Probability Theory and Stochastic Processes (PTSP) : Bhasker Dappuri
Probability Theory and Stochastic Processes (PTSP) : Bhasker Dappuri
Bhasker Dappuri
Bhasker Dappuri ( ECE, CMR Engineering College) Probability Theory and Stochastic Processes August 20, 2020 1 / 55
Introduction
• Course Objectives:
• This gives basic understanding of random signals and processes
• Utilization of Random signals and systems in Communications
and Signal Processing areas.
• To known the Spectral and temporal characteristics of
Random Process.
• To Learn the Basic concepts of Noise sources.
• Course Outcomes:
• Understand the concepts of Random Process and its
Characteristics.
• Understand the response of linear time Invariant system for a
Random Processes.
• Determine the Spectral and temporal characteristics of
Random Signals.
• Understand the concepts of Noise in Communication systems.
Bhasker Dappuri ( ECE, CMR Engineering College) Probability Theory and Stochastic Processes August 20, 2020 2 / 55
Introduction
UNIT - I
UNIT - I
• Probability Random Variable: Probability introduced through
Sets and Relative Frequency: Experiments and Sample Spaces,
Discrete and Continuous Sample Spaces, Events, Probability
Definitions and Axioms, Joint Probability, Conditional Probability,
Total Probability, Bayes Theorem, Independent Events, Random
Variable- Definition, Conditions for a Function to be a Random
Variable, Discrete, Continuous and Mixed Random Variable,
Distribution and Density functions, Properties, Binomial, Poisson,
Uniform, Gaussian, Exponential, Rayleigh, Methods of defining
Conditioning Event, Conditional Distribution, Conditional Density
and their Properties.
Bhasker Dappuri ( ECE, CMR Engineering College) Probability Theory and Stochastic Processes August 20, 2020 3 / 55
Introduction
UNIT - II
• Operations On Single Multiple Random Variables −
Expectations: Expected Value of a Random Variable, Function of
a Random Variable, Moments about the Origin, Central Moments,
Variance and Skew, Chebychevs Inequality, Characteristic Function,
Moment Generating Function, Transformations of a Random
Variable: Monotonic and Non-monotonic Transformations of
Continuous Random Variable, Transformation of a Discrete Random
Variable. Vector Random Variables, Joint Distribution Function and
its Properties, Marginal Distribution Functions, Conditional
Distribution and Density − Point Conditioning, Conditional
Distribution and Density − Interval conditioning, Statistical
Independence. Sum of Two Random Variables, Sum of Several
Random Variables, Central Limit Theorem, (Proof not expected).
Unequal Distribution, Equal Distributions. Expected Value of a
Function of Random Variables: Joint Moments about the Origin,
Joint Central Moments, Joint Characteristic Functions, Jointly
Gaussian Random Variables: Two Random Variables case, N
Random Variable case, Properties, Transformations of Multiple
Bhasker Dappuri (Random Variables,
ECE, CMR Engineering Linear
College) Transformations
Probability of Processes
Theory and Stochastic Gaussian Random
August 20, 2020 4 / 55
Introduction
UNIT - III
• Random Processes − Temporal Characteristics: The
Random Process Concept, Classification of Processes,
Deterministic and Nondeterministic Processes, Distribution
and Density Functions, concept of Stationarity and Statistical
Independence. First-Order Stationary Processes, Second-
Order and Wide-Sense Stationarity, (N-Order) and
Strict-Sense Stationarity, Time Averages and Ergodicity,
Mean-Ergodic Processes, Correlation-Ergodic Processes,
Autocorrelation Function and Its Properties, Cross-Correlation
Function and Its Properties, Covariance Functions, Gaussian
Random Processes, Poisson Random Process. Random Signal
Response of Linear Systems: System Response −
Convolution, Mean and Mean-squared Value of System
Response, autocorrelation Function of Response,
Cross-Correlation Functions of Input and Output.
Bhasker Dappuri ( ECE, CMR Engineering College) Probability Theory and Stochastic Processes August 20, 2020 5 / 55
Introduction
UNIT - IV
Bhasker Dappuri ( ECE, CMR Engineering College) Probability Theory and Stochastic Processes August 20, 2020 6 / 55
Introduction
UNIT - V
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Introduction
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Introduction
Unit - I
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Introduction
Set Theory
• THE BASIC CONCEPTS OF SET THEORY
• Set: A set is a well defined collection of objects.
• Objects are called elements or members of the set.
• Uppercase letters are used to denote sets.
• The set theory was developed by George Cantor (1845-1918).
• Assumptions:
• The word set is synonymous with the word collection,
aggregate, class and comprises of elements.
• Objects, elements and members of a set are synonymous
terms.
• Sets are usually denoted by capital letters A, B, C, , etc.
• Elements of the set are represented by small letters a, b, c, ,
etc.
• If a is an element of set A, then we say that a belongs to A.
• We denote the phrase belongsto by the Greek symbol
(epsilon). We say that aA.
