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Set Theory for Probability

This document covers fundamental concepts in probability, including definitions of events, sample spaces, and the axioms of probability. It explains combinatorial principles such as permutations, k-permutations, combinations, and the binomial theorem, providing examples for clarity. Additionally, it introduces the concept of sample spaces and events as subsets of possible outcomes in experiments.

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tinorey717
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© © All Rights Reserved
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Download as PDF, TXT or read online on Scribd
0% found this document useful (0 votes)
3 views63 pages

Set Theory for Probability

This document covers fundamental concepts in probability, including definitions of events, sample spaces, and the axioms of probability. It explains combinatorial principles such as permutations, k-permutations, combinations, and the binomial theorem, providing examples for clarity. Additionally, it introduces the concept of sample spaces and events as subsets of possible outcomes in experiments.

Uploaded by

tinorey717
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 63

Prob. Cond. Discr. Cont. Joint E, cov LLN, CLT Combi. Sample sp. Probability Equally l.

1. Elementary probability
Combinatorics
Sample space
Probability
Equally likely outcomes

Objectives:
! To define events and sample spaces, describe them in
simple examples
! To list the axioms of probability, and use them to prove
simple results
! To use counting arguments to calculate probabilities when
there are equally likely outcomes

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Prob. Cond. Discr. Cont. Joint E, cov LLN, CLT Combi. Sample sp. Probability Equally l.

Combinatorics / the basic principle of counting

In this part we’ll learn how to count in some typical scenarios.


The starting point is the following:
! Suppose an experiment has n outcomes; and another
experiment has m outcomes.
! Then the two experiments jointly have n · m outcomes.

Example
Rolling a die and flipping a coin can have a total of 6 · 2 = 12
different outcomes, combined.

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1. Permutations

Definition
Let H = {h1 , h2 , . . . , hn } be a set of n different objects. The
permutations of H are the different orders in which one can
write all of the elements of H. There are n! = 1 · 2 · 3 · · · n of
them. We set 0! = 1.

"

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1. Permutations

Definition
Let H = {h1 , h2 , . . . , hn } be a set of n different objects. The
permutations of H are the different orders in which one can
write all of the elements of H. There are n! = 1 · 2 · 3 · · · n of
them. We set 0! = 1.

"
Example
The results of a horse race with horses
H = {A, B, C, D, E, F, G} are permutations of H. A possible
outcome is (E, G, A, C, B, D, F) (E is the winner, G is second,
etc.). There are 7! = 5 040 possible outcomes.

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2. Permutations with repetitions

Definition
Let H = {h1 . . . h1 , h2 . . . h2 , . . . , hr . . . hr } be a set of r different
types of repeated objects: n1 many of h1 , n2 of h2 , . . . nr of hr .
The permutations with repetitions of H are the different orders
in which one can write all of the elements of H. There are
! "
n n!
:=
n1 , n2 , . . . , nr n1 ! · n2 ! · · · nr !

of them, where n = n1 + · · · + nr is the total number of objects.


This formula is also known as the multinomial coefficient.

"

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2. Permutations with repetitions

Example
We can make
! "
11 11!
= = 83 160
5, 2, 2, 1, 1 5! · 2! · 2! · 1! · 1!

different words out of the letters A, B, R, A, C, A, D, A, B, R, A.

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3. k-permutations
Definition
Let H = {h1 , h2 , . . . , hn } be a set of n different objects. The
k-permutations of H are the different ways in which one can
n!
pick and write k of the elements of H in order. There are (n−k )!
of these k-permutations.

"

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3. k-permutations
Definition
Let H = {h1 , h2 , . . . , hn } be a set of n different objects. The
k-permutations of H are the different ways in which one can
n!
pick and write k of the elements of H in order. There are (n−k )!
of these k-permutations.

"
Example
The first three places of a horse race with horses
H = {A, B, C, D, E, F, G} form a 3-permutation of H. A
possible outcome is (E, G, A) (E is the winner, G is second, A
7!
is third.). There are (7−3)! = 210 possible outcomes for the first
three places.

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4. k-permutations with repetitions


Definition
Let H = {h1 . . . , h2 . . . , . . . , hr . . . } be a set of r different types
of repeated objects, each of infinte supply. The
k-permutations with repetitions of H are the different orders in
which one can write an ordered sequence of length k using the
elements of H. There are r k such sequences.

