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Reading assignment:
Weiss: Sections 4.1, 4.2, and 4.4 (Chapters 1 through 3 were previously
assigned.)
Class notes: Part III of the class notes (Chapters 20 through 27, inclusive)
(Chapters 1 through 19 were previously assigned.)
Schaum’s book (Hwei Hsu): Read Sections 1.6 and 1.7 (Sections 1.1
through 1.5 were previously assigned.)
Schaum’s book (Hwei Hsu): Carefully work through exercises 1.44, 1.45,
1.48, 1.49, 1.50, 1.51, 1.52, 1.53, 1.55, 1.56, 1.57, 1.58, 1.59, 1.60, and
1.61. Do not turn these in, but make sure you understand the details of
the calculations and how to solve these exercises.
Read the probability measures handout.
1
Exercise 1) (40 points – 5 points per part) (Probability spaces, in-
cluding discrete and geometric)
a. Suppose ( ; F; P ) is a probability space and that E is an event. Which of
the following statements in the bullet points can we conclude? List all the bullet
point statements which apply (there may be more than one). Write “NONE”
if you cannot conclude any of the bullet point statements. No work is needed.
Just give an answer.
E :
E F:
P (E c ) is de…ned.
E has one or more elements.
E 2 F:
E is an event.
E F:
P (E c ) is de…ned.
E has one or more elements.
E 2 F:
F = 2 = f;; fagg :
2
e. Suppose is countable, and suppose that contains at least two elements.
Let F = 2 : Prove that there exist in…nitely many di¤erent probability measures
P on ( ; F) :
Hint: Let ! 1 and ! 2 be elements of : Let p be any real number in (0; 1) :
Consider probability measures P for which P (f! 1 g) = p and P (f! 2 g) = 1 p:
h. Let = fa; b; cg and F = 2 : Find (by listing them all in some way) all
probability measures P on ( ; F) for which P (fag) = 2P (fbg) : If there are no
such probability measures, write “NONE,” and explain why there are no such
probability measures.
Hint: Let x = P (fcg) : Then …nd P (fag) in terms of x; and …nd P (fbg)
in terms of x: What are the possible values of x (keeping in mind that all
probabilities must be between 0 and 1; inclusive)? List all events in this space,
and for each one give its probability (in terms of x).
Solution to a.: The statements in the …rst, third, and …fth bullet points can
be concluded.
Explanation (not needed for this exercise): Events are, by de…nition, ele-
ments of F; all of which are (also by de…nition) subsets of : Since E 2 F; we
also have E c 2 F (since F is closed under complements), and thus P (E c ) is
de…ned.
Solution to b.: We cannot conclude any of the statements in the bullet points.
3
We have
P (;) = 0;
P (fag) = 1:
and so y = (1 x) =3:
For each x 2 [0; 1] ; the three numbers
are non-negative and add up to 1; and so for each x 2 [0; 1] there exists a unique
probability measure Px for which
Px (fag) = 2 (1 x) =3;
Px (fbg) = (1 x) =3;
Px (fcg) = x:
4
This exercise concerns probability spaces ( ; F; P ) : An experiment will be
given, and I will indicate what ; F; and P are below.
An experiment consists of selecting a point at random from the 2 2 square
(including its boundary) whose sides are parallel to the axes and with (0; 0) and
(2; 2) as the lower left and upper right corners.
The set of all possible outcomes (i.e., the sample space) for this experiment
is
= [0; 2] [0; 2] = f(x; y) : 0 x 2; 0 y 2g ;
since the outcome of this experiment is a single point ! = (x; y) 2 ; with x
and y each between 0 and 2 inclusive.
In elementary measure theory, we measure “area”with 2-dimensional Lebesgue
measure, L2 : For a reasonably uncomplicated subset E of R2 ; L2 (E) is precisely
the area of E in the sense of geometry, or of calculus (using integration).
It can be shown (this is beyond the scope of our course) that there exists a
-…eld F of subsets of such that the “area” function de…ned by
Area (E) = L2 (E) whenever E 2 F
satis…es the 1st and 3rd Kolmogorov axioms. I.e., the area of an event E 2 F is
always non-negative, and if we have a countable collection of mutually exclusive
events A 2 F; then
!
