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2 Reading assignment
Class notes: Read the class notes up to and including Chapter 38 (Chap-
ters 1 through 30 were previously assigned.); at the time this is being
posted, not all of that material has been posted, but it will be posted
within two days.
Weiss textbook: Chapter 5, and Sections 8.1, 8.2, 8.3, 8.4, and 8.5 (Chap-
ters 1, 2, 3, and 4 were previously assigned.)
Schaum’s book (Hwei Hsu): Skip the “notes” (use our notes and Weiss’s
textbook). However, carefully work through exercises 2.1 through 2.22
(all except 2.18). Do not turn these in, but make sure you understand the
details of the calculations and how to solve these exercises.
1
3 Written Assignment (to be turned in)
3.1 Exercise 1) (40 points –5 points per part) (Bernoulli
trials)
3.1.1 The exercises
a. Textbook exercise 5.94a.
De…ne a function
X: !R
as follows: for each ! 2 ; let X (!) represent the number of tails (i.e., of T s)
in ! minus the number of heads (i.e., of H s) in !: For instance,
X (HHHT ) = 1 3= 2:
2
! X (!)
TTTT ?
TTTH ?
TTHT ?
TTHH ?
THTT ?
THTH ?
THHT ?
THHH ?
HTTT ?
HTTH ?
HTHT ?
HTHH ?
HHTT ?
HHTH ?
HHHT ?
HHHH ?
c) Find fX 1g :
d) Find pX ; the pmf of X: Make sure you explicitly de…ne it for all real numbers
(as in the class notes; Weiss and Hsu do not do this consistently, but we will.).
3
let Y be the number of the trial on which the 12th success occurs, so that
Y N B (12; 0:7) :
The event fX < 12g occurs precisely when there are fewer than 12 successes
in the 20 trials.
The event fY > 20g occurs precisely when the 12th success occurs after the
20th trial, which occurs precisely when the number of successes in the …rst 20
trials is less than 12:
Thus, fX < 12g = fY > 20g : They are the same event exactly. Since these
are the same event, their probabilities must be the same. Thus,
The complementary events fX 12g and fY 20g must also be the same
as one another and must therefore also have the same probability:
Consider the baseball world series example from the class notes. We solved
that example in two ways: using a negative binomial random variable, and using
a binomial random variable.
Let R be the random variable from the solution using the negative binomial
random variable. I.e., R N B (4; 2=3) :
Let S be the random variable from the solution using the negative binomial
random variable. I.e., S B (7; 2=3) :
Let r = 4; n = 7: The theorem stated above implies that fS 4g = fR 7g :
This is the event that Team 1 wins the series. The theorem above shows that
we can …nd that probability by calculating either P (fS 4g) or P (fR 7g) :
This is precisely what we did in class (with di¤erent variable letters).
You can use the theorem above to go (easily) from one solution to a problem
of this sort using either a binomial or negative binomial random variable to
another solution to the problem using the other type of random variable. For
example, suppose you …gured out that the event that Team 1 wins is fS 4g :
The theorem above would tell you also that this event is fR 7g ; and so you
would now have two ways to calculate the probability that Team 1 wins.
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Players A and B are playing in a women’s match. For any given set, player
A has a 0.60 probability of winning, and player B has a 0.40 probability of
winning.
Find the probability that player A wins the match by making use of negative
binomial random variables.
Then use the theorem above to convert the probability that player A wins
the match into a corresponding probability involving binomial random variables,
and calculate that probability by using the Fundamental Probability Formula.
Of course, your answers should be the same.
b. Every year, many of the world’s best male tennis players compete at Wim-
bledon, in England. A match consists of 5 sets, the winner being the …rst player
to win 3 sets.
Players A and B are playing in a men’s match. For any given set, player
A has a 0.60 probability of winning, and player B has a 0.40 probability of
winning.
Find the probability that player A wins the match by making use of binomial
random variables.
