Probability Theory Lecture Notes

Prof.
Amina Saleh
Probability Theory
MaSc467
Lectures notes prepared for
Level 6 students at
College of Computer Science and Information
Departments of:
Computer Sciences & Network and Communication Systems
Professor Dr. Amina A. Saleh & Dr. Hibato -Allah El-Bahnasawy
1
Revision
Revision Includes:
1. Sample space (discrete and
continuous),
2. Events,
3. Probability function, Axioms of
probability,
4. Conditional probabilities, and
Independent events.
2
1. Sample Space
Definition:
Random experiment: An experiment is
said to be random if it can be
performed a large number of times
under the same conditions resulting in
one and only one unpredictable
outcome out of several possible
outcomes.
3
Sample Space Continue

Each performance of a random
experiment is called a trial
The result of a performance (i.e. a trial)
is called an outcome.

4

The set of all possible outcomes of a random
experiment is called a sample space. Every
element in the sample space is called a
sample point (i.e. the sample point is a
possible outcome of the experiments).
A sample space is denoted by S.
Reference: Sahoo , Applied probability; pages 11-12
5

Examples
1. Describe the sample space of rolling a die
2. Describe the sample space of rolling a pair
of dice
3. Describe the sample space of observing and
counting traffic accidents on some
crossroads over a period of one week.
4. Describe the sample space of measuring the
temperature on a certain day during the
summer.
6

Finite and Infinite Sample Space
Finite sample space: contains
finite number of sample points
(examples 1and 2).
Infinite sample space: contains
infinitely many sample points
(examples 3 and 4).
7

Discrete and Continuous Sample Space
Discrete sample space: contains
finite or countably infinite sample
points (examples 1, 2 and 3).
Continuous sample space:
contains uncountable number of
sample points (example 4).
8
2. Event
Quick Definition: A subset of the
sample space is called an event.
Events are denoted by capital
letters; A, B, C,
Or
A1, A2, A3,
9
Event Continue
Facts about events:
S is a subset of itself, called a
certain event i.e.
The empty set is a subset of any
set, called impossible event, i.e.
Any event contains singleton
outcome is called simple event
10
Event Continue
Various types of events
Equally likely events: if one of
them cannot be expected in
preference to the other
Composite events: the union of
two or more events.
The compound events: the
intersection between two or more
events
11
Various types
of eventsContinue
Mutually exclusive (disjoint) events:
two events are called mutually
inclusive if the occurrence of one of
them prevents the occurrence of
the other.
Exhaustive events: the union of
them is equal to the sample space.
12
Various types
of eventsContinue
Mutually exclusive and Exhaustive
events: n events are said to be
Mutually exclusive and Exhaustive
if they are pairwise mutually
exclusive and their union is equal
to the sample space
13
Various types
of eventsContinue
Examples
1. A pair of dice is rolled. Two possible events
are rolling a number greater than 8 and
rolling an even number. Are these two
events mutually exclusive events?
2. A pair of dice is rolled. Two possible events
are rolling a number less than 5 and rolling
a number which is a multiple of 5. Are these
two events mutually exclusive?
14
3.
Various types
of eventsContinue
A pair of dice is rolled. Two possible events are rolling a

number which is a multiple of 3 and rolling a number
which is a multiple of 5. Are these two events mutually
exclusive?
4. A pair of dice is rolled and the resulting number is odd.
Which of the following events is the complement of this
event?
A. A number greater than 8 is rolled.
B. An even number is rolled.
C. A number less than 5 is rolled.
D. AA multiple of 5 is rolled.
15
Event Space
A collection F of subsets of S satisfying the
following three rules:
(a) S
(b) if A
F;
F then Ac
; and
(c) if Aj
F for j =1, 2,3,.then
is called an event space or a -field.

