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    AMS 131: Introduction To Probability Theory (Spring 2013)

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    Alex Bardales
    This document summarizes key concepts from Chapter 2 of the course AMS 131: Introduction to Probability Theory. It defines conditional probability as Pr(A|B) = Pr(A intersect B) / Pr(B) and notes that conditional probability satisfies the three probability axioms. It also describes the multiplication rule for conditional probabilities and the definitions of independent and conditionally independent events. Finally, it introduces Bayes' theorem, the law of total probability, and provides the formula for calculating conditional probability using Bayes' theorem.

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    AMS 131: Introduction To Probability Theory (Spring 2013)

    Uploaded by

    Alex Bardales
    33 views1 page
    This document summarizes key concepts from Chapter 2 of the course AMS 131: Introduction to Probability Theory. It defines conditional probability as Pr(A|B) = Pr(A intersect B) / Pr(B) and notes that conditional probability satisfies the three probability axioms. It also describes the multiplication rule for conditional probabilities and the definitions of independent and conditionally independent events. Finally, it introduces Bayes' theorem, the law of total probability, and provides the formula for calculating conditional probability using Bayes' theorem.

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    course notes

    Original Title

    Formulas Ch2

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    This document summarizes key concepts from Chapter 2 of the course AMS 131: Introduction to Probability Theory. It defines conditional probability as Pr(A|B) = Pr(A intersect B) / Pr(B) and notes that conditional probability satisfies the three probability axioms. It also describes the multiplication rule for conditional probabilities and the definitions of independent and conditionally independent events. Finally, it introduces Bayes' theorem, the law of total probability, and provides the formula for calculating conditional probability using Bayes' theorem.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    33 views1 page

    AMS 131: Introduction To Probability Theory (Spring 2013)

    Uploaded by

    Alex Bardales
    This document summarizes key concepts from Chapter 2 of the course AMS 131: Introduction to Probability Theory. It defines conditional probability as Pr(A|B) = Pr(A intersect B) / Pr(B) and notes that conditional probability satisfies the three probability axioms. It also describes the multiplication rule for conditional probabilities and the definitions of independent and conditionally independent events. Finally, it introduces Bayes' theorem, the law of total probability, and provides the formula for calculating conditional probability using Bayes' theorem.

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    AMS 131: Introduction to Probability Theory (Spring 2013)

    Chapter 2: Conditional Probability


    Denition of conditional probability: Consider a sample space, S, with a probability measure Pr(A)
    dened for events A in S. Then, the conditional probability, Pr(A | B), of event A given event B, where
    Pr(B) > 0, is dened as Pr(A | B) = Pr(A B)/Pr(B).
    Note that conditional probability denes a proper probability measure, that is, the set function
    {Pr(A | B) : A S}, for an event B with Pr(B) > 0, satises the three probability axioms. Therefore,
    all results and properties for (unconditional) probability can be extended to conditional probability.
    Multiplication rule for conditional probabilities: Consider events A
    1
    , ..., A
    n
    such that
    Pr(A
    1
    A
    2
    ... A
    n1
    ) > 0. Then,
    Pr(A
    1
    A
    2
    ... A
    n
    ) = Pr(A
    1
    )Pr(A
    2
    | A
    1
    )Pr(A
    3
    | A
    1
    A
    2
    ) Pr(A
    n
    | A
    1
    ... A
    n1
    ).
    Independent events: Two events A and B are independent if learning that one of them has occurred
    does not change the probability of the other. Hence, events A and B, with Pr(A) > 0 and Pr(B) > 0,
    are independent if by denition Pr(A | B) = Pr(A) and Pr(B | A) = Pr(B). Equivalently, events A and
    B are independent if and only if Pr(A B) = Pr(A)Pr(B).
    In general, k( 2) events A
    1
    , ..., A
    k
    are independent if by denition for any j = 2, ..., k and any subset
    A
    i1
    , ..., A
    ij
    of size j, we have
    Pr(A
    i1
    ... A
    ij
    ) = Pr(A
    i1
    ) Pr(A
    ij
    ).
    Considering an event B with Pr(B) > 0, events A
    1
    , ..., A
    k
    are conditionally independent given B if by
    denition for any j = 2, ..., k and any subset A
    i1
    , ..., A
    ij
    of size j,
    Pr(A
    i1
    ... A
    ij
    | B) = Pr(A
    i1
    | B) Pr(A
    ij
    | B).
    Bayes Theorem
    Consider a set of k events, B
    1
    , ..., B
    k
    , that partition the sample space, that is, B
    1
    , ..., B
    k
    are disjoint
    and

    k
    i=1
    B
    i
    = S. (In applications, the events that form the partition are chosen such that a source of
    uncertainty is reduced if we learn which of the B
    i
    has occurred.) Moreover, assume that we can specify
    or obtain the unconditional probability of each B
    i
    and the conditional probability of some event A given
    each event B
    i
    . Then, Bayes theorem provides a rule for revising the probability for each B
    i
    in light
    of the information contained in A, that is, a rule to compute the conditional probability of each B
    i
    given A.
    Law of total probability: Assume that events B
    1
    , ..., B
    k
    form a partition of the sample space S,
    and that Pr(B
    j
    ) > 0 for j = 1, ..., k. Then, for any event A in S,
    Pr(A) =
    k

    j=1
    Pr(B
    j
    )Pr(A | B
    j
    ).
    Bayes theorem: Let the events B
    1
    , ..., B
    k
    form a partition of the sample space S such that Pr(B
    j
    ) > 0
    for j = 1, ..., k, and consider an event A such that Pr(A) > 0. Then, for i = 1, ..., k,
    Pr(B
    i
    | A) =
    Pr(B
    i
    )Pr(A | B
    i
    )

    k
    j=1
    Pr(B
    j
    )Pr(A | B
    j
    )
    .

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