Probability Cheatsheet v1.

Expected Value, Linearity, and Symmetry

Simpsons Paradox
c

P (A | B, C) < P (A | B , C) and P (A | B, C ) < P (A | B , C )

Compiled by William Chen (http://wzchen.com) with contributions
from Sebastian Chiu, Yuan Jiang, Yuqi Hou, and Jessy Hwang.
Material based off of Joe Blitzsteins (@stat110) lectures
(http://stat110.net) and Blitzstein/Hwangs Intro to Probability
textbook (http://bit.ly/introprobability). Licensed under CC
BY-NC-SA 4.0. Please share comments, suggestions, and errors at
http://github.com/wzchen/probability_cheatsheet.

yet still, P (A | B) > P (A | B )

Bayes Rule and Law of Total Probability

Law of Total Probability with partitioning set B1 , B2 , B3 , ...Bn and
with extra conditioning (just add C!)
P (A) = P (A|B1 )P (B1 ) + P (A|B2 )P (B2 ) + ...P (A|Bn )P (Bn )

Last Updated February 28, 2015

P (A) = P (A B1 ) + P (A B2 ) + ...P (A Bn )
P (A|C) = P (A|B1 , C)P (B1 , C) + ...P (A|Bn , C)P (Bn |C)

Counting

P (A|C) = P (A B1 |C) + P (A B2 |C) + ...P (A Bn |C)

Multiplication Rule - Lets say we have a compound experiment

(an experiment with multiple components). If the 1st
component has n1 possible outcomes, the 2nd component has
n2 possible outcomes, and the rth component has nr possible
outcomes, then overall there are n1 n2 . . . nr possibilities for the
whole experiment.
Sampling Table - The sampling tables describes the different ways
to take a sample of size k out of a population of size n. The
column names denote whether order matters or not.
Matters
With Replacement
Without Replacement

n
n!
(n k)!

Not Matter
n + k 1
k
n
k

Na
ve Definition of Probability - If the likelihood of each
outcome is equal, the probability of any event happening is:
P (Event) =

Law of Total Probability with B and Bc (special case of a partitioning

set), and with extra conditioning (just add C!)
c

P (A) = P (A B) + P (A B )
c

P (A|C) = P (A B|C) + P (A B |C)

Bayes Rule, and with extra conditioning (just add C!)
P (A|B) =

P (A|B, C) =

Independence
Independent Events - A and B are independent if knowing one
gives you no information about the other. A and B are
independent if and only if one of the following equivalent
statements hold:
P (A B) = P (A)P (B)

P (A B)
P (B|A)P (A)
=
P (B)
P (B)

P (A B|C)
P (B|A, C)P (A|C)
=
P (B|C)
P (B|C)

Odds Form of Bayes Rule, and with extra conditioning (just add C!)
P (A|B)
P (B|A) P (A)
=
P (Ac |B)
P (B|Ac ) P (Ac )
P (B|A, C) P (A|C)
P (A|B, C)
=
P (Ac |B, C)
P (B|Ac , C) P (Ac |C)

Random Variables and their Distributions

PMF, CDF, and Independence
Probability Mass Function (PMF) (Discrete Only) gives the
probability that a random variable takes on the value X.

P (A|B) = P (A)

PX (x) = P (X = x)

Conditional Independence - A and B are conditionally

independent given C if: P (A B|C) = P (A|C)P (B|C).
Conditional independence does not imply independence, and
independence does not imply conditional independence.

Cumulative Distribution Function (CDF) gives the probability

that a random variable takes on the value x or less

Unions, Intersections, and Complements

Independence - Intuitively, two random variables are independent if

knowing one gives you no information about the other. X and
Y are independent if for ALL values of x and y:

De Morgans Laws - Gives a useful relation that can make

calculating probabilities of unions easier by relating them to
intersections, and vice versa. De Morgans Law says that the
complement is distributive as long as you flip the sign in the
middle.
c

(A B) A B
c

(A B) A B

Note that for any X and Y , a and b scaling coefficients and c is

our constant, the following property of Linearity of
Expectation holds:
E(aX + bY + c) = aE(X) + bE(Y ) + c
If two Random Variables have the same distribution, even
when they are dependent by the property of Symmetry their
expected values are equal.
Conditional Expected Value is calculated like expectation, only
conditioned on any event A.
P
E(X|A) =
xP (X = x|A)
x

P (A|C) = P (A|B, C)P (B|C) + P (A|B , C)P (B |C)

number of favorable outcomes

number of outcomes

Probability and Thinking Conditionally

P (A) = P (A|B)P (B) + P (A|B )P (B )

Expected Value (aka mean, expectation, or average) can be thought

of as the weighted average of the possible outcomes of our
random variable. Mathematically, if x1 , x2 , x3 , . . . are all of the
possible values that X can take, the expected value of X can be
calculated as follows:
P
E(X) =
xi P (X = xi )

FX (x0 ) = P (X x0 )

Indicator Random Variables

Indicator Random Variables is random variable that takes on
either 1 or 0. The indicator is always an indicator of some
event. If the event occurs, the indicator is 1, otherwise it is 0.
They are useful for many problems that involve counting and
expected value.
Distribution IA Bern(p) where p = P (A)
Fundamental Bridge The expectation of an indicator for A is the
probability of the event. E(IA ) = P (A). Notation:
(
1 A occurs
IA =
0 A does not occur

Poisson, Continuous RVs, LotUS, UoU

Continuous Random Variables
Whats the prob that a CRV is in an interval? Use the CDF (or
the PDF, see below). To find the probability that a CRV takes
on a value in the interval [a, b], subtract the respective CDFs.
P (a X b) = P (X b) P (X a) = F (b) F (a)
Note that for an r.v. with a normal distribution,
P (a X b) = P (X b) P (X a)




a
b

=
2
2
What is the Cumulative Density Function (CDF)? It is the
following function of x.
F (x) = P (X x)
What is the Probability Density Function (PDF)? The PDF,
f (x), is the derivative of the CDF.
0

F (x) = f (x)

P (X = x, Y = y) = P (X = x)P (Y = y)
Or alternatively,

Expected Value and Indicators

F (x) =

f (t)dt

Joint, Marginal, and Conditional Probabilities

Joint Probability - P (A B) or P (A, B) - Probability of A and B.
Marginal (Unconditional) Probability - P (A) - Probability of A
Conditional Probability - P (A|B) - Probability of A given B
occurred.
Conditional Probability is Probability - P (A|B) is a probability
as well, restricting the sample space to B instead of . Any
theorem that holds for probability also holds for conditional
probability.

