Probability theory: Difference between revisions

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===Motivation===

Consider an [[Experiment (probability theory)|experiment]] that can produce a number of outcomes. The set of all outcomes is called the ''[[sample space]]'' of the experiment. The ''[[power set]]'' of the sample space (or equivalently, the event space) is formed by considering all different collections of possible results. For example, rolling an honest dicedie produces one of six possible results. One collection of possible results corresponds to getting an odd number. Thus, the subset {1,3,5} is an element of the power set of the sample space of dice rolls. These collections are called ''events''. In this case, {1,3,5} is the event that the dicedie falls on some odd number. If the results that actually occur fall in a given event, that event is said to have occurred.

Probability is a [[Function (mathematics)|way of assigning]] every "event" a value between zero and one, with the requirement that the event made up of all possible results (in our example, the event {1,2,3,4,5,6}) be assigned a value of one. To qualify as a [[probability distribution]], the assignment of values must satisfy the requirement that if you look at a collection of mutually exclusive events (events that contain no common results, e.g., the events {1,6}, {3}, and {2,4} are all mutually exclusive), the probability that any of these events occurs is given by the sum of the probabilities of the events.<ref>{{cite book |last=Ross |first=Sheldon |title=A First Course in Probability |publisher=Pearson Prentice Hall |edition=8th |year=2010 |isbn=978-0-13-603313-4 |pages=26–27 |url=https://books.google.com/books?id=Bc1FAQAAIAAJ&pg=PA26 |access-date=2016-02-28 }}</ref>

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The probability that any one of the events {1,6}, {3}, or {2,4} will occur is 5/6. This is the same as saying that the probability of event {1,2,3,4,6} is 5/6. This event encompasses the possibility of any number except five being rolled. The mutually exclusive event {5} has a probability of 1/6, and the event {1,2,3,4,5,6} has a probability of 1, that is, absolute certainty.

When doing calculations using the outcomes of an experiment, it is necessary that all those [[elementary event]]s have a number assigned to them. This is done using a [[random variable]]. A random variable is a function that assigns to each elementary event in the sample space a [[real number]]. This function is usually denoted by a capital letter.<ref>{{Cite book |title =Introduction to Probability and Mathematical Statistics |last1 =Bain |first1 =Lee J. |last2 =Engelhardt |first2 =Max |publisher =Brooks/Cole |___location =[[Belmont, California]] |page =53 |isbn =978-0-534-38020-5 |edition =2nd |date =1992 }}</ref> In the case of a dicedie, the assignment of a number to certain elementary events can be done using the [[identity function]]. This does not always work. For example, when [[coin flipping|flipping a coin]] the two possible outcomes are "heads" and "tails". In this example, the random variable ''X'' could assign to the outcome "heads" the number "0" (<math display="inline">X(\text{heads})=0</math>) and to the outcome "tails" the number "1" (<math>X(\text{tails})=1</math>).

===Discrete probability distributions===