Introduction to Probability Theory note

1. Introduction
1.1. Deterministic and non-deterministic models
A deterministic model is one in which every set of variable states is uniquely determined by
parameters in the model and by sets of previous states of these variables. Hypothesize exact
relationships and it will be suitable when prediction error is negligible.
In a non-deterministic (stochastic/probabilistic) model, randomness is present, and variable states
are not described by unique values, but rather by probability distributions. Hypothesize two
components, which is deterministic and random error.
1.2. Review of set theory
Definition
Set is a collection of well-defined objects. These objects are called elements. Sets are usually
denoted by capital letters and elements by small letters. Membership for a given set can be
denoted by  to show belongingness and  to say not belong to the set.
Description of sets: Sets can be described by any of the following three ways. That is the
complete listing method (all element of the set are listed), the partial listing method (the elements
of the set can be indicated by listing some of the elements of the set) and the set builder method
(using an open proposition to describe elements that belongs to the set).
Example: The possible outcomes in tossing a six side die
S = {1, 2, 3, 4, 5, 6} or S = {1, 2, . . ., 6} or S = {x: x is an outcome in tossing a six side die}
Types of set
Universal set is a set that contains all elements of the set that can be considered the objects of
that particular discussion.
Empty or null set is a set which has no element, denoted by {} or 
Finite set is a set which contains a finite number of elements. (eg.{x: x is an integer, 0 < x < 5})
Infinite set is a set which contains an infinite number of elements. (eg. {x : x   , x > 0})
Sub set: If every element of set A is also elements of set B, set A is called sub sets of B, and
denoted by A  B.
Proper subset: For two sets A and B if A is subset of B and B is no t sub set of A, then A is said
to be a proper subset of B. Denoted by A  B.

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Introduction to Probability Theory note

Equal sets: Two sets A and B are said to be equal if elements of set A are also elements of set B.
Equivalent sets: Two sets A and B are said to be equivalent if there is a one to one
correspondence between elements of the two sets.
Set Operation and their Properties
There are many ways of operating two or more set to get another set. Some of them are discussed
below.
Union of sets: The union of two sets A and B is a set which contains elements which belongs to
either of the two sets. Union of two sets is denoted by  , A  B (A union B).
Inte rsection of sets: The intersection of two sets A and B is a set which contains elements which
belongs to both sets A and B. Intersection of two sets is denoted by  , A  B
(A intersection B).
Disjoint sets are two sets whose intersection is empty set.
Absolute comple ment or complement: Let U is the universal set and A be the subset of U, then
the complement of set A, denoted by Ac is a set which contains elements in U but
does not belong in A.
Relative complement (or diffe rences): The difference of set A with respected to set B, written
as A  Bc (or A – B) is a set which contain elements in A that doesn`t belong in B.
Symmetric difference: For two sets A and B denoted by A  B is a set which contain elements
which belong in A but not in B and contain elements which belong in B but not in
A. That is, A  B is a set which equals to (A  Bc)  (B  Ac).

Basic Properties of the Set Operations

Let U be the universal set and sets A, B, C are sets in the universe, the following properties will
hold true.
1. A  B = B  A (Union of sets is commutative)
2. A  (B  C) = (A  B)  C = A  B  C (Union of sets is associative)
3. A  B = B  A (Intersection of sets is commutative)
4. A  (B  C) = (A  B)  C = A  B  C (Intersection of sets is associative)
5. A  (B  C) = (A  B)  (A  C) (union of sets is distributive over Intersection)
6. A  (B  C) = (A  B)  (A  C) (Intersection of sets is distributive over union)

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Introduction to Probability Theory note

7. If A  B, then Bc  Ac
8. A   = A and A   = 

9. A  U = U and A  U = A
10. (A  B)c = Ac  Bc De Morgan’s rule
11. (A  B)c = Ac  Bc De Morgan’s rule
12. A = (A  B)  (A  Bc)

In many problems of probability, we are interested in events that are actually combinations of
two or more events formed by unions, intersections, and complements. Since the concept of set
theory is of vital importance in probability theory, we need a brief review.

 The union of two sets A and B, A  B, is the set with all elements in A or B or both.

 The intersection of A and B, A  B, is the set that contains all elements in both A & B.

 The complement of A, Ac, is the set that contains all elements in the universal set U that are
not found in A.