"

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4. k-permutations with repetitions


Definition
Let H = {h1 . . . , h2 . . . , . . . , hr . . . } be a set of r different types
of repeated objects, each of infinte supply. The
k-permutations with repetitions of H are the different orders in
which one can write an ordered sequence of length k using the
elements of H. There are r k such sequences.

"
(The case when the elements of H are only of finite supply is
much more complicated.)

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4. k-permutations with repetitions


Definition
Let H = {h1 . . . , h2 . . . , . . . , hr . . . } be a set of r different types
of repeated objects, each of infinte supply. The
k-permutations with repetitions of H are the different orders in
which one can write an ordered sequence of length k using the
elements of H. There are r k such sequences.

"
(The case when the elements of H are only of finite supply is
much more complicated.)

Example
There are 263 = 17576 possible k = 3-letter words using the
r = 26 letters of the English alphabet.

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5. k-combinations

Definition
Let H = {h1 , h2 , . . . , hn } be a set of n different objects. The
k-combinations of H are the different ways in which one can
pick k of the elements of H without order. There are
! "
n n!
:=
k k! · (n − k)!

of these k-combinations. This formula is also known as the


binomial coefficient (“n choose k”).

"

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5. k-combinations
Example
There are ! "
30 30!
= = 142 506
5 5! · (30 − 5)!
possible ways to form a committee of 5 students out of a class
of 30 students.

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5. k-combinations
Example
There are ! "
30 30!
= = 142 506
5 5! · (30 − 5)!
possible ways to form a committee of 5 students out of a class
of 30 students.

Remark
In a similar way, there are
! "
n n!
:=
k1 , k2 , . . . , kr k1 ! · k2 ! · · · kr !

many ways to form unordered groups of sizes k1 , k2 , . . . kr of n


objects (n = k1 + · · · + kr ). Thus, the multinomial coefficient
generalizes the binomial coefficient.
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6. The Binomial coefficient

! Recall the definition, for n, k non-negative integers,


! " ! "
n n! n
:= = for 0 ≤ k ≤ n.
k k! · (n − k)! n−k
# $
We extend this by kn ≡ 0 in all other cases. (It is possible
to define these coefficients for any real n, but we won’t
need that.)

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6. The Binomial coefficient


Theorem (Pascal’s Identity)
For any k and 1 ≤ n integers,
! " ! " ! "
n n−1 n−1
= + .
k k −1 k

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6. The Binomial coefficient


Theorem (Pascal’s Identity)
For any k and 1 ≤ n integers,
! " ! " ! "
n n−1 n−1
= + .
k k −1 k

Proof.
Either write out the factorials, or count the number of
k-combinations of n objects in two ways:
! the first object is chosen, and the remaining k − 1 objects
need to be picked out of n − 1, or
! the first object is not chosen, and all k objects need to be
picked out of n − 1.

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7. The Binomial Theorem

Theorem (Newton’s Binomial Theorem)


For any real numbers x and y, and n ≥ 1, we have
n ! "
% n
(x + y)n = · x k · y n−k .
k
k =0

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7. The Binomial Theorem

Theorem (Newton’s Binomial Theorem)


For any real numbers x and y, and n ≥ 1, we have
n ! "
% n
(x + y)n = · x k · y n−k .
k
k =0

Proof.
In the product (x + y) · · · (x + y) on the left hand-side we need
to pick x or y from each parenthesis in all possible ways, and
multiply them. Picking x from k of these parentheses
#n $ and y
from the remaining n − k can be done in k ways, each of
which contributes x k · y n−k to the final sum.

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8. The Multinomial Theorem

The Binomial Theorem generalises to

Theorem (Multinomial Theorem)


Let x1 , x2 , . . . , xr be real numbers, n ≥ 1. Then
% ! "
n
(x1 + x2 + · · · + xr )n = · x1n1 · x2n2 · · · xrnr .
n 1 n 2 . . . nr
n1 , ..., nr ≥0
n1 +···+nr =n

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Sample space
Here we are (almost) going to define a mathematical model for
various experiments. To do it properly, we would need some
tools from measure theory. This will be skipped for now, but
you are welcome to revisit this point some time later during your
studies!

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Prob. Cond. Discr. Cont. Joint E, cov LLN, CLT Combi. Sample sp. Probability Equally l.

Sample space
Here we are (almost) going to define a mathematical model for
various experiments. To do it properly, we would need some
tools from measure theory. This will be skipped for now, but
you are welcome to revisit this point some time later during your
studies!
! We always consider an experiment. Ω will denote the set of
all possible outcomes of this experiment.

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Prob. Cond. Discr. Cont. Joint E, cov LLN, CLT Combi. Sample sp. Probability Equally l.

