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Summary of Probability 2 1

The document summarizes key concepts in probability. It defines total probability, discrete and continuous random variables, and common probability distributions such as binomial, Poisson, normal, and uniform. For discrete random variables, it provides the probability mass function and how to calculate the mean and variance. For continuous random variables, it discusses probability density functions and how to calculate probabilities, means, and variances. It also describes normal approximations to the binomial and Poisson distributions.

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PeArL PiNk
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96 views3 pages

Summary of Probability 2 1

The document summarizes key concepts in probability. It defines total probability, discrete and continuous random variables, and common probability distributions such as binomial, Poisson, normal, and uniform. For discrete random variables, it provides the probability mass function and how to calculate the mean and variance. For continuous random variables, it discusses probability density functions and how to calculate probabilities, means, and variances. It also describes normal approximations to the binomial and Poisson distributions.

Uploaded by

PeArL PiNk
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Summary of Probability

February 28, 2021

1 Probability

ˆ Total Probability Rule: assume a partition of a sample space S = E1 ∪ E2 ∪ . . . . For any event
A ⊆ S, X X
P (A) = P (A ∩ Ei ) = P (A|Ei )P (Ei ).
i i

2 Discrete Random Variable and Probability Distributions

ˆ The probability mass function of X

fX (x) = P (X = x)

ˆ The cumulative distribution function of X


X
FX (x) = P (X ≤ x) = fX (xi )
xi ≤x

ˆ Mean, or expected value, of a discrete random variable X:


X
µ = E(X) = xP (X = x)
all x

ˆ Variance of a discrete random variable X:

σ 2 = Var(X) = E(X 2 ) − [E(X)]2

1
Notation fX (x) µ σ2
1 b+a (b−a+1)2 −1
Discrete Uniform n 2 12
Bernoulli X ∼ Bernoulli(p) p (1 − p)1−x
x
p p(1 − p)
n x
Binomial X ∼ B(n, p) x
p (1 − p)n−x np np(1-p)
1 1−p
Geometric X ∼ Geom(p) (1 − p)x−1 p p p2
x−1
 r r(1−p)
Negative Binomial X ∼ N B(r, p) r−1
(1 − p)x−r pr p p2
r N −r
(x)( n−x ) −n
Hypergeometric X ∼ hyper(N, n, r) np np(1 − p) N
(Nn ) N −1
λx −λ
Poisson X ∼ Poisson(λ) x!
e λ λ

3 Continuous Random Variables and Probability Distribu-


tions
Rb
ˆ P (a < X < b) = a
fX (x)dx.
Rα
ˆ P (X < α) = P (−∞ < X < α) = −∞
fX (x)dx.
R +∞
ˆ P (X > α) = P (α < X < +∞) = α
fX (x)dx.

ˆ The cdf of X Z x
FX (x) = P (X ≤ x) = fX (y)dy
−∞

ˆ The mean and variance of X


Z +∞
µ = E(X) = xfX (x)dx; σ 2 = Var(X) = E(X 2 ) − [E(X)]2
−∞

ˆ Normal approximation to the binomial distribution


!
x + 0.5 − np
P (X ≤ x) = P (X ≤ x + 0.5) ≈ P Z≤ p
np(1 − p)

and !
x − 0.5 − np
P (x ≤ X) = P (x − 0.5 ≤ X) ≈ P p ≤Z .
np(1 − p)

ˆ Normal approximation to the Poisson distribution


 
x + 0.5 − λ
P (X ≤ x) = P (X ≤ x + 0.5) ≈ P Z ≤ √
λ
and  
x − 0.5 − λ
P (x ≤ X) = P (x − 0.5 ≤ X) ≈ P √ ≤Z .
λ

2
Notation fX (x) µ σ2
1 a+b (b−a)2
Continuous Uniform X ∼ U (a, b) b−a 2 12
(x−µ)2
Normal X ∼ N(µ, σ 2 ) √ 1 e− 2σ 2 µ σ2
2πσ 2
−λx 1 1
Exponential X ∼ Exp(λ) λe λ λ2

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