1.3 Random Experiments, Sample Space and Events

Random experime nts
An experiment is the process by which an observation (measurement) is obtained. Results of
experiments may not be the same even through conditions are identical. Such experiments are
called random experiments.
Example :
a. If we are tossing a fair die the result of the experiment is that it will come up with one of
the following numbers in the set S = {1, 2, 3, 4, 5, 6}
b. If an experiment consists of measuring “lifetimes” of electric light bulbs produced by a
company, then the result of the experiment is a time t in hours that lies in some interval
say, 0 ≤ t ≤ 4000 where we assume that no bulb lasts more than 4000 hours.

Sample space
Sample space is the set of all possible outcomes of a random experiment. It is denoted by
S. Each outcome is called sample point.

Event: An event is a subset of the sample space S.

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Introduction to Probability Theory note

Simple event: If an event E consists of a single outcome, then it is called a simple or elementary
event.

Impossible event: This is an event which will never occur.

Comple ment of an event: The complement of event A (denoted by Ac or A ), consists of all

the sample points in the sample space that are not in A.

Mutually exclusive events: Two events A and B are said to be mutually exclusive if they cannot
occur simultaneously (i.e. A  B   ). The intersection of mutually exclusive sets is empty set.

Independent events: Two events are said to be independent if the occurrence of one is not
affected by, and does not affect, the other. If two events are not independent, then they are said
to be dependent.

Example : In an experiment of rolling a fair die, S = {1, 2, 3, 4, 5, 6}, each sample point is an
equally likely outcome. It is possible to define many events on this sample space as
follows:

A = {1, 4}: the event of getting a perfect square number.

B = {2, 4, 6}: the event of getting an even number.

C = {1, 3, 5}: the event of getting an odd number.

E = the event of getting number 8.

Then, Ac  2,3,5,6; B and C are complementary and E is an impossible event.

Example : In tossing a coin the sample space S is S = {Head, Tail. The events will be
A = {Head, Tail}, B = { Head}, C = { Tail } and D = {}.

1.4. Finite, infinite sample space and equally likely outcomes

If a sample space has finite number of points, it is called a finite sample space. If it has as many
point as natural numbers1, 2, 3,…it is called a countable infinite sample space. If it has as many
point as there are in some interval, such as 0 <x< 1, it is called a noncountable infinite sample
space. A sample space which is finite or countable infinite is often called a discrete sample space
while a set which is non countable infinite is called continuous sample space.

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Introduction to Probability Theory note

Equally Likely Outcomes

Equally likely If each out come in an experiment has the same chance to occur, then the
outcomes are said to be equally likely.

If we have n equally likely outcomes in the sample space then the probability of the ith sample

point xi is p (xi) = , where xi can be the first, second,... or the nth outcome.

Example : In an experiment tossing a fair die, the outcomes are equally likely (each outcome is
equally probable). Hence,P(xi = 1) = P(xi = 2) = P(xi = 3) = P(xi = 4) = P(xi = 5) = P(xi = 6) =

1.5. Counting Techniques

In many cases the number of sample points in a sample space is not very large, and so direct
enumeration or counting of sample points used to obtain probabilities is not difficult. However,
problems arise where direct counting becomes a practical impossibility. To avoid such
difficulties we apply the fundamental principles of counting (counting techniques).
Multiplication Rule
Suppose a task is completed in k stages by carrying out a number of subtasks in each one of the k
stages. If in the first stage the task can be accomplished in n1 different ways and after this in the
second stage the task can be accomplished in n2 different ways, . . . , and finally in the kth stage
the task can be accomplished in nk different ways, then the overall task can be done in
n1 ×n2 ×・・・×nk different ways.

Example : Suppose that a person has 2 different pairs of trousers and 3 shirts. In how many ways
can he wear his trousers and shirts?

Solution: He can choose the trousers in n1  2 ways, and shirts in n 2  3 ways.

Therefore, he can wear in n1  n2  2  3  6 possible ways.

Example : How many four-digit numbers can be formed from the digits 1, 2, 5, 6 and 9
a) if each digit can be used only once?
b) if digit repetition is allowed?
Solutions: a) We have a total of 5*4*3*2= 120 four digit numbers.

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Introduction to Probability Theory note

b) We have a total of 5*5*5*5 = 625 four digit numbers.

