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Fundamentals of Applied Probability
and Random Processes
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Fundamentals of Applied
Probability and Random
Processes
2nd Edition
Oliver C. Ibe
University of Massachusetts, Lowell, Massachusetts
v
vi Contents
APPENDIX................................................................................................ 427
BIBLIOGRAPHY........................................................................................ 429
INDEX ...................................................................................................... 431
Acknowledgment
The first edition of this book was well received by many students and profes-
sors. It had both Indian and Korean editions and received favorable reviews
that include the following: “The book is very clear, with many nice examples
and with mathematical proofs whenever necessary. Author did a good job!
The book is one of the best ones for self-study.” Another comment is the
following:
“This book is written for professional engineers and students who want to do
self-study on probability and random processes. I have spent money and time
in reading several books on this topic and almost all of them are not for self-
study. They lack real world examples and have end-of-chapter problems that
are boring with mathematical proofs. In this book the concepts are explained
by taking real world problems and describing clearly how to model them.
Topics are well-balanced; the depth of material and explanations are very
good, the problem sets are intuitive and they make you to think, which makes
this book unique and suitable for self-study. Topics which are required for
both grad and undergrad courses are covered in this book very well. If you are
reading other books and are stuck when applying a concept to a particular
problem, you should consider this book. Problem solving is the only way to get
familiar with different probability models, and this book fulfills that by taking
problems in the real world examples as opposed to some theoretical proofs.”
These are encouraging reviews of a book that evolved from a course I teach at
the University of Massachusetts, Lowell. I am very grateful to those who wrote
these wonderful unsolicited anonymous reviews in Amazon.com. Their obser-
vations on the structure of the book are precisely what I had in mind in writing
the book.
I want to extend my sincere gratitude to my editor, Paula Callaghan of Elsevier,
who was instrumental in the production of this book. I thank her for the effort
she made to get the petition for the second edition approved. I also want to
thank Jessica Vaughan, the Editorial Project Manager, for her ensuring timely
production of the book.
xiv
Acknowledgment xv
So many students have used the first edition of this book at UMass Lowell and
have provided useful information that led to more clarity in the presentation of
the material in the book. They are too many to name individually, so I say
“thank you” to all of them as a group.
Finally, I would like to thank my wife, Christina, for patiently bearing with me
while the book was being revised. I would also like to appreciate the encour-
agement of our children Chidinma, Ogechi, Amanze and Ugonna. As always,
they are a source of joy to me and my wife.
Preface to the Second Edition
xvi
Preface to the Second Edition xvii
the students solve the exercises at the end of each chapter. Some mathematical
knowledge is assumed, especially freshman calculus and algebra.
This second edition of the book differs from the first edition in a few ways. First,
the chapters have been slightly rearranged. Specifically, statistics now comes
before random processes to enable students understand the basic principles
of probability and statistics before studying random processes. Second,
Chapter 11 has been split into two chapters: Chapter 8, which deals with
descriptive statistics; and Chapter 9, which deals with inferential statistics.
Third, the new edition includes more application-oriented examples to enable
students to appreciate the application of probability and random processes in
science, engineering and management. Finally, after teaching the subject every
semester for the past eleven years, I have been able to identify several pain
points that hinder student understanding of probability and random processes,
and I have introduced several new “smart” methods of solving the problems to
help ease the pain.
The book is divided into three parts as follows:
Chapter 6 deals with functions of random variables including linear and power
functions of one random variable, moments of functions of one random var-
iable, sums of independent random variables, the maximum and minimum of
two independent random variables, two functions of two random variables,
laws of large numbers, the central limit theorem, and order statistics
Chapter 7 discusses transform methods that are useful in computing moments
of random variables. In particular, it discusses the characteristic function, the
z-transform of the probability mass functions of discrete random variables
and the s-transform of the probability distribution functions of continuous ran-
dom variables.
Chapter 8 presents an introduction to descriptive statistics and discusses such
topics as measures of central tendency, measures of spread, and graphical
displays.
Chapter 9 presents an introduction to inferential statistics and discusses such
topics as sampling theory, estimation theory, hypothesis testing, and linear
regression analysis.
Chapter 10 presents an introduction to random processes. It discusses classifi-
cation of random processes; characterization of random processes including
the autocorrelation function of a random process, autocovariance function,
crosscorrelation function and crosscovariance function; stationary random
processes; ergodic random processes; and power spectral density.
Chapter 11 discusses linear systems with random inputs. It also discusses the
autoregressive moving average process.
Chapter 12 discusses special random processes including the Bernoulli process,
Gaussian process, random walk, Poisson process and Markov process.
The author has tried different formats in presenting the different chapters of the
book. In one particular semester we were able to go through all the chapters except
Chapter 12. However, it was discovered that this put a lot of stress on the students.
Thus, in subsequent semesters an attempt was made to cover all the topics in
Parts 1 and 2 of the book, and a few selections from Part 3. The instructor can
try different formats and adopt the one that works best for him or her.
The beginning of a solved example is indicated by a short line and the end of the
solution is also indicated by a short line. This is to separate the continuation of
a discussion preceding an example from the example just solved.
Preface to First Edition
xix
xx Preface to First Edition
1.1 INTRODUCTION
Probability deals with unpredictability and randomness, and probability the-
ory is the branch of mathematics that is concerned with the study of random
phenomena. A random phenomenon is one that, under repeated observation,
yields different outcomes that are not deterministically predictable. However,
these outcomes obey certain conditions of statistical regularity whereby the
relative frequency of occurrence of the possible outcomes is approximately
predictable. Examples of these random phenomena include the number of
electronic mail (e-mail) messages received by all employees of a company
in one day, the number of phone calls arriving at the university’s switchboard
over a given period, the number of components of a system that fail within a
given interval, and the number of A’s that a student can receive in one
academic year.
According to the preceding definition, the fundamental issue in random phe-
nomena is the idea of a repeated experiment with a set of possible outcomes or
events. Associated with each of these events is a real number called the proba-
bility of the event that is related to the frequency of occurrence of the event in a
long sequence of repeated trials of the experiment. In this way it becomes obvi-
ous that the probability of an event is a value that lies between zero and one,
and the sum of the probabilities of the events for a particular experiment should
sum to one.
This chapter begins with events associated with a random experiment. Then it
provides different definitions of probability and considers elementary set theory
and algebra of sets. Also, it discusses basic concepts in combinatorial analysis
that will be used in many of the later chapters. Finally, it discusses how probability
is used to compute the reliability of different component configurations in a
system.
Ω ¼ f1, 2, 3, 4, 5, 6g (1.1)
The event “the outcome of the toss of a die is an even number” is the subset of Ω
and is defined by
E ¼ f2, 4, 6g (1.2)
For a second example, consider a coin tossing experiment in which each toss
can result in either a head (H) or tail (T). If we toss a coin three times and
let the triplet xyz denote the outcome “x on first toss, y on second toss and z
on third toss,” then the sample space of the experiment is
The event “one head and two tails” is the subset of Ω and is defined by
n In a single coin toss experiment with sample space Ω ¼ {H, T}, the event
E ¼ {H} is the event that a head appears on the toss and E ¼ {T} is the
event that a tail appears on the toss.
n If we toss a coin twice and let xy denote the outcome “x on first toss and y
on second toss,” where x is head or tail and y is head or tail, then the
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CHAPTER XVIII
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