Distributions
Probability Mass Function (PMF) (Discrete Only) is a function
that takes in the value x, and gives the probability that a
random variable takes on the P
value x. The PMF is a
positive-valued function, and
x P (X = x) = 1
PX (x) = P (X = x)
Cumulative Distribution Function (CDF) is a function that
takes in the value x, and gives the probability that a random
variable takes on the value at most x.
F (x) = P (X x)

Note that by the fundamental theorem of calculus,

Z b
f (x)dx
F (b) F (a) =
a

Thus to find the probability that a CRV takes on a value in an

interval, you can integrate the PDF, thus finding the area
under the density curve.
How do I find the expected value of a CRV? Where in discrete
cases you sum over the probabilities, in continuous cases you
integrate over the densities.
Z
E(X) =
xf (x)dx

Law of the Unconscious Statistician (LotUS)

Moment Generating Functions

Marginal Distributions

Expected Value of Function of RV Normally, you would find the

expected value of X this way:

MGF For any random variable X, this expected value and function of
dummy variable t;
tX
MX (t) = E(e )

Review: Law of Total Probability

Says for an event A and partition
P
B1 , B2 , ...Bn : P (A) =
i P (A Bi )
To find the distribution of one (or more) random variables from a joint
distribution, sum or integrate over the irrelevant random variables.
Getting the Marginal PMF from the Joint PMF
X
P (X = x) =
P (X = x, Y = y)

E(X) = x xP (X = x)
Z
xf (x)dx
E(X) =

is the moment generating function (MGF) of X if it exists

for a finitely-sized interval centered around 0. Note that the
MGF is just a function of a dummy variable t.

LotUS states that you can find the expected value of a function
of a random variable g(X) this way:
E(g(X)) = x g(x)P (X = x)
Z
E(g(X)) =
g(x)f (x)dx

Why is it called the Moment Generating Function? Because

the kth derivative of the moment generating function evaluated
0 is the kth moment of X!
0

This is true by Taylor Expansion of etX

Whats a function of a random variable? A function of a random

variable is also a random variable. For example, if X is the
number of bikes you see in an hour, then g(X) = 2X could be
the number of bike wheels you see in an hour. Both are random
variables.

tX

MX (t) = E(e

Variance, Expectation and Independence, and ex

Taylor Series

MX (0) = E(X e

(k)

(k)

X
xn
n!
n=0
2

If X and Y are independent, then

E(XY ) = E(X)E(Y )

) = E(X ) = k

MGF of linear combinations If we have Y = aX + c, then

t(aX+c)

ct

) = e E(e

(at)X

When you plug any random variable into its own CDF, you get a
Uniform[0,1] random variable. When you put a Uniform[0,1] into an
inverse CDF, you get the corresponding random variable. For example,
lets say that a random variable X has a CDF

Uniqueness of the MGF. If it exists, the MGF uniquely defines

the distribution. This means that for any two random variables
X and Y , they are distributed the same (their CDFs/PDFs are
equal) if and only if their MGFs are equal. You cant have
different PDFs when you have two random variables that have
the same MGF.

F (x) = 1 e

By the Universality of the the Uniform, if we plug in X into this

function then we get a uniformly distributed random variable.
X

Similarly, since F (X) U then X F 1 (U ). The key point is that

for any continuous random variable X, we can transform it into a
uniform random variable and back by using its CDF.

Exponential Distribution and MGFs

M(X+Y ) (t) = E(e

t(X+Y )

) = E(e

tX

)E(e

tY

Moment - Moments describe the shape of a distribution. The first

three moments, are related to Mean, Variance, and Skewness of
a distribution. The kth moment of a random variable X is
0

k = E(X )

M(X+Y ) (t) = MX (t) MY (t)

The MGF of the sum of two random variables is the product of
the MGFs of those two random variables.

Joint PDFs and CDFs

Mean 01 = E(X)
Variance 02 = E(X 2 ) = Var(X) + (01 )2
Mean, Variance, and other moments (Skewness) can be
expressed in terms of the moments of a random variable!

Joint PMF/PDF/CDFs are the product of the Marginal PMF

Conditional distribution of X given Y is the same as the
marginal distribution of X

Multivariate LotUS
P

Review: E(g(X))
x g(x)P (X = x), or
R =
E(g(X)) =
g(x)fX (x)dx
For discrete random variables:
XX
E(g(X, Y )) =
g(x, y)P (X = x, Y = y)
x

For continuous random variables:

Z Z
E(g(X, Y )) =

g(x, y)fX,Y (x, y)dxdy

Covariance and Transformations

Covariance and Correlation
Covariance is the two-random-variable equivalent of Variance,
defined by the following:
Cov(X, Y ) = E[(X E(X))(Y E(Y ))] = E(XY ) E(X)E(Y )

Joint Distributions
Review: Joint Probability of events A and B: P (A B)
Both the Joint PMF and
Joint PDF must be non-negative and
P P
sum/integrate to 1. ( x y P (X = x, Y = y) = 1)
R R
( x y fX,Y (x, y) = 1). Like in the univariate cause, you sum/integrate
the PMF/PDF to get the CDF.

Conditional Distributions
Review: By Bayes Rule, P (A|B) =
Similar conditions
P (B)
apply to conditional distributions of random variables.
For discrete random variables:
P (X = x, Y = y)
P (X = x|Y = y)P (Y = y)
P (Y = y|X = x) =
=
P (X = x)
P (X = x)
For continuous random variables:

Whats a moment? Note that

Review: A and B are independent if and only if either

P (A B) = P (A)P (B) or P (A|B) = P (A).
Similar conditions apply to determine whether random variables are
independent - two random variables are independent if their joint
distribution function is simply the product of their marginal
distributions, or that the a conditional distribution of is the same as
its marginal distribution.
In words, random variables X and Y are independent for all x, y, if
and only if one of the following hold:

) = MX (t) MY (t)

P (B|A)P (A)

Can I Have a Moment?

Independence of Random Variables

ct

) = e MX (at)

Summing Independent R.V.s by Multiplying MGFs. If X and

Y are independent, then

Universality of Uniform

F (X) = 1 e

k 0X

MY (t) = E(e

Var(X) = E(X ) [E(X)]

X
X
0k tk
E(X k )tk
=
k!
k!
k=0
k=0

dk tX
dk
tX
k tX
E(e ) = E( k e ) = E(X e )
k
dt
dt

MX (t) =

)=

Or by differentiation under the integral sign and then plugging

in t = 0

Whats the point? You dont need to know the PDF/PMF of g(X)
to find its expected value. All you need is the PDF/PMF of X.

e =

(k)

k = E(X ) = MX (0)

Getting the Marginal PDF from the Joint PDF

Z
fX (x) =
fX,Y (x, y)dy

fX|Y (x|y)fY (y)

fX,Y (x, y)
fY |X (y|x) =
=
fX (x)
fX (x)

Note that
Cov(X, X) = E(XX) E(X)E(X) = Var(X)
Correlation is a rescaled variant of Covariance that is always
between -1 and 1.
Corr(X, Y ) = p

Cov(X, Y )
Var(X)Var(Y )

Cov(X, Y )
X Y

Covariance and Indepedence - If two random variables are

independent, then they are uncorrelated. The inverse is not
necessarily true.
X
Y Cov(X, Y ) = 0
X
Y E(XY ) = E(X)E(Y )
Covariance and Variance - Note that
Var(X + Y ) = Var(X) + Var(Y ) + 2Cov(X, Y )

Hybrid Bayes Rule

f (x|A) =

P (A|X = x)f (x)

P (A)

Var(X1 + X2 + + Xn ) =

n
X
i=1

Var(Xi ) + 2

X
i<j

Cov(Xi , Xj )

