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Cheat Sheet On Probability

The document provides an overview of key concepts in probability and statistics for engineers, including: 1) It defines fundamental probability concepts like sample space, events, axioms of probability, permutations, and combinations. 2) It introduces important probability distributions like the cumulative distribution function (CDF) and probability density function (PDF) for random variables. 3) It covers conditional probability concepts like Bayes' rule, partitions, and independence. 4) It defines key metrics for random variables like variance, standard deviation, expectation, and moments that describe the spread and behavior of distributions.

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0% found this document useful (0 votes)
205 views2 pages

Cheat Sheet On Probability

The document provides an overview of key concepts in probability and statistics for engineers, including: 1) It defines fundamental probability concepts like sample space, events, axioms of probability, permutations, and combinations. 2) It introduces important probability distributions like the cumulative distribution function (CDF) and probability density function (PDF) for random variables. 3) It covers conditional probability concepts like Bayes' rule, partitions, and independence. 4) It defines key metrics for random variables like variance, standard deviation, expectation, and moments that describe the spread and behavior of distributions.

Uploaded by

Daniel Jue
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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CME 106 – Introduction to Probability and Statistics for Engineers https://stanford.

edu/~shervine

VIP Cheatsheet: Probability Remark: for any event B in the sample space, we have P (B) =
n
X
P (B|Ai )P (Ai ).
i=1

Shervine Amidi r Extended form of Bayes’ rule – Let {Ai , i ∈ [[1,n]]} be a partition of the sample space.
We have:
August 8, 2018 P (Ak |B) =
P (B|Ak )P (Ak )
n
X
P (B|Ai )P (Ai )
i=1
Introduction to Probability and Combinatorics
r Sample space – The set of all possible outcomes of an experiment is known as the sample r Independence – Two events A and B are independent if and only if we have:
space of the experiment and is denoted by S. P (A ∩ B) = P (A)P (B)
r Event – Any subset E of the sample space is known as an event. That is, an event is a set
consisting of possible outcomes of the experiment. If the outcome of the experiment is contained
in E, then we say that E has occurred. Random Variables
r Axioms of probability – For each event E, we denote P (E) as the probability of event E r Random variable – A random variable, often noted X, is a function that maps every element
occuring. By noting E1 ,...,En mutually exclusive events, we have the 3 following axioms: in a sample space to a real line.
n
! n
[ X r Cumulative distribution function (CDF) – The cumulative distribution function F ,
(1) 0 6 P (E) 6 1 (2) P (S) = 1 (3) P Ei = P (Ei ) which is monotonically non-decreasing and is such that lim F (x) = 0 and lim F (x) = 1, is
x→−∞ x→+∞
i=1 i=1 defined as:
F (x) = P (X 6 x)
r Permutation – A permutation is an arrangement of r objects from a pool of n objects, in a
given order. The number of such arrangements is given by P (n, r), defined as: Remark: we have P (a < X 6 B) = F (b) − F (a).
n!
P (n, r) = r Probability density function (PDF) – The probability density function f is the probability
(n − r)! that X takes on values between two adjacent realizations of the random variable.
r Relationships involving the PDF and CDF – Here are the important properties to know
r Combination – A combination is an arrangement of r objects from a pool of n objects, where in the discrete (D) and the continuous (C) cases.
the order does not matter. The number of such arrangements is given by C(n, r), defined as:
P (n, r) n!
C(n, r) = = Case CDF F PDF f Properties of PDF
r! r!(n − r)! X X
(D) F (x) = P (X = xi ) f (xj ) = P (X = xj ) 0 6 f (xj ) 6 1 and f (xj ) = 1
Remark: we note that for 0 6 r 6 n, we have P (n,r) > C(n,r).
xi 6x j
ˆ x ˆ +∞
dF
Conditional Probability (C) F (x) = f (y)dy f (x) = f (x) > 0 and f (x)dx = 1
−∞ dx −∞
r Bayes’ rule – For events A and B such that P (B) > 0, we have:
P (B|A)P (A)
P (A|B) = r Variance – The variance of a random variable, often noted Var(X) or σ 2 , is a measure of the
P (B) spread of its distribution function. It is determined as follows:
Remark: we have P (A ∩ B) = P (A)P (B|A) = P (A|B)P (B). Var(X) = E[(X − E[X])2 ] = E[X 2 ] − E[X]2

r Partition – Let {Ai , i ∈ [[1,n]]} be such that for all i, Ai 6= ∅. We say that {Ai } is a partition
if we have: r Standard deviation – The standard deviation of a random variable, often noted σ, is a
n
measure of the spread of its distribution function which is compatible with the units of the
[ actual random variable. It is determined as follows:
∀i 6= j, Ai ∩ Aj = ∅ and Ai = S p
i=1 σ= Var(X)