Permutations
Suppose that we are given n distinct objects and wish to arrange r of these objects in a line. Since
there are n ways of choosing the 1 st object, and after this is done, n - 1 ways of choosing the 2nd
object, . . . , and finally n - r + 1 ways of choosing the rth object, it follows by the fundamental
principle of counting that the number of different arrangements or permutations is given by
n(n - 1)(n - 2) . . . (n - r + 1) = n Pr where it is noted that the product has r factors.
We call n Pr the number of permutations of n objects taken r at a time and is given by

nP r =
–

When r = n, the above equation becomes nPn = = n! which is called n factorial.

Note: 0! = 1
Example : In one year, three awards (research, teaching, and service) will be given to a class
of 25 graduate students in a statistics department. If each student can receive atmost one award,
how many possible selections are there?
Solution:Since the awards are distinguishable, it is a permutation problem. The total number of
sample points is
25! 25!
25 P3 = = = (25)(24)(23) = 13, 800.
(25  3)! 22!
Example:A president and a treasurer are to be chosen from a student club consisting of 50
people. How many different choices of officers are possible if there are no restrictions?

Solution: The total number of choices of officers, without any restrictions, is

50! 50 !
50 P2 =  = (50)(49) = 2450.
(50  2)! 48!
Remark
If a set consists of n objects of which n1 are of one type (i.e., indistinguishable from each other),
n2 are of a second type, . . . , nk are of a kth type. Then the number of different permutations of

the objects is given by:

n
pn n
,
1 2
,.. ., nk
=

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Introduction to Probability Theory note

Example : How many different letter arrangements can be made from the letters in the word
“STATISTICS”?
Solution:Here we have 10 total letters, with 2 letters (S, T) appearing 3 times each, letter I
appearing twice, and letters A and C appearing once each
10!
Therefore, there are  50,400 letter arrangements
3!3!1!2!1!

Combinations
In permutation we are interested in the order of arrangement of the objects. In many problems,
however, we are interested only in selecting or choosing objects without regard to order. Such
selections are called combinations.
The total number of combinations of r objects selected from n (also called the combinations of n
n
objects taken r at a time) is denoted by or C r
is given by

Example : In how many ways can a committee of 2 students be formed out of 6?

 6 6! 65
Solution:      15 .
 2  2!.4! 2!

Example: Out of 5 male workers and 7 female workers of a factory, a task force consisting of 5
workers is to be formed. In how many ways can this be done if the task force will consist of
(a) 2 male and 3 female workers?
(b) all female workers?
(c) at least 3 male workers?
Solution:
 5  7  5! 7!
a)       350
 2  3  2!3! 3!4!

 5  7  5! 7!
b)       21
 0  5  0!5! 5!2!

 5  7   5  7   5  7 
c)             210  35  1  246
 3  2   4 1   5  0 

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Introduction to Probability Theory note

1.6. Definitions of Probability

In any random experiment there is always uncertainty as to whether a particular event will or will
not occur. As a measure of the chance, or probability, with which we can expect the event to
occur, it is convenient to assign a number between 0 and 1. If we are sure or certain that the
event will occur, we say that its probability is 1, but if we are sure that the event will not occur,
we say that its probability is zero.
There are different procedures by means of which we can define or estimate the probability of an
event. These procedures are discussed below:

1. Classical Approach
Let S be a sample space, associated with a certain random experiment and consisting of finitely
many sample points n, say, each of which is equally likely to occur whenever the random
experiment is carried out. Then the probability of any event A, consisting of k sample points (0 ≤

k ≤ n), is given by: P(A) =

Example : What is the probability that an odd number will turn up in rolling a fair die?

Solution: S ={1, 2, 3, 4, 5, 6}; let A ={1, 3, 5}. For a fair die, P(1)=P(2) =  =P(6)=1/6; then,
k 3 1
P( A)    .
n 6 2

Example : In an experiment of tossing a fair coin three times, find the probability of getting

exactly two heads

Solution: For each toss, there are two possible outcomes, head (H) or tail (T). Thus, the number
of possible outcomes is n =2x2x2=8.

The sample space is S = {HHH, HHT, HTH, HTT, THH, THT, TTH, TTT}

If E1 = an event of getting 2 heads, then E1 = {HHT, HTH, THH}, &n( E1 )= k = 3.

