Probability

Sample Space : The set of all possible outcomes of an experiment is called sample space and it’s
denoted by S.

n(S)= No. of elements in sample space.

e.g. When rolling the die,

S={ } 𝑛(𝑆) =

Events : A subset of a sample space is called an event and denoted by A,B,C…..

e.g. When rolling the die, A : number will be even B: number will be odd prime

𝐒={ } 𝐀={ } 𝐁={ }

Types of Event:

Mutually Exclusive Events: Mutually Exclusive means we can’t get both the Events at the same
time.

If A and B are the two events are said to be Mutually Exclusive if 𝐴∩𝐵=∅.

e.g. Rolling die, A : number will be even B: number will be odd prime

S={ } A={ } B={ }

Dependent Events : Events are dependent if events may be affected by other events.
e.g. If temperature and humidity are checked in the same room, then depending on the
temperature.
Independent Events: Events are independent if each events not affected by other events.
e.g. By rolling a die twice, the results are independent.
Complementary Event: A complementary event of A is another event which realized when A is
not realized and it’s denoted by 𝐴̅

• e.g. Rolling die, A : number will be even A = {2, 4, 6}

𝐴̅ : 𝐴̅ = { }

Exhaustive Events : Events A and B are called exhaustive events if A ∪ 𝐵 = 𝑆

e.g. When rolling the die, A: prime numbers obtained & B: Even numbers with 1 obtained.
S={ } A={ } B={ }
Mutually Exclusive and Exhaustive Events : Events A and B are called Mutually exclusive and
Exhaustive events if 𝐴 ∪ 𝐵 = 𝑆 and 𝐴 ∩ 𝐵 = ∅.
e.g. When rolling the die, A : number will be even B: number will be odd

S={ } A={ } B={ }

1
Probability of Event:
If S is a sample space and A is an event of S then probability of A is given by
𝑛(𝐴) 𝑁𝑜.𝑜𝑓 𝑒𝑙𝑒𝑚𝑒𝑛𝑡𝑠 𝑖𝑛 𝐴
P(A) = =
𝑛(𝑠) 𝑁𝑜.𝑜𝑓 𝑒𝑙𝑒𝑚𝑒𝑛𝑡𝑠 𝑖𝑛 𝑆

Standard Properties:

1. For any event A, 0 ≤ P(A) ≤ 1

2. P(S) = 1

3. P( A̅ ) = 1 − P(A)
4. De morgan’s Law :

P( ̅̅̅̅̅̅̅̅
A ∪ B ) = P( A̅ ∩ B
̅) & P( ̅̅̅̅̅̅̅̅
A ∩ B ) = P( A̅ ∪ B
̅)

5. Laws of Probability :

P( A ∩ B̅ ) = 𝑃(𝐴) − 𝑃(𝐴 ∩ 𝐵) & P( B ∩ A̅ ) = 𝑃(𝐵) − 𝑃(𝐴 ∩ 𝐵)

6. Addition theorem : P( A ∪ B) = 𝑃(𝐴) + 𝑃(𝐵) − 𝑃(𝐴 ∩ 𝐵) &

P( A ∪ B ∪ C) = 𝑃(𝐴) + 𝑃(𝐵) + 𝑃(𝐶) − 𝑃(𝐴 ∩ 𝐵) − 𝑃(𝐴 ∩ 𝐶) − 𝑃(𝐵 ∩ 𝐶) + 𝑃(𝐴 ∩ 𝐵 ∩ 𝐶)

Examples

1. If A and B are two events such that P(A) =0.3, P(B)=0.4 and 𝑃(𝐴 ∩ 𝐵) = 0.2 then find
𝑃(𝐴 ∪ 𝐵), 𝑃(𝐴̅ ∪ 𝐵̅ ), P( A̅ ∩ B
̅)

Solution:

𝑃(𝐴 ∪ 𝐵) =

𝑃(𝐴̅ ∪ 𝐵̅ ) =

P( A̅ ∩ B
̅) =

2. A committee of seven is to be selected at random from the IT department of 10 male employees,

5 female employees, managing director, Chairman. Find the probability that the selected team will
include:
(i) both managing director and Chairman
(ii) managing director but not Chairman
(iii) neither managing director nor Chairman
(iv) at least two female employees
(v) at most three male employees.

