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1 Probability Measure and Random Variables 1 Probability measure and random variables 1.1 Probability spaces and measures We will use the term experiment in a very general way to refer to some process that produces a random outcome. Definition 1. The set of possible outcomes is called the sample space. We will typically denote an individual outcome by ω and the sample space by Ω. Set notation: A B, A is a subset of B, means that every element of A is also in B. The union⊂ A B of A and B is the of all elements that are in A or B, including those that∪ are in both. The intersection A B of A and B is the set of all elements that are in both of A and B. ∩ n j=1Aj is the set of elements that are in at least one of the Aj. ∪n j=1Aj is the set of elements that are in all of the Aj. ∩∞ ∞ j=1Aj, j=1Aj are ... Two∩ sets A∪ and B are disjoint if A B = . denotes the empty set, the set with no elements. ∩ ∅ ∅ Complements: The complement of an event A, denoted Ac, is the set of outcomes (in Ω) which are not in A. Note that the book writes it as Ω A. De Morgan’s laws: \ (A B)c = Ac Bc ∪ ∩ (A B)c = Ac Bc ∩ ∪ c c ( Aj) = Aj j j [ \ c c ( Aj) = Aj j j \ [ (1) Definition 2. Let Ω be a sample space. A collection of subsets of Ω is a σ-field if F 1. Ω ∈ F 2. A Ac ∈ F⇒ ∈ F 3. A for n =1, 2, 3, ∞ A n ∈ F ··· ⇒ n=1 n ∈ F S 1 Definition 3. Let be a σ-field of events in Ω. A probability measure on is a real-valued functionF P on with the following properties. F F 1. P(A) 0, for A . ≥ ∈ F 2. P(Ω) = 1, P( )=0. ∅ 3. If An is a disjoint sequence of events, i.e., Ai Aj = for i = j, then ∈ F ∩ ∅ 6 ∞ ∞ P( An)= P(An) (2) n=1 n=1 [ X We refer to the triple (Ω, , P) as a probability space. F Theorem 1. Let (Ω, , P) be a probability space. F 1. P(Ac)=1 P(A) for A . − ∈ F 2. P(A B)= P(A)+ P(B) P(A B) for A, B . ∪ − ∩ ∈ F 3. P(A B)= P(A) P(A B). for A, B . \ − ∩ ∈ F 4. If A B, then P(A) P(B). for A, B . ⊂ ≤ ∈ F 5. If A ,A , ,A are disjoint, then 1 2 ··· n ∈ F n n P( Aj)= P(Aj) (3) j=1 j=1 [ X 1.2 Conditional probability and independent events Definition 4. If A and B are events and P(B) > 0, then the (conditional) probability of A given B is denoted P(A B) and is given by | P(A B) P(A B)= ∩ (4) | P(B) Theorem 2. Let P be a probability measure, B an event (B ) with P(B) > 0. For events A (A ), define ∈ F ∈ F P(A B) Q(A)= P(A B)= ∩ | P(B) Then Q is a probability measure on (Ω, ). F 2 We can rewrite the definition of conditional probability as P(A B)= P(A B)P(B) (5) ∩ | In some experiments the nature of the experiment means that we know cer- tain conditional probabilities. If we know P(A B) and P(B), then we can use the above to compute P(A B). | In general P(A B) = P(A).∩ Knowing that B happens changes the prob- ability that A happens.| 6 But sometimes it does not. Using the definition of P(A B), if P(A)= P(A B) then | | P(A B) P(A)= ∩ (6) P(B) i.e., P(A B)= P(A)P(B). This motivate the following definition. ∩ Definition 5. Two events are independent if P(A B)= P(A)P(B) (7) ∩ Theorem 3. If A and B are independent events, then 1. A and Bc are independent 2. Ac and B are independent 3. Ac and Bc are independent In general A and Ac are not independent. The notion of independence can be extended to more than two events. Definition 6. Let A1,A2, ,An be events. They are independent if for all subsets I of 1, 2, ,n we··· have { ··· } P( A )= P(A ) (8) ∩i∈I i i i∈I Y They are just pairwise independent if P(Ai Aj)= P(Ai)P(Aj) for 1 i< j n. ∩ ≤ ≤ 3 1.3 The partition theorem and Bayes theorem Definition 7. A partition is a finite or countable collection of events Bj such that Ω= B and the B are disjoint, i.e., B B = for i = j. ∪j j j i ∩ j ∅ 6 Theorem 4. (Partition theorem) Let Bj be a partition of Ω. Then for any event A, { } P(A)= P(A