Therefore, P(E1 ) = = .

Example : Out of 5 male workers and 7 female workers of a factory, a task force consisting of 5
workers is to be formed. What is the probability that the task force will consist of
(a) 2 male and 3 female workers?
(b) all female workers?

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Introduction to Probability Theory note

(c) at least 3 male workers?

12 
Solution: Total possible committee = n(S) =    792
 
5

 5  7 
a) Let A = 2 male and 3 female workers , n(A) =     350
 2  3 

n( A) 350
Hence, P(A) =  = 0.442
n( S ) 792

 5  7 
  
b) P(all female )     
0 5 21
 0.0265
12  792
 
5 

246
c) P(at least 3 male)   0.312
792
2. Relative Frequency Approach

Let N(A) be the number of times an event A occurs in N repetitions of a random experiment, and

assume that the relative frequency of A, , converges to a limit as N →∞. This limit is

denoted by P(A) and is called the probability of A.

Example : If records show that 60 out of 100,000 bulbs produced are defective. What is the
probability of a newly produced bulb to be defective?
Solution: Let A be the event that the newly produced bulb is defective.
60
P(A) =  0.0006
100,000

Axioms of probability

Probability is a function defined for each event of a sample space S, taking on values in the real
line  , and satisfying the following three properties (or axioms of probability). We write P(A)
for the probability of event A occurs
Axiom 1: P(A) ≥ 0 for every event A

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Introduction to Probability Theory note

Axiom 2: P(S) = 1 , where S = sample space (sure or certain event)

Axiom 3: If A1 , A2 , A3 ,…,An are mutually exclusive events (meaning Ai  Aj =  , i ≠ j),
n
then    = = P(A)
i 1
i

1.7. Derived Theorems of Probability

Theorem 1: P(A) ≤1, for any event A

Theorem 2:If Ac is the complement of A, then P(Ac ) = 1 - P(A)

Theorem 3: P(  ) = 0, where is  empty set

Theorem 4: If A and B are any two events, then P(A  B) = P(A) + P(B) - P(A  B)
More generally, if A, B, C are any three events, then
P(A  B  C) = P(A) + P(B) + P(C) - P(A  B) - P(B  C) - P(A  C)+ P(A  B  C)
Theorem 5: For any events A and B, P(A) = P(A  B) + P(A  Bc),since (A  B) and
(A  Bc) are mutually .exclusive.

Example : In a c lass of 200 students, 138 are enro lled in a mathematics course, 115 are
enrolled in statistics, and 91 are enrolled in both. What percent of these students take

a) Either mathematics or statistics c) statistics but not mathematics

b) Neither mathematics nor statistics d) mathematics but not statistics
Solution: Let A = enrolled in mathematics, B = enrolled in statistics
138 115 91
a) P(A  B) =    0.69+0.575 - 0.455 =0.81
200 200 200
81% of the students take either course
b) P(A  B)c = 1- P(A  B) = 1- 0.81= 0.19. 19% of students take neither course
c) P(B  Ac) =P(B) – P(B  A) = 0.575-0.455=0.12.
12% of students take statistics but not mathematics
d) P(A  Bc) =P(A) – P(A  B) = 0.69-0.455=0.235
23.5% of students take mathematics but not statistics

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Introduction to Probability Theory note

2. Conditional Probability and Independence

2.1.Conditional Probability

Definition: The conditional probability of an event A, given that event B has occurred
P( A  B)
with P(B)>0, denoted by P(A|B), is defined as P(A|B) = . P(B)≠0
P( B)
Note:
 P(S|B) =1 , for any event B and S = sample space
 P(Ac|B)= 1 – P(A|B)
Example: A fair die is tossed once. What is the probability that the die shows a 4 given that the
die shows even number?
Let A = 4, B= 2, 4, 6, then A  B  4
1
P( A  B) 1
P(A|B) = = 6 
P( B) 3 3
6
Example : A random sample of 200 adults are classified below by sex and their level
of education attained.
Education Male Female
Elementary 38 45
Secondary 28 50
College 22 17
If a person is picked at random from this group, find the probability that
(a) the person is a male given that the person has a secondary education
(b) the person does not have a college education given that the person is a female.
Solution: Let S= the person has secondary education, M = the person is male, F = the person is
female,C = the person has college education and Cc =the person does not have college education

28
P( M  S ) 200  28
a) P(M|S) = =
P( S ) 78 78
200
95
c P(C c  F ) 200  95
b) P(C |F) = =
P( F ) 112 112
200

2.2 Multiplication Rule

If in an experiment the events A and B can both occur, then P(A ∩ B) = P(A)P(B|A), provided
P(A) >0.Thus, the probability that both A and B occur is equal to the probability that

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Introduction to Probability Theory note

A occurs multiplied by the conditional probability that B occurs, given that A occurs.

