , therefore it follows ~
e. The PGF for a Poisson is = !(!!!)
f. Know the proof well, it is found in written notes, be aware of
! !! !!
!!
+ !!
+ !! = ! , except here is just t.
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g. For a combined Poisson, i.e. + , their means need not be

identical for + ~(). This can be proven by PGFs, the
mean of X + mean of Y= mean of + .


2. Binomial
a. ~ (, )
b. = , = (1 )

c. = = ! 1 !!! ~ , , 0

d. A Binomial consists of trials, so each have two possible outcomes
(each one is an independent Bernoulli trial)
e. The PGF for the Binomial Distribution is + ! , to prove it, we
must show the PGF for 1 Bernoulli trial. A binomial consists of n
independent Bernoulli trials. Assuming Y was one Bernoulli trial,
!
! = !! !!! !!! = ! ! ! . = ! = + !
f. When we combine binomial distributions, they must have the
same p for the combined prob function to have a binomial
distribution. Easy to prove.
g. Approximating a Poisson distribution
~ , = + ! , = =
!
! 1
= , = 1 + = 1+


!
1 1 !
= lim 1 + = ! !!! , lim 1 + = !
!! !!
, .



3. Normal Distribution
a. Continuous random variable
b. Symmetrical around , which is the mean, mode and median
c. Total area under the graph of a normal is 1
d. When typing into calculator, always square root variance to ensure
that we get the right answer. MUST ALWAYS BE IN STDEV
FORM!!
e. Write the normal as follows, ~ (, ! ), the square around
stdev is really useful, because you would use whats in the brackets
when you do the probability calculations
f. To find any p, we use the normcdf function
g. Normal questions are clearly marked, always says, Normally
distributed. If it does not and a normal style method is required,
must write approx by CLT.
h. > 1 ( > 1) is 0.
i. > 1 = 1 > > 1 = 1 (1 < < 1)
!!!
j. < = ( > ), = ! , draw the graph as the proof
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k. To find = 0.01, we must convert the more than into a

less than, in order to use inversenorm, therefore, < = 0.99.
Now we can plug it into inversenorm, provided we know and .
!!!
If not, we use the standardised normal distribution ( = ! ),
where Z follows a normal distribution with mean 0 and a standard
deviation of 1.
l. If X and Y are independent normal distributions, then
= , = ! + ! ()
m. For CLT, if we take sample observations of the value a certain
discrete distribution takes on, we can approximate it to the normal
distribution. (Must be more than 50 though). We must always
write the following, Approx by CLT.
i. = ! + ! + ! ! , = , = !
!! !!! !!! !! !!
ii. = !
, = , = !



4. Geometric
a. If ~ , X= number of trials until first success
!
b. = !
!
c. = !!
d. = = !!! ~ , 1
!" !
e. = !!!", < (!!!)
f. To find the mode of this, just plug the prob function into the GDC
and set X as the unknown, use the table function to locate which X
gives the highest probability.


5. Negative Binomial
a. If ~ , X = number of trials until rth success
!
b. = !
!"
c. = !!
1 !
d. = = 1 !!! ~ , ,
1
!" ! !
e. = !!!" if ~ , , < (!!!)
f. To find the mode of this, just plug the prob function into the GDC
and set X as the unknown, use the table function to locate which X
gives the highest prob.
g. Be careful with this one, because its formula is really complex. Just
use a binomial with parameters ~ 1, , and set = 1.
Multiply the binom pdf for this by p to find the value of the
probability
h. Negative Binomial CDF just add up all the probs for each
individual value, because the CDF is out of the course.
i. Example: If we want someone to take more than 5 throws to hit his
3rd home run
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= 3 , ~(3, 0.2)
>5
This means that he can get a maximum of 2 hits within the 5 throws he has
available, hence = 5 .

~ 5, 0.2 , 2 = 0.942 = ( 5)


Estimators
An estimator is not unbiased if

! ! is an biased estimator for population variance
!
!! = !

!
!! = !

! 1
! = ! ! + ! ! + ! ! !

! = ! ! (1)
!

!
= = ! !


!
+ != ! 2

Subbing 1 into 2
! ! !
!! = ! ! = ! ! =

! !
( 1)
!! = ! =

Therefore, because ! , ! is a biased estimator of ! , to convert it
! ! !

to an unbiased estimator

Note the following
! ( ! )!
!! = !
=

( ! )! = ! !

The most efficient estimator is the one with minimum variance, so do the
!!!
derivative and prove it is the minimum using !! ! .
If asked to create an estimator for k or something like that, do E(X), find it in
terms of k, then make k the subject.
If possible, set ! and factorise it out, markschemes award marks
for this, and it is easier later when you do the derivative of (), where V
is the estimator under investigation.