2
Conditional Probability:
Let A & B are two events in a sample space S. The probability that A will occurs, given that B has
already occurred is called conditional probability of B on A and it’s denoted by 𝑃(𝐴⁄𝐵) is given by
𝑃(𝐴 ∩ 𝐵)
𝑃(𝐴⁄𝐵) =
𝑃(𝐵)
Multiplication theorem:

1. 𝑃(𝐴 ∩ 𝐵) = 𝑃(𝐴⁄𝐵) × 𝑃(𝐵)

2. If A & B are independent then 𝑃(𝐴 ∩ 𝐵) = 𝑃(𝐴) × 𝑃(𝐵)

Total probability

Let events 𝐴1 , 𝐴2 , ⋯ , 𝐴𝑛 be partition of sample space S

∴ 𝐴𝑖 ∩ 𝐴𝑗 = 𝜙 for 𝑖 ≠ 𝑗

∴ 𝐴1 ∪ 𝐴2 ∪ ⋯ ∪ 𝐴𝑛 = 𝑆
Let B be an event of S

∴ 𝑃(𝐵) = 𝑃(𝐴1 )𝑃(𝐵/𝐴1 ) + 𝑃(𝐴2 )𝑃(𝐵/𝐴2 ) + ⋯ + 𝑃(𝐴𝑛 )𝑃(𝐵/𝐴𝑛 )

Baye’s theorem
Let events 𝐴1 , 𝐴2 , ⋯ , 𝐴𝑛 be partition of sample space S

Let B be an event of S , 𝑃(𝐵) = 𝑃(𝐴1 )𝑃(𝐵/𝐴1 ) + 𝑃(𝐴2 )𝑃(𝐵/𝐴2 ) + ⋯ + 𝑃(𝐴𝑛 )𝑃(𝐵/𝐴𝑛 )

Probability of event 𝐴𝑖 given B occurred is given by

𝑃(𝐴𝑖 ∩ 𝐵) 𝑃(𝐴𝑖 )𝑃(𝐵/𝐴𝑖 )
𝑃(𝐴𝑖 /𝐵) = =
𝑃(𝐵) 𝑃(𝐴1 )𝑃(𝐵/𝐴1 ) + 𝑃(𝐴2 )𝑃(𝐵/𝐴2 ) + ⋯ + 𝑃(𝐴𝑛 )𝑃(𝐵/𝐴𝑛 )
Example:

1. If A and B are two events such that P(A) =0.3 P(B)=0.4 and 𝑃(𝐴 ∩ 𝐵) = 0.2 then Find 𝑃(𝐴⁄𝐵 ),
𝑃(𝐴̅⁄𝐵 ), 𝑃(𝐴̅⁄𝐵̅ ).
2. A bag contains two dice, one of which is regular and fair and the other is false with number 6 on
all its faces. A dice was drawn from the bag and tossed. It gave 6. What is the probability that the
dice obtained was the false one?
3. A card is drawn from a pack of cards. If a person who speaks truth 3 times out of 5 sees the card and
states it is an ace, what is the probability that it is truly an ace?
4. There are three boxes A, B and C. The probability of getting a white ball from the box A is 1/3, from
the box B is 2/3 and from the box C is ¾. A box is chosen at random and three balls are drawn from
it (without replacement) and it was found that two of them were white. What is the probability that
the box B as chosen?
5. In a bolt factory, machines A, B, C produce 25%, 35%, 40% of the total output and 5%, 4% and
2% of the output is defective respectively. A bolt is drawn at random and is found to be defective.
Find the probability of defective bolts.What is the probability that it was produced on machines
A,B and C.
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 Random Variable:
Let 𝐸 be an experiment & 𝑆 be sample space associated with it. A function 𝑋 assigning to every
elements 𝑥 of 𝑆 one and only one real number is called a Random variable.

