PROBABILITY & STATISTICS

Lecturer: Dr. Duong Thi Viet An

Hanoi, 2024

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 1 / 28

Content

1 Probability

2 Random Variables

3 Discrete random variables

Mean and Variance
Some distributions

4 Continuous random variable

Mean and Variance
Some distributions

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 2 / 28

 Probability

Content

1 Probability

2 Random Variables

3 Discrete random variables

Mean and Variance
Some distributions

4 Continuous random variable

Mean and Variance
Some distributions

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 3 / 28

 Probability

SAMPLE SPACES AND EVENTS

An experiment that can result in different outcomes, even though

it is repeated in the same manner every time, is called a random
experiment.
The set of all possible outcomes of a random experiment is called
the sample space of the experiment. The sample space is denoted
as S.
An event is a subset of the sample space of a random experiment.

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 4 / 28

 Probability

PROBABILITY

For a discrete sample space, the probability of an event E,

denoted as P (E), equals the sum of the probabilities of the
outcomes in E.
The probability of an event E satisfies the following properties:
P (∅) = 0, P (S) = 1
0 ≤ P (E) ≤ 1
P (E 0 ) = 1 − P (E), where E 0 is the complement of E.

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 5 / 28

 Probability

PROBABILITY

Probability of a union (addition rules):

P (A ∪ B) = P (A) + P (B) − P (A ∩ B)

If A ∩ B = ∅ then P (A ∪ B) = P (A) + P (B)

The conditional probability of an event B given an event A:

P (A ∩ B)
P (A|B) = .
P (B)

Multiplication rule: P (A ∩ B) = P (B)P (A|B) = P (A)P (B|A).

If A, B are independent then P (A|B) = P (A), P (B|A) = P (B) and

P (A ∩ B) = P (A)P (B).

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 6 / 28

 Probability

PROBABILITY
Total probability rule (two events): For any events A and B,

P (B) = P (B∩A)+P B ∩ A0 = P (B | A)P (A)+P B | A0 P A0

Total probability rule (multiple events): Assume E1 , E2 , . . . , Ek are k

mutually exclusive and exhaustive sets. Then
P (B) = P (B ∩ E1 ) + P (B ∩ E2 ) + · · · + P (B ∩ Ek )
= P (B | E1 ) P (E1 ) + P (B | E2 ) P (E2 ) + · · · + P (B | Ek ) P (Ek )

Bayes theorem: If E1 , E2 , . . . , Ek are k mutually exclusive and

exhaustive events and B is any event,

P (B | E1 ) P (E1 )
P (E1 |B) =
P (B|E1 ) P (E1 )+P (B|E2 ) P (E2 )+ ... +P (B|Ek ) P (Ek )

for P (B) > 0.

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 7 / 28
 Random Variables

Content

1 Probability

2 Random Variables

3 Discrete random variables

Mean and Variance
Some distributions

4 Continuous random variable

Mean and Variance
Some distributions

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 8 / 28

 Random Variables

RANDOM VARIABLES

A random variable is a function that assigns a real number to

each outcome in the sample space of a random experiment.
A discrete random variable is a random variable with a finite
(or countably infinite) range.
A continuous random variable is a random variable with an
interval (either finite or infinite) of real numbers for its range.

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 9 / 28

 Discrete random variables

Content

1 Probability

2 Random Variables

3 Discrete random variables

Mean and Variance
Some distributions

4 Continuous random variable

Mean and Variance
Some distributions

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 10 / 28

 Discrete random variables

Discrete random variables

Probability mass function

For a discrete random variable X with possible values x1 , x2 , . . . , xn , a
probability mass function is a function such that
f (xi ) ≥ 0
Pn
f (xi ) = 1
i=1
f (xi ) = P (X = xi ).

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 11 / 28

 Discrete random variables

Discrete random variables

Cumulative Distribution Function

The cumulative distribution function of a discrete random variable X,
denoted as F (x), is
X
F (x) = P (X ≤ x) = f (xi )
xi ≤x

For a discrete random variable X, F (x) satisfies the following properties.

