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Lecture 3

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Anika Gupta
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Lecture 3

Uploaded by

Anika Gupta
Copyright
© © All Rights Reserved
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Download as PDF, TXT or read online on Scribd
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1) 𝐺𝑒𝑛𝑒𝑟𝑎𝑙 𝐴𝑑𝑑𝑖𝑡𝑖𝑣𝑒 𝐿𝑎𝑤:

𝐺𝑒𝑛𝑒𝑟𝑎𝑙 𝐴𝑑𝑑𝑖𝑡𝑖𝑣𝑒 𝐿𝑎𝑤 𝑓𝑜𝑟 𝑡𝑤𝑜 𝑒𝑣𝑒𝑛𝑡𝑠:


Probability of union of two events is the sum of their individual probabilities
minus the probability of their simultaneous occurrence.

𝑃(𝐴 ∪ 𝐵) = 𝑃(𝐴) + 𝑃(𝐵) − 𝑃(𝐴 ∩ 𝐵)( See Fig 2.4)

Fig 2.4

𝐴 ∪ 𝐵 = (𝐴~𝐵) ∪ 𝐵 ⇒ 𝑃(𝐴 ∪ 𝐵) = 𝑃[(𝐴~𝐵) ∪ 𝐵] = 𝑃(𝐴~𝐵) + 𝑃(𝐵) 𝑎𝑠 (𝐴~𝐵) ∩ 𝐵 = ∅


=(𝑃(𝐴) − 𝑃(𝐴 ∩ 𝐵)) + 𝑃(𝐵).

𝐺𝑒𝑛𝑒𝑟𝑎𝑙 𝐴𝑑𝑑𝑖𝑡𝑖𝑣𝑒 𝐿𝑎𝑤 𝑓𝑜𝑟 𝑡ℎ𝑟𝑒𝑒 𝑒𝑣𝑒𝑛𝑡𝑠:

𝑃(𝐴1 ∪ 𝐴2 ∪ 𝐴3 ) = 𝑃(𝐴1 ) + 𝑃(𝐴2 ) + 𝑃(𝐴3 )


−𝑃(𝐴1 ∩ 𝐴2 ) − 𝑃(𝐴2 ∩ 𝐴3 )−𝑃(𝐴1 ∩ 𝐴3 ) + 𝑃(𝐴1 ∩ 𝐴2 ∩ 𝐴3 )
=∑3𝑖=1 𝑃( 𝐴𝑖 ) − ∑𝑖<𝑗 𝑃(𝐴𝑖 ∩ 𝐴𝑗 ) + 𝑃(⋂3𝑖=1 𝐴𝑖 ).

𝑃(𝐴1 ∪ 𝐴2 ∪ 𝐴3 ) = 𝑃[(𝐴1 ∪ 𝐴2 ) ∪ 𝐴3 ] = 𝑃(𝐴1 ∪ 𝐴2 ) + 𝑃(𝐴3 ) − 𝑃[(𝐴1 ∪ 𝐴2 ) ∩ 𝐴3 ]


= [𝑃(𝐴1 ) + 𝑃(𝐴2 ) − 𝑃(𝐴1 ∩ 𝐴2 )] + 𝑃(𝐴3 ) − 𝑃[(𝐴1 ∩ 𝐴3 ) ∪ ( 𝐴2 ∩ 𝐴3 )]
= 𝑃(𝐴1 ) + 𝑃(𝐴2 ) + 𝑃(𝐴3 ) − 𝑃(𝐴1 ∩ 𝐴2 ) − [𝑃(𝐴1 ∩ 𝐴3 ) + 𝑃(𝐴2 ∩ 𝐴3 ) − 𝑃[(𝐴1 ∩ 𝐴3 ) ∩
(𝐴2 ∩ 𝐴3 )]=𝑃(𝐴1 ) + 𝑃(𝐴2 ) + 𝑃(𝐴3 )
−𝑃(𝐴1 ∩ 𝐴2 ) − 𝑃(𝐴2 ∩ 𝐴3 )−𝑃(𝐴1 ∩ 𝐴3 ) + 𝑃(𝐴1 ∩ 𝐴2 ∩ 𝐴3 ).
𝐺𝑒𝑛𝑒𝑟𝑎𝑙 𝐴𝑑𝑑𝑖𝑡𝑖𝑣𝑒 𝐿𝑎𝑤 𝑓𝑜𝑟 𝑛 𝑒𝑣𝑒𝑛𝑡𝑠:

𝑃(⋃𝑛𝑖=1 𝐴𝑖 ) = ∑𝑛𝑖=1 𝑃( 𝐴𝑖 ) − ∑𝑖<𝑗 𝑃(𝐴𝑖 ∩ 𝐴𝑗 ) − ∑𝑖<𝑗<𝑘 𝑃(𝐴𝑖 ∩ 𝐴𝑗 ∩


𝐴𝑘 )+…+(−1)𝑛 𝑃(⋂𝑛𝑖=1 𝐴𝑖 ).

