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Lec9_Jan28

The document summarizes Lecture 8 of a Probability & Statistics course, covering concepts such as moments about the origin and mean, moment generating functions (mgf), and the binomial distribution. It defines the binomial random variable and provides the probability mass function (pmf) along with examples and exercises. Key theorems regarding the uniqueness of mgf and the expected value and variance of binomial distributions are also discussed.

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11 views27 pages

Lec9_Jan28

The document summarizes Lecture 8 of a Probability & Statistics course, covering concepts such as moments about the origin and mean, moment generating functions (mgf), and the binomial distribution. It defines the binomial random variable and provides the probability mass function (pmf) along with examples and exercises. Key theorems regarding the uniqueness of mgf and the expected value and variance of binomial distributions are also discussed.

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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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MATH F113: Probability & Statistics

Second Semester 2024-2025

Divyum Sharma
Assistant Professor
Department of Mathematics
BITS Pilani
Lecture 8 Summary

1. Moments about origin, moments about mean;


shortcut formula for variance
2. Moment generating function

Probability & Statistics Divyum Sharma 1


Recall

Definition
The moment generating function of a random
variable X is a function of an ordinary real variable
t defined by
mX (t) = E (e tX ).

Probability & Statistics Divyum Sharma 2


Recall: Theorem
We have 1
X Mk
mX (t) = tk,
k!
k=0
provided the series on the RHS converges in some
neighborhood of t = 0. As a consequence,

k d k mX (t)
Mk = E (X ) = .
dt k t=0

(This justifies the name ‘moment generating


function’.)
Probability & Statistics Divyum Sharma 3
Theorem (Uniqueness theorem for mgf). If
two random variables have the same mgf (in a
neighbourhood of t = 0), then they must have the
same distribution. In other words, the mgf of a
random variable determines its distribution.

Probability & Statistics Divyum Sharma 4


Binomial Distribution

Probability & Statistics Divyum Sharma 5


Binomial Distribution

A dichotomous trial is a random experiment with


exactly 2 outcomes. In general, we may call them S
(success) and F (failure).

Probability & Statistics Divyum Sharma 5


Binomial Distribution

A dichotomous trial is a random experiment with


exactly 2 outcomes. In general, we may call them S
(success) and F (failure).
Example.

• Toss a coin and observe if it lands heads or tails


• For any random experiment, if A is an event,
consider whether A occurred or not

Probability & Statistics Divyum Sharma 5


Binomial Distribution

A dichotomous trial is a random experiment with


exactly 2 outcomes. In general, we may call them S
(success) and F (failure).
Example.

• Toss a coin and observe if it lands heads or tails


• For any random experiment, if A is an event,
consider whether A occurred or not

Remark. Rolling a die and observing the number on


the top face is not a dichotomous trial.
Probability & Statistics Divyum Sharma 5
Binomial experiment: An experiment for which
the following conditions are satisfied is called a
binomial experiment.

1. The experiment consists of a sequence of n


smaller experiments called trials. Here, n is fixed
in advance.
2. Each trial is a dichotomous trial. The two
possible outcomes (S (success) and F (failure))
are the same for each trial.
3. The trials are independent.
4. The probability P(S) of success is constant from
trial to trial. We denoted it by p.
Probability & Statistics Divyum Sharma 6
Definition
The binomial random variable X associated with a
binomial experiment consisting of n trials is defined
as

X = the number of S’s among the n trials.

We will write X ⇠ Bin(n, p) to indicate that X is a


binomial rv based on n trials with success probability
p. The pmf of a binomial rv is denoted by b(x; n, p).

Probability & Statistics Divyum Sharma 7


Theorem
We have
(
n
x p x (1 p)n x , if x = 0, 1 . . . , n,
b(x; n, p) =
0 otherwise.

Pn
Note. x=0 b(x; n, p) = (p + (1 p))n = 1

Probability & Statistics Divyum Sharma 8


Probability histogram for a Bin(20, 0.5) rv

Probability & Statistics Divyum Sharma 9


Probability histogram for a Bin(20, 0.3) rv

Probability & Statistics Divyum Sharma 10


Question
Suppose a die is tossed 5 times independently.
What is the probability of getting exactly 2 fours?

Probability & Statistics Divyum Sharma 11


Question
Suppose a die is tossed 5 times independently.
What is the probability of getting exactly 2 fours?

Solution. Let X denote the number of fours among


the 5 tosses. Then X follows a binomial distribution
with n = 5 and p = 1/6. Hence
✓ ◆ ✓ ◆2 ✓ ◆3
5 1 1
b(2; 5, 1/6) = 1 = 0.161.
2 6 6

Probability & Statistics Divyum Sharma 11


Probability & Statistics Divyum Sharma 12
Probability & Statistics Divyum Sharma 13
(c) The event is that either in 4 trials you get all 4
non-seconds or in 5 trials, you get 4 non-seconds.
This is equivalent to A [ B, where A: in 4 trials there
are 0 seconds, B: in 5 trials there is 1 second. Note
that A and B are mutually exclusive.

Probability & Statistics Divyum Sharma 14


Probability & Statistics Divyum Sharma 15
Probability & Statistics Divyum Sharma 16
Calculating probabilities using cdf

Let X be a binomial random variable with parameters


n, p. For integers i, j with 0  i  j  n, then

P(i  X  j) = B(j; n, p) B(i 1; n, p).

Taking i = j, we get

b(j; n, p) = B(j; n, p) B(j 1; n, p).

Probability & Statistics Divyum Sharma 17


Proposition
If X ⇠ Bin(n, p), then
p
E (X ) = np, V (X ) = npq, X = npq, where q = 1 p.

Probability & Statistics Divyum Sharma 18


Proof.
n
X n
X n!
E (X ) = xb(x; n, p) = x px qn x

x=0 x=0
x!(n x)!
Xn
n!
= x px qn x

x=1
x!(n x)!
n
X (n 1)!
= np px 1q n 1 (x 1)

x=1
(x 1)!(n 1 (x 1))!
n 1
X (n 1)! 1 y 1
= np py qn = np(p + q)n =
y =0
y !(n 1 y )!

Probability & Statistics Divyum Sharma 19


n
X
2 n!
E (X ) = x2 px qn x

x=0
x!(n x)!
n
X n!
= (x 2 x) px qn x
+ E (X )
x=0
x!(n x)!
Xn
n!
= px qn x
+ np
x=2
(x 2)!(n x)!
n 2
X
2 (n 2)! 2 y
= n(n 1)p py qn + np
y =0
y !(n 2 y )!
2
= n(n 1)p + np.
Hence V (X ) = E (X 2 ) (E (X ))2 = npq.
Probability & Statistics Divyum Sharma 20
Mgf of binomial distribution

Theorem
Let X be a binomial random variable with
parameters n, p. Then the mgf mX (t) of X is given
by
mX (t) = (q + pe t )n .

Probability & Statistics Divyum Sharma 21


Mgf of binomial distribution

Theorem
Let X be a binomial random variable with
parameters n, p. Then the mgf mX (t) of X is given
by
mX (t) = (q + pe t )n .

Proof. Exercise.
Exercise
Using the mgf of a binomial distribution, derive the
formulas for its mean and variance.
Probability & Statistics Divyum Sharma 21

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