In particular, if X and Y are independent then they have

covariance 0 thus
X
Y = Var(X + Y ) = Var(X) + Var(Y )
In particular, If X1 , X2 , . . . , Xn are identically distributed have
the same covariance relationships, then
n
Var(X1 + X2 + + Xn ) = nVar(X1 ) + 2
Cov(X1 , X2 )
2
Covariance and Linearity - For random variables W, X, Y, Z and
constants a, b:
Cov(X, Y ) = Cov(Y, X)
Cov(X + a, Y + b) = Cov(X, Y )
Cov(aX, bY ) = abCov(X, Y )
Cov(W + X, Y + Z) = Cov(W, Y ) + Cov(W, Z) + Cov(X, Y )
+ Cov(X, Z)
Covariance and Invariance - Correlation, Covariance, and Variance
are addition-invariant, which means that adding a constant to
the term(s) does not change the value. Let b and c be constants.
Var(X + c) = Var(X)
Cov(X + b, Y + c) = Cov(X, Y )
Corr(X + b, Y + c) = Corr(X, Y )
In addition to addition-invariance, Correlation is
scale-invariant, which means that multiplying the terms by any
constant does not affect the value. Covariance and Variance are
not scale-invariant.
Corr(2X, 3Y ) = Corr(X, Y )

Continuous Transformations
Why do we need the Jacobian? We need the Jacobian to rescale
our PDF so that it integrates to 1.
One Variable Transformations Lets say that we have a random
variable X with PDF fX (x), but we are also interested in some
function of X. We call this function Y = g(X). Note that Y is
a random variable as well. If g is differentiable and one-to-one
(every value of X gets mapped to a unique value of Y ), then
the following is true:




 dy 
 dx 

 = fX (x)
fY (y) 
fY (y) = fX (x) 

dy
dx 
To find fY (y) as a function of y, plug in x = g 1 (y).


 d 1

1
fY (y) = fX (g (y)) 
g (y)
dy
The derivative of the inverse transformation is referred to the
Jacobian, denoted as J.
d 1
J =
g (y)
dy

Convolutions
Definition If you want to find the PDF of a sum of two independent
random variables, you take the convolution of their individual
distributions.
Z
fX+Y (t) =
fx (x)fy (t x)dx

Example Let X, Y i.i.d N (0, 1). Treat t as a constant. Integrate as

usual.
Z
1
x2 /2 1
(tx)2 /2
fX+Y (t) =
dx
e
e
2
2

Poisson Process

Bank and Post Office Result

Definition We have a Poisson Process if we have

Let us say that we have X Gamma(a, ) and Y Gamma(b, ), and

that X
Y . By Bank-Post Office result, we have that:

1. Arrivals at various times with an average of per unit

time.
2. The number of arrivals in a time interval of length t is
Pois(t)
3. Number of arrivals in disjoint time intervals are
independent.
Count-Time Duality - We wish to find the distribution of T1 , the
first arrival time. We see that the event T1 > t, the event that
you have to wait more than t to get the first email, is the same
as the event Nt = 0, which is the event that the number of
emails in the first time interval of length t is 0. We can solve
for the distribution of T1 .
t
t
P (T1 > t) = P (Nt = 0) = e
P (T1 t) = 1 e
Thus we have T1 Expo(). And similarly, the interarrival
times between arrivals are all Expo(), (e.g.
Ti Ti1 Expo()).

Beta, Gamma, Order Statistics

Order Statistics
Definition - Lets say you have n i.i.d. random variables
X1 , X2 , X3 , . . . Xn . If you arrange them from smallest to
largest, the ith element in that list is the ith order statistic,
denoted X(i) . X(1) is the smallest out of the set of random
variables, and X(n) is the largest.
Properties - The order statistics are dependent random variables.
The smallest value in a set of random variables will always vary
and itself has a distribution. For any value of X(i) ,
X(i+1) X(j) .
Distribution - Taking n i.i.d. random variables X1 , X2 , X3 , . . . Xn
with CDF F (x) and PDF f (x), the CDF and PDF of X(i) are
as follows:
n  
X
n
k
nk
FX(i) (x) = P (X(j) x) =
F (x) (1 F (x))
k
k=i
n 1
i1
ni
fX(i) (x) = n
F (x)
(1 F (X))
f (x)
i1
Universality of the Uniform - We can also express the distribution
of the order statistics of n i.i.d. random variables
X1 , X2 , X3 , . . . Xn in terms of the order statistics of n
uniforms. We have that
F (X(j) ) U(j)

Notable Uses of the Beta Distribution

. . . as the Order Statistics of the Uniform - The smallest of three
Uniforms is distributed U(1) Beta(1, 3). The middle of three
Uniforms is distributed U(2) Beta(2, 2), and the largest
U(3) Beta(3, 1). The distribution of the the j th order
statistic of n i.i.d Uniforms is:
U(j) Beta(j, n j + 1)
fU(j) (u) =

n!
j1
nj
t
(1 t)
(j 1)!(n j)!

. . . as the Conjugate Prior of the Binomial - A prior is the

distribution of a parameter before you observe any data (f (x)).
A posterior is the distribution of a parameter after you observe
data y (f (x|y)). Beta is the conjugate prior of the Binomial
because if you have a Beta-distributed prior on p (the
parameter of the Binomial), then the posterior distribution on
p given observed data is also Beta-distributed. This means,
that in a two-level model:
X|p Bin(n, p)
p Beta(a, b)
Then after observing the value X = x, we get a posterior
distribution p|(X = x) Beta(a + x, b + n x)

X + Y Gamma(a + b, )
X
Beta(a, b)
X+Y

X+Y

X
X+Y

Special Cases of Beta and Gamma

Gamma(1, ) Expo()

Beta(1, 1) Unif(0, 1)

Conditional Expectation and Variance

Conditional Expectation
Conditioning on an Event - We can find the expected value of Y
given that event A or X = x has occurred. This would be
finding the values of E(Y |A) and E(Y |X = x). Note that
conditioning in an event results in a number. Note the
similarities between regularly finding expectation and finding
the conditional expectation. The expected value of a dice roll
given that it is prime is 13 2 + 13 3 + 13 5 = 3 13 . The expected
amount of time that you have to wait until the shuttle comes
1
)) given that you
(assuming that the waiting time is Expo( 10
have already waited n minutes, is 10 more minutes by the
memoryless property.
Discrete Y
P
E(Y ) =
yP (Y = y)
Py
E(Y |X = x) =
yP (Y = y|X = x)
Py
E(Y |A) =
y yP (Y = y|A)

Continuous Y
R
E(Y ) =
R yfY (y)dy
E(Y |X = x) =R
yfY |X (y|x)dy

E(Y |A) =
yf (y|A)dy

Conditioning on a Random Variable - We can also find the

expected value of Y given the random variable X. The
resulting expectation, E(Y |X) is not a number but a function
of the random variable X. For an easy way to find E(Y |X),
find E(Y |X = x) and then plug in X for all x. This changes
the conditional expectation of Y from a function of a number x,
to a function of the random variable X.
Properties of Conditioning on Random Variables
1. E(Y |X) = E(Y ) if X
Y
2. E(h(X)|X) = h(X) (taking out whats known).
E(h(X)W |X) = h(X)E(W |X)
3. E(E(Y |X)) = E(Y ) (Adams Law, aka Law of Iterated
Expectation of Law of Total Expectation)
Law of Total Expectation (also Adams law) - For any set of
events that partition the sample space, A1 , A2 , . . . , An or just
simply A, Ac , the following holds:
c

E(Y ) = E(Y |A)P (A) + E(Y |A )P (A )

E(Y ) = E(Y |A1 )P (A1 ) + + E(Y |An )P (An )

