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Basic Probabilities

The course 'Basic Probabilities' is an optional 16-hour refresher course in algebra and probability taught by Chinmoy Bhattacharjee, focusing on fundamental concepts such as probability distributions, density functions, and convergence types. It includes exercises on classical distributions, joint distributions, convergence of random variables, and key probability inequalities. The course aims to provide a comprehensive understanding of probability theory through theoretical explanations and practical examples.

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pranjul shah
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17 views2 pages

Basic Probabilities

The course 'Basic Probabilities' is an optional 16-hour refresher course in algebra and probability taught by Chinmoy Bhattacharjee, focusing on fundamental concepts such as probability distributions, density functions, and convergence types. It includes exercises on classical distributions, joint distributions, convergence of random variables, and key probability inequalities. The course aims to provide a comprehensive understanding of probability theory through theoretical explanations and practical examples.

Uploaded by

pranjul shah
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd

Department Mathematic

Module Refresher courses in algebra and probability


Title of the course Basic Probabilities

Name(s) of the teacher(s) Chinmoy BHATTACHARJEE

ECTS No
Examination No
Number of hours 16 UE: 8 UE/week: 4 courses of 2 TU, 33% course, 67% exercise

Language English

Mandatory/Optional Optional

Description
Course 1/Exercise:
 Given the probabilistic interpretation of a probability, an event, a random variable, the
expectation of a random variable;
 Recall what is the distribution of a real-valued random variables. Recall the most classical
distributions among which Bernoulli, binomial, Poisson, Exponential, uniform and Gaussian
distributions.
 Explain what the density and cumulative distribution functions are. Show how in the continuous
case we can recover the former from the latter by differentiation.
 Recall the calculations of the means and variances of classical distributions.
 Recall the transfer formula: for all nonnegative (or integrable) function f and real-valued
random variable X with density p with respect to a measure 𝜇𝜇 (that is either the Lebesgue
measure on ℝ or the counting measure on ℕ),
𝔼𝔼[𝑓𝑓(𝑋𝑋)] = ∫ℝ 𝑓𝑓(𝑥𝑥)𝑝𝑝(𝑥𝑥)𝑑𝑑𝜇𝜇(𝑥𝑥).
Explain that the integral turns into a series (or sum) in the case of the counting
measure.

Course 2/Exercise:
 For a random vector (X,Y) with a density p on ℝ2 with respect to a measure 𝜇𝜇⨂𝜐𝜐 (where 𝜇𝜇 and
𝜐𝜐 are either the Lebesgue measure on ℝ or the counting measure on ℕ), introduce the transfer
formula

𝔼𝔼[𝑓𝑓(𝑋𝑋, 𝑌𝑌)] = � 𝑓𝑓(𝑥𝑥, 𝑦𝑦)𝑝𝑝(𝑥𝑥, 𝑦𝑦)𝑑𝑑𝜇𝜇(𝑥𝑥)𝑑𝑑𝜐𝜐(𝑦𝑦).


ℝ2
 Recall what are the marginal distributions and the conditional distribution (on simple
examples).
 Recall what it means that X and Y are independent. Recall the formulas
ℙ(𝑋𝑋 ∈ 𝐴𝐴, 𝑌𝑌 ∈ 𝐵𝐵) = ℙ(𝑋𝑋 ∈ 𝐴𝐴)ℙ(𝑌𝑌 ∈ 𝐵𝐵), 𝔼𝔼[𝑓𝑓(𝑋𝑋)𝑔𝑔(𝑌𝑌)] = 𝔼𝔼[𝑓𝑓(𝑋𝑋)]𝔼𝔼[𝑔𝑔(𝑌𝑌)]
that hold for all (measurable) sets A and B and integrable functions f,g. Interpret
independency in terms of product of the densities.
 Give examples on how to compute the joint distribution of (X,Y) when (X,Y)=f(U,V) and (U,V) is
a pair of independent random variables.
Course 3/Exercise:
 For a sequence of real-valued random variables, explain what the almost sure convergence,
the convergence in 𝕃𝕃1 and in 𝕃𝕃2 , the convergence in probability, and the convergence in
distribution to a continuous random variable Z (in terms of convergence of the cumulative
distributions functions) are.
 Explain the connections between these different types of convergence.
 Give examples: case of independent Bernoulli random variables (𝑋𝑋𝑛𝑛 ) with parameters (𝑝𝑝𝑛𝑛 ).

Course 4/Exercise
 Recall the basic inequalities in probability: Markov, Bienaymé-Tchebychev, Jensen.
 Recall what the distributions of the sum of i.i.d. Bernoulli random variables, the sum of
independent Poisson random variables, the sum of independent Gaussian random variables.
Variance of a sum of independent random variables.
 Recall the Law of Large Numbers and the Central Limit Theorem.
 Illustrate by the Monte Carlo method for example.

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