• If b is an element which does not belong to A, we represent
this as b 6 A.
Bhasker Dappuri ( ECE, CMR Engineering College) Probability Theory and Stochastic Processes August 20, 2020 11 / 55
Introduction
Examples of Sets:
1 Describe the set of vowels.
• If A is the set of vowels, then A could be described as
A = {a, e, i, o, u}
2 Describe the set of positive integers.
• Since it would be impossible to list all of the positive integers,
we need to use a rule to describe this set. We might say A
consists of all integers greater than zero.
3 Set A = {1, 2, 3} and Set B = {3, 2, 1}. Is Set A equal to Set
B?• Yes. Two sets are equal if they have the same elements. The
order in which the elements are listed does not matter.
4 What is the set of men with four arms?
• Since all men have two arms at most, the set of men with four
arms contains no elements. It is the null set (or empty set).
5 Set A = {1, 2, 3} and Set B = {1, 2, 4, 5, 6}. Is Set A a subset
of Set B?
• Set A would be a subset of Set B if every element from Set A
were also in Set B. However, this is not the case. The number
3 is in Set A, but not in Set B. Therefore, Set A is not a
subset of Set B
Bhasker Dappuri ( ECE, CMR Engineering College) Probability Theory and Stochastic Processes August 20, 2020 12 / 55
Introduction
Important sets
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Introduction
Types of Sets
1 Empty Set or Null Set
2 Singleton Set
3 Finite Set
4 Infinite Set
5 Cardinal Number of a Set
6 Equivalent Sets
7 Equal set
8 Disjoint Sets
9 Overlapping sets
10 Definition of Subset
11 Super Set
12 Proper Subset
13 Power Set
14 Universal Set
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Introduction
• Examples
1 The set of whole numbers less than 0.
Clearly there is no whole number less than 0. Therefore, it is
an empty set.
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Introduction
• Singleton Set:
• A set which contains only one element is called a singleton set.
• Finite Set:
• A set which contains a definite number of elements is called a
finite set.
• Empty set is also called a finite set.
• Example: The set of all colors in the rainbow.
• Infinite Set:
• The set whose elements cannot be listed, i.e., set containing
never-ending elements is called an infinite set.
• Example: Set of all points in a plane
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Introduction
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Introduction
• Equal sets:
• Two sets A and B are said to be equal if they contain the
same elements. Every element of A is an element of B and
every element of B is an element of A.
• Example: A = {p, q, r, s}
B = { p, s, r, q }
Therefore, A = B
• Disjoint Sets:
• Two sets A and B are said to be disjoint, if they do not have
any element in common.
• Example: A = { x : x is a prime number }
B = { x : x is a composite number}.
Clearly, A and B do not have any element in common and are
disjoint sets.
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Introduction
• Subset:
• If A and B are two sets, and every element of set A is also an
element of set B, then A is called a subset of B and we write it
as A ⊆ B or B ⊇ A
• The symbol ⊂ stands for ’is a subset of or ’is contained in’
• Every set is a subset of itself, i.e., A ⊂ A, B ⊂ B.
• Empty set is a subset of every set.
• Symbol ⊆ is used to denote ’is a subset of’ or ’is contained in’.
• A ⊆ B means A is a subset of B or A is contained in B.
• B ⊆ A means B contains A.
• Examples: A = { 2, 4, 6 }, B = { 6, 4, 8, 2 }, A is a subset of
B
Bhasker Dappuri ( ECE, CMR Engineering College) Probability Theory and Stochastic Processes August 20, 2020 19 / 55
Introduction
Operations on Sets
1 Union
2 Intersection
3 Difference
4 Complement
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Introduction
Union
• Union of two given sets is the smallest set which contains all
the elements of both the sets.
• To find the union of two given sets A and B is a set which
consists of all the elements of A and all the elements of B
such that no element is repeated.
• The symbol for denoting union of sets is ’∪’.
• Properties of the operation of union
• A∪B = B∪A (Commutative law)
• A∪(B∪C) = (A∪B)∪C (Associative law)
• A ∪ ∅ = A (Law of identity element, is the identity of ∪)
• A∪A = A (Idempotent law)
• U ∪ A = U (Law of ∪) ∪ is the universal set.
• Note: A ∪ ∅ = ∅ ∪ A = A
union of any set with the empty set is always the set itself.
Bhasker Dappuri ( ECE, CMR Engineering College) Probability Theory and Stochastic Processes August 20, 2020 23 / 55
Introduction
Union
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Introduction
Intersection
• Intersection of two given sets is the largest set which contains
all the elements that are common to both the sets.
• Intersection of two given sets A and B is a set which consists
of all the elements which are common to both A and B.
• The symbol for denoting intersection of sets is ∩.
