概率统计D 01.03 概率的公理化定义及概率的性质

$\color{blue}{\S 1.3 概率的公理化定义及概率的性质}$

${\color{blue}{定义:设E是一个随机试验, \Omega是基本空间, \\ 对E的每一个事件A,如果存在着一个实数(记作P(A)),\\ 它满足以下三个条件: \\ (i) P(A) \geq 0,(非负性); \\ (ii) P(\Omega) = 1,(规范性); \\ (iii) 对于两两互不相容的事件, A_1, A_2, \cdots, 有\\ \qquad P(A_1 \cup A_2 \cup \cdots) = P(A_1) + P(A_2) + \cdots , \\ \qquad \Big( P(\sum \limits _ {i = 1} ^ {\infty} A_i) = \sum \limits _ {i = 1} ^ {\infty} P(A_i) \Big) \quad (可列可加性) \\ 则称P(A)为事件A的概率. }}$

$性质1.P(\phi) = 0.$
$证:由\phi = \phi \cup \phi \cup \cdots, 再根据可列可加性,有 \\ \qquad P(\phi) = P(\phi) + P(\phi) + P(\phi) + \cdots, \\ 又因为 P(\phi) \geq 0,所以必有 P(\phi) = 0 .$

$性质2.设A_1, A_2, \cdots, A_n为n个互不相容的事件,则有 \\ P(\bigcup \limits _ {i = 1}^{n} A_i) = \sum \limits _ {i = 1} ^ {n} P(A_i) \\ \Big( P(\sum \limits _ {i = 1} ^ {n} A_i ) = \sum \limits _ {i =1} ^ {n} P(A_i) \Big) \quad (有限可加性).$
$证:令 A_{n+1} = A_{n+2} = \cdots = \phi, \\ 则A_1, A_2, \cdots, A_n, A_{n + 1}, A_{n+2}, \cdots 为\\ 两两互不相容的事件,由可列可加性及性质1,有 \\ P(\bigcup \limits _ {i = 1} ^ {n} A_i) = P(\bigcup \limits _ {i = 1} ^ {\infty} A_i) = \sum \limits _ {i = 1} ^ {\infty} P(A_i) = \sum \limits _{i = 1} ^ {n} P(A_i) .$

$性质3.对任意事件A,有P(A) = 1 - P( \bar A) 或 P( \bar A) = 1 - P(A). \\\\ 或P(A) + P(\bar A) = 1.$
$证:由于A与\bar A互不相容, 且 A \cup \bar A = \Omega, 所以有 \\ 1 = P(\Omega) = P(A \cup \bar A) = P(A) + P(\bar A), \\ 即 P(A) = 1 - P(\bar A) 或 P(\bar A) = 1 - P(A).$

$性质4.若 A \subset B,则有P(B - A) = P(B) - P(A),且P(A) \leq P(B).$
$证:由于A \subset B,则有B = A \cup (B - A),且 A \cap (B - A) = \phi. \\ 于是有P(B) = P(A \cup (B - A)) = P(A) + P(B - A), \\ 即P(B - A) = P(B) - P(A), \\ 再由P(B - A) \geq 0,\therefore 且P(A) \leq P(B).$

$性质5. 对于任一事件A,有 P(A) \leq 1$
$证: 因 A \subset \Omega, 则有 P(A) \leq P(\Omega) = 1.$

$性质6.对任意两个事件A与B,有P(A \cup B) = P(A) + P(B) - P(AB). \quad (加法公式)$
$证: A \cup B = A \cup (B - AB) , A(B - AB) = \phi, \\ 又 AB \subset B,因此有\\ P(A \cup B) = P(A \cup (B - AB)) = P(A) + P(B - AB) \\ = P(A) + P(B) - P(AB)$

$同时由P(AB) \geq 0 有 P(A \cup B) \leq P(A) + P(B)$

$推论:对任意三个事件A,B,C有 \\ P(A \cup B \cup C) = P(A) + P(B) + P(C) - P(AB) - P(AC) - P(BC) + P(ABC). \\ (多除少补原理)$

$例1.设P(A) = \dfrac{1}{4}, P(B) = \dfrac{1}{3}, A \subset B, \\ 求P( \bar A), P(B-A), P(A-B).$
$解:P(\bar A) = 1 - P(A) = 1 - \dfrac{1}{4} = \dfrac{3}{4}. \\ P(B - A) = P(B) - P(A) = \dfrac{1}{3} - \dfrac{1}{4} = \dfrac{1}{12}. \\ P(A - B) = P(\phi) = 0.$

$例2.设P(A) = P(B) = P(C) = \dfrac{1}{3}, P(AB) = P(AC) = \dfrac{1}{8}, \\ P(BC) = 0, 求P(\bar A), P(B - A), P(B \cup C), P(A \cup B \cup C).$
$解:P(\bar A) = 1 - P(A) = 1 - \dfrac{1}{3} = \dfrac{2}{3} \\ P(B - A) = P(B - AB) = P(B) - P(AB) = \dfrac{1}{3} - \dfrac{1}{8} = \dfrac{5}{24} \\ P(B \cup C) = P(B) + P(C) - P(BC) = \dfrac{1}{3} + \dfrac{1}{3} - 0 = \dfrac{2}{3} \\ 由于BC \supset ABC, 有0 \leq P(ABC) \leq P(BC) = 0, 于是P(ABC) = 0 \\ P(A \cup B \cup C) = P(A) + P(B) + P(C) \\ - P(AB) - P(AC) - P(BC) + P(ABC) \\ = \dfrac{3}{4}$