数学基础 Probability Theory

基础知识

概率的定义 Axioms of Probability:

  • Sample space Ω Ω : The set of all the outcomes of a random experiment.
  • Set of events(or event space) F : where each event A A ∈ F is a set containing zero or more outcomes (i.e., AΩ A ⊆ Ω is a collection of possible outcomes of an experiment).
  • Probability measure: A function P: P : F ⟶ R that satisfies the following propeties:
    • P(A)0 P ( A ) ≥ 0 for all A A ∈ F
    • P(Ω)=1 P ( Ω ) = 1
    • If A1,...,Ak A 1 , . . . , A k are disjoint events (i.e., AiAj= A i ∩ A j = ∅ whereever ij i ≠ j ), then P(iAi)=iP(Ai) P ( ∪ i A i ) = ∑ i P ( A i )

理解:以掷骰子为例, Ω Ω 就是所有的可能出现的点数集{1, 2, 3, 4, 5, 6}, F 包括了各种事件,比如{1, 2, 3, 4}, {奇数点数},{偶数点数}等等。

概率的基本属性:

  1. If ABP(A)P(B) If  A ⊆ B ⟹ P ( A ) ≤ P ( B )
  2. P(AB)min(P(A),P(B)) P ( A ∩ B ) ≤ min ( P ( A ) , P ( B ) )
  3. P(AB)P(A)+P(B) P ( A ∪ B ) ≤ P ( A ) + P ( B )
  4. P(ΩA)=P(A)=1P(A) P ( Ω ∖ A ) = P ( A ¯ ) = 1 − P ( A )
  5. If A1,...,Ak A 1 , . . . , A k are a set of disjoint events such that ki=1Ai=Ω ∪ i = 1 k A i = Ω , then ki=1P(Ak)=1 ∑ i = 1 k P ( A k ) = 1 .

条件概率:

P(A|B)=P(AB)P(B) P ( A | B ) = P ( A ∩ B ) P ( B )

P(A|B) P ( A | B ) is the probability measure of the event A after observing the occurrence of event B. Two events are independent if and only if P(AB)=P(A)P(B) P ( A ∩ B ) = P ( A ) P ( B ) or P(A|B)=P(A) P ( A | B ) = P ( A ) .

随机变量

扔10次硬币,出现的所有10个正反面(heads and tails)组合(考虑先后顺序)便是样本空间 Ω Ω ,比如 ω0=<H,H,T,H,T,H,H,T,T,T>Ω ω 0 =< H , H , T , H , T , H , H , T , T , T >∈ Ω . 实际问题中,我们往往不关心出现某个特定正反面序列的概率,而更关心real-valued functions of outcomes,比如十次中出现正面的次数,或者连续反面的最长长度,这些函数便是random variables随机变量。所以随机变量是一个函数!
Random variable X X is a function X : Ω R

  • Discrete random variable: P(X=k):=P({ ω:X(ω)=k}) P ( X = k ) := P ( { ω : X ( ω ) = k } )

  • Continuous random variable: P(aXb):=P({ ω:aX(ω)b}) P ( a ≤ X ≤ b ) := P ( { ω : a ≤ X ( ω ) ≤ b } )

CDFs, PDFs, PMFs

1.Cumulative distribution function (CDF) is a function FX:[0,1] F X : R ⟶ [ 0 , 1 ] such that

FX(x)P(Xx) F X ( x ) ≜ P ( X ≤ x )

By using this function one can calculate the probability of any event in F .
Properties:

  • 0FX(x)1 0 ≤ F X ( x ) ≤ 1 .
  • limxFX(x)=0 lim x → − ∞ F X ( x ) = 0 .
  • limxFX(x)=1 lim x → ∞ F X ( x ) = 1 .
  • xyFX(x)FX(y) x ≤ y ⟹ F X ( x ) ≤ F X ( y ) .

2.Probability mass function (PMF) is a function pX:Ω p X : Ω ⟶ R such that

pX(x)P(X=x) p X ( x ) ≜ P ( X = x )

Properties:

  • 0pX(x)1 0 ≤ p X ( x ) ≤ 1 .
  • xVal(X)pX(x)=1 ∑ x ∈ V a l ( X ) p X ( x ) = 1 , Val(X) V a l ( X ) is the set of all possible values X X may assume.
  • x A p X ( x ) = P ( X A ) ? .

3.Probability density functions (PDF) is the derivative of the CDF:

fX(x)dFX(x)dx
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