Module 1 (Review Of Probability Concepts)

Syllabus

Probability concepts review - Axioms of probability, concepts of random variables, probability mass
function, probability density function, cumulative density functions, Expectation. Concepts of joint and
multiple random variables, joint, conditional and marginal distributions. Correlation and independence.

set
A set is a collection of some items (elements).

Eg: The set of natural numbers, N={1,2,3,⋯}

The set of integers, Z={⋯,−3,−2,−1,0,1,2,3,⋯}.

Random Experiments

Before rolling a die you do not know the result. This is an example of a random experiment. In
particular, a random experiment is a process by which we observe something uncertain. After the
experiment, the result of the random experiment is known.

 An outcome is a result of a random experiment.

 The set of all possible outcomes is called the sample space.
 Thus in the context of a random experiment, the sample space is our universal set.

Here are some examples of random experiments and their sample spaces:

 Random experiment: toss a coin; sample space: S={heads,tails}

or as we usually write it, {H,T}.

Example
We toss a coin three times and observe the sequence of heads/tails. The sample space here may be
defined as
S={(H,H,H),(H,H,T),(H,T,H),(T,H,H),(H,T,T),(T,H,T),(T,T,H),(T,T,T)}.

 Outcome: A result of a random experiment.

 Sample Space: The set of all possible outcomes.
 Event: A subset of the sample space.

Union and Intersection:

If A and B are events, then A∪B and A∩B are also events. By remembering the definition of union and
intersection, we observe that A∪B occurs if A or B occur.

Similarly, A∩B occurs if both A and B occur. Similarly, if A1,A2,⋯,An are events, then the event
A1∪A2∪A3⋯∪An occurs if at least one of A1,A2,⋯,An occurs. The event A1∩A2∩A3⋯∩An occurs if
all of A1,A2,⋯,An occur.

Probability

We assign a probability measure P(A) to an event A. This is a value between 0 and 1 that shows how
likely the event is. If P(A) is close to 0, it is very unlikely that the event A occurs. On the other hand, if
P(A) is close to 1, A is very likely to occur.

The main subject of probability theory is to develop tools and techniques to calculate probabilities of
different events. Probability theory is based on some axioms that act as the foundation for the theory,
so let us state and explain these axioms.

Axioms of Probability:

 Axiom 1: For any event A, P(A)≥0

 Axiom 2: Probability of the sample space S is P(S)=1
 Axiom 3: If A1,A2,A3,⋯ are disjoint events, then P(A1∪A2∪A3⋯)=P(A1)+P(A2)+P(A3)+⋯

Example

In a presidential election, there are four candidates. Call them A, B, C, and D. Based on our polling
analysis, we estimate that A has a 20 percent chance of winning the election, while B has a 40 percent
chance of winning. What is the probability that A or B win the election?

 Solution

Notice that the events that {A wins}, {B wins}, {C wins}, and {D wins} are disjoint since more than
one of them cannot occur at the same time. For example, if A wins, then B cannot win. From the third
axiom of probability, the probability of the union of two disjoint events is the summation of individual
probabilities. Therefore,

P(A wins or B wins) =P({A wins}∪{B wins})

=P({A wins})+P({B wins})

=0.2+0.4

=0.6
Finding Probabilities

Suppose that we are given a random experiment with a sample space S. To find the probability of an
event, there are usually two steps: first, we use the specific information that we have about the random
experiment. Second, we use the probability axioms.

Example

You roll a fair die. What is the probability of E={1,5} ?

 Solution

Let's first use the specific information that we have about the random experiment. The problem states
that the die is fair, which means that all six possible outcomes are equally likely, i.e.,

P({1})=P({2})=⋯=P({6}).

Now we can use the axioms of probability. In particular, since the events {1},{2},⋯,{6} are disjoint
we can write
1 =P(S)

=P({1}∪{2}∪⋯∪{6})

=P({1})+P({2})+⋯+P({6})
=6P({1})
.

Thus, P({1})=P({2})=⋯=P({6})=1/6.
Again since {1} and {5} are disjoint, we have
P(E)=P({1,5})=P({1})+P({5})=2/6=1/3.

