Fundamentals of Applied

Probability and Random

Processes
,nd
2 n a Edition

Oliver C. Ibe
University of Massachusetts, LoweLL, Massachusetts

iP^§W®|>!^ AMSTERDAM • BOSTON • HEIDELBERG • LONDON

NEW YORK • OXFORD • PARIS • SAN DIEGO
SAN FRANCISCO • SINGAPORE • SYDNEY • TOKYO
P . | j ^ I""*, V X _ t / X V Academic Press is an imprint of Elsevier
Contents

ACKNOWLEDGMENT xiv
PREFACE TO THE SECOND EDITION xvi
PREFACE TO FIRST EDITION xix

CHAPTER 1 Basic Probability Concepts 1

1.1 Introduction 1
1.2 Sample Space and Events 2
1.3 Definitions of Probability 4
1.3.1 Axiomatic Definition 4
1.3.2 Relative-Frequency Definition 4
1.3.3 Classical Definition 4
1.4 Applications of Probability 6
1.4.1 Information Theory 6
1.4.2 Reliability Engineering 7
1.4.3 Quality Control 7
1.4.4 Channel Noise 8
1.4.5 System Simulation 8
1.5 Elementary Set Theory 9
1.5.1 Set Operations 9
1.5.2 Number of Subsets of a Set 10
1.5.3 Venn Diagram 10
1.5.4 Set Identities 11
1.5.5 Duality Principle 13
1.6 Properties of Probability 13
1.7 Conditional Probability 14
1.7.1 Total Probability and the Bayes' Theorem 16
1.7.2 Tree Diagram 22
1.8 Independent Events 26
1.9 Combined Experiments 29
 1.10 Basic Combinatorial Analysis 30
1.10.1 Permutations 30
1.10.2 Circular Arrangement 32
1.10.3 Applications of Permutations in Probability 33
1.10.4 Combinations 34
1.10.5 The Binomial Theorem 37
1.10.6 Stirling's Formula 37
1.10.7 The Fundamental Counting Rule 38
1.10.8 Applications of Combinations in Probability 40
1.11 Reliability Applications 41
1.12 Chapter Summary 46
1.13 Problems 46
Section 1.2 Sample Space and Events 46
Section 1.3 Definitions of Probability 47
Section 1.5 Elementary Set Theory 48
Section 1.6 Properties of Probability 50
Section 1.7 Conditional Probability 50
Section 1.8 Independent Events 52
Section 1.10 Combinatorial Analysis 52
Section 1.11 Reliability Applications 53
CHAPTER 2 Random Variables 57
2.1 Introduction 57
2.2 Definition of a Random Variable 57
2.3 Events Defined by Random Variables 58
2.4 Distribution Functions 59
2.5 Discrete Random Variables 61
2.5.1 Obtaining the PMF from the CDF 65
2.6 Continuous Random Variables 67
2.7 Chapter Summary 72
2.8 Problems 73
Section 2.4 Distribution Functions 73
Section 2.5 Discrete Random Variables 75
Section 2.6 Continuous Random Variables 77
CHAPTER 3 Moments of Random Variables 81
3.1 Introduction 81
3.2 Expectation 82
3.3 Expectation of Nonnegative Random Variables 84
3.4 Moments of Random Variables and the Variance 86
3.5 Conditional Expectations 95
3.6 The Markov Inequality 96
3.7 The Chebyshev Inequality 97
 Contents

