0, 
Basics (Set theory, Axioms of Probability, Total Probability, Baye’s Theorem)


  

 

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,  . & 
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  ,!   ,! ,!

23  
4 5  23 ∞  1, 23 ∞  0, 23     ,  &   8
 9 4 5 *   23 *   23   &23 
Distribution and Density Functions (Single Random Variable)
:3  ;
&
1 PQR, :3   S >TB ,  U 0
= B
:3   ?
( @  ( 
B>MN
< :3   1 23   < :3 A&A CDEFFGDH, :3  
>
ON
>= >= √2KL *
1 1  >B N >B N K 4K *
PQR, 23   1  >TB ,  U 0, V   ,   * WDXYPGCZ, :3   * *ON , 23   1  *ON ,  U 0, V   L[ ,   L
S S L 2 2
1  ^GH_`GDY, :3   - - 1>- , V   ,   1  
EHG], :3   ,  5  5 ^, 23   ,  5  5 ^, 1,  U ^
^ ^
S -
CP_`PaWGb H_ _] cPWH_EYYG aWGDYF EHaGY ]GWFa FEbbPFF,
  ,  :3 
R_GFF_H,
  ,  :3   >T , V     S 1 1
,!  1 -> , V   ,   ,
 *
:B |
 =
2B   2B g :B g


|4   



  <

|4  :3  & 23 d4 5 e4 f gh  , Ri] 
:B  >= 1  2B g 1  2B g

:3   :3   8 :3 , 8 2k ., m  2k> 23 

One Function of Random Variable
.  8   '  8*  j :k .  l  ' l
|8  | |8  |

= =
no4  ^mp  no4p  ^nomp
Expectations

V   no4p  < :3 &  ?

4  4( 4(  no4|"p  < :3 |"&  ?
4  4( |"4(  Linearity of Expectation
>= ( >= (
=
qo4p  L3*  no4  no4p* =
p
no8p  < 8:3 &  ?
4  4( 84(   no4 * p  no4p* V  no4  <   :3 &
>= ( >=
r  no4  no4p no4p L* =
`DWs_t,
4 U g 5 bZPuXbZPt,
|4  no4p| U v 5 * w3 x  no yz3 p  < yzB :3 &
g v
>=
Φ}~ €‚ƒ„…~ƒ„ 0  no4  p  V
= =
1
Φ  no |3 p  < |B :3 & :3   < >yzB w3 x&
2K
>= >=

23k ∞, .  23k , ∞=0 = = =

Joint Distribution, Density and other relations(Functions of two random variables, Two functions of two random variables)
23   23k , ∞  :3   < :, .&. :† ‡  < :†ˆ ‡, x&x  < :3k d4‡, x, m‡, xh &x
>= >= >=

 9 4 5 * , . 9 m 5 .*   2* , .*   2 , .*   2* , .   2 , .  :, . 2, .

‰ * 2, . B Š
  < < :, .&&.
‰‰. >= >=
‹HiPR: :, .  :3 :k ., 2, .  23 2k .
4 f , m f .  1  23   2kŠ  2, .
Š‘’= BŠ, no4  ^mp  no4p  ^nomp ” &  j • , • 
  CŽ,  j 2 ‡  < < :, .&&. no4mp “ no4pnomp     – ” & 
Š0>Š‘’> = >BŠ,‘’>=
‰‡, x ‰‡, x
  CŽ, , —  ZŽ,  j 2‡, x  ˜ :3k , . &&. j :‡, x  :3k d4‡, x, m‡, xh š ‰‡ ‰x š  :3k 4‡, x, m‡, x
™ ‰.‡, x ‰.‡, x ‰8, . ‰8, .
‰‡ ‰x ‰ ‰.
š š
‰›, . ‰›, .
‰ ‰.
œPGuHGa: 2 ‡  ž  :, ‡& j : ‡ 
Ÿ ¡ ¢£ 

¡Ÿ
:^‡, ‡ 
¡ 
:‡, ‡  ž 
Ÿ ¤¥B,Š
&. wx , x* 
¡ ¡ ¡ ¤
 w3 x wk x* ,  & 
3k  n¦4  §B dm  §Š h¨ BŠ = = = =
©BŠ  wx , x*   < < :, . yzªB«zNŠ &&. < < :, .&&.  1
 no4mp  no4pnomp LB LŠ >= >= >= >=
:.|: :.|: w3k x , x*   no yzª 3 yzN k p 1
:|.   = :3k , .  * ˜ >yzª B«yzNŠ w3k x , x* &&
:. ž>= :.|:& 4K
˜ yzª B«yzN Š ,
:3k .&&. ™
™
 :3k , . =
nomp  n3 onk om|4pp
Φ , *   no |ª3«|Nk p  ˜ |ªB«|NŠ :3k , .& :k .|4   
n84|"  < 8:|"&
:3  >=
™
n¬no84, m|4p­  no84, mp no8 48* m|p  no8 8* m|p no®4  no4p  m  nomp¯* p U 0 :3k† , ., ‡
:, .|‡ 
:† ‡