[ X
Area A = Area (A ) :
5
a. Prove that P satis…es the …rst Kolmogorov axiom. I.e., suppose E 2 F; and
show that P (E) 0:
b. Prove that P satis…es the second Kolmogorov axiom. I.e., show that P ( ) =
1:
6
Solution to d.: Since E is countable, and since the discussion above indicates
that all singleton subsets of are events, it follows that E (being a countable
union of events –namely, of its own singleton subsets) is an event. We calculate
!
[
P (E) = P f!g (E is the union of its elements, P is well-de…ned)
!2E
X
= P (f!g) (Kolmogorov’s 3rd axiom)
!2E
X 1
= Area (f!g) (de…nition of P )
4
!2E
X
= 0 (the area of a point is 0)
!2E
= 0:
Thus, while in general we de…ne in…nite sums only over countable sets,
when adding nothing but zeroes we set the sum equal to 0 by convention.
Moreover, for any uncountable set I; and any function f for which the set
I1 = fx 2 I : f (x) 6= 0g
is countable, we de…ne
I2 = fx 2 I : f (x) = 0g ;
and we have
X X X X X
f (x) = f (x) + f (x) = f (x) + 0 = f (x) :
x2I x2I1 x2I2 x2I1 x2I1
7
irreparably). I will number the steps to make it easier for you to reference them.
Proceed carefully, as there is a lot at stake with this problem.
Claim: “0 = 1:”
“Proof:”
Step 1: Since any set is the union of its elements, we have
[
= f(x ; y )g :
(x ;y )2
Step 5: We have
0 1
[ X
P@ f(x ; y )gA = P (f(x ; y )g) :
(x ;y )2 (x ;y )2
Step 6: We have
X X
P (f(x ; y )g) = 0 = 0:
(x ;y )2 (x ;y )2
q.e.d.
List each step (by number) whose statement is false as written, and for each
step you list explain clearly the nature of the mathematical error. If you feel
each of the steps is correct as written, say so. Calling something incorrect that is
really correct is just as bad as calling something correct that is really incorrect.
8
Solution: There is precisely one step where a claim is made that is not true:
Step 5. The claims in each of the other steps are entirely correct.
Kolmogorov’s 3rd axiom tells us that the probability of a COUNTABLE
mutually exclusive union of events is the sum of the probabilities. However, the
union in Step 5, [
f(x ; y )g ;
(x ;y )2
has as the index set, and itself is uncountable since it has positive area.
Thus, we may not apply Kolmogorov’s 3rd axiom to this particular union. As
this “proof” shows, doing so ultimately results in the incorrect conclusion that
1 = 0:
Remark 1 Hopefully, this example shows how important it is to be able to tell
whether an index set is countable or not and how important it is to check the
hypotheses of results before making use of formulas given in the results.
Remark 2 If you said that the claim in Step 7 is not correct, then you likely
ignored the beginning of the claim, where the key hypothesis is given: “If the
steps above are all correct, then...” It is critically important to pay attention to
hypotheses in mathematics, not just to formulas in the “then”part of a statement
or theorem. Each equality in Step 7 correctly makes use of results which are true
or results from previous steps, which are assumed to be true in the hypothesis
stated in Step 7. In any …eld of mathematics, any claim of the form
“If P; then Q” is true if P is false (regardless of whether Q is true
or not), true if P is true and Q is true, and false if P is true and Q
is false.
9
Find P (H) :
Hint. Recall that for any non-negative real number a the inequality jzj a is
algebraically equivalent to a z a: I strongly recommend drawing a picture
of the subset of corresponding to the event H:
c. Let I be the event that the selected point (x; y) is on the boundary of (i.e.,
that x = 0 and 0 y 2; or that x = 2 and 0 y 2; or that y = 0 and
0 x 2; or that y = 2 and 0 x 2). Find P (I) :
d. Let J be the event that the selected point (x; y) is at the center of (i.e.,
that (x; y) = (1; 1)). Find P (J c ) ; the probability of the complement of J:
Solution to a.: You should provide a diagram. Your diagrams will not all look
alike. I will describe what the diagram should look like in any case.