P
F (x) = P (X ≤ x) = f (xi )
xi ≤x
0 ≤ F (x) ≤ 1
If x ≤ y, then F (x) ≤ F (y).

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 12 / 28

 Discrete random variables Mean and Variance

Discrete random variables

Mean and Variance

The mean or expected value of the discrete random variable X,
denoted as µ or E(X), is
X
µ = E(X) = xf (x)
x

The variance of X, denoted as σ 2 or V (X), is

X X
σ 2 = V (X) = E(X − µ)2 = (x − µ)2 f (x) = x2 f (x) − µ2
x x
√
The standard deviation of X is σ = σ2.

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 13 / 28

 Discrete random variables Some distributions

Discrete uniform distribution

Discrete uniform distribution

A random variable X has a discrete uniform distributio if each of the
n values in its range, say, x1 , x2 , . . . , xn , has equal probability. Then,

f (xi ) = 1/n.

Suppose X is a discrete uniform random variable on the consecutive

integers a, a + 1, a + 2, . . . , b, for a ≤ b. The mean of X is
b+a
µ = E(X) = .
2
The variance of X is
(b − a + 1)2 − 1
σ2 = .
12

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 14 / 28

 Discrete random variables Some distributions

Binomial Distribution
Binomial Distribution
A random experiment consists of n Bernoulli trials such that:
The trials are independent.
Each trial results in only two possible outcomes, labeled as ”success”
and ”failure.”
The probability of a success in each trial, denoted as p, remains
constant.
The random variable X that equals the number of trials that result in a
success has a binomial random variable with parameters 0 < p < 1 and
n = 1, 2, . . . The probability mass function of X is

f (x) = Cxn px (1 − p)n−x x = 0, 1, . . . , n

and
µ = E(X) = np and σ 2 = V (X) = np(1 − p).
Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 15 / 28
 Discrete random variables Some distributions

Geometric Distribution

Geometric Distribution
In a series of Bernoulli trials (independent trials with constant probability p
of a success), let the random variable X denote the number of trials until
the first success. Then X is a geometric random variable with parameter
0 < p < 1 and
f (x) = (1 − p)x−1 p x = 1, 2, . . .
and
µ = E(X) = 1/p and σ 2 = V (X) = (1 − p)/p2 .

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 16 / 28

 Discrete random variables Some distributions

Negative Binomial Distribution

Negative Binomial Distribution

In a series of Bernoulli trials (independent trials with constant probability p
of a success), let the random variable X denote the number of trials until
r successes occur. Then X is a negative binomial random variable with
parameters 0 < p < 1 and r = 1, 2, 3, . . . , and
x−1
f (x) = Cr−1 (1 − p)x−r pr x = r, r + 1, r + 2, . . .

and
µ = E(X) = r/p and σ 2 = V (X) = r(1 − p)/p2 .

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 17 / 28

 Discrete random variables Some distributions

Hypergeometric Distribution

Hypergeometric Distribution
A set of N objects contains: K objects classified as successes, N − K objects
classified as failures, A sample of size n objects is selected randomly (without
replacement) from the N objects, where K ≤ N and n ≤ N .
Let the random variable X denote the number of successes in the sample. Then
X is a hypergeometric random variable and
x n−x
CK .CN −K
f (x) = n , x = max{0, n + K − N } to min{K, n}
CN
 
−n
and µ = E(X) = np and σ 2 = V (X) = np(1 − p) N N −1 ,
N −n
where p = K/N and is called the finite population correction factor .
N −1

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 18 / 28

 Discrete random variables Some distributions

Poisson Distribution

Poisson Distribution
The random variable X that equals the number of events in a Poisson
process is a Poisson random variable with parameter 0 < λ, and the
probability mass function of X is

e−λ λx
f (x) = x = 0, 1, 2, . . .
x!
and
µ = E(X) = λ, σ 2 = V (X) = λ.