3.8 Chapter Summary 98

3.9 Problems 98
Section 3.2 Expected Values 98
Section 3.4 Moments of Random Variables and the
Variance 100
Section 3.5 Conditional Expectations 101
Sections 3.6 and 3.7 Markov and Chebyshev
Inequalities 102
CHAPTER 4 Special P r o b a b i l i t y D i s t r i b u t i o n s 103
4.1 Introduction 103
4.2 The Bernoulli Trial and Bernoulli Distribution 103
4.3 Binomial Distribution 105
4.4 Geometric Distribution 108
4.4.1 CDF of the Geometric Distribution 111
4.4.2 Modified Geometric Distribution 111
4.4.3 "Forgetfulness" Property of the Geometric
Distribution 112
4.5 Pascal Distribution 113
4.5.1 Distinction Between Binomial and Pascal
Distributions 117
4.6 Hypergeometric Distribution 118
4.7 Poisson Distribution 122
4.7.1 Poisson Approximation of the Binomial
Distribution 123
4.8 Exponential Distribution 124
4.8.1 "Forgetfulness" Property of the Exponential
Distribution 126
4.8.2 Relationship between the Exponential and
Poisson Distributions 127
4.9 Erlang Distribution 128
4.10 Uniform Distribution 133
4.10.1 The Discrete Uniform Distribution 134
4.11 Normal Distribution 135
4.11.1 Normal Approximation of the Binomial
Distribution 138
4.11.2 The Error Function 139
4.11.3 The Q-Function 140
4.12 The Hazard Function 141
4.13 Truncated Probability Distributions 143
4.13.1 Truncated Binomial Distribution 145
4.13.2 Truncated Geometric Distribution 145

0
SSSiiSMefSSSftS'J -fe v

4.13.3 Truncated Poisson Distribution 145

4.13.4 Truncated Normal Distribution 146
4.14 Chapter Summary 146
4.15 Problems 147
Section 4.3 Binomial Distribution 147
Section 4.4 Geometrie Distribution 151
Section 4.5 Pascal Distribution 152
Section 4.6 Hypergeometric Distribution 153
Section 4.7 Poisson Distribution 154
Section 4.8 Exponential Distribution 154
Section 4.9 Erlang Distribution 156
Section 4.10 Uniform Distribution 157
Section 4.11 Normal Distribution 158
CHAPTER 5 Multiple Random Variables 159
5.1 Introduction 159
5.2 Joint CDFs of Bivariate Random Variables 159
5.2.1 Properties of the Joint CDF 159
5.3 Discrete Bivariate Random Variables 160
5.4 Continuous Bivariate Random Variables 163
5.5 Determining Probabilities from a Joint CDF 165
5.6 Conditional Distributions 168
5.6.1 Conditional PMF for Discrete Bivariate
Random Variables 168
5.6.2 Conditional PDF for Continuous Bivariate
Random Variables 169
5.6.3 Conditional Means and Variances 170
5.6.4 Simple Rule for Independence 171
5.7 Covariance and Correlation Coefficient 172
5.8 Multivariate Random Variables 176
5.9 Multinomial Distributions 177
5.10 Chapter Summary 179
5.11 Problems 179
Section 5.3 Discrete Bivariate Random Variables 179
Section 5.4 Continuous Bivariate Random Variables 180
Section 5.6 Conditional Distributions 182
Section 5.7 Covariance and Correlation Coefficient 183
Section 5.9 Multinomial Distributions 183

CHAPTER 6 F u n c t i o n s of R a n d o m V a r i a b l e s 185
6.1 Introduction 185
6.2 Functions of One Random Variable 185
6.2.1 Linear Functions 185
 Contents

6.2.2 Power Functions 187

6.3 Expectation of a Function of One Random Variable 188
6.3.1 Moments of a Linear Function 188
6.3.2 Expected Value of a Conditional Expectation 189
6.4 Sums of Independent Random Variables 189
6.4.1 Moments of the Sum of Random Variables 196
6.4.2 Sum of Discrete Random Variables 197
6.4.3 Sum of Independent Binomial Random
Variables 200
6.4.4 Sum of Independent Poisson Random Variables.. 201
6.4.5 The Spare Parts Problem 201
6.5 Minimum of Two Independent Random Variables 204
6.6 Maximum of Two Independent Random Variables 205
6.7 Comparison of the Interconnection Models 207
6.8 Two Functions of Two Random Variables 209
6.8.1 Application of the Transformation Method 210
6.9 Laws of Large Numbers 212
6.10 The Central Limit Theorem 214
6.11 Order Statistics 215
6.12 Chapter Summary 219
6.13 Problems 219
Section 6.2 Functions of One Random Variable 219
Section 6.4 Sums of Random Variables 220
Sections 6.4 and 6.5 Maximum and Minimum of
Independent Random Variables.... 221
Section 6.8 Two Functions of Two Random Variables... 222
Section 6.10 The Central Limit Theorem 222
Section 6.11 Order Statistics 223

