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DSAI514 Lec1 Background in Prob Part1

The document outlines the course DSAI 514 on Statistical Inference, focusing on probability concepts, random variables, and their distributions. It covers definitions, conditional probability, independence, and the law of total probability, along with expected value and variance. Additionally, it discusses continuous and discrete random variables, joint and marginal distributions, and conditional distributions.

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6 views19 pages

DSAI514 Lec1 Background in Prob Part1

The document outlines the course DSAI 514 on Statistical Inference, focusing on probability concepts, random variables, and their distributions. It covers definitions, conditional probability, independence, and the law of total probability, along with expected value and variance. Additionally, it discusses continuous and discrete random variables, joint and marginal distributions, and conditional distributions.

Uploaded by

Knn
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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DSAI 514 – Statistical Inference

Background in Probability

Instructor: Ş. Betül Özateş


Boğaziçi University
12/02/2025

Based on Kauermann, Göran, Helmut Küchenhoff, and Christian Heumann (2021) Statistical Foundations, Reasoning and Inference. Springer
International Publishing, 2021 and Walpole, R.E., Myers, R.H., Myers, S.L. and Ye, K. (2007) Probability & Statistics for Engineers & Scientists.
Probability
• Probability: The study of randomness and uncertainty.

• In order to define probabilities, the notion of a random experiment is


important.

• Random experiment: A process for which the outcome is uncertain.

• The set of all possible outcomes is called sample space.


• Each outcome in a sample space is called an element or a member of the
sample space, or simply a sample point.

• An event is a subset of a sample space.

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Mathematical Definition of Probability

• The probability P is a function defined on the collection A of all


subsets of a sampling space Ω, which fulfils the following properties:
Conditional Probability and Independence

• Let A and B be two events. Assuming that P(A) > 0, the conditional
probability of B given A is

• Two events A and B are called independent if and only if


Law of Total Probability and Bayes Theorem

• Let where are countable


partitions of . Then, for each event B:
Random Variables

• A random variable is a function that associates a real number with each


element in the sample space.
Random Variables

• A random variable is a function that associates a real number with each


element in the sample space.

• Example: 3 products can either be defective (D) or not (N). What is the
sample space for this situation?
Random Variables

• A random variable is a function that associates a real number with each


element in the sample space.

• Example: 3 products can either be defective (D) or not (N). What is the
sample space for this situation?

Let random variable X denote the number of defective products in each


sample point. Describe P(X  2).

What are the values of P(X = x), for x = 0, 1, 2, 3?


Continuous Random Variables

• Random variables that have a support consisting of all real numbers


(or an interval of them) are called continuous random variables

• If it consists of finite or countably infinite numbers -> discrete random


variable

Examples:

• the height of a randomly chosen child


• the lifetime of an electronic device
• the number of automobile accidents per year
Continuous Random Variables

• The stochastic behavior of a continuous random variable is described


by its density function.

• The density function f (.) is a positive function, such that


Continuous Random Variables
• Cumulative distribution function FY(y) of a continuous random variable
Y with the density function fY (y) is defined as follows:
Expected Value and Variance

• The expected value or mean of a random variable is defined as:

• The variance of a random variable is defined as:


Expected Value and Variance of Sum of RVs
Multivariate Distributions

• f(x,y) equals the probability that both x and y occur.

• For discrete joint probability distributions, the integrals above are replaced
with sums.

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Marginal Distributions
• Given the joint probability distribution f(x, y) of the discrete random variables X and Y ,
the probability distribution g(x) of X alone is obtained by summing f(x, y) over the values
of Y .

• In other words, for example, g (x) = P(X = x) is the sum (or integral) of f(x,y) over
all values of y.
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Conditional Distribution

• A and B are the events defined by X = x and Y = y, respectively, then

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Conditional Distribution

• If we wish to find the probability that the discrete random variable X


falls between a and b when it is known that the discrete variable Y = y,
we evaluate

where the summation extends over all values of X between a and b.

• When X and Y are continuous, we evaluate

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Visualization of Density Functions

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Source: https://stats.stackexchange.com/questions/599704/is-the-posterior-maximum-always-the-same-as-the-marginals
Statistical Independence

 f(x|y) = g(x)

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