E is the rectangle whose vertices are at (3=2; 0) ; (2; 0) ; (3=2; 2) ; and (2; 2) :
It is the part of the square that is to the right of the vertical line segment
where x = 3=2: It should be shaded in some manner.
F is the rectangle whose vertices are at (0; 1=4) ; (2; 1=4) ; (0; 2) ; and (2; 2) :
It is the part of the square that is above the horizontal line segment where
y = 1=4: It should be shaded in some manner, but not in the same manner as
E:
G is the rectangle whose vertices are at (3=2; 1=4) ; (2; 1=4) ; (3=2; 2) ; and
(2; 2) : It is the part of the square that is to the right of the vertical line
segment where x = 3=2 and simultaneously above the horizontal line segment
where y = 1=4: There was no need to do any extra shading for G since it is the
unique region which is shaded twice (by being in both E and F ).
Solution to c.: The boundary of consists of four line segments, each having
area 0: Thus,
Area (I) 0
P (I) = = = 0:
Area ( ) 4
10
Solution to d.: The event J consists of a single point, which has area 0; and
so
Area (J) 0
P (J) = = = 0:
Area ( ) 4
It follows that P (J c ) = 1:
Remark 3 J c is an example of an event which has probability 1 but which could
potentially fail to happen (if the center is selected).
Solution to a.: Since the point is selected at random from a disk having
positive, …nite area, we apply a 2-dimensional geometric probability model with
being the disk. F is the set of subsets of the disk having a de…ned area, and
P is de…ned by
Area (E)
P (E) =
Area ( )
11
for each E 2 F:
Let E be the event that the selected point is a distance at least 1=2 from
the center of the disk. Then E is the region inside the disk but outside the
disk having the same center and radius 1=2; so
2 2
Area (E) = (1) (1=2) = (3=4) ;
and so
(3=4) 3
P (E) = 2 = :
(1) 4
Solution to b.: Since the point is selected at random from a disk having
positive, …nite area, we apply a 2-dimensional geometric probability model with
being the disk. F is the set of subsets of the disk having a de…ned area, and
P is de…ned by
Area (E)
P (E) =
Area ( )
for each E 2 F:
We are given that
The set
S = (x; y) 2 R2 : jxj + jyj = 1=2
is a square, whose edges are line segments making 45 degree angles relative to
each of the axes, with vertices
1 1
;0 ; 0; :
2 2
p
This square has side length 2=2; so it encloses a solid region having area 1=2:
Since each of the vertices of this square is inside the unit disk ; the entire
square S is inside the disk as well.
E consists of all points outside the square S (since (0; 0) does not satisfy the
inequality jxj + jyj > 1=2) but inside the unit disk : By the last sentence of
the preceding paragraph, we have
Therefore,
Area (E) 1=2 1
P (E) = = =1 ;
Area ( ) 2
which is approximately 0:840845:
12
Solution to c.: Since the point is selected at random from a ball having
positive, …nite volume, we apply a 3-dimensional geometric probability model
with being the ball. F is the set of subsets of the ball having a de…ned volume,
and P is de…ned by
Volume (E)
P (E) =
Volume ( )
for each E 2 F:
Let E be the event that the selected point is a distance of at least 7 from
the center of the ball.
Let F be the event that the selected point is a distance of at most 9 from
the center of the ball.
Then
P (E \ F )
P (E j F ) = :
P (F )
Here, E \ F is the region inside the ball having center (2; 3; 9) and radius 9
and outside the ball having center (2; 3; 9) and radius 7; so
4 3 4 3 1544
Volume (E \ F ) = (9) (7) = :
3 3 3
Therefore,
Volume (E \ F ) (1544=3) 193
P (E \ F ) = = 3 = :
Volume ( ) (4=3) (10) 500
Also,
4 3
Volume (F ) = (9) = 972 ;
3
so
Volume (F ) 972 729
P (F ) = = 3 = 1000 :
Volume ( ) (4=3) (10)
Finally, we calculate
P (E \ F ) 193=500 386
P (E j F ) = = = ;
P (F ) 729=1000 729
which is approximately 0:529492:
Exercise 6. (15 points – 5 points per part) (cards and random sam-
pling without replacement)
In the card game poker, players eventually end up with 5 card “hands,”and
then which player wins a given round depends on which “hand”is ranked more
highly.