Then use the theorem above to convert the probability that player A wins
the match into a corresponding probability involving negative binomial random
variables, and calculate that probability by using the Fundamental Probability
Formula. Of course, your answers should be the same.
c. Read Exercise 5.94 in the textbook. We can consider the baseball player’s
at-bats to be Bernoulli trials, in which a “success” means getting a hit and
in which a “failure” means failing to get a hit. We are given that the success
probability is p = 0:260:
Let X be the number of the at-bat on which the player gets the second hit.
Find the probability that the player gets his second hit after his seventh at-
bat. Give your answer accurate to 4 decimal places (a numerical approximation
is …ne). Use negative binomial random variables.
d. Read Exercise 5.94 in the textbook. We can consider the baseball player’s
at-bats to be Bernoulli trials, in which a “success” means getting a hit and
in which a “failure” means failing to get a hit. We are given that the success
probability is p = 0:260:
Let X be the number of the at-bat on which the player gets the second hit.
Find the probability that the player gets his second hit after his seventh at-
bat. Give your answer accurate to 4 decimal places (a numerical approximation
is …ne). Use binomial random variables.
f. Solve Exercise 5.129 part b from the textbook. Note that this provides
another example of how to use a probabilistic argument to prove an otherwise
extremely di¢ cult identity.
5
3.5 Exercise 5 (45 points – 5 points per part) (random
variable approximations)
3.5.1 Background
A very useful approximation The following theorem is from our class notes:
6
We have shown that, for all real x; the limit of pX (x) equals the pmf of a
B (n; p) random variable. Thus, H (N; n; p) random variables become B (n; p)
random variables in the limit as N ! 1; holding n and p …xed.
In practice, N is …xed, hence not going to in…nity, so we will get an approxi-
mation, not an exact result. Provided n = N 0:05; a condition called “the …ve
percent condition,”this approximation (of a hypergeometric random variable by
a binomial one) will be acceptable to many people, provided proper procedures
(see below) are followed.
We will use the …ve percent condition as our cuto¤ condition for determin-
ing when it is reasonable to approximate probability calculations involving a
hypergeometric random variable with similar calculations involving a binomial
one with the same n and p; regardless of what the random variables represent.
Often, this approximation is used when dealing with random sampling without
replacement. The number of successes in random sampling without replacement
is hypergeometric, while the number of successes in random sampling with re-
placement is binomial, so the binomial approximation to the hypergeometric
e¤ectively lets us approximate random sampling without replacement by ran-
dom sampling with replacement in the situation where the sample size is no
more than …ve percent of the population size.
Here is the procedure to follow. Suppose W H (N; n; p) ; and suppose that
we wish to calculate a probability, say P (fW 2 Eg) for some Borel subset E of
R: Provided n = N 0:05; we can introduce a new random variable X B (n; p)
(for the same values of n and p), and we can calculate P (fX 2 Eg) instead, as
an approximation to P (fW 2 Eg) : It should always be made clear what the
exact random variable is (in this case, W ), it should always be made clear that
this approximation is being used, and it should always be made clear why this
approximation is reasonable.
7
For each x 2 f0; 1; 2; : : : ; ng ; we have 0 x n; and thus x=n ! 0 as
n ! 1: This will allow us to use the approximation nx nx =x! :
n x n x
lim pX (x) = lim p (1 p)
n!1 n!1 x
x n x
nx
= lim 1
n!1 x! n n
x n x
= lim 1 (after canceling the nx terms)
n!1 x! n
x n x
= lim 1 1
n!1 x! n n
x n x
= lim 1 1
x! n!1 n n
x n x
= lim 1 lim 1
x! n!1 n n!1 n
x
= e 1:
x!
For each x 2
= f0; 1; 2; : : : ; ng ; we have
We have shown that, for all real x; the limit of pX (x) equals the pmf of a
P ( ) random variable, with = np: Thus, B (n; p) random variables become
P ( ) = P (np) random variables in the limit as n ! 1; holding p …xed.