Conditional Variance
Eves Law (aka Law of Total Variance)
Var(Y ) = E(Var(Y |X)) + Var(E(Y |X))

MVN, LLN, CLT

Law of Large Numbers (LLN)
Let us have X1 , X2 , X3 . . . be i.i.d.. We define
n = X1 +X2 +X3 ++Xn The Law of Large Numbers states that as
X
n
n E(X).
n , X

Central Limit Theorem (CLT)

Chain Properties

Approximation using CLT

A chain is irreducible if you can get from anywhere to anywhere. An

irreducible chain must have all of its states recurrent. A chain is
periodic if any of its states are periodic, and is aperiodic if none of
its states are periodic. In an irreducible chain, all states have the same
period.
A chain is reversible with respect to ~
s if si qij = sj qji for all i, j. A
reversible chain running on ~
s is indistinguishable whether it is running
forwards in time or backwards in time. Examples of reversible chains
include random walks on undirected networks, or any chain with
qij = qji , where the Markov chain would be stationary with respect to
1
1
1
,M
,..., M
).
~
s = (M
Reversibility Condition Implies Stationarity - If you have a PMF
~
s on a Markov chain with transition matrix Q, then si qij = sj qji for
all i, j implies that s is stationary.

We use
to denote is approximately distributed. We can use the
central limit theorem when we have a random variable, Y that is a
sum of n i.i.d. random variables with n large. Let us say that
2
E(Y ) = Y and Var(Y ) = Y
. We have that:
2

Y
N (Y , Y )
When we use central limit theorem to estimate Y , we usually have
n = 1 (X1 + X2 + + Xn ).
Y = X1 + X2 + + Xn or Y = X
n
2
Specifically, if we say that each of the iid Xi have mean X and X
,
then we have the following approximations.
2

X1 + X2 + + Xn
N (nX , nX )
2
n = 1 (X1 + X2 + + Xn )
X
N (X , X )
n
n

Asymptotic Distributions using CLT

d

We use
to denote converges in distribution to as n . These
are the same results as the previous section, only letting n and
not letting our normal distribution have any n terms.
1
d
N (0, 1)
(X1 + + Xn nX )
n
n X d
X

N (0, 1)
/n

Definition
A Markov Chain is a walk along a (finite or infinite, but for this class
usually finite) discrete state space {1, 2, . . . , M}. We let Xt denote
which element of the state space the walk is on at time t. The Markov
Chain is the set of random variables denoting where the walk is at all
points in time, {X0 , X1 , X2 , . . . }, as long as if you want to predict
where the chain is at at a future time, you only need to use the present
state, and not any past information. In other words, the given the
present, the future and past are conditionally independent. Formal
Definition:
P (Xn+1 = j|X0 = i0 , X1 = i1 , . . . , Xn = i) = P (Xn+1 = j|Xn = i)

State Properties
A state is either recurrent or transient.
If you start at a Recurrent State, then you will always return
back to that state at some point in the future. You can
check-out any time you like, but you can never leave.
Otherwise you are at a Transient State. There is some
probability that once you leave you will never return. You
dont have to go home, but you cant stay here.
A state is either periodic or aperiodic.
If you start at a Periodic State of period k, then the GCD of
all of the possible number steps it would take to return back is
> 1.
Otherwise you are at an Aperiodic State. The GCD of all of
the possible number of steps it would take to return back is 1.

Transition Matrix
Element qij in square transition matrix Q is the probability that the
chain goes from state i to state j, or more formally:
qij = P (Xn+1 = j|Xn = i)
To find the probability that the chain goes from state i to state j in m
steps, take the (i, j)th element of Qm .
(m)

Let us say that the vector p

~ = (p1 , p2 , . . . , pM ) is a possible and valid
PMF of where the Markov Chain is at at a certain time. We will call
this vector the stationary distribution, ~
s, if it satisfies ~
sQ = ~
s. As a
consequence, if Xt has the stationary distribution, then all future
Xt+1 , Xt+2 , . . . also has the stationary distribution.
For irreducible, aperiodic chains, the stationary distribution exists, is
unique, and si is the long-run probability of a chain being at state i.
The expected number of steps to return back to i starting from i is
1/si To solve for the stationary distribution, you can solve for
(Q0 I)(~
s)0 = 0. The stationary distribution is uniform if the columns
of Q sum to 1.

Random Walk on Undirected Network

Markov Chains

qij

Stationary Distribution

= P (Xn+m = j|Xn = i)

If X0 is distributed according to row-vector PMF p

~ (e.g.
pj = P (X0 = ij )), then the PMF of Xn is p
~Qn .

If you have a certain number of nodes with edges between them, and a
chain can pick any edge randomly and move to another node, then this
is a random walk on an undirected network. The stationary
distribution of this chain is proportional to the degree sequence. The
degree sequence is the vector of the degrees of each node, defined as
how many edges it has.

Continuous Distributions
Uniform
Let us say that U is distributed Unif(a, b). We know the following:
Properties of the Uniform For a uniform distribution, the
probability of an draw from any interval on the uniform is
proportion to the length of the uniform. The PDF of a Uniform
is just a constant, so when you integrate over the PDF, you will
get an area proportional to the length of the interval.

Example Heights are normal. Measurement error is normal. By the

central limit theorem, the sampling average from a population
is also normal.
Standard Normal - The Standard Normal, denoted Z, is
Z N (0, 1)
CDF - Its too difficult to write this one out, so we express it as the
function (x)

Exponential Distribution
Let us say that X is distributed Expo(). We know the following:
Story Youre sitting on an open meadow right before the break of
dawn, wishing that airplanes in the night sky were shooting
stars, because you could really use a wish right now. You know
that shooting stars come on average every 15 minutes, but its
never true that a shooting star is ever due to come because
youve waited so long. Your waiting time is memorylessness,
which means that the time until the next shooting star comes
does not depend on how long youve waited already.
Example The waiting time until the next shooting star is distributed
Expo(4). The 4 here is , or the rate parameter, or how many
shooting stars we expect to see in a unit of time. The expected
1
, or 14 of an hour. You
time until the next shooting star is
can expect to wait 15 minutes until the next shooting star.
Expos are rescaled Expos
Y Expo() X = Y Expo(1)
Memorylessness The Exponential Distribution is the sole
continuous memoryless distribution. This means that its
always as good as new, which means that the probability of it
failing in the next infinitesimal time period is the same as any
infinitesimal time period. This means that for an exponentially
distributed X and any real numbers t and s,
P (X > s + t|X > s) = P (X > t)
Given that youve waited already at least s minutes, the
probability of having to wait an additional t minutes is the
same as the probability that you have to wait more than t
minutes to begin with. Heres another formulation.
X a|X > a Expo()
Example - If waiting for the bus is distributed exponentially
with = 6, no matter how long youve waited so far, the
expected additional waiting time until the bus arrives is always
1
6 , or 10 minutes. The distribution of time from now to the
arrival is always the same, no matter how long youve waited.

Example William throws darts really badly, so his darts are uniform
over the whole room because theyre equally likely to appear
anywhere. Williams darts have a uniform distribution on the
surface of the room. The uniform is the only distribution where
the probably of hitting in any specific region is proportion to
the area/length/volume of that region, and where the density of
occurrence in any one specific spot is constant throughout the
whole support.

