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Topics In Probability 1st Edition Narahari Prabhu Digital
Instant Download
Author(s): Narahari Prabhu
ISBN(s): 9789814335478, 9814335479
Edition: 1
File Details: PDF, 3.13 MB
Year: 2011
Language: english
8039.9789814335478-tp.indd 1 5/25/11 3:50 PM
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TOPICS IN
PROBABILITY
Narahari Prabhu
Cornell University, USA
World Scientific
NEW JERSEY • LONDON • SINGAPORE • BEIJING • SHANGHAI • HONG KONG • TA I P E I • CHENNAI
TOPICS IN PROBABILITY
Copyright © 2011 by World Scientific Publishing Co. Pte. Ltd.
All rights reserved. This book, or parts thereof, may not be reproduced in any form or by any means,
electronic or mechanical, including photocopying, recording or any information storage and retrieval
system now known or to be invented, without written permission from the Publisher.
For photocopying of material in this volume, please pay a copying fee through the Copyright
Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, USA. In this case permission to
photocopy is not required from the publisher.
ISBN-13 978-981-4335-47-8
ISBN-10 981-4335-47-9
Printed in Singapore.
Kabir (1450–1518)
v
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May 12, 2011 14:38 9in x 6in Topics in Probability b1108-fm
CONTENTS
Preface ix
Abbreviations xi
1. Probability Distributions 1
1.1. Elementary Properties . . . . . . . . . . . . . . . . . 1
1.2. Convolutions . . . . . . . . . . . . . . . . . . . . . . . 4
1.3. Moments . . . . . . . . . . . . . . . . . . . . . . . . . 6
1.4. Convergence Properties . . . . . . . . . . . . . . . . . 8
2. Characteristic Functions 11
2.1. Regularity Properties . . . . . . . . . . . . . . . . . . 11
2.2. Uniqueness and Inversion . . . . . . . . . . . . . . . . 15
2.3. Convergence Properties . . . . . . . . . . . . . . . . . 17
2.3.1. Convergence of types . . . . . . . . . . . . . . 19
2.4. A Criterion for c.f.’s . . . . . . . . . . . . . . . . . . . 21
2.5. Problems for Solution . . . . . . . . . . . . . . . . . . 24
vii
May 12, 2011 14:38 9in x 6in Topics in Probability b1108-fm
Bibliography 79
Index 81
May 12, 2011 14:38 9in x 6in Topics in Probability b1108-fm
PREFACE
N. U. Prabhu
Ithaca, New York
January 2010
ix
May 12, 2011 14:38 9in x 6in Topics in Probability b1108-fm
ABBREVIATIONS
Term Abbreviation
d
Terminology: We write x = y if the r.v.’s x, y have the same distribution.
xi
May 12, 2011 14:38 9in x 6in Topics in Probability b1108-ch01
Chapter 1
Probability Distributions
1
May 12, 2011 14:38 9in x 6in Topics in Probability b1108-ch01
2 Topics in Probability
This shows that the number of atoms with weights > n1 is at most
equal to n. Let
then the set Dn has at most n points. Therefore the set D = ∪Dn is
at most countable.
May 12, 2011 14:38 9in x 6in Topics in Probability b1108-ch01
Probability Distributions 3
4 Topics in Probability
1.2. Convolutions
Probability Distributions 5
since
∞
|F1 (x − y + h) − F1 (x − y)| ≤ 2, 2dF2 (y) = 2,
−∞
Then
∞ x
F (x) = dF2 (y) f1 (u − y)du
−∞ −∞
x ∞
= f1 (u − y)dF2 (y) du
−∞ −∞
Remarks.
1. If X1 , X2 are independent random variables with distributions
F1 , F2 , then the convolution F = F1 ∗ F2 is the distribution of their
May 12, 2011 14:38 9in x 6in Topics in Probability b1108-ch01
6 Topics in Probability
sum X1 + X2 . For
F (z) = P {X1 + X2 ≤ z} = dF1 (x)dF2 (y)
x+y≤z
∞ z−y ∞
= dF2 (y) dF1 (x) = F1 (z − y)dF2 (y).
−∞ −∞ −∞
However, it should be noted that dependent random variables X1 , X2
may have the property that the distribution of their sum is given by
the convolution of their distributions.
2. The converse of Theorem 1.5 is false. In fact two singular distri-
butions may have a convolution which is absolutely continuous.
3. The conjugate of any distribution F is defined as the distribution
F̃ , where
F̃ (x) = 1 − F (−x− ).
If F is the distribution of the random variable X, then F̃ is the
distribution of −X. The distribution F is symmetric if F = F̃ .
4. Given any distribution F , we can symmetrize it by defining the
distribution ◦ F , where
◦
F = F ∗ F̃ .
It is seen that ◦ F is a symmetric distribution. It is the distribution
of the difference X1 − X2 , where X1 , X2 are independent variables
with the same distribution F .
1.3. Moments
Probability Distributions 7
This shows that the existence of the moment of order β implies the
existence of all moments of order α < β.
the first term on the right side of (1.10) vanishes as t → ∞ and the
integral there converges as t → ∞.