Sample space
Here we are (almost) going to define a mathematical model for
various experiments. To do it properly, we would need some
tools from measure theory. This will be skipped for now, but
you are welcome to revisit this point some time later during your
studies!
! We always consider an experiment. Ω will denote the set of
all possible outcomes of this experiment.
! An event will be a collection of possible outcomes.
Therefore, and event E will be considered a subset of Ω:
E ⊆ Ω.

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Prob. Cond. Discr. Cont. Joint E, cov LLN, CLT Combi. Sample sp. Probability Equally l.

Sample space
Here we are (almost) going to define a mathematical model for
various experiments. To do it properly, we would need some
tools from measure theory. This will be skipped for now, but
you are welcome to revisit this point some time later during your
studies!
! We always consider an experiment. Ω will denote the set of
all possible outcomes of this experiment.
! An event will be a collection of possible outcomes.
Therefore, and event E will be considered a subset of Ω:
E ⊆ Ω.
! Sometimes Ω is too large, and not all its subsets can be
defined as events. This is where measure theory helps...

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Prob. Cond. Discr. Cont. Joint E, cov LLN, CLT Combi. Sample sp. Probability Equally l.

Sample space
Here we are (almost) going to define a mathematical model for
various experiments. To do it properly, we would need some
tools from measure theory. This will be skipped for now, but
you are welcome to revisit this point some time later during your
studies!
! We always consider an experiment. Ω will denote the set of
all possible outcomes of this experiment.
! An event will be a collection of possible outcomes.
Therefore, and event E will be considered a subset of Ω:
E ⊆ Ω.
! Sometimes Ω is too large, and not all its subsets can be
defined as events. This is where measure theory helps...
! It makes perfect sense to define the union E ∪ F and the
intersection E ∩ F of two events, E and F .

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Sample space

Ω Ω
E F E F

E ∪F E ∩F

Notation: sometimes E ∪ F = E + F , E ∩ F = EF .

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1. Examples

Example
Experiment: Is it going to rain today?
Sample space: Ω = {r, n}.
|Ω| = 2.
An event: E = {r}.
|E| = 1.

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1. Examples
Example
Experiment: Finishing order of a race of 7 horses.
Sample space: Ω = {permutations of A, B, C, D, E, F, G}.
|Ω| = 7!.
An event: E = {horse B wins}
= {permutations that start with B}.
|E| = 6!.
Another event: F = {G wins, D is second}.
= {permutations starting as (G, D, . . . )}.
|F | = 5!.

Notice E ∩ F = ∅ in this example. We call ∅ the null event. This


is the event that never happens.
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1. Examples
Example
Experiment: Flipping two coins.
Sample space: Ω = {ordered pairs of the two outcomes}.
= {(H, H), (H, T ), (T , H), (T , T )}.
|Ω| = 4.
An event: E = {the two coins come up different}
= {(H, T ), (T , H)}.
|E| = 2.
Another event: F = {both flips come up heads}.
= {(H, H)}.
|F | = 1.
Notice: E ∪ F = {(H, T ), (T , H), (H, H)}
= {at least one H}.
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1. Examples
Example
Experiment: Rolling two dice.
Sample space: Ω = {ordered pairs of the two outcomes}
= {(i, j) : i, j = 1 . . . 6}.
|Ω| = 36.
An event: E = {the sum of the rolls is 4}
= {(1, 3), (2, 2), (3, 1)}.
|E| = 3.
Another event: F = {the two rolls are the same}.
= {(i, i) : i = 1 . . . 6}.
|F | = 6.
Notice: E ∩ F = {(2, 2)}.

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1. Examples

Example
Experiment: Repeatedly rolling a die until we first see 6.
Sample space: Ω = {sequences of numbers between 1}
and 5, and then a 6}. "
|Ω| = ∞.
An event: E = {roll 4 first, get 6 on the third roll}
= {(4, k, 6) : k = 1 . . . 5}.
|E| = 5.

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1. Examples
Example
Experiment: Lifetime of a device (measured in years).
Sample space: Ω = [0, ∞)
|Ω| = ∞ (uncountable).
An event: E = {shouldn’t have bought it} = {0}
|E| = 1.
Another event: F = {device lasts for at least 5 years}
= [5, ∞).
|F | = ∞.
Another event: G = {device is dead by its 6th birthday}
= [0, 6).
|G| = ∞.
Notice: F ∩ G = [5, 6), F ∪ G = [0, ∞) = Ω.
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2. The union and the intersection


Inspired by the above:

Remark
The union E ∪ F of events E and F always means E OR F .
The intersection E ∩ F of events E and F always means E
AND F .