Min of Expos If we have independent Xi Expo(i ), then

min(X1 , . . . , Xk ) Expo(1 + 2 + + k ).

Normal

Max of Expos If we have i.i.d. Xi Expo(), then

max(X1 , . . . , Xk ) Expo(k) + Expo((k 1)) + + Expo()

Let us say that X is distributed N (, 2 ). We know the following:

Central Limit Theorem The Normal distribution is ubiquitous
because of the central limit theorem, which states that averages
of independent identically-distributed variables will approach a
normal distribution regardless of the initial distribution.
Transformable Every time we stretch or scale the normal
distribution, we change it to another normal distribution. If we
add c to a normally distributed random variable, then its mean
increases additively by c. If we multiply a normally distributed
random variable by c, then its variance increases
multiplicatively by c2 . Note that for every normally distributed
random variable X N (, 2 ), we can transform it to the
standard N (0, 1) by the following transformation:
X
N (0, 1)

Gamma Distribution
Let us say that X is distributed Gamma(a, ). We know the
following:
Story You sit waiting for shooting stars, and you know that
the waiting time for a star is distributed Expo(). You
want to see a shooting stars before you go home. X is
the total waiting time for the ath shooting star.
Example You are at a bank, and there are 3 people ahead of
you. The serving time for each person is distributed
Exponentially with mean of 2 time units. The
distribution of your waiting time until you begin service
is Gamma(3, 21 )

2 Distribution
Let us say that X is distributed 2n . We know the following:
Story A Chi-Squared(n) is a sum of n independent squared
normals.
Example The sum of squared errors are distributed 2n
Properties and Representations
2

E(n ) = n, V ar(X) = 2n, n Gamma

2

i.i.d.

n = Z1 + Z2 + + Zn , Z

n 1
,
2 2

N (0, 1)

Discrete Distributions
DWR = Draw w/ replacement, DWoR = Draw w/o replacement

Fixed # trials (n)

Draw til k success

DWR

DWoR

Binom/Bern
(Bern if n = 1)
NBin/Geom
(Geom if k = 1)

HGeom
NHGeom
(see example probs)

Bernoulli The Bernoulli distribution is the simplest case of the

Binomial distribution, where we only have one trial, or n = 1.
Let us say that X is distributed Bern(p). We know the
following:
Story. X succeeds (is 1) with probability p, and X fails
(is 0) with probability 1 p.
Example. A fair coin flip is distributed Bern( 21 ).
Binomial Let us say that X is distributed Bin(n, p). We know the
following:
Story X is the number of successes that we will achieve in n
independent trials, where each trial can be either a
success or a failure, each with the same probability p of
success. We can also say that X is a sum of multiple
independent Bern(p) random variables. Let
X Bin(n, p) and Xj Bern(p), where all of the
Bernoullis are independent. We can express the following:
X = X1 + X2 + X3 + + Xn
Example If Jeremy Lin makes 10 free throws and each one
independently has a 34 chance of getting in, then the
number of free throws he makes is distributed Bin(10, 43 ),
or, letting X be the number of free throws that he makes,
X is a Binomial Random Variable distributed Bin(10, 34 ).


Binomial Coefficient n
k is a function of n and k and is read
n choose k, and means out of n possible indistinguishable
objects, how many ways can I possibly choose k of them?
The formula for the binomial coefficient is:
 n
n!
=
k
k!(n k)!
Geometric Let us say that X is distributed Geom(p). We know the
following:
Story X is the number of failures that we will achieve
before we achieve our first success. Our successes have
probability p.
1
probability to
Example If each pokeball we throw has a 10
catch Mew, the number of failed pokeballs will be
1
distributed Geom( 10 ).

First Success Equivalent to the geometric distribution, except it

counts the total number of draws until the first success. This
is 1 more than the number of failures. If X F S(p) then
E(X) = 1/p.

Negative Binomial Let us say that X is distributed NBin(r, p). We

know the following:
Story X is the number of failures that we will achieve
before we achieve our rth success. Our successes have
probability p.
Example Thundershock has 60% accuracy and can faint a
wild Raticate in 3 hits. The number of misses before
Pikachu faints Raticate with Thundershock is distributed
NBin(3, .6).

Lumping - If you lump together multiple categories in a

multinomial, then it is still multinomial. A multinomial
with two dimensions (success, failure) is a binomial
distribution.
Variances and Covariances - For
(X1 , X2 , . . . , Xk ) Multk (n, (p1 , p2 , . . . , pk )), we have
that marginally Xi Bin(n, pi ) and hence
Var(Xi ) = npi (1 pi ). Also, for i 6= j,
Cov(Xi , Xj ) = npi pj , which is a result from class.
Marginal PMF and Lumping

Hypergeometric Let us say that X is distributed HGeom(w, b, n).

We know the following:
Story In a population of b undesired objects and w desired
objects, X is the number of successes we will have in a
draw of n objects, without replacement.
Example 1) Lets say that we have only b Weedles (failure)
and w Pikachus (success) in Viridian Forest. We
encounter n Pokemon in the forest, and X is the number
of Pikachus in our encounters. 2) The number of aces
that you draw in 5 cards (without replacement). 3) You
have w white balls and b black balls, and you draw b
balls. You will draw X white balls. 4) Elk Problem - You
have N elk, you capture n of them, tag them, and release
them. Then you recollect a new sample of size m. How
many tagged elk are now in the new sample?
PMF The probability mass function of a Hypergeometric:
w

b

P (X = k) =

nk
w+b

n

Poisson Let us say that X is distributed Pois(). We know the

following:
Story There are rare events (low probability events) that
occur many different ways (high possibilities of
occurences) at an average rate of occurrences per unit
space or time. The number of events that occur in that
unit of space or time is X.
Example A certain busy intersection has an average of 2
accidents per month. Since an accident is a low
probability event that can happen many different ways,
the number of accidents in a month at that intersection is
distributed Pois(2). The number of accidents that happen
in two months at that intersection is distributed Pois(4)

Multivariate Distributions
Multinomial Let us say that the vector
~ = (X1 , X2 , X3 , . . . , Xk ) Multk (n, p
X
~) where
p
~ = (p1 , p2 , . . . , pk ).
Story - We have n items, and then can fall into any one of the
k buckets independently with the probabilities
p
~ = (p1 , p2 , . . . , pk ).
Example - Let us assume that every year, 100 students in the
Harry Potter Universe are randomly and independently
sorted into one of four houses with equal probability. The
number of people in each of the houses is distributed
Mult4 (100, p
~), where p
~ = (.25, .25, .25, .25). Note that
X1 + X2 + + X4 = 100, and they are dependent.
Multinomial Coefficient The number of permutations of n
objects where you have n1 , n2 , n3 . . . , nk of each of the
different variants is the multinomial coefficient.


n
n!
=
n1 n2 . . . n k
n1 !n2 ! . . . nk !
Joint PMF - For n = n1 + n2 + + nk


n
n
n
n
~ =~
P (X
n) =
p 1 p 2 . . . pk k
n1 n2 . . . nk 1 2

Xi Bin(n, pi )
Xi + Xj Bin(n, pi + pj )
X1 ,X2 ,X3 Mult3 (n,(p1 ,p2 ,p3 ))X1 ,X2 +X3 Mult2 (n,(p1 ,p2 +p3 ))


pk1
p1
,...,
1 pk
1 pk
Multivariate Uniform See the univariate uniform for stories and
examples. For multivariate uniforms, all you need to know is
that probability is proportional to volume. More formally,
probability is the volume of the region of interest divided by
the total volume of the support. Every point in the support has
equal density of value Total1 Area .