In practice, n is …xed, hence not going to in…nity, so we will get an ap-
proximation, not an exact result. In the case of a Poisson approximation to a
binomial random variable, we have good information about the size of the error:
8
When p is close to 1; np2 will be too large to be useful (it will easily exceed
2 2
1!), but perhaps n (1 p) will be small. If n (1 p) is small enough, then
we can proceed as follows: introduce a new random variable X which counts
the number of failures in n trials (whereas X counts the number of successes
in n trials). I.e., X = n X: Then X B (n; 1 p) ; since the failure
probability is 1 p: We can then approximate X using a Poisson random
2
variable provided n (1 p) is small enough for our purposes. We can then
translate results involving X into results involving X at the end.
Example 4 Suppose that we have Bernoulli trials with success probability 0:99;
and suppose that we wish to calculate the probability that there will be at least 10
successes in 12 trials. Let X denote the number of successes in those 12 trials.
Then X B (12; 0:99) : Clearly, np2 is too large for a Poisson approximation.
However, we can let X denote the number of failures in those 12 trials. Of
course, X = 12 X; so that having at least 10 successes is equivalent to having
at most 2 failures, so that
fX 10g = fX 2g :
2
We have X B (12; 0:01) : Here, n (p ) is quite small, so we can use a Poisson
random variable Y P (0:12) to approximate probabilities involving X : In
particular, we have
9
g. Textbook exercise 5.80b.
The inverse image of the set B under the function g; which is denoted
g 1 (B) ; or fg 2 Bg ; is de…ned for subsets of T (not for elements of T ) as
follows:
g 1 (B) = fg 2 Bg = fx 2 S : g (x) 2 Bg :
It is a subset of S: Note that g 1 (B) is de…ned for every function g : S ! T;
and for every subset B T:
In the special case when B is a singleton set (i.e., B = fyg for some y 2 T ),
we have
1
g (fyg) = fx 2 S : g (x) 2 fygg = fx 2 S : g (x) = yg ;
10
We say that g is invertible provided g 1 as de…ned above is a function
from range (g) into S: I.e., g is invertible provided g 1 (fyg) is a singleton set
for each y 2 range (g) : When g is invertible, and only in this case, we call g 1
the inverse of g; we can write g 1 : range (g) ! S; and also we typically write
g 1 (y) instead of g 1 (fyg) :
Thus, g 1 as originally de…ned (whether g is invertible or not) generalizes
the notion of the inverse of a function.
We have encountered this concept and some of this notation already. When-
ever X is a random variable on a probability space ( ; F; P ) ; we have
X: ! R:
fX 2 Bg = f! 2 : X (!) 2 Bg :
and thus
1
pY (y) = P (fY = yg) = P (fg (X) = yg) = P X2g (fyg) :
Thus, for each real number y we need to …nd the event X 2 g 1 (fyg) and
then its probability. That value is then pY (y) :
When y 2= range (Y ) ; we have fY = yg = ; (equivalently, X 2 g 1 (fyg) =
;), and therefore pY (y) = P (;) = 0:
As a result, we almost always …nd pY (y) following these steps:
Step 1: When possible, …nd range (Y ) :
Step 2: Suppose y 2 = range (Y ) : Then pY (y) = 0:
Step 3: Suppose y 2 range (Y ) : Find fY = yg and then …nd its probability.
That value is pY (y) :
Here are two examples in which we will demonstrate this three-step method.
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Example 5 Suppose X is a discrete random variable on ( ; F; P ) ; and let
Y = eX (i.e., Y = g (X) ; where g is the function de…ned by g (x) = ex for each
x). Show that Y is discrete, and …nd its pmf.
Solution: g is continuous for all real x and is de…ned for all real x; hence in
particular at each point of range (X) : X is discrete. As noted above, these facts
together imply that g (X) (i.e., Y ) is discrete.