Probability Distribution:
If 𝑥𝑖 is the values of X and 𝑃(𝑥𝑖 ) is the probability of 𝑥𝑖 then the set of pairs { (𝑥𝑖 ), 𝑃(𝑥𝑖 ) } is
called probability distribution.

Probability mass function (PMF):

Let 𝑋 be discrete random variable with values 𝑥1 , 𝑥2 , 𝑥3 … …

Foreach 𝑥𝑖 assign probability 𝑃(𝑥𝑖 ) = 𝑃(𝑋 = 𝑥𝑖 ) = 𝑝𝑖 then 𝑃(𝑥𝑖 ) is called probability mass
function if it is satisfies :

i) 𝑃(𝑥𝑖 ) ≥ 0, ∀𝑥𝑖
ii) ∑ 𝑃(𝑥𝑖 ) = 1

Cumulative distribution function (CDF):

Let 𝑋 be discrete random variable with values 𝑥1 , 𝑥2 , 𝑥3 … … and 𝑥1 < 𝑥2 , < 𝑥3 < with
probabilities 𝑃(𝑥𝑖 ) = 𝑝𝑖 then cumulative distribution function is defined as

𝐹(𝑥𝑖 ) = 𝑃(𝑋 ≤ 𝑥𝑖 ) = 𝑃(𝑥1 ) + 𝑃(𝑥2 ) + 𝑃(𝑥3 ) + ⋯ … + 𝑃(𝑥𝑖 )

𝐹(𝑥1 ) = 𝑃(𝑋 ≤ 𝑥1 ) = 𝑃(𝑥1 )

𝐹(𝑥2 ) = 𝑃(𝑋 ≤ 𝑥2 ) = 𝑃(𝑥1 ) + 𝑃(𝑥2 ) +

Properties of CDF:

1. 0 ≤ 𝐹(𝑥𝑖 ) ≤ 1
2. 𝑃(𝑥𝑖 ) = 𝐹(𝑥𝑖 ) − 𝐹(𝑥𝑖−1 )

Expectation, Variance, Moments & Moment Generating Function

Expectation: Variance:
Definition: m = 𝐸(𝑥 𝑛 ) =  𝑥 𝑛 𝑝𝑖 Definition: X2 = V(X) = E(X2) – [E(X)]2
Properties of Expectation: Properties of Variance:
➔ E(a) = a ➔ V(a) = 0
➔ E(aX) = aE(X) ➔ V(aX) = a2 V(X)
➔ E(X+Y) = E(X) + E(Y) ➔ V(X+Y) = V(X) + V(Y) + Cov(X,Y)
➔ E(X-Y) = E(X) - E(Y) ➔ V(X-Y) = V(X) + V(Y) - Cov(X,Y)
➔ E(aX+bY) = a E(X) + b E(Y) ➔ If X and Y are Independent,
➔ If X and Y are independent, V(X+Y) = V(X) + V(Y)
➔ E(XY) = E(X)E(Y) V(X-Y) = V(X) + V(Y)

4
 Problems:
1. Verify whether the following functions can be considered as p.m.f.
x2 − 2
(i) P(X=x) = , x=1,2,3
8
x2 +1
(ii) P(X=x) = , x=0,1,2,3
18

2. If P(X=x) = x/25, x = 1,3,5,7,9 find P(X=1 or 3) and P(4<X<8)

3. If X1 has mean 5 and variance 5, X2 has mean -2 and variance 3, and if X1, X2 are independent,
find: E(X1 + X2), V(X1 + X2), E(X1 - X2), V(X1 - X2), E(2X1 + 3X2 -5), V(2X1 + 3X2 -5)

4. The p.d.f. of a random variable X is

X 0 1 2 3 4 5 6

P(X=x) k 3k 5k 7k 9k 11k 13k

Find P(X < 4), P(3 < X  6), expectation and Variance of X

5. The p.m.f of a random variable X is

𝑋 0 1 2 3 4 5 6 7
𝑃(𝑥 = 𝑥) 0 𝑐 2𝑐 2𝑐 3𝑐 𝑐2 2𝑐 2 2
7𝑐 + 𝑐

Find 𝑃(−2 ≤ 𝑋 ≤ 4), 𝑃(−1 ≤ 𝑋 ≤ 1/ − 2 ≤ 𝑋 ≤ 3), 𝑃(𝑋 ≤ 2 / 0 ≤ 𝑋 ≤ 4), Mean and

Variance of X

6. The following is the distribution function of a discrete random variable

X -3 -2 -1 0 1 2 3

P(X≤x) 0.08 0.2 0.4 0.65 0.8 0.9 1.0

find p.d.f. of X, P (-2  X  1), P (X  1)