X1 , . . . , Xk1 |Xk = nk Multk1

n nk ,

~ = (X1 , X2 , X3 , . . . , Xk )
Multivariate Normal (MVN) A vector X
is declared Multivariate Normal if any linear combination is
normally distributed (e.g. t1 X1 + t2 X2 + + tk Xk is Normal
for any constants t1 , t2 , . . . , tk ). The parameters of the
Multivariate normal are the mean vector
~ = (1 , 2 , . . . , k )
and the covariance matrix where the (i, j)th entry is
Cov(Xi , Xj ). For any MVN distribution: 1) Any sub-vector is
also MVN. 2) If any two elements of a multivariate normal
distribution are uncorrelated, then they are independent. Note
that 2) does not apply to most random variables.

Distribution Properties
Important CDFs
Exponential F (X) = 1 ex , x (0, ))
Uniform(0, 1) F (X) = x, x (0, 1)

Poisson Properties (Chicken and Egg Results)

We have X Pois(1 ) and Y Pois(2 ) and X
Y.
1. X + Y Pois(1 + 2 )

2. X|(X + Y = k) Bin k,

1
1 +2

3. If we have that Z Pois(), and we randomly and

independently accept every item in Z with probability p,
then the number of accepted items Z1 Pois(p), and the
number of rejected items Z2 Pois(q), and Z1
Z2 .

Convolutions of Random Variables

A convolution of n random variables is simply their sum.
1. X Pois(1 ), Y Pois(2 ),
X
Y X + Y Pois(1 + 2 )
2. X Bin(n1 , p), Y Bin(n2 , p),
X
Y X + Y Bin(n1 + n2 , p) Note that Binomial can
thus be thought of as a sum of iid Bernoullis.
3. X Gamma(n1 , ), Y Gamma(n2 , ),
X
Y X + Y Gamma(n1 + n2 , ) Note that Gamma
can thus be thought of as a sum of iid Expos.
4. X NBin(r1 , p), Y NBin(r2 , p),
X
Y X + Y NBin(r1 + r2 , p)
5. All of the above are approximately normal when , n, r are
large by the Central Limit Theorem.
6. Z1 N (1 , 12 ), Z2 N (2 , 22 ),
Z1
Z2 Z1 + Z2 N (1 + 2 , 12 + 22 )

Classic Problems

Special Cases of Random Variables

Orderings of i.i.d. random variables

1. Bin(1, p) Bern(p)

Birthday Matches

2. Beta(1, 1) Unif(0, 1)

In a group of n people, what is the expected number of distinct

birthdays (month and day). What is the expected number of birthday
matches? Answer - Let X be the number of distinct birthdays, and
let Ij be the indicator for whether the j th days is represented.

3. Gamma(1, ) Expo()


1
4. 2n Gamma n
2, 2
5. NBin(1, p) Geom(p)

E(Ij ) = 1 P (no one born day j) = 1 (364/365)

Reasoning by Representation

By linearity, E(X) = 365 (1 (364/365) ) . Now let Y be the

1. X Gamma(a, ), Y Gamma(b, ),
X
Beta(a, b)
X
Y X+Y

number of birthday matches and let Ji be the indicator that the ith
pair of people have the same birthday. The probability that any two
n
people share a birthday is 1/365 so E(Y ) =
/365 .
2

2. Bin(n, p) Pois() as n , p 0, np = .
3. U(j) Beta(j, n j + 1)
4. For any X with CDF F (x), F (X) U

Coupon Collector

Formulas
In general, remember that PDFs integrated (and PMFs summed) over
support equal 1.

Geometric Series
2

a + ar + ar + + ar

n1

n1
X

ar = a

k=0

1 rn
1r

There are n total coupons, and each draw, you get a random coupon.
What is the expected number of coupons needed until you have a
complete set? Answer - Let N be the number of coupons needed; we
want E(N ). Let N = N1 + + Nn , N1 is the draws to draw our first
distinct coupon, N2 is the additional draws needed to draw our second
distinct coupon and so on. By the story of First Success,
N2 F S((n 1)/n) (after collecting first toy type, theres (n 1)/n
chance youll get something new). Similarly, N3 F S((n 2)/n), and
Nj F S((n j + 1)/n). By linearity,
n

E(N ) = E(N1 ) + + E(Nn ) =

Exponential Function (e )



X
xn
x2
x3
x n
x
e =
=1+x+
+
+ = lim
1+
n
n!
2!
3!
n
n=1

Gamma and Beta Distributions

t1 x

Z
dx = (t)

a1

b1

(1 x)

dx =

(a)(b)
(a + b)

Bayes Billiards (special case of Beta)

1

nk

x (1 x)

dx =

1
(n + 1)

n

k

Eulers Approximation for Harmonic Sums

1+

1
1
1
+ + +
log n + 0.57721 . . .
2
3
n

Which is approximately n log(n) by Eulers approximation for

harmonic sums.

n!

2n

Minimum and Maximum of Random Variables

What is the CDF of the maximum of n independent
Uniformly-distributed random variables? Answer - Note that
P (min(X1 , X2 , . . . , Xn ) a) = P (X1 a, X2 a, . . . , Xn a)
Similarily,
P (max(X1 , X2 , . . . , Xn ) a) = P (X1 a, X2 a, . . . , Xn a)
We will use that principal to find the CDF of U(n) , where
U(n) = max(U1 , U2 , . . . , Un ) where Ui Unif(0, 1) (iid).
P (max(U1 , U2 , . . . , Un ) a) = P (U1 a, U2 a, . . . , Un a)
= P (U1 a)P (U2 a) . . . P (Un a)

In every time period, Bobo the amoeba can die, live, or split into two
amoebas with probabilities 0.25, 0.25, and 0.5, respectively. All of
Bobos offspring have the same probabilities. Find P (D), the
probability that Bobos lineage eventually dies out. Answer - We use
law of probability, and define the events B0 , B1 . and B2 where Bi
means that Bobo has split into i amoebas. We note that P (D|B0 ) = 1
since his lineage has died, P (D|B1 ) = P (D), and P (D|B2 ) = P (D)2
since both lines of his lineage must die out in order for Bobos lineage
to die out.
P (D) = 0.25P (D|B0 ) + 0.25P (D|B1 ) + 0.5P (D|B2 )
2

= 0.25 + 0.25P (D) + 0.5P (D)

n
e

E(X) = E(I1 ) + E(I2 ) + ... + E(I48 ) = 48/5 = 9.6

Contributions from Sebastian Chiu

Stirlings Approximation


What is the expected number of cards that you draw before you pick
your first Ace in a shuffled deck? Answer - Consider a non-Ace.
Denote this to be card j. Let Ij be the indicator that card j will be
drawn before the first Ace. Note that if j is before all 4 of the Aces in
the deck, then Ij = 1. The probability that this occurs is 1/5, because
out of 5 cards (the 4 Aces and the not Ace), the probability that the
not Ace comes first is 1/5. 1/5 here is the probability that any specific
non-Ace will appear before all of the Aces in the deck. (e.g. the
probability that the Jack of Spades appears before all of the Aces).
Thus let X be the number of cards that is drawn before the first Ace.
Then X = I1 + I2 + ... + I48 , where each indicator correspond to one
of the 48 not Aces. Thus,

