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    1probability Notes

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    This document provides an introduction to probability. It defines key concepts such as random experiments, sample spaces, events, elementary events, compound events, mutually exclusive events, exhaustive events, and probabilities. It describes how to calculate probabilities of unions, intersections, complements, and conditional probabilities. It also covers independence, the multiplication rule, total probability rule, Bayes' rule, and methods for assessing probabilities in practice including the Laplace rule, basic principle of counting, generalized principle of counting, permutations, and combinations.

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    1probability Notes

    Uploaded by

    ashtonlang12
    9 views4 pages
    This document provides an introduction to probability. It defines key concepts such as random experiments, sample spaces, events, elementary events, compound events, mutually exclusive events, exhaustive events, and probabilities. It describes how to calculate probabilities of unions, intersections, complements, and conditional probabilities. It also covers independence, the multiplication rule, total probability rule, Bayes' rule, and methods for assessing probabilities in practice including the Laplace rule, basic principle of counting, generalized principle of counting, permutations, and combinations.

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    This document provides an introduction to probability. It defines key concepts such as random experiments, sample spaces, events, elementary events, compound events, mutually exclusive events, exhaustive events, and probabilities. It describes how to calculate probabilities of unions, intersections, complements, and conditional probabilities. It also covers independence, the multiplication rule, total probability rule, Bayes' rule, and methods for assessing probabilities in practice including the Laplace rule, basic principle of counting, generalized principle of counting, permutations, and combinations.

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    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    9 views4 pages

    1probability Notes

    Uploaded by

    ashtonlang12
    This document provides an introduction to probability. It defines key concepts such as random experiments, sample spaces, events, elementary events, compound events, mutually exclusive events, exhaustive events, and probabilities. It describes how to calculate probabilities of unions, intersections, complements, and conditional probabilities. It also covers independence, the multiplication rule, total probability rule, Bayes' rule, and methods for assessing probabilities in practice including the Laplace rule, basic principle of counting, generalized principle of counting, permutations, and combinations.

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    Download as pdf or txt
    of 4

    Ignacio Cascos Fernández

    Department of Statistics
    Universidad Carlos III de Madrid

    Introduction to Probability

    Statistics — 2011-2012 (revised in 2022)


    A random experiment is an experiment that can result in different out-
    comes, even though it is repeated in the same manner every time and a
    probability is used to quantify the likelihood, or chance, that an outcome of
    a random experiment will occur.
    The sample space is the set of all possible outcomes of a random experi-
    ment. We will denoted the sample space by S. The sample space is said to
    be discrete if it is finite or denumerable (countably infinite) and continuous
    if it is uncountable.
    An event is a subset of the sample space of a random experiment. We
    will represent the events by capital letters, A, B, C, . . ..
    Events are subsets (of a sample space), and thus the basic set operations
    (union, intersection, and complement) are used to describe new events from
    combinations of existing events.
    Union. The union of two events A and B, denoted A ∪ B is the event
    that consists of all outcomes that are contained in either of the two
    events. It occurs whenever at least one from A and B occurs.
    Intersection. The intersection of two events A and B, denoted A ∩ B
    is the event that consists of all outcomes that are contained in both of
    the two events. It occurs when both A and B occur simultaneously.
    Complement. The complement of an event A in a sample space S,
    denoted A or Ac is the set of outcomes in the sample space that are
    not in the event. It occurs when A does not occur.
    Set difference. The (Set) difference. The difference of two events A and
    B expressed as A minus B, denoted A \ B is the event that consists of
    all outcomes that are contained in A, but not contained in B. It occurs
    when A occurs, but B does not.

    1
    An elementary event is any element (singleton) from the sample space .
    A compound event is any event that can be obtained as a union of several
    elementary events.
    The null or impossible event is the one that never occurs, therefore it is
    represented as ∅. Its complement is the certain event, which consists of the
    whole sample space, S.
    Two events A and B are said to be mutually exclusive if they cannot
    occur simultaneously, that is, their intersection is the empty set, A ∩ B = ∅.
    A collection of events A1 , A2 , . . . , An is said to be mutually exclusive if for all
    pairs, Ai ∩ Aj = ∅ for i ̸= j.
    A collection of events A1 , A2 , . . . , An is exhaustive if their union is the
    whole sample space ∩ni=1 Ai = S.
    Definition 1. A probability P associated with a random experiment whose
    sample space is S assigns to each member of a collection of events from
    the random experiment, A, a real number P (A), that is interpreted as the
    probability of A. A probability satisfies the following properties::
    1. (nonnegativity) P (A) ≥ 0 for every event A;

    2. (additivity) given a family of events {Ai }i∈I with I denumerable and


    such that Ai ∩ Aj = ∅ if i ̸= j, then
    n
    [  n
    X
    P Ai = P (Ai );
    i=1 i=1

    3. (normalization) P (S) = 1.