7. A random variable takes values 1,2,3,4 such that 2P(X=1) = 3P(X=2) = P(X=3) = 5P(X=4)

find p.d.f. and c.d.f.

8. Two urns contain respectively 5 white and 3 black balls; 2 white and 3 black balls. One ball is
drawn from each urn. Find the expected number and variance of white balls drawn.

5
CONTINOUS ONE DIMENSIONAL RANDOM VARIABLE

Probability density function (PDF):

Let X be a continuous r.v , a function 𝑓(𝑥) is said to be probability density function(pdf) of X if

• 𝑓(𝑥) ≥ 0 ∀𝑥
∞
• ∫−∞ 𝑓(𝑥) 𝑑𝑥 = 1

If r.v takes values in the interval [𝑎, 𝑏] then definition reduces to

• 𝑓(𝑥) ≥ 0 ∀𝑥 ∈ [𝑎, 𝑏]
𝑏
• ∫𝑎 𝑓(𝑥) 𝑑𝑥 = 1

𝛽
Probability that 𝛼 ≤ 𝑋 ≤ 𝛽 is given by 𝑃(𝛼 ≤ 𝑋 ≤ 𝛽) = ∫𝛼 𝑓(𝑥) 𝑑𝑥

𝛽
• 𝑃(𝛼 ≤ 𝑋 ≤ 𝛽) = 𝑃(𝛼 ≤ 𝑋 < 𝛽) = 𝑃(𝛼 < 𝑋 ≤ 𝛽) = 𝑃(𝛼 < 𝑋 < 𝛽) = ∫𝛼 𝑓(𝑥) 𝑑𝑥

Cumulative distribution function(c.d.f) or distribution of continuous r.v

• Let X be a continuous r.v. then cumulative distribution function (c.d.f) of X is defined as
𝑥
𝐹(𝑥) = 𝑃(𝑋 ≤ 𝑥) ∫ 𝑓(𝑡) dt
−∞

Properties of distribution function

• 𝟎 ≤ 𝑭(𝒙) ≤ 𝟏

• 𝑭′ (𝒙) = 𝒇(𝒙)

• 𝑷(𝜶 ≤ 𝑿 ≤ 𝜷) = 𝑭(𝜷) − 𝑭(𝜶)

Expectation or mean value of function of a random variable

∞
𝑬(𝒈(𝑿)) = ∫−∞ 𝒈(𝒙) 𝒇(𝒙) 𝒅𝒙

• If continuous r.v. X takes values between interval [𝒂, 𝒃] then

𝒃
𝑬(𝒈(𝑿)) = ∫ 𝒈(𝒙) 𝒇(𝒙) 𝒅𝒙
𝒂

6
 Problems:

1. Verify whether the following functions can be looked upon as p.d.f.

2 𝑥
(i) f(x) = 9 𝑥 (2 − 2), 0  X  3,

2. Following is the p.d.f. of random variable X f(x) = kx, (0  x 1),

K, (1  x 2),
k(3-x), (2  x 3),
find c.d.f and P(x  1.5)

3. If the pdf of a random variable is given by

f(x) = kx, 0≤x≤2

2k, 2≤x≤4

6k – kx, 4 ≤ x ≤ 6

Find (i) k, (ii) P(1 ≤ x ≤ 3), (iii) E(X), (iv) V(X)

4. Following is the p.d.f. of random variable X f(x) = kxe− x (0  x  ), find c.d.f and P(x  1.5)
2
/4

x +1
5. Following is the c.d.f. of random variable X, F(x) = 0 (x < -1), (-1  x 3), 1 (3<x),
4
find p.d.f.