We proceed by induction on 𝑛.

𝑛 = 1 ∶ LHS=RHS=𝑃(𝐴1 ).

𝑛 = 2: We have shown 𝑃(𝐴1 ∪ 𝐴2 ) = 𝑃(𝐴1 ) + 𝑃(𝐴2 ) − 𝑃(𝐴1 ∩ 𝐴2 ).

𝑛 = 𝑚: We assume 𝑃(⋃𝑚 𝑚
𝑖=1 𝐴𝑖 ) = ∑𝑖=1 𝑃( 𝐴𝑖 ) − ∑𝑖<𝑗 𝑃(𝐴𝑖 ∩ 𝐴𝑗 ) − ∑𝑖<𝑗<𝑘 𝑃(𝐴𝑖 ∩ 𝐴𝑗 ∩
𝐴𝑘 )+…+(−1)𝑚 𝑃(⋂𝑚𝑖=1 𝐴𝑖 ).

𝑛 = 𝑚 + 1: 𝑃(⋃𝑚+1 𝑚 𝑚
𝑖=1 𝐴𝑖 ) = 𝑃[(⋃𝑖=1 𝐴𝑖 ) ∪ 𝐴𝑚+1 ] = 𝑃(⋃𝑖=1 𝐴𝑖 ) + 𝑃(𝐴𝑚+1 ) −
𝑚
𝑃[(⋃𝑖=1 𝐴𝑖 ) ∩ 𝐴𝑚+1 ]

=[ ∑𝑚 𝑚 𝑚
𝑖=1 𝑃( 𝐴𝑖 ) − ∑𝑖<𝑗 𝑃(𝐴𝑖 ∩ 𝐴𝑗 ) − ∑𝑖<𝑗<𝑘 𝑃(𝐴𝑖 ∩ 𝐴𝑗 ∩ 𝐴𝑘 )+…+(−1) 𝑃(⋂𝑖=1 𝐴𝑖 )]+
𝑚
𝑃(𝐴𝑚+1 ) − 𝑃[⋃𝑖=1(𝐴𝑖 ∩ 𝐴𝑚+1 )]
=[ ∑𝑚 𝑚 𝑚
𝑖=1 𝑃( 𝐴𝑖 ) − ∑𝑖<𝑗 𝑃(𝐴𝑖 ∩ 𝐴𝑗 ) − ∑𝑖<𝑗<𝑘 𝑃(𝐴𝑖 ∩ 𝐴𝑗 ∩ 𝐴𝑘 )+…+(−1) 𝑃(⋂𝑖=1 𝐴𝑖 )]+
𝑃(𝐴𝑚+1 ) − [∑𝑚 𝑖=1 𝑃( 𝐴𝑖 ∩ 𝐴𝑚+1 ) − ∑𝑖<𝑗 𝑃(𝐴𝑖 ∩ 𝐴𝑗 ∩ 𝐴𝑚+1 ) − ∑𝑖<𝑗<𝑘 𝑃(𝐴𝑖 ∩ 𝐴𝑗 ∩
𝐴𝑘 )+…+(−1) 𝑃(⋂𝑚𝑚
𝑖=1 𝐴𝑖 )
=∑𝑖=1 𝑃( 𝐴𝑖 ) − ∑𝑖<𝑗 𝑃(𝐴𝑖 ∩ 𝐴𝑗 ) − ∑𝑖<𝑗<𝑘 𝑃(𝐴𝑖 ∩ 𝐴𝑗 ∩ 𝐴𝑘 )+…+(−1)𝑚+1 𝑃(⋂𝑚+1
𝑚+1
𝑖=1 𝐴𝑖 ).

2) 𝐵𝑜𝑜𝑙𝑒’𝑠 𝐼𝑛𝑒𝑞𝑢𝑎𝑙𝑖𝑡𝑦

𝑃(⋃𝑛𝑖=1 𝐴𝑖 )≤ ∑𝑛𝑖=1 𝑃( 𝐴𝑖 )

We prove the result by induction on 𝑛.

𝑛 = 1: LHS=RHS=𝑃(𝐴1 ).

𝑛 = 2: We have shown 𝑃(𝐴1 ∪ 𝐴2 ) = 𝑃(𝐴1 ) + 𝑃(𝐴2 ) − 𝑃(𝐴1 ∩ 𝐴2 )

≤ 𝑃(𝐴1 ) + 𝑃(𝐴2 ).