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Confidence Intervals
When we have a k% CI, we are saying that there is a k% chance that the
variable being investigated is in that interval
Out of 100 samples, k of them will have our variable in them
It is taken from a sample of size n
Derivation
1.96 < < 1.96 = 0.95

1.96 < < 1.96 = 0.95


1.96 < < 1.96 = 0.95


1.96 < < + 1.96 = 0.95


1.96 < < + 1.96 = 0.95


0.95 = 1.96 , + 1.96

Mean ()
! !
o General CI for = ! ! , + ! ! for k%. This is only if we
can obtain an unbiased estimate for the variance (a.k.a we are not
explicitly given the variance). The symbol is only used if the
sample comes from a normal distribution. Otherwise, we define
the standard deviation as !!! , the square root of the unbiased
estimator of population variance.
o ! is found by working backwards from the CI. E.g. if it is 95%.
This means that < < = 0.95, hence < =
!!!.!"
!
= 0.025. Then apply inversenorm to find the value of a = !
o , , ! !
o , if we have a T distribution to work with,










o Margin of error = ! !!
o Width of CI = 2 ! !! or
o If given an interval like 32.5, 33.5 , use width to find either or .
Can do sum of upper and lower point, this will be equal to 2,
hence can find sample mean

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Proportion (p)
o To find the CI of a proportion, we use ! or ! , and then apply the
following CI formula.
! !!! ! !!!
o % = ! !
, + ! !
, where is the
sample proportion
o
o = ,
~(, (1 )
! !!!
o % = ! !


Continuous Random Variables
1. Basics
!""#$ !"#"!
a. !"#$% !"#"$
= 1
!""#$ !"#"$
b. = !"#$% !"#"$
!""#$ !"#"$ !""#$ !"#"$ !
c. = !"#$% !"#"$ ! !"#$% !"#"$

!"!"#$
d. !"#$% !"#"$
= 0.50
!"! !"#$"%&'(" !
e. !"#$% !"#"$
= !""
f. Interquartile range: 75 25
g. Mode is the x value that begets the highest vertical axis value
(differentiate)
h. For CDF
i. If the c.r.v has the pdf
0 0
3
= ,0 1
5
3
3 !, 1 < < 3
20

For 0 1

!! ! ! !
! !
= = ! 0 1 , where t is a dummy
! !
variable

For 1 3

!
3 3
1 + 3 !
5 ! 20
!
3 1 3 3 ! 8 3 !
+ 3 ! = + = + 1
5 ! 20 5 20 20 20

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0 0
3
0 1

= =
3 !
+ 1 1 < < 3
20
1 > 3
0.75 , 0.75 ,

i. VI: Bringing in Y. We must change X into ( < ), then change
( < ) into ( < ), where a is an expression in terms of y.
This gives us a CDF for Y, which can be differentiated with respect
to y to give a PDF for Y. See below

!! !
Question: = = = !"
, 1 < < 3. Find the CDF of X. If =
! !
!
, > !

For 1 < < 3
! !
3 ! 3 !
= = =
! 26 !
3(26) ()

1 1 1
= = 1 = =1


1 1 1 27 1 1
=1 =1 !
= !
, 1 3
26 26 26 26


New bounds


3 3 27 1
> =1 =1 + ! =
4 4 26 3
26 4
PGFs the sub-topic to rule them all
1. The Basics
a. = ! = ! =
b. 1 = 1 = 1! = = = = 1
c. ! 1 = = 1 !!! = = =
!
! ! !
d. = 1 + 1 1
!! !
e. ( = ), use the Maclauren Series: ( = ) = !!
f. !
g.
2. Finding the Probability Density Function (PDF)
a. First, we expand ! = and look for a pattern within the
coefficients of t. We then can use that pattern to produce a general
term for the coefficients, which as we know, will equal = .

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3. Tricks
a. The coefficient of ! is simply ( = )
b. 2 binomials, if they have the same p, produce a binomial when
combined
c. No matter what, if we combine 2 poissons, itll be a Poisson
d. ! = !
e. If asked to prove the relationship between 2 variables, and PGFs
have been used in the question prior to it, use PGFs to prove
f. See notebook for proof for why + = ! (), really
easy to make careless mistakes so keep your head and be
confident.


Expectation and Variance
1. Poisson - = , =
2. Binomial - = , = (1 )
3. Normal - = , = !
! !
4. Geometric - = !, = !!
! !"
5. Negative Binomial - = !, = !!