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9 views

Note 01

Uploaded by

İrem Nayim
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Note 1

Mathematical probability aims to formalise everyday sentences


of the type:

“The chance of A is p”

where A is some “event” and p is some “measure” of the


likelihood of occurrence of that event.
Example
“There is a 20% chance of snow.”
“There is 5% chance that the West Antarctic Ice Sheet will
collapse in the next 200 years.”
Trials and outcomes

By a trial (or an experiment) we mean any process which has


a well-defined set Ω of outcomes. Ω is called the sample
space.

Example
Tossing a coin: Ω = {H, T }.
Tossing two coins: Ω = {(H, H), (H, T ), (T , H), (T , T )}.

Example (Rolling a (6-sided) die)


Ω={ , , , , , }.
“Events are what we assign a probability to”
Definition
An event A is a subset of Ω. We say that an event A has (not)
occurred if the outcome of the trial is (not) contained in A.

Example
Tossing a coin and getting a head: A = {H}.
Tossing two coins and getting at least one head:
A = {(H, H), (H, T ), (T , H)}.
Rolling a die and getting an even number: A = { , , }
Rolling two dice and getting a total of 5:
A = {( , ), ( , ), ( , ), ( , )}

Warning (for infinite


The sets
Let us consider subsets of a set Ω.
Definition
The complement of A ⊂ Ω is denoted Ac ⊂ Ω:

ω ∈ Ac ⇐⇒ ω 6∈ A

Clearly (Ac )c = A.
Ω

Example (The empty set)


The complement of Ω is the
A Ac empty set ∅:

ω 6∈ ∅ ∀ω ∈ Ω
Definition
The union of A and B is denoted A ∪ B:

ω ∈ A ∪ B ⇐⇒ ω ∈ A or ω∈B or both

A B

Remark
A∪B For all subsets A of Ω,
A ∪ ∅ = A and A ∪ Ω = Ω.
Definition
The intersection of A and B is denoted A ∩ B:

ω ∈ A ∩ B ⇐⇒ ω ∈ A and ω ∈ B

If A ∩ B = ∅ we say A and B are disjoint.


Ω

A B

Remark
A∩B For all subsets A of Ω,
A ∩ ∅ = ∅ and A ∩ Ω = A.
Distributivity identities

Union and intersection obey distributive properties.


Theorem
Let (Ai )i∈I be a family of subsets of Ω indexed by some index
set I and let B ⊂ Ω. Then
[ [
(B ∩ Ai ) = B ∩ Ai
i∈I i∈I

and \ \
(B ∪ Ai ) = B ∪ Ai
i∈I i∈I
Proof.

\
ω∈ (B ∪ Ai ) ⇐⇒ ∀i ∈ I, ω ∈ B ∪ Ai
i∈I
⇐⇒ ∀i ∈ I, ω∈B or ω ∈ Ai
⇐⇒ ω ∈ B or ω ∈ Ai ∀i ∈ I
\
⇐⇒ ω ∈ B or ω∈ Ai
i∈I
\
⇐⇒ ω ∈ B ∪ Ai .
i∈I
De Morgan’s Theorem
Union and intersection are “dual” under complementation.
Theorem (De Morgan’s)
Let (Ai )i∈I be a family of subsets of Ω indexed by some index
set I. Then
!c !c
[ \ \ [
Ai = Aci and Ai = Aci
i∈I i∈I i∈I i∈I

Remark
This shows that complementation together with either union or
interesection is enough, since, e.g.,

A ∪ B = (Ac ∩ Bc )c
Proof.
!c
[ [
ω∈ Ai ⇐⇒ ω 6∈ Ai
i∈I i∈I
⇐⇒ ω 6∈ Ai ∀i ∈ I
⇐⇒ ω ∈ Aci ∀i ∈ I
\
⇐⇒ ω ∈ Aci .
i∈I
Definition
The difference A \ B = A ∩ Bc and the symmetric difference
A 4 B = (A \ B) ∪ (B \ A).

Ω Ω

A B A B

A\B A4B

Remark
Notice that A \ B = A \ (A ∩ B).
Probability/Set theory dictionary

Notation Set-theoretic language Probabilistic language


Ω Universe Sample space
ω∈Ω member of Ω outcome
A⊂Ω subset of Ω some outcome in A occurs
Ac complement of A no outcome in A occurs
A∩B intersection Both A and B
A∪B union Either A or B (or both)
A\B difference A, but not B
A4B symmetric difference Either A or B, but not both
∅ empty set impossible event
Ω whole universe certain event
Which subsets can be events?

For finite Ω , any subset can be an event.


For infinite Ω, it is not always sensible to allow all subsets
to be events.
If A is an event, it seems reasonable that Ac is also an
event.
Similarly, if A and B are events, it seems reasonable that
A ∪ B and A ∩ B should also be events.

In summary, the collection of events must be closed under


complementation and pairwise union and intersection. By
induction, it must also be closed under finite union and
intersection: if A1 , . . . , AN are events, so should be
A1 ∩ A2 ∩ · · · ∩ AN and A1 ∪ A2 ∪ · · · ∪ AN .
Alice and Bob play a game in which they toss a coin in turn.
The winner is the first person to obtain H. Intuition says that the
the person who plays first has an advantage. We would like to
quantify this intuition. Suppose Alice goes first. She wins if and
only if the first H turns out after an odd number of tosses. Let
ωi be the outcome |T T {z · · · T} H. Then the event that Alice wins is
i−1
A = {ω1 , ω3 , ω5 , . . . }, which is a disjoint union of a countably
infinite number of events. In order to compute the likelihood of
Alice winning, it had better be the case that A is an event, so
one demands that the family of events be closed under
countably infinite unions; that is, if Ai , for i = 1, 2, . . . , are
events, then so is ∞
S
i=1 Ai .
σ-fields
Definition
A family F of subsets of Ω is a σ-field if
1 Ω∈F
S∞
2 if A1 , A2 , . . . ∈ F, then i=1 Ai ∈F
3 if A ∈ F, then Ac ∈F

Remark
It follows from De Morgan’s theorem that for a σ-field F, if
A1 , A2 , · · · ∈ F then ∞
i=1 Ai ∈ F . Also Ω ∈ F , since Ω = ∅ .
c
T

Finally, a σ-field is closed under (symmetric) difference.

Example
The smallest σ-field is F = {∅, Ω}. The largest is the power set
of Ω (i.e., the collection of all subsets of Ω).
Summary

With any experiment or trial we associate a pair (Ω, F),


where
Ω, the sample space, is the set of all possible outcomes of
the experiment; and
F, the family of events, is a σ-field of subsets of Ω: a family
of subset of Ω containing the empty set and closed under
complementation and countable unions.

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