Similarly:

Remark
&
The union i Ei of events Ei always means at least one of the
Ei ’s. '
The intersection i Ei of events Ei always means each of the
Ei ’s.

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2. The union and the intersection

Definition
If E ∩ F = ∅, then we say that the events E and F are
mutually exclusive events.

If the events E1 , E2 , . . . satisfy Ei ∩ Ej = ∅ whenever i *= j, then


we say that the Ei ’s are mutually exclusive events.

Mutually exclusive events cannot happen at the same time.

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3. Inclusion and implication


Remark
If the event E is a subset of the event F , E ⊆ F , then the
occurrence of E implies that of F .

Example
The experiment is rolling a die.
E = {rolling 1 on a die} ⊆ {rolling an odd no. on a die} = F .

F
2
3
6 E
1

5 4

E ⊆F

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4. Complementary events

Definition
The complement of an event E is E c : = Ω − E. This is the
event that E does not occur.


E

Ec

Notice: E ∩ E c = ∅, E ∪ E c = Ω.

Notation: sometimes E c = Ē = E ∗ .

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5. Simple properties of events

Commutativity: E ∪ F = F ∪ E,
E ∩ F = F ∩ E.

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5. Simple properties of events


Associativity: E ∪ (F ∪ G) = (E ∪ F ) ∪ G = E ∪ F ∪ G,
E F

E ∩ (F ∩ G) = (E ∩ F ) ∩ G = E ∩ F ∩ G.
E F

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5. Simple properties of events


Distributivity: (E ∪ F ) ∩ G = (E ∩ G) ∪ (F ∩ G),
E F E F

G G

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5. Simple properties of events


Distributivity: (E ∪ F ) ∩ G = (E ∩ G) ∪ (F ∩ G),
E F E F

G G
E ∪F

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5. Simple properties of events


Distributivity: (E ∪ F ) ∩ G = (E ∩ G) ∪ (F ∩ G),
E F E F

G G
(E ∪ F ) ∩ G

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5. Simple properties of events


Distributivity: (E ∪ F ) ∩ G = (E ∩ G) ∪ (F ∩ G),
E F E F

G G
(E ∪ F ) ∩ G E ∩G

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5. Simple properties of events


Distributivity: (E ∪ F ) ∩ G = (E ∩ G) ∪ (F ∩ G),
E F E F

G G
(E ∪ F ) ∩ G F ∩G

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5. Simple properties of events


Distributivity: (E ∪ F ) ∩ G = (E ∩ G) ∪ (F ∩ G),
E F E F

G G
(E ∪ F ) ∩ G (E ∩ G) ∪ (F ∩ G)

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5. Simple properties of events


Distributivity: (E ∪ F ) ∩ G = (E ∩ G) ∪ (F ∩ G),
E F E F

G G
(E ∪ F ) ∩ G (E ∩ G) ∪ (F ∩ G)

(E ∩ F ) ∪ G = (E ∪ G) ∩ (F ∪ G).
E F E F

G G

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5. Simple properties of events


Distributivity: (E ∪ F ) ∩ G = (E ∩ G) ∪ (F ∩ G),
E F E F

G G
(E ∪ F ) ∩ G (E ∩ G) ∪ (F ∩ G)

(E ∩ F ) ∪ G = (E ∪ G) ∩ (F ∪ G).
E F E F

G G
E ∩F
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5. Simple properties of events


Distributivity: (E ∪ F ) ∩ G = (E ∩ G) ∪ (F ∩ G),
E F E F

G G
(E ∪ F ) ∩ G (E ∩ G) ∪ (F ∩ G)

(E ∩ F ) ∪ G = (E ∪ G) ∩ (F ∪ G).
E F E F

G G
(E ∩ F ) ∪ G
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5. Simple properties of events


Distributivity: (E ∪ F ) ∩ G = (E ∩ G) ∪ (F ∩ G),
E F E F

G G
(E ∪ F ) ∩ G (E ∩ G) ∪ (F ∩ G)

(E ∩ F ) ∪ G = (E ∪ G) ∩ (F ∪ G).
E F E F

G G
(E ∩ F ) ∪ G E ∪G
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5. Simple properties of events


Distributivity: (E ∪ F ) ∩ G = (E ∩ G) ∪ (F ∩ G),
E F E F

G G
(E ∪ F ) ∩ G (E ∩ G) ∪ (F ∩ G)

