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Probability and Statistics
Fourth Edition
This page intentionally left blank
Probability and Statistics
Fourth Edition
Morris H. DeGroot
Carnegie Mellon University
Mark J. Schervish
Carnegie Mellon University
Addison-Wesley
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1 2 3 4 5 6 7 8 9 10—EB—14 13 12 11 10
Preface xi
1 Introduction to Probability 1
1.1 The History of Probability 1
1.2 Interpretations of Probability 2
1.3 Experiments and Events 5
1.4 Set Theory 6
1.5 The Definition of Probability 16
1.6 Finite Sample Spaces 22
1.7 Counting Methods 25
1.8 Combinatorial Methods 32
1.9 Multinomial Coefficients 42
1.10 The Probability of a Union of Events 46
1.11 Statistical Swindles 51
1.12 Supplementary Exercises 53
2 Conditional Probability 55
2.1 The Definition of Conditional Probability 55
2.2 Independent Events 66
2.3 Bayes’ Theorem 76
2.4 The Gambler’s Ruin Problem 86
2.5 Supplementary Exercises 90
vii
viii Contents
4 Expectation 207
4.1 The Expectation of a Random Variable 207
4.2 Properties of Expectations 217
4.3 Variance 225
4.4 Moments 234
4.5 The Mean and the Median 241
4.6 Covariance and Correlation 248
4.7 Conditional Expectation 256
4.8 Utility 265
4.9 Supplementary Exercises 272
7 Estimation 376
7.1 Statistical Inference 376
7.2 Prior and Posterior Distributions 385
7.3 Conjugate Prior Distributions 394
7.4 Bayes Estimators 408
Contents ix
12 Simulation 787
12.1 What Is Simulation? 787
12.2 Why Is Simulation Useful? 791
12.3 Simulating Specific Distributions 804
12.4 Importance Sampling 816
12.5 Markov Chain Monte Carlo 823
12.6 The Bootstrap 839
12.7 Supplementary Exercises 850
Tables 853
Answers to Odd-Numbered Exercises 865
References 879
Index 885
Preface
.
I have replaced the notation in which the intersection of two sets A and B had
been represented AB with the more popular A ∩ B. The old notation, although
mathematically sound, seemed a bit arcane for a text at this level.
.
I added the statements of Stirling’s formula and Jensen’s inequality.
.
I moved the law of total probability and the discussion of partitions of a sample
space from Section 2.3 to Section 2.1.
.
I define the cumulative distribution function (c.d.f.) as the prefered name of
what used to be called only the distribution function (d.f.).
.
I added some discussion of histograms in Chapters 3 and 6.
.
I rearranged the topics in Sections 3.8 and 3.9 so that simple functions of random
variables appear first and the general formulations appear at the end to make
it easier for instructors who want to avoid some of the more mathematically
challenging parts.
.
I emphasized the closeness of a hypergeometric distribution with a large num-
ber of available items to a binomial distribution.
xi
xii Preface
.
I gave a brief introduction to Chernoff bounds. These are becoming increasingly
important in computer science, and their derivation requires only material that
is already in the text.
.
I changed the definition of confidence interval to refer to the random interval
rather than the observed interval. This makes statements less cumbersome, and
it corresponds to more modern usage.
.
I added a brief discussion of the method of moments in Section 7.6.
.
I added brief introductions to Newton’s method and the EM algorithm in
Chapter 7.
.
I introduced the concept of pivotal quantity to facilitate construction of confi-
dence intervals in general.
.
I added the statement of the large-sample distribution of the likelihood ratio
test statistic. I then used this as an alternative way to test the null hypothesis
that two normal means are equal when it is not assumed that the variances are
equal.
.
I moved the Bonferroni inequality into the main text (Chapter 1) and later
(Chapter 11) used it as a way to construct simultaneous tests and confidence
intervals.
course for engineers and computer scientists. I covered what was in the old edition
and is now in Chapters 1–6 and 12, including Markov chains, but not Jacobians. This
latter course did not emphasize mathematical derivation to the same extent as the
course for mathematics students.
A number of sections are designated with an asterisk (*). This indicates that
later sections do not rely materially on the material in that section. This designation
is not intended to suggest that instructors skip these sections. Skipping one of these
sections will not cause the students to miss definitions or results that they will need
later. The sections are 2.4, 3.10, 4.8, 7.7, 7.8, 7.9, 8.6, 8.8, 9.2, 9.3, 9.4, 9.8, 9.9, 10.6,
10.7, 10.8, 11.4, 11.7, 11.8, and 12.5. Aside from cross-references between sections
within this list, occasional material from elsewhere in the text does refer back to
some of the sections in this list. Each of the dependencies is quite minor, however.