Example: Suppose that we have a fuse box containing 20 fuses, of which 5 are defective. If
2 fuses are selected at random and removed from the box in succession without replacing the
first, what is the probability that both fuses are defective?
Solution: let A be the event that the first fuse is defective and B the event that the second fuse is
defective; then A ∩ B = both fuses are defective
The probability of first removing a defective fuse is ¼ (that is (P(A) =1/4); then the probability
that the second fuse is defective given that the first fuse is defective is 4/19 (i.e. P(B|A) =4/19)
1 4 1
Hence, P(A ∩ B) = P(A)P(B|A) =  
4 19 19

Multiplication rule (Multiplicative Theorem)

In general, If, in an experiment, the events A1 , A2 , . . . , Ak can occur, then
P(A1 ∩ A2 ∩ ·· · ∩Ak ) = P(A1 )P(A2 |A1)P(A3 |A1 ∩ A2 ) · · · P(Ak |A1 ∩ A2 ∩ · · · ∩ Ak-1 ).
.
Example: Three balls are drawn in succession, without replacement, from a box containing
6 red and 4 blue balls. Find the probability that three of them are red.
Solution: First we define the events
A1 : the first ball is a red,
A2 : the second ball is red,
A3 : the third ball is red
Required: P( A1  A2  A3 ) =?
6 3 5 4 1
Now, P(A1 ) =  , P( A2 A1 )  , P( A3 A1  A2 )  
10 5 9 8 2

Hence, P(A1 ∩ A2∩ A3 ) = P(A1 )P(A2 |A1 )P(A3 |A1 ∩ A2 )

3 5 1 1
P(three of them are red) = P(A1 ∩ A2 ∩ A3 ) =   
5 9 2 6

2.3. Theorem of total probability and Bayes’ Theorem

Partition of sample space : A collection of events {B1 ,B2 , . . . ,Bn } of a sample space S is called
a partitionof S if B1 , B2 , . . . , Bn are mutually exclusive and B1 ∪ B2 ∪ ·· · ∪ Bn = S.

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Introduction to Probability Theory note

Theorem of total probability

If the events B1 , B2 , . . . , Bn constitute a partition of the sample space S such that
P(Bi) ≠0 for i= 1, 2, . . . , n, then for any event A of S,
P(A) = P(A ∩ B1 ) + P(A ∩B2 ) + P(A ∩B3 ) + . . . + P(A ∩ Bn )
=P(B1 )P(A\B1 ) + P(B2 )P(A\B2 ) + . . . + P(Bn )P(A\Bn )
Example:In a certain assembly plant, three machines, B1 , B2 , and B3 , make 30%, 45%, and25%,
respectively, of the products. It is known from past experience that 2%, 3%, and 2% of the
products made by each machine, respectively, are defective. Now, suppose that a finished
product is randomly selected. What is the probability that it is defective?
Solution:Consider the following events:
A: the product is defective,
B1 : the product is made by machine B1 ,
B2 : the product is made by machine B2 ,
B3 : the product is made by machine B3 .
Then, P(B1 ) = 0.3, P(B2 ) = 0.45, P(B3 ) = 0.25 , P(A|B1 ) =0.02, P(A|B2 ) = 0.03, P(A|B3 ) = 0.02
Applying the theorem of total probability,
P(A) = P(B1 )P(A|B1 ) + P(B2 )P(A|B2 ) + P(B3 )P(A|B3 ).
= (0.3)(0.02)+ (0.45)(0.03)+ (0.25)(0.02)= 0.006+0.0135+ 0.005= 0.0245

Baye`s Theore m or Rule

Suppose that B1 , B2 , . . .,Bn are partitions of the sample space ( they are mutually exclusive events
whose union is the sample space S). Then if A is any event, we have the followin theorem:
P ( B r ) P ( A Br )
P( Br A)  n