(E ∩ F ) ∪ G = (E ∪ G) ∩ (F ∪ G).
E F E F

G G
(E ∩ F ) ∪ G F ∪G
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5. Simple properties of events


Distributivity: (E ∪ F ) ∩ G = (E ∩ G) ∪ (F ∩ G),
E F E F

G G
(E ∪ F ) ∩ G (E ∩ G) ∪ (F ∩ G)

(E ∩ F ) ∪ G = (E ∪ G) ∩ (F ∪ G).
E F E F

G G
(E ∩ F ) ∪ G (E ∪ G) ∩ (F ∪ G)
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5. Simple properties of events


De Morgan’s Law: (E ∪ F )c = E c ∩ F c .
E F E F

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5. Simple properties of events


De Morgan’s Law: (E ∪ F )c = E c ∩ F c .
E F E F

E ∪F

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5. Simple properties of events


De Morgan’s Law: (E ∪ F )c = E c ∩ F c .
E F E F

(E ∪ F )c

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5. Simple properties of events


De Morgan’s Law: (E ∪ F )c = E c ∩ F c .
E F E F

(E ∪ F )c Ec

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5. Simple properties of events


De Morgan’s Law: (E ∪ F )c = E c ∩ F c .
E F E F

(E ∪ F )c Fc

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Prob. Cond. Discr. Cont. Joint E, cov LLN, CLT Combi. Sample sp. Probability Equally l.

5. Simple properties of events


De Morgan’s Law: (E ∪ F )c = E c ∩ F c .
E F E F

(E ∪ F )c Ec ∩ F c

30 / 280
Prob. Cond. Discr. Cont. Joint E, cov LLN, CLT Combi. Sample sp. Probability Equally l.

5. Simple properties of events


De Morgan’s Law: (E ∪ F )c = E c ∩ F c .
E F E F

(E ∪ F )c Ec ∩ F c
(E ∩ F )c = E c ∪ F c .
E F E F

30 / 280
Prob. Cond. Discr. Cont. Joint E, cov LLN, CLT Combi. Sample sp. Probability Equally l.

5. Simple properties of events


De Morgan’s Law: (E ∪ F )c = E c ∩ F c .
E F E F

(E ∪ F )c Ec ∩ F c
(E ∩ F )c = E c ∪ F c .
E F E F

E ∩F

30 / 280
Prob. Cond. Discr. Cont. Joint E, cov LLN, CLT Combi. Sample sp. Probability Equally l.

5. Simple properties of events


De Morgan’s Law: (E ∪ F )c = E c ∩ F c .
E F E F

(E ∪ F )c Ec ∩ F c
(E ∩ F )c = E c ∪ F c .
E F E F

(E ∩ F )c

30 / 280
Prob. Cond. Discr. Cont. Joint E, cov LLN, CLT Combi. Sample sp. Probability Equally l.

5. Simple properties of events


De Morgan’s Law: (E ∪ F )c = E c ∩ F c .
E F E F

(E ∪ F )c Ec ∩ F c
(E ∩ F )c = E c ∪ F c .
E F E F

(E ∩ F )c Ec

30 / 280
Prob. Cond. Discr. Cont. Joint E, cov LLN, CLT Combi. Sample sp. Probability Equally l.

5. Simple properties of events


De Morgan’s Law: (E ∪ F )c = E c ∩ F c .
E F E F

(E ∪ F )c Ec ∩ F c
(E ∩ F )c = E c ∪ F c .
E F E F

(E ∩ F )c Fc

30 / 280
Prob. Cond. Discr. Cont. Joint E, cov LLN, CLT Combi. Sample sp. Probability Equally l.

5. Simple properties of events


De Morgan’s Law: (E ∪ F )c = E c ∩ F c .
E F E F

(E ∪ F )c Ec ∩ F c
(E ∩ F )c = E c ∪ F c .
E F E F

(E ∩ F )c Ec ∪ F c

30 / 280
Prob. Cond. Discr. Cont. Joint E, cov LLN, CLT Combi. Sample sp. Probability Equally l.

5. Simple properties of events

Let Ei ’s be events (e.g., Person i has an umbrella). Then


(& )c ' c
De Morgan’s Law: i Ei = i Ei .
Not true that someone has an umbrella.
= Everyone doesn’t have an umbrella.
(' )c & c
i Ei = i Ei .
Not true that everyone has an umbrella.
= Someone doesn’t have an umbrella.

31 / 280

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