𝑛 = 𝑚: We assume 𝑃(⋃𝑚 𝑚
𝑖=1 𝐴𝑖 ) ≤ ∑𝑖=1 𝑃( 𝐴𝑖 )
𝑛 = 𝑚 + 1: 𝑃(⋃𝑚+1 𝑚 𝑚
𝑖=1 𝐴𝑖 ) = 𝑃[(⋃𝑖=1 𝐴𝑖 ) ∪ 𝐴𝑚+1 ] ≤ 𝑃(⋃𝑖=1 𝐴𝑖 ) + 𝑃(𝐴𝑚+1 )

≤ ∑𝑚
𝑖=1 𝑃( 𝐴𝑖 ) + 𝑃(𝐴𝑚+1 )

=∑𝑚+1
𝑖=1 𝑃( 𝐴𝑖 ).

3) 𝐵𝑜𝑛 𝐹𝑒𝑟𝑟𝑜𝑛𝑖’𝑠 𝐼𝑛𝑒𝑞𝑢𝑎𝑙𝑖𝑡𝑦:

𝑃(⋂𝑛𝑖=1 𝐴𝑖 ) ≥ ∑𝑛𝑖=1 𝑃(𝐴𝑖 ) − (𝑛 − 1).

We prove this result by induction on 𝑛.

𝑛 = 1: LHS=𝑃(𝐴1 ), RHS= 𝑃(𝐴1 ) − (1 − 1) = 𝑃(𝐴1 ).

𝑛 = 2: To show 𝑃(𝐴1 ∩ 𝐴2 ) ≥ 𝑃(𝐴1 ) + 𝑃(𝐴2 ) − 1

Consider 𝑃(𝐴1 ∪ 𝐴2 ) ≤ 1 ⇒ 𝑃(𝐴1 ) + 𝑃(𝐴2 ) − 𝑃(𝐴1 ∩ 𝐴2 ) ≤ 1


⇒ 𝑃(𝐴1 ∩ 𝐴2 ) ≥ 𝑃(𝐴1 ) + 𝑃(𝐴2 ) − 1

𝑛 = 𝑚: We assume 𝑃(⋃𝑚 𝑚
𝑖=1 𝐴𝑖 ) ≥ ∑𝑖=1 𝑃( 𝐴𝑖 )−(𝑚 − 1)

𝑛 = 𝑚 + 1: To show 𝑃(⋃𝑚+1 𝑚+1


𝑖=1 𝐴𝑖 ) ≥ ∑𝑖=1 𝑃( 𝐴𝑖 )−𝑚

Consider 𝑃(⋃𝑚+1 𝑚 𝑚
𝑖=1 𝐴𝑖 ) = 𝑃(⋃𝑖=1 𝐴𝑖 ∪ 𝐴𝑚+1 ) ≥ 𝑃(⋃𝑖=1 𝐴𝑖 ) + 𝑃(𝐴𝑚+1 ) − 1
𝑚
≥[∑𝑖=1 𝑃( 𝐴𝑖 )−(𝑚 − 1)] +
𝑃(𝐴𝑚+1 ) − 1=∑𝑚+1
𝑖=1 𝑃( 𝐴𝑖 )−𝑚.

4)
(i) The limiting case of probabilities of a sequence of events nested from
below (monotonically increasing sequence of events) is the
probability of the union of these events.
Let {𝐴𝑛 } 𝑏𝑒 𝑎 𝑚𝑜𝑛𝑜𝑡𝑜𝑛𝑖𝑐𝑎𝑙𝑙𝑦 𝑖𝑛𝑐𝑟𝑒𝑎𝑠𝑖𝑛𝑔 𝑠𝑒𝑞𝑢𝑒𝑛𝑐𝑒 𝑜𝑓 𝑒𝑣𝑒𝑛𝑡𝑠. (See Fig 2.5)

𝑇ℎ𝑒𝑛 lim 𝑃( 𝐴𝑛 ) = 𝑃 ( lim 𝐴𝑛 ) = 𝑃(⋃∞


𝑛=1 𝐴𝑛 ).
𝑛→∞ 𝑛→∞

(ii) The limiting case of probabilities of a sequence of events nested from


above (monotonically decreasing sequence of events) is the
probability of the intersection of these events.
Let {𝐴𝑛 } 𝑏𝑒 𝑎 𝑚𝑜𝑛𝑜𝑡𝑜𝑛𝑖𝑐𝑎𝑙𝑙𝑦 𝑑𝑒𝑐𝑟𝑒𝑎𝑠𝑖𝑛𝑔 𝑠𝑒𝑞𝑢𝑒𝑛𝑐𝑒 𝑜𝑓 𝑒𝑣𝑒𝑛𝑡𝑠.