Most of the dependencies involve references from Chapter 12 back to one of the
optional sections. The reason for this is that the optional sections address some of
the more difficult material, and simulation is most useful for solving those difficult
problems that cannot be solved analytically. Except for passing references that help
put material into context, the dependencies are as follows:
.
The sample distribution function (Section 10.6) is reintroduced during the
discussion of the bootstrap in Section 12.6. The sample distribution function
is also a useful tool for displaying simulation results. It could be introduced as
early as Example 12.3.7 simply by covering the first subsection of Section 10.6.
.
The material on robust estimation (Section 10.7) is revisited in some simulation
exercises in Section 12.2 (Exercises 4, 5, 7, and 8).
.
Example 12.3.4 makes reference to the material on two-way analysis of variance
(Sections 11.7 and 11.8).
Supplements
The text is accompanied by the following supplementary material:
.
Instructor’s Solutions Manual contains fully worked solutions to all exercises
in the text. Available for download from the Instructor Resource Center at
www.pearsonhighered.com/irc.
.
Student Solutions Manual contains fully worked solutions to all odd exercises in
the text. Available for purchase from MyPearsonStore at www.mypearsonstore
.com. (ISBN-13: 978-0-321-71598-2; ISBN-10: 0-321-71598-5)
Acknowledgments
There are many people that I want to thank for their help and encouragement during
this revision. First and foremost, I want to thank Marilyn DeGroot and Morrie’s
children for giving me the chance to revise Morrie’s masterpiece.
I am indebted to the many readers, reviewers, colleagues, staff, and people
at Addison-Wesley whose help and comments have strengthened this edition. The
reviewers were:
Andre Adler, Illinois Institute of Technology; E. N. Barron, Loyola University; Brian
Blank, Washington University in St. Louis; Indranil Chakraborty, University of Ok-
lahoma; Daniel Chambers, Boston College; Rita Chattopadhyay, Eastern Michigan
University; Stephen A. Chiappari, Santa Clara University; Sheng-Kai Chang, Wayne
State University; Justin Corvino, Lafayette College; Michael Evans, University of
xiv Preface
Mark J. Schervish
October 2010
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and prayer to God, that the labours of the dear servants of Jesus,
who are called to preach amongst you, may be so blessed and
owned from above, that I may not be missed a single moment. May
they, may you increase with all the increase, till you are all filled with
all the fulness of God. When near his throne, if there be any
consolation in Christ, if any comfort of love, if any fellowship of the
Spirit, if any bowels of mercies, pray that the same blessing may be
conferred, my dear fellow-labourers, my dear Tottenham-Court
hearers, on
G. W.
LETTER MCCXCII.
To Mr. A――.
M ANY more letters did I intend to write to you and other dear
friends, had I not been prevented by storms, &c. for some
weeks before our arrival. If enabled, I shall take care to pay them as
I move from place to place. We are now on dry land. Christian
friends, whom I never before heard of, were prepared to receive me:
and I have preached four times. This leaves me in my way to
Philadelphia, still visited with my old disorder, which I now never
expect to drop, till I drop for good and all this body of clay, this body
of sin and death. I suppose you are in like circumstances, as well as
thousands besides, who love the Lord Jesus in sincerity. Well: He that
cometh will come, and will not tarry. Blessed are all they that wait
for him. I hope you are favoured with precious gales of divine
influence. Tender love to all our dear fellow-labourers, and to all our
dear hearers of every denomination, in every place. You will not
forget a poor pilgrim, who, though absent in body is present in spirit.
Hoping to write in a few days to dear Mr. Middleton, &c. and wishing
you and yours all that a blessed never-failing God can give you in
time and eternity, I subscribe myself, my very dear old friend,
G. W.
LETTER MCCXCIII.
To Mr. W――y.
E BENEZER! Hitherto the Lord hath helped! I have been here above
a week; but still an invalid.
Poor Wright is taking his American seasoning. He hath the ague and
fever. This prevents his writing. Inform his relations of it. He wants
for nothing. When you write, mention nothing but what relates to
the eternal world. I have no thoughts to throw away on the trifling
things of time. Tender love to all that are travelling to the New-
Jerusalem. There, if no sooner, we shall meet and praise the never-
failing Emmanuel, for whose great name’s sake I subscribe myself,
Yours, &c.
G. W.
LETTER MCCXCIV.
To Mr. R―― K――n.
LETTER MCCXCV.
To Mr. D――, &c.
