An Introduction to Probability Theory

Content Summary: 900 words, 9 min read.

“Probability theory is nothing but common sense reduced to calculation.” – Laplace

Introducing Probability Theory

Probability theory, as formulated by Andrey Kolmogorov in 1925, has two ingredients:

  1. A space which define the mathematical objects (“the nouns”)
  2. Axioms which define the mathematical operations (“the verbs”)

A probability space is a 3-tuple (Ω,𝓕,P):

  1. Sample Space (Ω): A set of possible outcomes, from one or more events. Outcomes in Ω must be mutually exclusive and collectively exhaustive.
  2. σ-Algebra (𝓕). A collection of event groupings, or subsets. If Ω is countable, this can simply be the power set, otherwise a Borel algebra is often used.
  3. Probability Measure Function (P). A real-valued function P: Ω → ℝ which maps from events to real numbers.

The Kolmogorov axioms provide “rules of behavior” for the residents of probability space:

  1. Non-negativity: probabilities can never be negative, P(x) >= 0.
  2. Unitarity: the sum of all probabilities is 1.0 (“something has to happen”)
  3. Sigma Additivity: the probability of composite events equals the sum of their individual probabilities.

probability-structural-overview-3

Random Variables

A random variable is a real-valued function X: Ω → ℝ. A random variable is a function, but not a probability function. Rather, instantiating random variables X = x defines a subset of events ⍵ ∈ Ω such that X(⍵) = x. Thus x picks out the preimage of Ω. Variable instantiation thus provides a language to select groups of events from Ω.

Random variables with discrete outcomes (countably finite Ω) are known as discrete random variable. We can define probability mass functions (PMFs) such that

f_X(x) = P(X=x) = P( { \omega \in \Omega : X(\omega) = x } )

In contrast, continuous random variables have continuous outcomes (uncountable Ω). For this class of variable, the probability of any particular event is undefined. Instead, we must define probabilities against a particular interval. The probability of 5.0000000… inches of snow is 0%; it is more meaningful to discuss the probability of 5 ± 0.5 inches of snowfall. Thus, we define probability density functions (PDFs) such that:

P[a \leq X \leq b] = \int f_X(x) dx

We can summarize discrete PMFs and continuous PDFs in the following graphic:

probability-pmf-vs-pdf-1

Marginal Probabilities

Consider two random variables, A and B ∈ Ω. Several operators may act on these variables, which parallel similar devices in Boolean algebra and set theory.

probability-operators

Suppose we want to know the probability of either A or B occuring. For this, we rely on the Set Combination Theorem:

probability-set-combination-4

Union involves subtracting the intersection; else the purple region is counted twice.

Conditional Probabilities

When instantiated, random variables carve subsets from the sample space. It would be convenient to define operations on these smaller regions. 

The concept of conditional probabilities provides such a language. We will use the following operator:

P(B|A) which reads “the probability of B given A”

Conditional probability is related to the

To illustrate, here’s a simple card game example

probability-conditional-probability-2

Probability is commutative: P(A,B) = P(B,A). This allows us to derive Bayes Theorem:

probability-bayes-theorem-1

Bayes is incredibly useful, as it allows us to “invert” statements about conditional probability. If we adopt a subjective view of probabilities, where …

bayes-updating-theory-3

The laws of total probability and the multiplication rule are also relevant here.

Independence

Lastly, we desire to understand the laws of independence.

Takeaways

Today we explored the following concepts.

probability-theory-theorems-4

These eleven definitions and theorems are the cornerstone upon which much reasoning are built. It pays to learn them well.

Related Work

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s