𝑇ℎ𝑒𝑛 lim 𝑃( 𝐴𝑛 ) = 𝑃 ( lim 𝐴𝑛 ) = 𝑃(⋂∞


𝑛=1 𝐴𝑛 ).
𝑛→∞ 𝑛→∞
𝑃𝑟𝑜𝑜𝑓:
(i) We first prove a Lemma on an increasing sequence of sets.
𝐿𝑒𝑚𝑚𝑎: Let {𝐴𝑛 } be a monotonically increasing sequence of events. Then,
lim 𝐴𝑛 = ⋃∞
𝑛=1 𝐴𝑛
𝑛→∞

Fig 2.5
As 𝐴1 ⊆ 𝐴2 , 𝐴1 ∪ 𝐴2 = 𝐴2
As 𝐴2 ⊆ 𝐴3 , 𝐴2 ∪ 𝐴3 = 𝐴3 𝑠𝑜 𝑡ℎ𝑎𝑡 𝐴1 ∪ 𝐴2 ∪ 𝐴3 = 𝐴3
As 𝐴3 ⊆ 𝐴4 , 𝐴3 ∪ 𝐴4 = 𝐴4 𝑠𝑜 𝑡ℎ𝑎𝑡 𝐴1 ∪ 𝐴2 ∪ 𝐴3 ∪ 𝐴4 = 𝐴4
⋮
As 𝐴𝑛−1 ⊆ 𝐴𝑛 , 𝐴𝑛−1 ∪ 𝐴𝑛 = 𝐴𝑛 𝑠𝑜 𝑡ℎ𝑎𝑡 ⋃𝑛𝑖=1 𝐴𝑖 = 𝐴𝑛

Therefore, lim ⋃𝑛𝑖=1 𝐴𝑖 = lim 𝐴𝑛 so that lim 𝐴𝑛 = ⋃∞


𝑛=1 𝐴𝑛 .
𝑛→∞ 𝑛→∞ 𝑛→∞

We now proceed to prove the result.

We define a sequence {𝑅𝑛 }∞


𝑛=1 , whose members are mutually exclusive, and union of all
members coincides with ⋃∞ 𝑛=1 𝐴𝑛 , as follows: (Fig 2.6)

𝑅1 =𝐴1
𝑅2 = 𝐴2 ~𝐴1
𝑅3 = 𝐴3 ~𝐴2
⋮
𝑅𝑛 = 𝐴𝑛 ~𝐴𝑛−1

Fig 2.6

Then, 𝑅𝑖 ∩ 𝑅𝑗 = ∅ ∀𝑖 ≠ 𝑗 and ⋃∞ ∞
𝑛=1 𝑅𝑛 = ⋃𝑛=1 𝐴𝑛 .

Then, 𝑃(⋃∞ ∞ ∞ 𝑖
𝑛=1 𝐴𝑛 ) = 𝑃( ⋃𝑛=1 𝑅𝑛 ) = ∑𝑛=1 𝑃(𝑅𝑛 ) = lim ∑𝑛=1 𝑃(𝑅𝑛 )
𝑖→∞

=lim [ 𝑃( 𝑅1 ) + 𝑃(𝑅2 ) + ⋯ + 𝑃(𝑅𝑖 )] = lim [ 𝑃( 𝐴1 ) + 𝑃(𝐴2 ~𝐴1 ) + ⋯ + 𝑃(𝐴𝑖 ~𝐴𝑖−1 )]


𝑖→∞ 𝑖→∞

=lim [ 𝑃( 𝐴1 ) + {𝑃(𝐴2 ) − 𝑃(𝐴1 ∩ 𝐴2 )} + ⋯ + {𝑃(𝐴𝑖 ) − 𝑃(𝐴𝑖 ∩ 𝐴𝑖−1 )}]


𝑖→∞

=lim [ 𝑃( 𝐴1 ) + {𝑃(𝐴2 ) − 𝑃(𝐴1 ∩ 𝐴2 )} + ⋯ + {𝑃(𝐴𝑖 ) − 𝑃(𝐴𝑖−1 )}


𝑖→∞

=lim 𝑃(𝐴𝑖 )
𝑖→∞

Therefore, lim 𝑃(𝐴𝑛 ) = 𝑃(⋃∞


𝑛=1 𝐴𝑛 ) = 𝑃 ( lim 𝐴𝑛 ).
𝑛→∞ 𝑛→∞

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