16
Event Space
Examples
Example 1
Let
Then an event space is

F

17
Examples
Example 6
Let
and the two events of
interest:
Then an event space is
F=
=
}
Note:
18
3.Probability Function
Definition:
Let S be the sample space of a random experiment. A probability

function P : F
( [0, 1] is a set function which assigns real numbers to
the various events of S satisfying

(P1): P(A) 0 for all event A F,
(P2): P(S) = 1,
(P3): If A1, A2, A3, ..., Ak, ..... are mutually disjoint events of S; then
The above three conditions are called axioms of a probability

measure
19
Important Theorems*
Theorem 1
If is a empty set (that is an impossible event,
then
.
Note: If the probability of an event is zero, that
does not mean the event is empty (or impossible),
similarly if A is an event with probability 1, then it
does not mean A is the sample space S.
* Sahoo pages 13- 17

20
Important Theorems Continue

Theorem 2
Let {A1,A2, ...,An} be a finite collection of n mutually
disjoint events; that is
. Then

21

Theorem 3
If A is an event of a discrete sample space S, then
the probability of A is equal to the sum of the
probabilities of its elementary events.
Example:
If a fair coin (i.e. each outcome is equally likely) is
tossed twice, what is the probability of getting at
least one head? (Example 1.17 page 15)
22

Corollary :
If S is a finite sample space with n sample
elements and A is an event in S with m elements,
then the probability of A is given by P(A) = m/n .
Example:
A die is loaded in such a way that the probability
of the face with j dots turning up is proportional to
j for j = 1, 2, ..., 6. What is the probability, in one roll
of the die, that an odd number of dots will turn
up? (Example 1.18. page 16)
23
Some Properties of the

Probability Function*
If A be any event of the sample space S, then

P(Ac) = 1 P(A)
If A B S, then
P(A) P(B).
If A is any event in S, then
0 P(A) 1.
If A and B are any two events, then
P(A B) = P(A) + P(B) P(A B).
* Sahoo pages 17-21

24
Examples
Example 1.19. page 20
If P(A) = 0.25 and P(B) = 0.8, then show that
0.05 P(A B) 0.25.
Example 1.20. page 21
Let A and B be events in a sample space S such that
P(A) = 1/2= P(B) and P(Ac Bc) = 1/3. Find P(A Bc).

25
Exercises
1. If a fair coin is tossed twice, what is the
probability of getting heads on both coin?
2. Discuss and criticize the following
for the probabilities of three mutually exclusive

events A, B, C
3. Let A1, A2, and A3 be three events in a sample
space S such that:
P(A1)=3 P(A2) and P(A2) = 5 P(A3)
Find P(A1); P(A2); and P(A3)
26
Exercises Continue
4. Consider the experiment of spinning the
spinner shown below twice and note the area
on which the arrow stops. Find the probability
that the outcome of the two spins is:
a.) red both times
b.) white first, blue second
c.) white first, red second
d.) not blue both times
27
4.
Conditional
probabilities
Definition
Let S be a sample space associated with a random
experiment. The conditional probability of an
event A, given that event B has occurred, is defined
by
provided P(B) > 0.
This conditional probability function P(A|B)
satisfies all three axioms of a probability function.
Reference: Sahoo page 28
28
Conditional probabilities Continue

Example 2.1. Page 28 (Sahoo)
A drawer contains 4 black, 6 brown, and 8 olive
socks. Two socks are selected at random from the
drawer. (a) What is the probability that both socks
are of the same color (event A)? (b) What is the
probability that both socks are olive (event B) if it
is known that they are of the same color?
Remark:
N(S) = 153, N(A)= 49, N(B)= 28
Then P(A) = 49/153 , P(B) = 28/ 153 = P(A B) since B A
hence, P(B|A)=28/49.
29
Independent Events
Definition*:
Two events A and B of a sample space S are called
independent if and only if
P(A B) = P(A) P(B).
Theorem*: Let A,B

P(B) > 0, then
S. If A and B are independent and
P(A | B) = P(A) .
Example 2.5 page 32:
N(S)=10, N(A)= 4, N(B)= 5, N(A B)=2. Are A and B independent?
Answer: Yes (Why?)
*Reference: Sahoo page 33

30
Independent Events Continue
Theorem 1:
If A and B are independent events. Then Ac and B
are independent. Similarly A and Bc are
independent. (show that Ac and Bc are
independent)
Theorem 2:
Two possible mutually exclusive events are always
dependent (that is not independent).
Theorem 3:
Two possible independent events are not mutually
exclusive. Reference: Sahoo page 33 - 35
31