8 Topics in Probability
provided that the integrals exist. In this put ψ1 (x) = xat1 , ψ2 (x) =
xbt2 , where t1 , t2 ∈ I. Then
or taking logarithms,
Probability Distributions 9
Oriana, örianə.
Orinoco, ourinoukou.
Orizaba, ourithâbə.
Osiris, əsairis.
Ostend, ostend.
Ottewa, otəwə.
Otway, otwei.
Oubliette, ûbliet, subst. kerkerhol, valdeur.
Oudh, aud.
Ought, ôt, subst. iets: For ought I know = voor zoover ik weet.
Ounce, auns, ons (12e van een pound Troy, en 16e van een pound
avoirdupois): An ounce of help is better than a pound of
preaching = de kleinste daad is beter dan veel gemoraliseer.
Our, auə, ons (bez. voorn. w.): A friend of ours = vriend van ons;
He was of ours = hij behoorde tot ons regiment; Ourself = ons,
mij, onszelf, mijzelf; Ourselves = ons, onszelven, mijzelf.
Oust, aust, uit het bezit stooten; den voet lichten; Ouster =
uitzetting, berooving.
Out, aut (in samenst.) drukt dikwijls uit: overtreffen in de door het
andere deel uitgedrukte handeling, b.v. Outact = krachtiger
handelen; Outbalance = zwaarder wegen; Outbid = hooger bieden,
overtreffen; Out brag = overtreffen (in pochen); Outbrave =
overtreffen (in glans of dapperheid); Out-classed = totaal verslagen;
Outcry = overschreeuwen; Outdare = trotseeren; Outdistance =
achter zich laten; Outdo = overtreffen; Outface = brutaliseeren,
trotseeren, de oogen doen neerslaan; Outfarm = zich bekwamer
[378]boer toonen; Outflank = overvleugelen; Outfly = sneller vliegen
dan; Outfrown = de oogen doen neerslaan; Outgeneral =
overtreffen in veldheerschap; Out-Gilfillan G. himself = zelfs in zijn
soort G. overtreffen; Outgo = overtreffen, te buiten gaan; Outgrow
= sneller groeien dan, te groot worden voor; Out-Herod = in
woestheid en wreedheid H. overtreffen; Outlast = langer duren dan;
Outleap = verder springen dan; Outlive = langer leven dan,
overleven; Outlook = de oogen doen neerslaan; Outmanoeuvre,
autmən(j)ûvə, verschalken; Out march = harder marcheeren,
vóórkomen; Outnumber = in aantal overtreffen; Outpace =
voorbijstreven; Outpray = in het smeeken overtreffen; Outrange =
verder schieten, achter zich laten; Outrank = hooger zijn in rang;
Outreach = verder reiken dan, overtreffen; Outreign = langer
regeeren dan: His queen Outreigned him by five years; Outride =
harder rijden, uitrijden (zeeterm); Outroar = luider brullen dan;
Outroyal = den koning of het hof in pracht overtreffen; Outrun =
sneller loopen, ontloopen: To outrun the constable = To outrun
one’s income = te groot leven; Outsail = harder zeilen; Outscold
= harder schelden of tieren dan; Outsell = meer verkoopen, of
duurder verkoopen, dan; Outshine = in luister en glans overtreffen;
Outsleep = langer slapen dan; Outsoar = hooger stijgen,
overvleugelen; Outspeak = beter (langer) spreken dan; Outspeed =
in snelheid overtreffen; Outstand = uitsteken boven, uitstaan:
Outstanding debts = uitstaande; Outstanding fact = in ’t oog
springend, belangrijk feit; To leave outstanding = laten staan;
Outstare = brutaliseeren, de oogen doen neerslaan; Outstay = te
lang blijven: He outstayed his welcome = wij waren blij, dat hij
wegging; Outstep = overschrijden; Outstrip = voorbijloopen,
overtreffen; Outswear = in het vloeken overtreffen; Outtalk = in het
praten winnen van, om verpraten: Outtop = uitsteken boven; Outvie
= overtreffen; Outvote = bij stemming winnen van, overstemmen;
Outwalk = in het wandelen overtreffen; Outwear = langer duren
dan, verslijten; Outweigh = zwaarder wegen dan, te zwaar zijn
voor; Outwing = in het vliegen de baas zijn; Outwit = verschalken,
in slimheid overtreffen; Outworth = in waarde te boven gaan.
Outram, ûtrəm.
Oval, ouv’l, ovaal, eirond; subst. ovaal: The Oval = een bekend
cricket-veld in Kennington (London); Oval compasses.
Own, oun, adj. eigen; Own verb. bezitten: Every one for his own
= ieder voor zich; He has a house of his own = een eigen huis; A
dear little clock of my very own = heelemaal van mij alleen; To
have a reason of one’s own = eene bijzondere reden hebben; To
hold one’s own (with) = zijn recht handhaven, stand houden: Of
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