• Properties of the operation of intersection
• A∩B = B∩A (Commutative law)
• (A∩B)∩C = A∩ (B∩C) (Associative law)
• ∅ ∩ A = ∅ (Law of ∅)
• U ∩ A = A (Law of ∩)
• A ∩ A = A (Idempotent law)
• A ∩(B ∪C) = (A∩B) ∪ (A∩C) (Distributive law) Here ∩
distributes over ∪
• A∪(B∩C) = (A∪B) ∩ (A∪C) (Distributive law) Here ∪
distributes over ∩
• Note: A ∩ ∅ = ∅ ∩ A = ∅ i.e. intersection of any set with the
empty set is always the empty set.
Bhasker Dappuri ( ECE, CMR Engineering College) Probability Theory and Stochastic Processes August 20, 2020 25 / 55
Introduction
Intersection
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Introduction
Difference
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Introduction
Difference
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Introduction
Complement
• In complement of a set if S be the universal set and A a
subset of S then the complement of A is the set of all
elements of S which are not the elements of A.
• Symbolically, we denote the complement of A with respect to
S as A.
• Properties of complement sets
• A ∪ A = A ∪ A = ∪(Complement law)
• (A ∩ A) = ∅ (Complement law) - The set and its complement
are disjoint sets.
• (A ∪ B) = A ∩ B (De Morgans law)
• (A ∩ B) = A ∪ B (De Morgans law)
• (A) = A (Law of complementation)
• ∅ = ∪ (Law of empty set) - The complement of an empty set
is a universal set.
¯ = ∅ ( universal set) - The complement of a universal set is
• ∪
an empty set.
Bhasker Dappuri ( ECE, CMR Engineering College) Probability Theory and Stochastic Processes August 20, 2020 29 / 55
Introduction
Complement
Bhasker Dappuri ( ECE, CMR Engineering College) Probability Theory and Stochastic Processes August 20, 2020 30 / 55
Introduction
1 Commutative Laws
2 Associative Laws
3 Idempotent Laws
4 Distributive Laws
5 De Morgans Laws
Venn Diagrams: Pictorial representations of sets represented by
closed figures are called set diagrams or Venn diagrams.
Bhasker Dappuri ( ECE, CMR Engineering College) Probability Theory and Stochastic Processes August 20, 2020 31 / 55
Introduction
Commutative Laws:
• For any two finite sets A and B;
(i) A ∪ B = B ∪ A
(ii) A ∩ B = B ∩ A
Associative Laws:
• For any three finite sets A, B and C;
(i) (A ∪ B) ∪ C = A ∪ (B ∪ C)
(ii) (A ∩ B) ∩ C = A ∩ (B ∩ C)
Thus, union and intersection are associative.
Bhasker Dappuri ( ECE, CMR Engineering College) Probability Theory and Stochastic Processes August 20, 2020 32 / 55
Introduction
Idempotent Laws:
• For any finite set A;
(i) A ∪ A = A
(ii) A ∩ A = A
Distributive Laws
• For any three finite sets A, B and C;
(i) A ∪ (B ∩ C) = (A ∪ B) ∩ (A ∪ C)
(ii) A ∩ (B ∪ C) = (A ∩ B) ∪ (A ∩ C)
Thus, union and intersection are distributive over intersection
and union respectively.
Bhasker Dappuri ( ECE, CMR Engineering College) Probability Theory and Stochastic Processes August 20, 2020 33 / 55
Introduction
De Morgans Laws:
Bhasker Dappuri ( ECE, CMR Engineering College) Probability Theory and Stochastic Processes August 20, 2020 34 / 55
Introduction
De Morgans Laws
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Introduction
Venn Diagrams:
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Introduction
Venn Diagrams
Union of A and B
Intersection of A and B
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Introduction
Venn Diagrams
Difference : A-B
Difference : B -A
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Introduction
Venn Diagrams
Complement of set A
A ∪ B when A ⊂ B
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Introduction
Venn Diagrams
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Introduction
Venn Diagrams
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Introduction
Venn Diagrams
B’ and (A - B)’
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Introduction
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Introduction
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Introduction
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Introduction
Basic Problems
• A die is rolled, find the probability that an even number is
obtained.
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Introduction
Basic Problems
• Two coins are tossed, find the probability that two heads are
obtained.
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Introduction
Basic Problems
• A card is drawn at random from a deck of cards. Find the
probability of getting a queen.
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Introduction
Basic Problems
• A coin is thrown 3 times .what is the probability that atleast
one head is obtained?
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Introduction
Basic Problems
• Find the probability of getting a numbered card when a card
is drawn from the pack of 52 cards.
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Introduction
Basic Problems
• There are 5 green 7 red balls. Two balls are selected one by
one without replacement. Find the probability that first is
green and second is red.
Bhasker Dappuri ( ECE, CMR Engineering College) Probability Theory and Stochastic Processes August 20, 2020 53 / 55
Introduction
Basic Problems
• What is the probability of getting a sum of 7 when two dice
are thrown?
Bhasker Dappuri ( ECE, CMR Engineering College) Probability Theory and Stochastic Processes August 20, 2020 54 / 55
Introduction
Basic Problems
• Two cards are drawn from the pack of 52 cards. Find the
probability that both are diamonds or both are kings.
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