    Properties. Given two events A and B,


    P (A) ≤ 1;

    P (A) = 1 − P (A);

    P (∅) = 0;

    if A ⊂ B, then P (A) ≤ P (B);

    P (A \ B) = P (A) − P (A ∩ B);

    Addition rule. P (A ∪ B) = P (A) + P (B) − P (A ∩ B).

    2
    Definition 2. Two events A and B are independent if

    P (A ∩ B) = P (A)P (B).

    Property. If A and B are independent, then A and B are also independent,


    and the same happens with A and B.
    Definition 3. Given two events A and B with P (B) > 0, the conditional
    probability of A given B is the probability that A occurs given that B has
    occurred, it is denoted by P (A|B),
    P (A ∩ B)
    P (A|B) = .
    P (B)
    The conditional probability is a probability itself and, as a consequence,
    it satisfies all the properties that are common to probabilities.

    Property. Two sets A and B with P (A), P (B) > 0 are independent if and
    only if P (A|B) = P (A) (or alternatively P (B|A) = P (B)).

    Multiplication rule. Given n events A1 , A2 , . . . , An with P (Ai ) > 0 for


    i = 1, . . . , n

    P (A1 ∩ A2 ∩ A3 ∩ . . . ∩ An ) = P (A1 )P (A2 |A1 )P (A3 |A1 ∩ A2 ) · · ·


    · · · P (An−1 |A1 ∩ A2 ∩ . . . ∩ An−2 )P (An |A1 ∩ A2 ∩ . . . ∩ An−1 ).

    Total probability rule. Given a collection of n mutually exclusive and


    exhaustive events, that is, given A1 , A2 , . . . , An such that Ai ∩ Aj = ∅ if i ̸= j
    and ∪ni=1 Ai = S, the probability of any event B is given by
    n
    X
    P (B) = P (Ai )P (B|Ai ).
    i=1

    Bayes’ rule. Given a collection of n mutually exclusive and exhaustive


    events, that is, given A1 , A2 , . . . , An such that Ai ∩ Aj = ∅ if i ̸= j and
    ∪ni=1 Ai = S, for any event B such that P (B) > 0, it holds:
    P (Ai ∩ B) P (Ai )P (B|Ai )
    P (Ai |B) = = Pn .
    P (B) j=1 P (Aj )P (B|Aj )

    3
    Assessment of probabilities in practice: Laplace rule. When a ran-
    dom experiment has a finite number of equally likely possible outcomes, then
    the probability of any event A is
    number of outcomes favourable to A
    P (A) = .
    total number of possible outcomes

    Basic principle of counting. If a random experiment can be split into


    2 stages and the first stage has n1 possible outcomes, for each of them, the
    second stage has n2 possible outcomes, then the total number of possible
    outcomes of the experiment is: n1 · n2 .

    Generalized principle of counting. If a random experiment can be split


    into a fixed number of stages k and the first stage has n1 possible outcomes,
    for each of them, the second stage has n2 possible outcomes and so forth
    until the k-th stage, which has nk possible outcomes, then the total number
    of possible outcomes of the experiment is:

    n1 · n2 · . . . · nk .

    Permutations. Given n distinct objects, the number of possible ordered


    sequences that can be formed with them is called the permutations of n
    elements, n! = n(n − 1)(n − 2) · · · 2 · 1.

    k-permutations. Given n distinct objects, the number of possible sequen-


    ces of 1 ≤ k ≤ n elements that can be formed with them is called k-
    permutations of n elements, n(n−1) · · · (n−k+1) = n!/(n−k)! (by agreement
    0! = 1).

    Combinations. Given n distinct objects, the number of possible sets of


    1 ≤ k ≤ n elements that be formed with them is the number of combinations
    of k out of n objects  
    n n!
    = .
    k k!(n − k)!

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