°± ²Fa. uX b_HFaDHa, ‰ ‰ 3k

Sequences of Random Variables

& œGHPDW °± ²Fa,  no®m  4  ^¯* p,  min x›  0 &  0 j   * ,^

 nom  * p,  min x› 0 ‰ ‰^ L3
& 3k
j   nomp  rk  r
L3* 3
4  4  '  4 2 , ¸   2 , ∞, ¸ , ∞ = =
º^ " ›&
j 23ª,…,3·  , … ,   : , ¸   < < : , * , ¸ , ¹ &* &¹ ” &  & 
>= >=
! 4, m  &   & ¾ 
. »  ’ » 5 ' . »  ’ » j , &   j :- . 
¼½
2 -> .o1  2B .p>- :B .
,  1!   ,! B 4m j
L†* =L3*  Lk*

PtPWX¿ZPWP DY`_Fa PtPWX¿ZPWP _W ¿GaZ Å0Æ

à ∞ j |4  4| 9 v, : 
Stochastic Convergence
4 ÀÁÁÁÁÁÁÁÂ 4,  f Ä 4 ÀÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÂ 4,  Ã ∞ j
®|4  4| 9 v¯  1
°± ±PHFP ÅW_uDuGYGaX
4 ÀÁÁÁÁÁ 4,  à ∞ j no|4  4| p à 0,  *
Ã∞ 4 ÀÁÁÁÁÁÁÁ 4,  à ∞ j
®|4  4| f v¯ à 0,  Ã∞
ÇGFaWGuEaG_H
4 ÀÁÁÁÁÁÁÁÁÂ 4,  Ã ∞ j 2  Ã 23 ,  Ã ∞
ÇPHFGaX
4 ÀÁÁÁÁÂ 4,  Ã ∞ j :  Ã :3 ,  Ã ∞ " j
^
1
È4ÈÈÈ  4  '  4 , x›  4(  & x› V  r, ¿PDs YD¿ j4È ÀÁÁÁÁÁÁÁ r, FaW_HC YD¿, j4È à r,  à ∞
ÅW_uDuGYGaX DP

1
bPHaWDY YG`Ga, ¾  4  '  4 , x› V   r,   L * 9 ∞ j ¾ à ¾~Êr, L * 
Stochastic Processes
¤· ¢Žda h…Ža  BÆ ,…,B· ;¼Æ ,…,¼·
HaZ _WiPW , 2ŽaÆ …ŽaH  Æ , … ,  ; Æ , … ,   
®4  5  , … , 4  5  , :ŽaÆ …ŽaH  Æ , … ,  ; Æ , … ,    Æ H
¤Bª …¤B·
2 ;    2 , ∞;  , *  = =
no4 * p  Ì, 
: ;    < : , * ;  , *  &* r3   n4p  < :; &
>= >=
= =
DEa_b_tDW,  , *   Ì , *   r3  r3 * 
DEa_b_WW, Ì , *   no4 4* p  < <  * : , * ;  , * & *
>= >=
 , *  bW_FF b_WW, Ì3k  , *   no4 m* p bW_FF b_tDW,  , * 
b_WW b_P]],  , *  
Í,  *, *   Ì3k  , * 
 r3  rk * 
¿ZGaP H_GFP, ˆˆ  , *   0,  “ * , r  0, Î  1@Î ±±±, :ŽaÆ …ŽaH  Æ , … ,  ; Æ , … ,    :ŽaÆ …ŽaH  Æ , … ,  ; Æ  b, … ,   
Î
—±±, V    , no4 4* p  Ì  *   ÌÎ, no4 * p  Ì0, Î  ÌÎ  |r|* , Î  , ÌÎ  ÌÎ, Ì0 U ÌÎ
0
Ï_GHaYX —±±, no4 4* p  Ì3k   *   Ì3k Î, 3k Î  Ì3k Î  r3 rk

m  , 4    `P`_WXYPFF, m &  &  4 )    V V.    j   
Systems with Stochastic Inputs

=
YGHPDW, m  Ðo4p  4 Ñ ›  < 4  g›g&g, x›  ›  Ðo@p, n¬Ðo4p­  Ьno4p­, 4  m  
>=
=
YGHPDW, 4Ò › mÒ, œÓ‹, 48 m8 , YGHPDW, nomp  no4p Ñ ›  r3 < ›g&g
>=
= =
1 =
YGHPDW, Ì3k  , *   < Ì33  , *  g›g&g , Ìkk ? R_¿PW FRPb, Õ  ÖÌÎ < ÌÎ >y×Ø
&Î j ÌÎ  < Õ y×¼ &Õ
>= >= 2K >=
ÙÚ Û ±Ü, @Î Û 1,1 Û 2K@Õ, yÝØ Û 2K@Õ  Þ

1  B 1 1 >B«Š  «
Integration (all integrals are w.r.t x)
< ß B  <   || < ß B«Š  <   < sin  cos  < cos   
ß  ß 1
1 ß B«Ÿ 1 1
< tan  ln || < ß B«Ÿ  ß <    > « <  l    < A
ß    1

& &  l  A &. &. & &  & ß B &   
Differentiation
 
   l  A æ ç      >    ß ß B
æ Bç   B
& &  * & & & & & & *
& &
sin   cos  cos    
& &

 ^ 1  *
è è  &  ^
Matrix Operations

 &
>
 é ê ,     :   ë
|
| * ** (y
Prepared by: Hammad Munawar (Institute of Avionics and Aeronautics, Islamabad, Pakistan) hammadmunawar@gmail.com

(COPYRIGHT STATEMENT: May be used / distributed / edited freely, as long as the name of the original author is included)