M AN appoints, God for wise reasons disappoints. All was ready for
my coming by land to you at Bethesda, with Mr. H――m; but
several things concurred to prevent me, and the physicians all agree,
that the only chance I have for growing better, is to stay and see
what the cold weather will do for me. Fain would I say, however it
may cross my will, Father, thy will be done! At present, I make a
shift to preach twice a week. But alas, my strength is perfect
weakness. What a mercy that Jesus is all in all! You will let me hear
from you very particularly, by Captain Bolitha, or any other
opportunity, either to this place or New-York. I want to know the
present state of all your affairs in every respect. Surely the blessed
Emmanuel, who hath brought me thus far, will give us an interview
by and by. That it may be a very happy one here below, and a
prelude to an infinitely more happy and never-ceasing one above, is
the hearty prayer of, my very dear friends,
G. W.
LETTER MCCXCVI.
To Mr. R―― K――n.
G. W.
LETTER MCCXCVII.
To Mr. D――n, &c.
G. W.
LETTER MCCXCVIII.
New-York, December 1, 1763.
My dear Sir,
G. W.
New-York, December 4.
G. W.
LETTER MCCXCIX.
To Mr. D――n, &c.
New-York, December 7, 1763.
G. W.
LETTER MCCC.
To Mr. H――y.
G. W.
LETTER MCCCI.
To Mr. S―― S――.
I SEE by what you have done lately for the tabernacle, that you do
not forget absent friends. I think you and yours are not forgotten
by them, neither I believe are forgotten by the Friend of all. He
remembers us, though he is advanced to so great a kingdom;
remembers us in our low estate, and remembers that we are but
dust. What a blessing this to worthless, ill and hell-deserving me!
What a mercy, to meet with such a friend in the latter stages of our
road! Surely he is altogether lovely. Having loved his own, he loves
them to the end; witness his yet continuing to own the feeble
labours of an almost worn out pilgrim. Every day the thirst for
hearing the word increases, and the better sort come home to hear
more of it. I must now go soon to New-England. Cold weather and a
warm heart suit my tottering tabernacle best. The ship is going. God
bless you and yours! I hope that all related, and all who are near
and dear to you, are alive for God,—a God,—a God in Christ; in
whose great name, I beg leave to subscribe myself, my very dear
friend,
G. W.
LETTER MCCCII.
To the Reverend Mr. G――.
G. W.
LETTER MCCCIII.
To Mr. D――n, &c.
G. W.
LETTER MCCCIV.
To Mr. R―― K――n.
G. W.
LETTER MCCCV.
To Mr. S―― S――.
G. W.
LETTER MCCCVI.
To C―― H――y, Esq.
G. W.
LETTER MCCCVII.
To Mrs. M――h.
I hope ere now, that many more in the neighbouring market have
thus begun their heaven upon earth. I hear God is with you at the
chapel. Praise the Lord, O my soul! You will know from others, what
cheer the Redeemer gives us in America. Good cheer, Mrs. M――h,
good cheer. He rains down righteousness; he rains down bread from
heaven on the congregations. This supports (and at times
overcomes) my tottering tabernacle. In heaven we shall have a
glorious body. Hoping and believing that yourself and sister, Mr. and
Mrs. K――g, and Mr. and Mrs. W――, with many others, will speedily
meet there, I subscribe myself, dear Mrs. M――h,
G. W.
LETTER MCCCVIII.
To Mr. and Mrs. D――n.
I WISH you much joy. Grace, mercy, and peace be multiplied upon
you both! It will, it will. Your match was certainly made in
heaven. How do I long to see you! I have been at my ne plus ultra
northward, and am now more free and capable of settling my affairs
southward. When that is done, how chearfully, with a Christ in my
heart instead of my arms, could I sing, “Lord, now lettest thou thy
servant depart in peace!” I hope you are not offended at my giving a
power of attorney to Mr. H――m. The Redeemer knows it was not
owing to a distrust of any of you, but only in case of my death, that
he might testify to the world the integrity of your actions, and the
veracity of your accounts. I am persuaded he will not desire to
interfere, but act and consult jointly, as occasion offers; and you will
go on in your old way. O that I was assured of your stay at
Bethesda! Of this I am satisfied, that you will not distress me by
leaving the place destitute of proper help. And I assure you, if I
thought we should have the least demur, I would not come at all.
My tottering tabernacle will not bear grief, especially from those
whom I so dearly love, and who have served the institution so
faithfully and disinterestedly for so many years. Verily you shall in no
wise lose your reward. What I have in my view for Bethesda, may be
better spoke of when me meet, than by letter. Lord Jesus, hasten the
wished-for time! At present, by my late excursions I am brought low;
but rest and care may brace me up again for some little further
service for our glorious Emmanuel. A most blessed influence hath
attended the word in various places, and many have been made to
cry out, “What shall we do to be saved?” O for such a cry at the
southward! Abba, Father, all things are possible with thee! To his
tender and never-failing mercy do I commit you, as being, my very
dear friends,
G. W.
LETTER MCCCIX.