What is Random Variable?

Random variable in statistics is a mathematical concept that assigns numerical values to outcomes of a
sample space. There are two types of Random Variables, Discrete and Continuous.

A random variable is considered a discrete random variable when it takes specific, or distinct values
within an interval.

Conversely, if it takes a continuous range of values, then it is classified as a continuous random

variable.

Random variables are generally represented by capital letters like X and Y.

Example: If two unbiased coins are tossed then find the random variable associated to that event.

Solution:
Suppose Two (unbiased) coins are tossed

X = number of heads. [X is a random variable or function]

Here, the sample space S = {HH, HT, TH, TT}

Random Variable Definition

We define random variable a function which maps from sample space of an experiment to the real
numbers. Mathematically, Random Variable is expressed as,

X: S →R

where,

 X is Random Variable (It is usually denoted using capital letter)

 S is Sample Space

 R is Set of Real Numbers

Suppose a random variable X takes m different values i.e. sample space

X = {x1, x2, x3………xm} with probabilities

P(X = xi) = pi

where 1 ≤ i ≤ m

The probabilities must satisfy the following conditions :

 0 ≤ pi ≤ 1; where 1 ≤ i ≤ m

 p1 + p2 + p3 + ……. + pm = 1 Or we can say 0 ≤ pi ≤ 1 and ∑pi = 1

Example

Hence possible values for random variable X are 0, 1, 2.

X = {0, 1, 2} where m = 3

 P(X = 0) = (Probability that number of heads is 0) = P(TT) = 1/2×1/2 = 1/4

 P(X = 1) = (Probability that number of heads is 1) = P(HT | TH) = 1/2×1/2 + 1/2×1/2 = 1/2

 P(X = 2) = (Probability that number of heads is 2) = P(HH) = 1/2×1/2 = 1/4

Here, you can observe that, (0 ≤ p1, p2, p3 ≤ 1/2)

p1 + p2 + p3 = 1/4 + 2/4 + 1/4 = 1

For example,

Suppose a dice is thrown (X = outcome of the dice). Here, the sample space S = {1, 2, 3, 4, 5, 6}. The
output of the function will be:

 P(X=1) = 1/6

 P(X=2) = 1/6

 P(X=3) = 1/6

 P(X=4) = 1/6

 P(X=5) = 1/6

 P(X=6) = 1/6

Types of Random Variable

Random variables are of two types that are,

 Discrete Random Variable

 Continuous Random Variable

Discrete Random Variable

A random variable X is said to be discrete if it takes on a finite number of values. The probability
function associated with it is said to be

PMF = Probability Mass Function P(xi), if

 0 ≤ pi ≤ 1

 ∑pi = 1 where the sum is taken over all possible values of x

Discrete Random Variables Example

Example: Let S = {0, 1, 2}

xi 0 1 2

Pi(X = xi) P1 0.3 0.5

Find the value of P (X = 0)

Solution:

We know that the sum of all probabilities is equal to 1. And P (X = 0) be P 1

P1 + 0.3 + 0.5 = 1

P1 = 0.2

Then, P (X = 0) is 0.2

Continuous Random Variable

A random variable X is said to be continuous if it takes on an infinite number of values. The probability
function associated with it is said to be PDF (Probability Density Function).

PDF (Probability Density Function)

If X is a continuous random variable. P (x < X < x + dx) = f(x)dx then,

 0 ≤ f(x) ≤ 1; for all x

 ∫ f(x) dx = 1 over all values of x

Then P (X) is said to be PDF of the distribution.

Continuous Random Variables Example

Example: Find the value of P (1 < X < 2)

Such that,

 f(x) = kx3; 0 ≤ x ≤ 3 = 0

Otherwise f(x) is a density function.

Solution:

If a function f is said to be a density function, then the sum of all probabilities is equal to 1.

Since it is a continuous random variable Integral value is 1 overall sample space s.