If y 2
= range (Y ) ; then pY (y) = 0:
Suppose y 2 range (Y ) : Then y > 0 since eany real numb er is positive. Thus,
eX(!) = y if and only if X (!) = ln y; and so we have
fY = yg = fg (X) = yg
= f! 2 : g (X (!)) = yg
n o
= !2 : eX(!) = y
= f! 2 : X (!) = ln yg
= fX = ln yg ;
and so
pY (y) = P (fY = yg) = P (fX = ln yg) = pX (ln y) :
Thus, we have shown that
pX (ln y) ; if y 2 range (Y )
pY (y) = :
0; otherwise
Note that in this example we were able to make use of the fact that g is in-
vertible (for y > 0) when we went from eX(!) = y to X (!) = ln y: The procedure
works even when g is not invertible, as the following example demonstrates.
Example 6 Let X be a discrete random variable which takes values 2; 1; 0;
and 1 with probabilities 1=2; 1=4; 1=8; and 1=8; respectively. Let Y = X 4 : Prove
that Y is discrete, and …nd the pmf of Y:
Solution: Here, g (x) = x4 : g is continuous for all real x and is de…ned for all
real x; hence in particular at each point of range (X) : X is discrete. As noted
above, these facts together imply that g (X) (i.e., Y ) is discrete.
In this case, the function g is not invertible, but we can still follow the same
steps as above. The main di¤erence is that we will …nd pY (y) for some values
of y separately, rather than …nding a single formula that works for all y values.
range (Y ) = g (f 2; 1; 0; 1g) = f0; 1; 16g :
If y 2
= range (Y ) ; then pY (y) = 0:
Suppose y 2 range (Y ) : Then y = 0; 1; or 16:
Case 1: y = 0: We have
fY = 0g = X4 = 0
n o
4
= ! 2 : X (!) = 0
= f! 2 : X (!) = 0g
= fX = 0g :
12
Thus,
1
pY (0) = P (fY = 0g) = P (fX = 0g) = pX (0) = :
8
Case 2: y = 1: We have
fY = 1g = X4 = 1
n o
4
= ! 2 : X (!) = 1
= f! 2 : X (!) = 1 or X (!) = 1g
= fX = 1g [ fX = 1g :
fY = 16g = X 4 = 16
n o
4
= ! 2 : X (!) = 16
= f! 2 : X (!) = 2 or X (!) = 2g
= fX = 2g [ fX = 2g :
13
3.6.2 The exercises
a. Suppose that X is a discrete random variable which takes values 2; 0; 1; 2;
and 4 with probabilities 1=10; 1=8; 1=5; 1=4; and 13=40; respectively. Let Y =
X 3 4X + 1: Show that Y is discrete, and …nd the pmf of Y proceeding as I
did above.
b. Look at (but do not solve yet) Exercise 5.137 in the book. You will end up
solving that problem in multiple steps. The answer in the back of the book is
in simpli…ed form, and your answer, even if correct, may end up looking quite
a bit di¤erent algebraically (although you can use the answer in the back of
the book to check your answer by comparing your values for pY (y) for a few
speci…c values of y). I will give extensive hints in the form of a solution outline.
This problem is much easier to solve by cases and will serve as an excellent
demonstration of this powerful technique. This is the same method as above,
but with Step 3 subdivided into several separate cases.
Let Y = jX 3j ; where X P (3) is the random variable from Exercise
5.137 on p. 249. Thus, Y = g (X) where g (x) = jx 3j :
Find the pmf of Y by proceeding as follows:
Remark 7 Notice how much harder this would have been if you had tried to do
this all in one case. It is often easier to solve problems like this by considering
separate cases.
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likelihood estimation gives us a way to estimate p: Roughly speaking, it does so
by …nding the value(s) of p which make the data we observed most likely.
Maximum likelihood estimation involves techniques and results from inferen-
tial statistics (since in general we have various data points, not just one), and so
the full method is far beyond the scope of our course, but I have designed these
exercises to make use of a single data point, so as to avoid the need for results
of inferential statistics. In this basic setting, …rst-semester calculus will su¢ ce.
These exercises are intended as elementary introductions to this powerful and
widely-used technique.
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