CHAPTER 7 Transform Methods 225

7.1 Introduction 225
7.2 The Characteristic Function 225
7.2.1 Moment-Generating Property of the
Characteristic Function 226
7.2.2 Sums of Independent Random Variables 227
7.2.3 The Characteristic Functions of Some
Well-Known Distributions 228
7.3 The s-Transform 231
7.3.1 Moment-Generating Property of the s-Transform 231
7.3.2 The s-Transform of the PDF of the Sum of
Independent Random Variables 232
7.3.3 The s-Transforms of Some Well-Known PDFs 232
Confer

7.4 The z-Transform 236

7.4.1 Moment-Generating Property of the
z-Transform 239
7.4.2 The z-Transform of the PMF of the Sum of
Independent Random Variables 240
7.4.3 The z-Transform of Some Well-Known PMFs 240
7.5 Random Sum of Random Variables 242
7.6 Chapter Summary 246
7.7 Problems 247
Section 7.2 Characteristic Functions 247
Section 7.3 s-Transforms 247
Section 7.4 z-Transforms 249
Section 7.5 Random Sum of Random Variables 250
CHAPTER 8 I n t r o d u c t i o n to Descriptive S t a t i s t i c s 253
8.1 Introduction 253
8.2 Descriptive Statistics 255
8.3 Measures of Central Tendency 255
8.3.1 Mean 256
8.3.2 Median 256
8.3.3 Mode 257
8.4 Measures of Dispersion 257
8.4.1 Range 257
8.4.2 Quartiles and Percentiles 258
8.4.3 Variance 259
8.4.4 Standard Deviation 259
8.5 Graphical and Tabular Displays 261
8.5.1 Dot Plots 261
8.5.2 Frequency Distribution 262
8.5.3 Histograms 263
8.5.4 Frequency Polygons 263
8.5.5 Bar Graphs 264
8.5.6 Pie Chart 265
8.5.7 Box and Whiskers Plot 266
8.6 Shape of Frequency Distributions: Skewness 269
8.7 Shape of Frequency Distributions: Peakedness 271
8.8 Chapter Summary 272
8.9 Problems 273
Section 8.3 Measures of Central Tendency 273
Section 8.4 Measures of Dispersion 273
Section 8.6 Graphical Displays 274
Section 8.7 Shape of Frequency Distribution 274
 Contents

CHAPTER 9 I n t r o d u c t i o n to I n f e r e n t i a l Statistics 275

9.1 Introduction 275
9.2 Sampling Theory 276
9.2.1 The Sample Mean 277
9.2.2 The Sample Variance 279
9.2.3 Sampling Distributions 280
9.3 Estimation Theory 281
9.3.1 Point Estimate, Interval Estimate, and Confidence
Interval 283
9.3.2 Maximum Likelihood Estimation 285
9.3.3 Minimum Mean Squared Error Estimation 289
9.4 Hypothesis Testing 291
9.4.1 Hypothesis Test Procedure 291
9.4.2 Type I and Type II Errors 292
9.4.3 One-Tailed and Two-Tailed Tests 293
9.5 Regression Analysis 298
9.6 Chapter Summary 301
9.7 Problems 302
Section 9.2 Sampling Theory 302
Section 9.3 Estimation Theory 303
Section 9.4 Hypothesis Testing 303
Section 9.5 Regression Analysis 304
CHAPTER 10 I n t r o d u c t i o n to R a n d o m P r o c e s s e s 307
10.1 Introduction 307
10.2 Classification of Random Processes 308
10.3 Characterizing a Random Process 309
10.3.1 Mean and Autocorrelation Function 309
10.3.2 The Autocovariance Function 310
10.4 Crosscorrelation and Crosscovariance Functions 311
10.4.1 Review of Some Trigonometric Identities 312
10.5 Stationary Random Processes 314
10.5.1 Strict-Sense Stationary Processes 314
10.5.2 Wide-Sense Stationary Processes 315
10.6 Ergodic Random Processes 321
10.7 Power Spectral Density 323
10.7.1 White Noise 328
10.8 Discrete-Time Random Processes 329
10.8.1 Mean, Autocorrelation Function and
Autocovariance Function 329
10.8.2 Power Spectral Density of a Random Sequence.... 330
10.8.3 Sampling of Continuous-Time Processes 331
Conter