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 19 / 28

 Continuous random variable

Content

1 Probability

2 Random Variables

3 Discrete random variables

Mean and Variance
Some distributions

4 Continuous random variable

Mean and Variance
Some distributions

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 20 / 28

 Continuous random variable

Probability Density Function

Probability Density Function

For a continuous random variable X, a probability density function is a
function such that
f (x) ≥ 0
Z∞
f (x)dx = 1
−∞
Z b
P (a ≤ X ≤ b) = f (x)dx = area under f (x) from a to b for any a
a
and b
If X is a continuous random variable, for any x1 and x2 ,

P (x1 ≤ X ≤ x2 ) = P (x1 < X ≤ x2 ) = P (x1 ≤ X < x2 ) = P (x1 < X < x2 )

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 21 / 28

 Continuous random variable

Cumulative Distribution Function

Cumulative Distribution Function

The cumulative distribution function of a continuous random variable X is
Zx
F (x) = P (X ≤ x) = f (u)du
−∞

for −∞ < x < ∞.

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 22 / 28

 Continuous random variable Mean and Variance

Mean and Variance

Mean and Variance

Suppose X is a continuous random variable with probability density
function f (x). The mean or expected value of X, denoted as µ or E(X),
is
Z∞
µ = E(X) = xf (x)dx
−∞

The variance of X, denoted as V (X) or σ 2 , is

Z∞ Z∞
2 2
σ = V (X) = (x − µ) f (x)dx = x2 f (x)dx − µ2
−∞ −∞
√
The standard deviation of X is σ = σ2.

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 23 / 28

 Continuous random variable Some distributions

Continuous uniform random variable

Continuous uniform random variable

A continuous random variable X with probability density function

f (x) = 1/(b − a), a≤x≤b

is a continuous uniform random variable and

(a + b) (b − a)2
µ = E(X) = and σ 2 = V (X) = .
2 12

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 24 / 28

 Continuous random variable Some distributions

Normal random variable

Normal random variable

A random variable X with probability density function

1 −(x−µ)2
f (x) = √ e 2σ2 −∞<x<∞
2πσ
is a normal random variable with parameters µ, where −∞ < µ < ∞, and
σ > 0. Also,
E(X) = µ and V (X) = σ 2
and the notation N µ, σ 2 is used to denote the distribution.

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 25 / 28

 Continuous random variable Some distributions

Standard normal random variable

Standard normal random variable

A normal random variable with

µ=0 and σ2 = 1

is called a standard normal random variable and is denoted as Z. The

cumulative distribution function of a standard normal random variable is
denoted as
Φ(z) = P (Z ≤ z).
If X is a normal random variable with E(X) = µ and V (X) = σ 2 , the
random variable
X −µ
Z=
σ
is a normal random variable with E(Z) = 0 and V (Z) = 1. That is, Z is a
standard normal random variable.
Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 26 / 28
 Continuous random variable Some distributions

Normal Approximation to the Binomial Distribution

Normal Approximation to the Binomial Distribution
If X is a binomial random variable with parameters n and p,
X − np
Z=p
np(1 − p)

is approximately a standard normal random variable. To approximate a binomial

probability with a normal distribution, a continuity correction is applied as follows:
!
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)
The approximation is good for np > 5 and n(1 − p) > 5.

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 27 / 28

 Continuous random variable Some distributions

Exponential Distribution

Exponential Distribution
The random variable X that equals the distance between successive events
of a Poisson process with mean number of events λ > 0 per unit interval is
an exponential random variable with parameter λ. The probability density
function of X is
f (x) = λe−λx for 0 ≤ x < ∞
and
1 1
µ = E(X) = and σ 2 = V (X) = .
λ λ2

Dr. Duong Thi Viet An PROBABILITY & STATISTICS Hanoi, 2024 28 / 28