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MTH5401-Mathematical Statistics

Jayanthi Arasan

UPM

February 14, 2017

0 MTH5401-Mathematical Statistics Jayanthi Arasan UPM February 14, 2017 1 / 303

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1 Chapter 1-Probability

Chapter 1-Probability

1 Chapter 1-Probability Chapter 1-Probability 2 / 303

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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

events Total probability theory, Derivation of Bayes rule and its applications. Permutation and combinations 3 /

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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) =

the event A occurred N is the total number of trials/possible outcomes.

lim

N→∞

n A

N

where n A is the number times

N is the total number of trials/possible outcomes. lim N →∞ n A N where n

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Sample Space

1 Chapter 1-Probability

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

If the elements in a set A 1 are also the elements of set A 2 , the A 1 A 2 . The symbol “” is known as proper subset.

If A 1 A 2 and A 2 A 1 , the A 1 = A 2

A 1 A 2 contains all the elements in A 1 or A 2 or both.

S = {s 1 , s 2 , ··· , s k } then s i S

elements in A 1 or A 2 or both. S = { s 1 , s

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Sample Space

1 Chapter 1-Probability

Sample Space

A 1 A 2 contains all the elements that belongs to both A 1 and A

2 . A 1 and A 2 are mutually exclusive if A 1 A 2 =

A called the complement of A contains all elements that is not in A.

The set of all points in A 1 that are not in A 2 will be denoted as A 1 A 2 = {x A 1 |x / A 2 } = A 2 A 1

A k are mutually exclusive(disjoint) if the are

pairwise mutually exclusive A i A j = for all i

Events A 1 , A 2 ,

= j

An event is a subset of the sample space and probability is assigned to events.

Events A 1 , A 2 , = j An event is a subset of the

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1 Chapter 1-Probability

Axioms of probability

Axioms of probability and Set Operations

P(A) 0 P(S) = 1 If A 1 A 2 = then P(A 1 A 2 ) = P(A 1 ) + P(A 2 )

Commutative laws

A 1 A 2

A 1 A 2 = A 2

=

A

2

A 1 A 1

Associative laws (A 1 A 2 ) A 3

=

A 1 (A 2

A 3 )

(A 1 A 2 ) A 3 = A 1

(A 2

A 3 )

Distributive laws

(A 1 ∪ A 2 ) ∩ A 3 = (A 1 ∩ A 3
(A 1 ∪ A 2 ) ∩ A 3
=
(A 1 ∩ A 3 ) ∪ (A 2
(A 1 ∩ A 2 ) ∪ A 3 = (A 1 ∪ A 3 ) ∩ (A 2
∩ A 3 )
∪ A 3 )

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1 Chapter 1-Probability

DeMorgan’s laws

(A 1 A 2 ) = A 1 A

2

(A 1 A 2 ) = A 1 A

2

In general:

i=1 A i

n

i=1 A i

n

=

=

n

i=1

n

i=1

A i

A i

Axioms of probability

) = A 1 ∪ A 2 In general: i =1 A i n i =1

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From the axioms:

1 Chapter 1-Probability

Axioms of probability

i)

P() = 0

ii)

P(A ) = 1 P(A)

iii)

P(A) 1

iv)

P(A 1 A 2 ) =

P(A 1 ) + P(A 2 ) P(A 1 A 2 )

From (iv):

P(A 1 A 2 A 3 ) = P[(A 1 A 2 ) A 3 ]

= P(A 1 A 2 ) + P(A 3 ) P[(A 1 A 2 ) A 3 ]

= + P(A 2 ) P(A 1 A 2 ) + P(A 3 ) P[(A 1 A 3 ) (A 2 A 3 )]

P(A 1 )

= + P(A 2 ) P(A 1 A 2 ) + P(A 3 ) P(A 1 A 3 )

P(A 1 )

P(A 2 A 3 ) + P(A 1 A 2 A 3 )

= P(A 1 ) + P(A 2 ) + P(A 3 ) P(A 1 A 2 ) P(A 1

A 3 )

P(A 2 A 3 ) + P(A 1 A 2 A 3 )

2 ) − P ( A 1 ∩ A 3 ) − P ( A 2

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1 Chapter 1-Probability

Axioms of probability

Following that, for n events,

P

n

i=1 A i =

n

n

n

i=1 P(A i ) i<j P(A i A j ) +

i<j<k P(A i A j A k ) · · · (1) n+1 P(A 1 A 2 ···A n )

Boole’s inequality

If A 1 , A2 are two events, then

P(A 1 A 2 ) P(A 1 ) + P(A 2 )

Bonferonni’s inequality,

P(A 1 A 2 ) P(A 1 ) + P(A 2 ) 1

P ( A 2 ) Bonferonni’s inequality, P ( A 1 ∩ A 2 ) ≥

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Example 1

1 Chapter 1-Probability

Axioms of probability

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 M ) = P[(W M) ] = 1 P(W M) = 1 0.7 = 0.3

0 . 3 = 0 . 7 ii) P ( W ∩ M ) = P

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Example 2

1 Chapter 1-Probability

Axioms of probability

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)

i) P [( X = 1 , Y = 1) ∪ ( X = 1 ,

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Example 3

1 Chapter 1-Probability

Axioms of probability

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)

{ ( x , y ) | 0 ≤ X , Y ≤ 1 } .Find,

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