First Step Conditioning

Where (n) = (n 1)! if n is a positive integer

X1
n
n
n
+
+ +
= n
n
n1
1
j
j=1

Example Problems

You can often solve integrals with the following

Expectation of Negative Hypergeometric

I call 2 UberXs and 3 Lyfts at the same time. If the time it takes for
the rides to reach me is i.i.d., what is the probability that all the Lyfts
will arrive first? Answer - since the arrival times of the five cars are
i.i.d., all 5! orderings of the arrivals are equally likely. There are 3!2!
orderings that involve the Lyfts arriving first, so the probability that


3!2!
the Lyfts arrive first is
= 1/10 . Alternatively, there are 53
5!
ways to choose 3 of the 5 slots for the Lyfts to occupy, where each of
the choices are equally likely. 1 of those choices have all 3 of the Lyfts
5
= 1/10
arriving first, thus the probability is 1/
3

n

Miscellaneous Definitions
Medians A continuous random variable X has median m if
P (X m) = 50%
A discrete random variable X has median m if
P (X m) 50% and P (X m) 50%
Log Statisticians generally use log to refer to ln
i.i.d random variables Independent, identically-distributed random
variables.

Solving the quadratic equation, we get that P (D) = 0.5 or 1. We

dismiss 1 as an extraneous solution since the expected number of
Bobos increase every generation. Thus our answer is P (D) = 0.5

= a

Pattern Matching withex Taylor Series

For X Pois(), find E

E

1
X+1

= 1/e by a definition of e .

X
k=0

1
X+1

. Answer - By LOTUS,

1 e k
e X k+1
e
=
=
(e 1)
k+1
k!
k=0 (k + 1)!

Adam and Eves Laws

William really likes speedsolving Rubiks Cubes. But hes pretty bad
at it, so sometimes he fails. On any given day, William will attempt
N Geom(s) Rubiks Cubes. Suppose each time, he has a
independent probability p of solving the cube. Let T be the number of
Rubiks Cubes he solves during a day. Find the mean and variance of
T . Answer - Note that T |N Bin(N, p). As a result, we have by
Adams Law that

Calculating Probability
A textbook has n typos, which are randomly scattered amongst its n
pages. You pick a random page, what
is the probability that it has no
1
typos? Answer - There is a 1 n
probability that any specific


1 n
typo isnt on your page, and thus a 1 n
probability that there
are no typos on your page. For n large, this is approximately

E(T ) = E(E(T |N )) = E(N p) =

p(1 s)
s

Similarly, by Eves Law, we have that

Var(T ) = E(Var(T |N )) + Var(E(T |N )) = E(N p(1 p)) + Var(N p)
=

p(1 p)(1 s)
p2 (1 s)
p(1 s)(p + s(1 p))
+
=
s
s2
s2

MGF - Distribution Matching

Markov Chains, continued

(Referring to the Rubiks Cube question above) Find the MGF of T .

What is the name of this distribution and its parameter(s)? Answer By Adams Law, we have that

William and Sebastian play a modified game of Settlers of Catan,

where every turn they randomly move the robber (which will start on
the center tile) on a game board to one of the adjacent hexagons.
(refer to a picture of the game board if confused)

E(e

tT

) = E(E(e

tT

|N )) = E((pe + q) ) = s

(pe + 1 p) (1 s)

n=0

s
s
=
1 (1 s)(pet + 1 p)
s + (1 s)p (1 s)pet

Intuitively, we would expect that T is distributed Geometrically

because T is just a filtered version of N , which itself is Geometrically
distributed. The MGF of a Geometric random variable X Geom()
is

tX
E(e ) =
1 (1 )et
So, we would want to try to get our MGF into this form to identify
what is. Taking our original MGF, it would appear that dividing by
s + (1 s)p would allow us to do this. Therefore, we have that
s

E(etT ) =

s
s+(1s)p
=
(1s)p
s + (1 s)p (1 s)pet
1 s+(1s)p et

By pattern-matching, it thus follows that T Geom() where

=

s
s + (1 s)p

MGF - Finding Momemts

Find E(X 3 ) for X Expo() using the MGF of X. Answer - The

. To get the third moment, we can

MGF of an Expo() is M (t) = t
take the third derivative of the MGF and evaluate at t = 0:
3

E(X ) =

6
3

But a much nicer way to use the MGF here is via pattern recognition:
note that M (t) looks like it came from a geometric series:
 n

X
X
t
1
n! tn
=
=
t
n n!
1

n=0
n=0
n

The coefficient of tn! here is the nth moment of X, so we have

E(X n ) = n!
n for all nonnegative integers n. So again we get the same
answer.

Markov Chains
Suppose Xn is a two-state Markov chain with transition matrix
0
Q=
1

0
1

1


Find the stationary distribution ~

s = (s0 , s1 ) of Xn by solving ~
sQ = ~
s,
and show that the chain is reversible under this stationary
distribution. Answer - By solving ~
sQ = ~
s, we have that
s0 = s0 (1 ) + s1 and s1 = s0 () + s0 (1 )
And by solving this system of linear equations it follows that

~
s=

,
+ +

To show that this chain is reversible under this stationary distribution,

we must show si qij = sj qji for all i, j. This is done if we can show
s0 q01 = s1 q10 . Indeed,
s0 q01

=
= s1 q10
+

thus our chain is reversible under the stationary distribution.

a) Is this Markov Chain irreducible? Is it aperiodic? Answer Yes to both The Markov Chain is irreducible because it can get
from anywhere to anywhere else. The Markov Chain is also
aperiodic because the robber can return back to a square in
2, 3, 4, 5, . . . moves. Those numbers have a GCD of 1, so the chain
is aperiodic.
b) What is the stationary distribution of this Markov Chain? Answer
- Since this is a random walk on an undirected graph, the
stationary distribution is proportional to the degree sequence. The
degree for the corner pieces is 3, the degree for the edge pieces is 4,
and the degree for the center pieces is 6. To normalize this degree
sequence, we divide by its sum. The sum of the degrees is
6(3) + 6(4) + 7(6) = 72. Thus the stationary probability of being
on a corner is 3/84 = 1/28, on an edge is 4/84 = 1/21, and in the
center is 6/84 = 1/14.
c) What fraction of the time will the robber be in the desert in this
game? Answer - From above, 1/14 .
d) Say the robber starts on the desert. What is the expected amount
of moves it will take for the robber to return? Answer - Since
this chain is irreducible and aperiodic, to get the expected time to
return we can just invert the stationary probability. Thus on
average it will take 14 turns for the robber to return to the desert.