Stanford University 1 Winter 2018


CME 106 – Introduction to Probability and Statistics for Engineers https://stanford.edu/~shervine

r Expectation and Moments of the Distribution – Here are the expressions of the expected r Marginal density and cumulative distribution – From the joint density probability
value E[X], generalized expected value E[g(X)], kth moment E[X k ] and characteristic function function fXY , we have:
ψ(ω) for the discrete and continuous cases:
Case Marginal density Cumulative function

E[X k ]
X XX
Case E[X] E[g(X)] ψ(ω) (D) fX (xi ) = fXY (xi ,yj ) FXY (x,y) = fXY (xi ,yj )
n n n n j xi 6x yj 6y
X X X X
(D) xi f (xi ) g(xi )f (xi ) xki f (xi ) f (xi )eiωxi ˆ ˆ ˆ
+∞ x y
i=1 i=1 i=1 i=1 (C) fX (x) = fXY (x,y)dy FXY (x,y) = fXY (x0 ,y 0 )dx0 dy 0
ˆ +∞ ˆ +∞ ˆ +∞ ˆ +∞
−∞ −∞ −∞

(C) xf (x)dx g(x)f (x)dx xk f (x)dx f (x)eiωx dx


−∞ −∞ −∞ −∞
r Distribution of a sum of independent random variables – Let Y = X1 + ... + Xn with
X1 , ..., Xn independent. We have:
Remark: we have eiωx = cos(ωx) + i sin(ωx). n
Y
ψY (ω) = ψXk (ω)
r Revisiting the kth moment – The kth moment can also be computed with the characteristic
function as follows: k=1
 
1 ∂k ψ r Covariance – We define the covariance of two random variables X and Y , that we note σXY
2
E[X k ] =
ik ∂ω k or more commonly Cov(X,Y ), as follows:
ω=0

Cov(X,Y ) , σXY
2
= E[(X − µX )(Y − µY )] = E[XY ] − µX µY
r Transformation of random variables – Let the variables X and Y be linked by some
function. By noting fX and fY the distribution function of X and Y respectively, we have:
r Correlation – By noting σX , σY the standard deviations of X and Y , we define the correlation

dx between the random variables X and Y , noted ρXY , as follows:
fY (y) = fX (x)
dy 2
σXY
ρXY =
σX σY
r Leibniz integral rule – Let g be a function of x and potentially c, and a, b boundaries that
may depend on c. We have: Remarks: For any X, Y , we have ρXY ∈ [−1,1]. If X and Y are independent, then ρXY = 0.
ˆ  ˆ b r Main distributions – Here are the main distributions to have in mind:
∂ b ∂b ∂a ∂g
g(x)dx = · g(b) − · g(a) + (x)dx
∂c a ∂c ∂c a ∂c
Type Distribution PDF ψ(ω) E[X] Var(X)
n
r Chebyshev’s inequality – Let X be a random variable with expected value µ and standard X ∼ B(n, p) P (X = x) = px q n−x (peiω + q)n np npq
deviation σ. For k, σ > 0, we have the following inequality: x
Binomial x ∈ [[0,n]]
1 (D)
P (|X − µ| > kσ) 6
k2 µx −µ iω
X ∼ Po(µ) P (X = x) = e eµ(e −1) µ µ
x!
Poisson x∈N
Jointly Distributed Random Variables
1 eiωb − eiωa a+b (b − a)2
X ∼ U (a, b) f (x) =
r Conditional density – The conditional density of X with respect to Y , often noted fX|Y , b−a (b − a)iω 2 12
Uniform x ∈ [a,b]
is defined as follows:
2
fXY (x,y) 1 −1
x−µ
1 2
σ2
fX|Y (x) = (C) X ∼ N (µ, σ) f (x) = √ e2 σ
eiωµ− 2 ω µ σ2
fY (y) 2πσ
Gaussian x∈R
1 1 1
r Independence – Two random variables X and Y are said to be independent if we have: X ∼ Exp(λ) f (x) = λe−λx
1− iω
λ
λ λ2
fXY (x,y) = fX (x)fY (y) Exponential x ∈ R+

Stanford University 2 Winter 2018

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