∫ f(x) dx = 1

∫ kx3 dx = 1

K[x4]/4 = 1

Given interval, 0 ≤ x ≤ 3 = 0
K[34 – 04]/4 = 1

K(81/4) = 1

K = 4/81

Thus,

P (1 < X < 2) = k×[X4]/4

P = 4/81×[16-1]/4

P = 15/81

Random Variable Formula

There are two main random variable formulas,

 Mean of Random Variable

 Variance of Random Variable

Mean of Random Variable

For any random variable X where P is its respective probability we define its mean as,

Mean(μ) = ∑ X.P

where,

 X is the random variable that consist of all possible values.

 P is the probability of respective variables

Variance of Random Variable

The variance of random variable tells us how the random variable is spread about the mean value of the
random variable. Variance of Random Variable is calculated using the formula,

Var(x) = σ2 = E(X2) – {E(X)}2

where,

 E(X2) = ∑X2P

 E(X) = ∑XP

Random Variable Functions

For any random variable X if it assume the values x 1, x2,…xn where the probability corresponding to
each random variable is P(x1), P(x2),…P(xn), then the expected value of the variable is,

Expectation of X, E(x) = ∑ x.P(x)

Now for any new random variable Y in which the random variable X is its input, i.e. Y = f(X), then
cumulative distribution function of Y is,

Fy(Y) = P(g(X) ≤ y)

Probability Distribution and Random Variable

For a random variable its probability distribution is calculated using three methods,

 Theoretical listing of outcomes and probabilities of the outcomes.

 Experimental listing of outcomes followed with their observed relative frequencies.

 Subjective listing of outcomes followed with their subjective probabilities.

Probability of a random variable X that takes values x is defined using a probability function of X that
is denoted by f (x) = f (X = x).

There are various probability distributions that are,

 Binomial Distribution

 Poisson Distribution

 Bernoulli’s Distribution

 Exponential Distribution

 Normal Distribution

Random Variable Example

Example 1: Find the mean value for the continuous random variable, f(x) = x2, 1 ≤ x ≤ 3

Solution:

Given,

f(x) = x2

1≤x≤3
E(x) = ∫31 x.f(x)dx

E(x) = ∫31 x.x2.dx

E(x) = ∫31 x3.dx

E(x) = [x4/4]31

E(x) = 1/4{34– 14} = 1/4{81 – 1}

E(x) = 1/4{80} = 20

Example 2: Find the mean value for the continuous random variable, f(x) = e x, 1 ≤ x ≤ 3

Solution:

Given,

f(x) = ex

1≤x≤3

E(x) = ∫31 x.f(x)dx

E(x) = ∫31 x.ex.dx

E(x) = [x.ex – ex]31

E(x) = [ex(x – 1)]31

E(x) = e3(2) – e(0)

E(x) = 2e3

Probability Density Function and Cumulative Distribution Function

The probability Density Function describes the probability distribution of continuous random variables.
Cumulative Distribution Function is a kind of probability distribution that deals with both continuous and discrete
random variables

Parameter PDF CDF

 PDF is the probability that a random variable (let CDF is the probability that a random variable
Definition X), will take a value exactly equal to the random (let X) will take a value less than or equal to the
variable (X). random variable (X).

Applicable only for Continuous Random Applicable for both continuous and discrete
Variable
Variable. random variables.

Value The value lies between 0 and 1. The value of CDF is always non-negative.

Formula P (a <= X <= b) = F(b) – F(a) FX(X) = P (X<= X)

Exceptation

In reinforcement learning for expected value is the expected return from state s to the end.

probability mass function

The Probability Mass Function (PMF) provides the probability distribution for discrete variables. For
example, rolling dice. There are 6 distinct possible outcomes that define the entire sample space {1, 2, 3, 4, 5, 6}.
Note that we only have whole numbers, i.e. no 1.2 or 3.75.

Concepts of joint and multiple random variables, joint, conditional and marginal distributions.

Joint probability is the probability of two events occurring simultaneously. Marginal probability is the probability
of an event irrespective of the outcome of another variable. Conditional probability is the probability of one event
occurring in the presence of a second event.
What is the relationship between correlation and independence?

If ρ(X,Y) = 0 we say that X and Y are “uncorrelated.” If two variables are independent, then their correlation
will be 0. However, like with covariance. it doesn't go the other way. A correlation of 0 does not imply
independence.