Problem Solving Strategies

Contributions from Jessy Hwang, Yuan Jiang, Yuqi Hou
1. Getting Started. Start by defining events and/or defining
random variables. (Let A be the event that I pick the fair
coin; Let X be the number of successes.) Clear notion =
clear thinking! Then decide what it is that youre supposed to
be finding, in terms of your location (I want to find
P (X = 3|A)). Try simple and extreme cases. To make an
abstract experiment more concrete, try drawing a picture or
making up numbers that could have happened. Pattern
recognition: does the structure of the problem resemble
something weve seen before.
2. Calculating Probability of an Event. Use combinatorics if
the naive definition of probability applies. Look for symmetries
or something to condition on, then apply Bayes rule or LoTP.
Is the probability of the complement easier to find?
3. Finding the distribution of a random variable. Check the
support of the random variable: what values can it take on?
Use this to rule out distributions that dont fit. - Is there a
story for one of the named distributions that fits the problem
at hand? - Can you write the random variable as a function of
a r.v. with a known distribution, say Y = g(X)? Then work
directly from the definition of PDF or PMF, expressing
P (Y y) or P (Y = y) in terms of events involving X only. For PDFs, find the CDF first and then differentiate. - If youre
trying to find the joint distribution of two independent random
variables, just multiple their marginal probabilities - Do you
need the distribution? If the question only asks for the
expected value of X, you might be able to find this without
knowing the entire distirbution of X. See the next item.
4. Calculating Expectation. If it has a named distribution,
check out the table of distributions. If its a function of a r.v.
with a named distribution, try LotUS. If its a count of
something, try breaking it up into indicator random variables.
If you can condition on something, consider using Adams law.
Also consider the variance formula.
5. Calculating Variance. Consider independence, named
distributions, and LotUS. If its a count of something, break it
up into a sum of indicator random variables. If you can
condition on something, consider using Eves Law.
6. Calculating E(X 2 ) - Do you already know E(X) or Var(X)?
Remember that Var(X) = E(X 2 ) E(X)2 .

7. Calculating Covariance If its a count of something, break it

up into a sum of indicator random variables. If youre trying to
calculate the covariance between two components of a
multinomial distribution, Xi , Xj , then the covariance is
npi pj .
8. If X and Y are i.i.d., have you considered using symmetry?
9. Calculating Probabilities of Orderings of Random
Variables Have you considered looking at order statistics? Remember any ordering of i.i.d. random variables is equally
likely.
10. Is this the birthday problem? Is this a multinomial problem?
11. Determining Independence Use the definition of
independence. Think of extreme cases to see if you can find a
counterexample.
12. Does something look like Simpsons Paradox? make sure youre
looking at 3 events.
13. Find the PDF. If the question gives you two r.v., where you
know the PDF of one r.v. and the other r.v. is a function of the
first one, then the problem wants you to use a transformation
of variables (Jacobian). You can also find the pdf by
differentiating the CDF.
14. Do a painful integral. If your integral looks painful, see if
you can write your integral in terms of a PDF (like Gamma or
Beta), so that the integral equals 1.
15. Before moving on. Plug in some simple and extreme cases to
make sure that your answer makes sense.

Biohazards
Section author: Jessy Hwang
1. Dont misuse the native definition of probability - When
answering What is the probability that in a group of 3 people,
no two have the same birth month?, it is not correct to treat
the people as indistinguishable balls being placed into 12 boxes,
since that assumes the list of birth months { January, January,
January} is just as likely as the list { January, April, June},
when the latter is fix times more likely.
2. Dont confuse unconditional and conditional
probabilities, or go in circles with Bayes Rule P (B|A)P (A)
. It is not correct to say P (B) = 1
P (A|B) =
P (B)
because we know that B happened.; P(B) is the probability
before we have information about whether B happened. It is
not correct to use P (A|B) in place of P (A) on the right-hand
side.
3. Dont assume independence without justification - In the
matching problem, the probability that card 1 is a match and
card 2 is a match is not 1/n2 . - The Binomial and
Hypergeometric are often confused; the trials are independent
in the Binomial story and not independent in the
Hypergeometric story due to the lack of replacement.
4. Dont confuse random variables, numbers, and events. Let X be a r.v. Then f (X) is a r.b. for any function f . In
particular, X 2 , |X|, F (X), and IX>3 are r.v.s.
P (X 2 < X|X 0), E(X), Var(X), and f (E(X)) are numbers.
X = 2Rand F (X) 1 are events. It does not make sense to

write
F (X)dx because F (X) is a random variable. It does
not make sense to write P (X) because X is not an event.
5. A random variable is not the same thing as its
distribution - To get the PDF of X 2 , you cant just square the
PDF of X. The right way is to use one variable transformations
- To get the PDF of X + Y , you cant just add the PDF of X
and the PDF of Y . The right way is to compute the
convolution.
6. E(g(X)) does not equal g(E(X)) in general. - See the St.
Petersburg paradox for an extreme example. - The right way to
find E(g(X)) is with LotUS.

Recommended Resources

Introduction to Probability (http://bit.ly/introprobability)

Stat 110 Online (http://stat110.net)
Stat 110 Quora Blog (https://stat110.quora.com/)
Stat 110 Course Notes (mxawng.com/stuff/notes/stat110.pdf)
Quora Probability FAQ (http://bit.ly/probabilityfaq)
LaTeX File (github.com/wzchen/probability cheatsheet)

Distributions
Distribution

PDF and Support

Bernoulli
Bern(p)

P (X = 1) = p
P (X = 0) = q

k
p (1 p)nk
P (X = k) = n
k

Binomial
Bin(n, p)
Geometric
Geom(p)
Negative Binom.
NBin(r, p)
Hypergeometric
HGeom(w, b, n)
Poisson
Pois()

EV

Variance

MGF

pq

q + pet

k {0, 1, 2, . . . n}

np

npq

(q + pet )n

P (X = k) = q k p
k {0, 1, 2, . . . }

r n
P (X = n) = r+n1
p q
r1

q/p

q/p2

rq/p

rq/p2

n {0, 1, 2, . . . }
P (X = k) =

Beta
Beta(a, b)
Chi-Squared
2n

w+b
n

w+bn
n (1
w+b1 n

)
n

k!

e(e

1)

a+b
2

(ba)2
12

x (, )

et+

f (x) = ex
x (0, )

1/

1/2

,t
t

a/

a/2

f (x) =

1
ba

etb eta
t(ba)

2
2
1 e(x ) /(2 )
2

1
(x)a ex x1
(a)

x (0, )
f (x) =

nw
b+w

x (a, b)
f (x) =

p
r
t
( 1qe
t ) , qe < 1

f (x) =

<1

k {0, 1, 2, . . . }

(a+b) a1
x
(1
(a)(b)

2 t2
2

a

<

,t <

x)b1

x (0, 1)

(1)
(a+b+1)

2n

(1 2t)n/2 , t < 1/2

n~
p

Var(Xi ) = npi (1 pi )
Cov(Xi , Xj ) = npi pj

a
a+b

1
xn/21 ex/2
2n/2 (n/2)

x (0, )
f (x) =

Multivar Uniform
A is support
Multinomial
Multk (n, p
~)

b
nk

P (X = k) =

Exponential
Expo()
Gamma
Gamma(a, )

w
k

 

k {0, 1, 2, . . . , n}

Uniform
Unif(a, b)
Normal
N (, 2 )

 

p
, qet
1qet

1
|A|

xA
~ =~
P (X
n) =

n1
n
p
n1 ...nk 1

n
. . . pk k

n = n1 + n2 + + nk

P
k

i=1

pi eti

n

Inequalities
Cauchy-Schwarz
p
|E(XY )| E(X 2 )E(Y 2 )

Markov
E|X|
P (X a)
a

Chebychev
P (|X X | a)

Jensen
2
X
a2

g convex: E(g(X)) g(E(X))

g concave: E(g(X)) g(E(X))