To Mr. R―― K――n.
G. W.
LETTER MCCCXI.
To C―― H――y, Esq.
I HOPE this will find you safe returned from your summer tour, and
laden with the fruit of God’s everlasting love. You see where this
leaves me. Friends have even constrained me to stay here, for fear
of running into the Summer’s heat. Hitherto I find the benefit of it.
Whatever it is owing to, through mercy, I am much better in health,
than I was this time twelvemonth, and can now preach thrice a
week to very large auditories without hurt. Every day I hear of some
brought under concern; and I trust, whenever I remove, a blessing
will be left behind. This is all of grace. To the glorious giver,
purchaser, and applier of it, be all the glory. All was well at Georgia
in April, and I hope to be carried comfortably through the southern
journey that lies before me.
G. W.
June 7.
Parting here hath been heart breaking: I cannot stand it. I must
away for the southward. Mr. T―― C―― hath a packet that will be
delivered by a friend. O for heaven! There all will be together with
the Lord. Hallelujah!
LETTER MCCCXII.
To Mr. R―― K――n.
G. W.
LETTER MCCCXIII.
To Mr. W――.
Dear Sir,
Y OUR last, I find, left you soaring aloft. I fancy you like being a
Hebrew of the Hebrews. This, I hope, will meet you sitting low
at the feet of Jesus, and hearing his words. That is the safest place.
He continues good to me, a worthless worm, during this summer
season. I have preached twice lately in the fields, and we sat under
the blessed Redeemer’s shadow with great delight. Let every thing
that hath breath praise the Lord! In a short time I move southward.
Perhaps in Spring I may embark for England. But future things
belong to him who orders all things well. The New-Jerusalem is the
place I have in view.
Hearty love to your wife and all dear friends as they come in your
way. God bless you all! In Him, who is all in all, I am, dear Sir,
Yours, &c.
G. W.
LETTER MCCCXIV.
To Mr. D――n, &c.
G. W.
LETTER MCCCXV.
To Mr. R―― K――n.
G. W.
LETTER MCCCXVI.
To Mr. R―― K――n.
G. W.
September 23.
Within a few days, but not before, I received the hymn books,
and hope to write to other friends in a few days by way of
Londonderry. This day has been a good day indeed. Grace! grace!
LETTER MCCCXVII.
To Mr. S―― S――.
G. W.
October 3.
Since writing the above I have received your kind letter. Blessed
be God that you and yours are so well in the best sense. The books
may be committed to the care of Mr. Mauduit, agent for New-
England. That will give you least trouble. It is a good charity. Lord
Jesus, accept and bless it. Amen, and Amen!
LETTER MCCCXVIII.
To Mr. R―― K――n.
A CCEPT a few more lines before I set off for my southern tour. My
last, in which was a letter for my wife, left New-York last
Sunday. The enclosed will inform you a little of my late motions.
Pray tell dear Mr. H――y that Dr. S――, the Provost of the
Philadelphia college, read prayers for me, and attended me
backwards and forwards. Both the present and late Governor, with
the head gentlemen of the city, were present, and cordial thanks
were sent to me from all the Trustees, for speaking for the children,
and countenancing the institution. This is all of God. To me nothing
belongs but shame and confusion of face. O for a truly guileless and
Israelitish heart! It will be found to be the best policy at the great
day. More good news await you in a packet of letters directed to
you, and committed to the care of Captain Sparks, of the Elizabeth
and Mary. I believe he will deliver them himself; if not, you may
send for them. On the reading, I am apt to believe you will think it is
almost sinful not to take another tour. Lord Jesus, do thou direct my
goings in thy way! He will, he will. But what is become of T――
C――? Mr. R―― my worthy host wrote to him many months ago,
about being admitted a member of the society for distributing books
among the poor. Not a word of answer yet. Many more want to be
members. In a day or two, God willing, I set off for my beloved
Bethesda. O what blessings have we received in this place. You will
join in crying, Hallelujah, the Lord reigneth, and blessed be the God
of our salvation! To his never-failing mercy do I commend you, as
being, my very dear friend,
G. W.
LETTER MCCCXIX.
To C―― H――y, Esq.
New-Brunswick, North-Carolina,
November 22, 1764.
My very dear Sir,
G. W.
LETTER MCCCXX.
To Mr. J――.
G. W.
LETTER MCCCXXI.
To C―― H――y, Esq.
Savannah, December 19, 1764.
G. W.
LETTER MCCCXXII.