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Lecture 07

The document discusses probability distributions and random variables. It introduces the concepts of discrete and continuous random variables and their probability distributions. It also discusses the Bayes rule and challenges in solving probability problems.

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Muhammad Waqas
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8 views

Lecture 07

The document discusses probability distributions and random variables. It introduces the concepts of discrete and continuous random variables and their probability distributions. It also discusses the Bayes rule and challenges in solving probability problems.

Uploaded by

Muhammad Waqas
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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Lecture 7: Probability-6/Random Variables and Probability

Distributions-1
Probability-6
1. The Bayes Rule
a. Theorem 2.14: If the events B1, B2, ... , Bk constitute a partition of the
sample space S, where 𝑃(𝐵! ) ≠ 0, for i = 1, 2, ... , k, then for any event A
of S such that 𝑃(𝐴) ≠ 0,
𝑃(𝐵" ∩ 𝐴) 𝑃(𝐵" )𝑃(𝐴|𝐵" )
𝑃(𝐵" |𝐴) = # = # for 𝑟 = 1,2, . . . 𝑘.
∑!$% 𝑃(𝐵! ∩ 𝐴) ∑!$% 𝑃(𝐵! ) 𝑃(𝐴|𝐵! )

2. Important Handout: Solving probability problems is not easy. Why? It requires


lots of thinking. See the Handout entitled Challenges to Solving Probability
Problems.

Random Variables and Probability Distributions-1


1. Concepts of a Random Variable
a. In most engineering applications of probability we deal with experiments
that can have more than one possible outcome, and we have to compute
probabilities for all of them. It would be very tedious to have to do this by
counting techniques.
b. Definition 3.1: A (real) random variable is a function that associates a
real number with each element in the sample space.
c. We shall use a capital letter (say 𝑋) to denote a random variable, and its
corresponding small letter (𝑥 in this case) for one of its values.
d. Definition 3.2: If a sample space contains either a finite number of sample
points, or a countably infinite sequence (i.e., with as many elements as
there are whole numbers), it is called a discrete sample space.
e. Definition 3.3: If a sample space contains an infinite number of sample
points, equal to the number of points on a line segment (or higher
dimensional figure), it is called a continuous sample space.
f. A random variable (r.v.) is called a discrete r.v. if its set of possible values
is finite or countably infinite.
g. A r.v. is called a continuous r.v. when the r.v. can take on values on a
continuous scale.

1
2. Discrete Probability Distributions
a. Frequently it is convenient to represent all the probabilities of a r.v. 𝑋 by a
function, i.e., 𝑃(𝑋 = 𝑥) ≡ 𝑓(𝑥).
b. Definition 3.4: The set of ordered pairs (𝑥, 𝑓(𝑥)) is a probability
function, probability mass function, or probability distribution of the
discrete r.v. 𝑋 if, for each possible outcome 𝑥:
i. 𝑓(𝑥) ≥ 0.
ii. ∑& 𝑓(𝑥) = 1.
iii. 𝑃(𝑋 = 𝑥) = 𝑓(𝑥).
c. Definition 3.5: The cumulative distribution 𝐹(𝑥) of a discrete r.v. 𝑋 with
probability distribution 𝑓(𝑥) is:
𝐹(𝑥) ≡ 𝑃(𝑋 ≤ 𝑥) = = 𝑓(𝑡) for − ∞ < 𝑥 < ∞.
'(&
d. For a discrete r.v., computing either its probability function 𝑓(𝑥) or its
cumulative distribution 𝐹(𝑥) generally requires counting.
e. A plot of 𝐹(𝑥) versus 𝑥 reveals that 𝐹(𝑥) consists of step functions.
f. Later in this course we will study important examples of discrete
probability distributions that are applicable to broad classes of problems.
These general distributions will alleviate the need for counting.

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