Examples:
1. Probability that a boy will pass an exam is 3/5
and that for a girl it is 2/5. What is the
probability that at least one of them will pass
the exam?
Answer: 19/25
2. If four whole numbers taken at random are
multiplied together, find the probability that
the last digit in the product is 1, 3, 7 or 9 .
Answer: 16/625
32

3. The probability that a 50 years old man will be
alive at 60 is 0.83 and the probability that a 45
years old woman will be alive at 55 is 0.87.
what is the probability that a man who is 50
and wife who is 45 will be alive 10 years hence?
Answer: 0.7221

33

4. Three groups of children contain respectively 3
girls and 1 boy; 2 girls and 2 boys; 1 girl and 3
boys. One child selected at random from each
group, what is the probability that the three
selected consist of 1 girl and 2 boys?
Answer: 13/32

34
Independent and dependent

events: Final Words
Two events are said to be independent if the result of the
second event is not affected by the result of the first event.

If A and B are independent events, the probability of both
events occurring is the product of the probabilities of the
individual events
If the result of one event IS affected by the result of another event, the
events are said to be dependent.
If A and B are dependent events, the probability of both events occurring
is the product of the probability of the first event and the probability of the
second event once the first event has occurred.
35
Bayes Theorem
Preliminary definitions and theorem:
Definition: Let S be a set and let P = {A1, A2 , Am}
be a collection of subsets of S. The collection P is
called a partition of S if
(a)
(b)

36
Bayes Theorem Continue

Theorem:
If the events
constitute a partition of
the sample space S and
= 1, 2, ...,m,
then for any event A in S . then

37
Bayes Theorem Continue

Bayes Theorem:
If the events
constitute a partition of
the sample space S and
= 1, 2, ...,m,
then for any event A in S such that
Proof and Examples Sahoo page 37+

38
References
1. Sahoo, P. Probability and Mathematical
Statistics; 2008

39

Probability Theory Lecture Notes

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Sample Space Continue

Professor Dr. Amina A. Saleh & Dr. Hibato -Allah El-Bahnasawy

Sample Space Continue

Sample Space Continue

Sample Space Continue

Sample Space Continue

Professor Dr. Amina A. Saleh & Dr. Hibato -Allah El-Bahnasawy

A pair of dice is rolled. Two possible events are rolling a

F for j =1, 2,3,.then

is called an event space or a -field.

Professor Dr. Amina A. Saleh & Dr. Hibato -Allah El-Bahnasawy

Then an event space is

Professor Dr. Amina A. Saleh & Dr. Hibato -Allah El-Bahnasawy

Let S be the sample space of a random experiment. A probability

( [0, 1] is a set function which assigns real numbers to

the various events of S satisfying

The above three conditions are called axioms of a probability

* Sahoo pages 13- 17

Professor Dr. Amina A. Saleh & Dr. Hibato -Allah El-Bahnasawy

Important Theorems Continue

Professor Dr. Amina A. Saleh & Dr. Hibato -Allah El-Bahnasawy

Important Theorems Continue

Important Theorems Continue

Some Properties of the

If A be any event of the sample space S, then

Professor Dr. Amina A. Saleh & Dr. Hibato -Allah El-Bahnasawy

Professor Dr. Amina A. Saleh & Dr. Hibato -Allah El-Bahnasawy

for the probabilities of three mutually exclusive

Conditional probabilities Continue

Theorem*: Let A,B

S. If A and B are independent and

Professor Dr. Amina A. Saleh & Dr. Hibato -Allah El-Bahnasawy

Independent Events Continue

Independent Events Continue

Independent Events Continue

Professor Dr. Amina A. Saleh & Dr. Hibato -Allah El-Bahnasawy

Independent Events Continue

Professor Dr. Amina A. Saleh & Dr. Hibato -Allah El-Bahnasawy

Independent and dependent

second event is not affected by the result of the first event.

Professor Dr. Amina A. Saleh & Dr. Hibato -Allah El-Bahnasawy

Bayes Theorem Continue

Professor Dr. Amina A. Saleh & Dr. Hibato -Allah El-Bahnasawy

Bayes Theorem Continue

Proof and Examples Sahoo page 37+

Professor Dr. Amina A. Saleh & Dr. Hibato -Allah El-Bahnasawy

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