B ) P(B ) (9) | j j j X Bayes theorem deals with the situation where we know all the P(A Bj) and want to compute P(B A). | i| Theorem 5. (Bayes theorem) Let Bj be a partition of Ω. Then for any event A and any k, { } P(A B ) P(B ) P(B A)= | k k (10) k| P(A B ) P(B ) j | j j P 1.4 Random Variables and their distribution A random variable is a function X from Ω to the real numbers. It must be measurable, meaning that for all Borel subsets B of the real line, X−1(B) must belong to . In this course RV’s will come in two flavors - discrete and continuous. WeF will not worry about measurability. We can consider functions from Ω into other spaces. A function that maps to Rn is called a random vector. More general range spaces are possible, for example, X could map into a metric space S. S could be a set of graphs, in which case we would call X a graph valued random variable. Important idea: The sample space Ω may be quite large and compli- cated. But we may only be interested in one or a few RV’s. We would like to be able to extract all the information in the probability space (Ω, , P) that is relevant to our random variable(s), and forget about the rest ofF the information contained in the probability space. We do this by defining the distribution of a random variable. The distribution measure of X is the Borel measure µX on the real line given by µX (B)= P(X B). We can also spec- ify the distribution by the cumulative distribution functi∈ on (CDF). This is the function on the real line defined by F (x) = P(X x). If we want to ≤ make it clear which RV we are talking about, we write it as FX (x). 4 Theorem 6. For any random variable the CDF satisfies 1. F (x) is non-decreasing, 0 F (x) 1. ≤ ≤ 2. limx→−∞ F (x)=0, limx→∞ F (x)=1. 3. F (x) is continuous from the right. Theorem 7. Let F (x) be a function from R to [0, 1] such that 1. F (x) is non-decreasing. 2. limx→−∞ F (x)=0, limx→∞ F (x)=1. 3. F (x) is continuous from the right. Then F (x) is the CDF of some random variable, i.e., there is a probability space (Ω, , P) and a random variable X on it such that F (x)= P(X x). F ≤ Another important idea: Suppose we have two completely different probability spaces (Ω , , P ) and (Ω , , P ), and RV’s X on the first 1 F1 1 2 F2 2 1 and X2 on the second. Then it is possible that X1 and X2 have the same distribution measure, i.e., for any Borel set B P(X B) = P(X B). 1 ∈ 2 ∈ If we only look at X1 and X2 when we do the two experiments, then we won’t be able to tell the experiments apart. When the two random variables have the same distribution measure we say that X1 and X2 are identically distributed. 1.5 Expected value Given a random variable X, the expected value or mean of X is E[X]= X dP (11) Z The integral is over ω and the definition requires abstract integration theory. But as we will see, in the case of discrete and continuous random variables this abstract integral is equal to either a sum or a calculus type integral on the real line. Here are some trivial properties of the expected value. Theorem 8. Let X,Y be discrete RV’s with finite mean. Let a,b R. ∈ 5 1. E[aX + bY ]= aE[X]+ bE[Y ] 2. If X = b, b a constant, then E[X]= b. 3. If P(a X b)=1, then a E[X] b. ≤ ≤ ≤ ≤ 4. If g(X) and h(X) have finite mean, then E[g(X)+ h(X)] = E[g(X)]+ E[h(X)] The next theorem is not trivial; it is extremely useful if you want to actually compute an expected value. Theorem 9. (change of variables or transformation theorem) Let X be a random variable, µX its distribution measure. Let g(x) be a Borel measurable function from R to R. Then E[g(X)] = g(x) dµX (12) R Z provided g(x) dµX < (13) R | | ∞ Z In particular E[X]= xdµX (x) (14) Z Definition 8. The variance of X is var(X)= E[(X µ)2] − where µ = EX.
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