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Probability Theory#

Probabilities denote the chance that an event occurs, it is not any kind of guarantee that this event will happen after a certain amount of trials.


Name Definition
Sample Space \(Ω\) nonempty set of outputs of experiment
Sigma Algebra \(\mathbb F \subseteq 2^Ω\) set of subsets of outputs (events)
Probability \(\P: \mathbb F \mapsto [0,1]\)
Random Variable \(\X: Ω \mapsto \mathbb X\) mapped subsets of \(Ω\)
Observations: \(x_1, \ldots, x_N\) single values of \(\X\)
Observation Space \(\mathbb X\) possible observations of \(\X\)
Unknown parameter \(θ ∈ Θ\) parameter of propability function
Estimator \(\T: \mathbb X \mapsto Θ\) \(\T(\X) = \hat{θ}\), finds \(\hat{θ}\) from \(\X\)

Conditional Probabilty#

The probability for an event \(A\) given that the event \(B\) already occured is \(\(\P_B(A) = \P(A|B) = \frac{\P(A \cap B)}{\P(B)}\)\) with events \(A,B\).

Multiplication: \(\P(A \cap B) = \P(A|B)\P(B) = \P(B|A)\P(A)\)

Bayes' law: \(\(\P(B_k | A) = \frac{\P(A | B_k)\P(B_k)}{\sum\limits_{i \in I} \P(A|B_i) \P(B_i)}\)\)

Total probabilty: \(\P(A) = \sum\limits_{i \in I} \P(A|B_i)\P(B_i)\)

Random Variables#

\(\X : \Omega \mapsto \Omega'\) is a random variable if for all events \(A' \in \mathbb F'\) there exists an event \(A \in \mathbb F\) such that \(\left\{\omega \in \Omega|\X(\omega) \in A'\right\} \in \mathbb F\).


PDF: \(f_{\X}(x) = \frac{\diff F_{\X}(x)}{\diff x}\) CDF: \(F_{\X}(x) = \int\limits_{-\infty}^{x}{f_{\X}(\xi)\diff\xi}\)