 P( B ) P ( A B )
i 1
i i

Example : With reference to above Example, if a product was chosen randomly and found tobe
defective, what is the probability that it was made by machine B3 ?
Solution : Using Bayes’ rule
P( B3 ) P( A B3 )
P(B3 /A)=
P( B1 ) P( A B1 )  P( B2 ) P( A B2 )  P( B3 ) P( A B3 )
and then substituting the probabilities calculated in the above Example, we have

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Introduction to Probability Theory note

0.005 0.005 10
P( B3 A)   
0.006  0.0135  0.005 0.0245 49

Example :An instructor has taught probability for many years. The instructor has found that 80%
of students who do the homework pass the exam, while 10% of students who don’t do the
homework pass the exam. If 60% of the students do the homework,
a) What percent of students pass the exam?
b) Of students who pass the exam, what percent did the homework?
Solution: consider the events,
A: the student passes the exam
B: the student does the home work
Bc : the student does not do the home work
Now, P(A|B) = 0.8, P(A|Bc) = 0.1, P(B) = 0.6, P(Bc) =0.4
a) Applying the theorem of total probability,
P(A) = P(B)P(A|B) + P(Bc)P(A|Bc) = (0.6)(0.8) + (0.4)(0.1) = 0.48+0.04 = 0.52
52% of students pass the exam
b) Applying Bayes’ rule,
P( B)( A B) 0.48
P(B|A) =   0.9231
P( B) P( A B)  P( B c ) P( A B c ) 0.48  0.04

Of students who pass the exam, 92.31% did the homework.

2.4 Independent Event

Definition: Two events A and B are said to be independent (in the probability sense)
if P(A∩ B) = P(A) P(B).
In other words, two events A and B are independent means the occurrence of one event A is not
affected by the occurrence or non-occurrence of B and vice versa.
Remark
If two events A and B are independent, then P(B\A) = P(B), for P(A) > 0 and P(A|B) = P(A)
where P(B) > 0.
The definition of independent event can be extended in two or more than two event as follow:

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Introduction to Probability Theory note

Definition: The events A1 , A2 , . . . ,An are said to be independent (statistically or stochastically

or in the probability sense) if, for all possible choices of k out of n events (2 ≤ k ≤ n), the
probability of their intersection equals the product of their probabilities.
More formally, a collection of events A={A1 , A2 , . . .,An }are mutually independent if for any
subset of A, Ai1 , Ai2 , . . ., Aik for 2 ≤ k ≤ n, we have P( Ai1  ... Aik )  P( Ai1 ) . . . P( Aik )

NB: If at least one of the relations violates the above equation, the events are said to be
dependent.

The three events, A1 , A2 and A3 ,are independent if the following four conditions are satisfied.
P(A1 ∩A2 ) = P(A1 ) P(A2 ),
P(A1 ∩A3 ) = P(A1 ) P(A3 ),
P(A2 ∩A3 ) = P(A2 ) P(A3 ),
P(A1 ∩A2 ∩A3 ) = P(A1 ) P(A2 ) P(A3 ).
The first three conditions simply assert that any two events are independent, a property known as
pair wise independence. But the fourth condition is also important and does not follow from the
first three. Conversely, the fourth condition does not imply the first three conditions.

NB: The equality P(A1 ∩ A2 ∩ A3 ) = P(A1 )P(A2 )P(A3 ) is not enough for independence.

Example: Consider two independent rolls of a fair die, and the fo llowing events:
A = {1st roll shows 1, 2, or 3},
B = {1 st roll shows 3, 4, or 5},
C = {the sum of the two rolls is 9}.

We have

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Introduction to Probability Theory note

Thus the three events A, B, and C are not independent, and indeed no two of these events are
independent. On the other hand, we have

Note: If the events A and B are independent, then all three sets of events are also independent:
A and Bc ; Ac and B; Ac and Bc

Example : If A and B are independent, then show that A and Bcare also independent.
Proof:
We need to show P(A  B c )  P( A) P( B c )
From set and probability theory, P(A) = P(A  B) + P(A  Bc)
So, P(A  Bc) = P(A) – P(A  B)
= P(A) – P(A)P(B), A and B are independent (given)
= P(A) 1  P( B)
P(A  Bc) = P(A)P(Bc), hence proved.

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