See this website to see a list of some hands and their frequencies (how many
ways they can occur) and associated probabilities. Note that the probabilities
correspond to the probability of picking cards having that hand at random
(which is not how poker actually works).
https://en.wikipedia.org/wiki/Poker_probability#Frequency_of_5-card_poker_hands
I will give a couple of those calculations in detail.
13
Example 4 A player with 5 cards has “two pairs” when the player has 2 cards
of one denomination, 2 cards of a di¤ erent denomination, and 1 other card of
a di¤ erent denomination from the …rst 2. A player picks 5 cards from a deck at
random. What is the probability that the player has two pairs?
Solution: Since we are choosing 5 cards from a shu- ed deck, each set of 5 cards
is equally likely to be selected. We may therefore use a classical probability
model with representing the collection of all sets of 5 cards. We have
52
j j= :
5
Let E be the event that the cards form two pairs, as described above. Then
jEj
P (E) = ;
j j
13 4 4 4
jEj = 3 = 123 552:
3 2 2 1
14
By the Fundamental Counting Principle, we have
13 4 4 44
jEj = = 123 552:
2 2 2 1
Finally, we have
More practice Other probability calculations for other hands are carried out
in the same manner. Try a few others for practice, using the answers on
the wikipedia page above to check your work.
a. A person playing poker picks 5 cards from a deck at random. What is the
probability that the person has one pair and nothing better (i.e., 2 cards of one
denomination, 1 card of a second denomination, 1 card of a third denomination,
and 1 card of a 4th denomination)?
b. A person playing poker picks 5 cards from a deck at random. What is the
probability that the person has (among the 5 cards) the ace of spades?
c. A person playing poker picks 5 cards from a deck at random. What is the
probability that the person has a ‡ush (i.e., all 5 cards have the same suit; they
may or may not also form a straight)?
Solution to a.: Since the cards were picked at random, a classical probability
model applies with equal to the set of all possible sets of 5 cards. We have
j j = 525 = 2598 960:
Let E be the event that the hand is one pair and nothing better. E occurs
precisely when there are two cards of one denomination, one card of a di¤erent
denomination, one card of a third denomination, and one card of a fourth de-
nomination. There are 13 4 ways to choose the 4 di¤erent denominations. For
each of those, there are 4 choices for which of those will be the denomination
with the pair, and there are 42 ways to pick the two cards of that denomination.
For each of the other denominations, there are 4 choices (one for each suit). By
the Fundamental Counting Principle, we have
13 4
jEj = 4 4 4 4 = 1098 240:
4 2
Finally,
jEj 1098 240
P (E) = = 0:422569028:
j j 2598 960
15
Solution #1 to b.: Recall the following theorem: “If we use random sampling
to select a sample of size n from a population of size N; then each element of
the population has a probability of n=N of appearing in the sample.”We simply
apply this theorem with N = 52 and n = 5 to deduce that the answer is 5=52:
Solution #2 to b.: Since the cards were picked at random, a classical proba-
bility model applies with equal to the set of all possible sets of 5 cards. We
have j j = 52 5 = 2598 960:
Let E be the event that the hand includes the ace of spades. Then E c is the
event that the hand does not include the ace of spades. E c occurs provided the
5 cards are chosen from among the 51 other cards, which can happen in 51 5
ways, so jE c j = 51
5 : Then
51
jE c j 47
P (E c ) = = 5
52 = ;
j j 5
52
and …nally
5
P (E) = 1 P (E c ) = :
52
Solution to c.: Since the cards were picked at random, a classical probability
model applies with equal to the set of all possible sets of 5 cards. We have
j j = 525 = 2598 960:
Let E be the event that the hand is a ‡ush. E occurs precisely when all 5
cards have the same suit. There are 4 possible suits, and for each one there are
13
5 ways to choose 5 cards from the 13 cards of that suit. By the Fundamental
Counting Principle, we have
13
jEj = 4 = 5148;
5
and so
jEj 5148
P (E) = = 0:001980792:
j j 2598 960
16