10.9 Chapter Summary 333

10.10 Problems 334
Section 10.3 Mean, Autocorrelation Function and
Autocovariance Function 334
Section 10.4 Crosscorrelation and Crosscovariance
Functions 335
Section 10.5 Wide-Sense Stationary Processes 336
Section 10.6 Ergodic Random Processes 339
Section 10.7 Power Spectral Density 339
Section 10.8 Discrete-Time Random Processes 342
CHAPTER 11 Linear S y s t e m s w i t h R a n d o m Inputs 34-5
11.1 Introduction 345
11.2 Overview of Linear Systems with Deterministic Inputs....345
11.3 Linear Systems with Continuous-Time Random Inputs...347
11.4 Linear Systems with Discrete-Time Random Inputs 352
11.5 Autoregressive Moving Average Process 354
11.5.1 Moving Average Process 355
11.5.2 Autoregressive Process 357
11.5.3 ARMA Process 360
11.6 Chapter Summary 361
11.7 Problems 361
Section 11.2 Linear Systems with Deterministic
Input 361
Section 11.3 Linear Systems with Continuous
Random Input 362
Section 11.4 Linear Systems with Discrete
Random Input 365
Section 11.5 Autoregressive Moving
Average Processes 367
CHAPTER 12 Special R a n d o m P r o c e s s e s 369
12.1 Introduction 369
12.2 The Bernoulli Process 369
12.3 Random Walk Process 371
12.3.1 Symmetric Simple Random Walk 372
12.3.2 Gambler's Ruin 373
12.4 The Gaussian Process 375
12.4.1 White Gaussian Noise Process 377
12.5 Poisson Process 378
12.5.1 Counting Processes 378
12.5.2 Independent Increment Processes 379
12.5.3 Stationary Increments 379
 12.5.4 Definitions of a Poisson Process 380
12.5.5 Interarrival Times for the Poisson Process 381
12.5.6 Conditional and Joint PMFs for Poisson
Processes 382
12.5.7 Compound Poisson Process 383
12.5.8 Combinations of Independent Poisson
Processes 385
12.5.9 Competing Independent Poisson Processes 386
12.5.10 Subdivision of a Poisson Process and the
Filtered Poisson Process 387
12.5.11 Random Incidence 388
12.6 Markov Processes 391
12.7 Discrete-Time Markov Chains 393
12.7.1 State Transition Probability Matrix 393
12.7.2 The n-Step State Transition Probability 393
12.7.3 State Transition Diagrams 395
12.7.4 Classification of States 396
12.7.5 Limiting-State Probabilities 399
12.7.6 Doubly Stochastic Matrix 402
12.8 Continuous-Time Markov Chains 404
12.8.1 Birth and Death Processes 406
12.9 Gambler's Ruin as a Markov Chain 409
12.10 Chapter Summary 411
12.11 Problems 411
Section 12.2 Bernoulli Process 411
Section 12.3 Random Walk 413
Section 12.4 Gaussian Process 414
Section 12.5 Poisson Process 415
Section 12.7 Discrete-Time Markov Chains 418
Section 12.8 Continuous-Time Markov Chains 423

APPENDIX 427
BIBLIOGRAPHY 429
INDEX 431