Chapter 1: Stochastic Processes

Transcription

1 Chater 1: Stochastic Processes 4 What are Stochastic Processes, and how do they fit in? STATS 210 Foundations of Statistics and Probability Tools for understanding randomness (random variables, distributions) STATS 310 Statistics Randomness in Pattern STATS 325 Probability Randomness in Process Stats 210: laid the foundations of both Statistics and Probability: the tools for understanding randomness. Stats 310: develos the theory for understanding randomness in attern: tools for estimating arameters(maximum likelihood), testing hyotheses, modelling atterns in data (regression models). Stats 325: develos the theory for understanding randomness in rocess. A rocess is a sequence of events where each ste follows from the last after a random choice. What sort of roblems will we cover in Stats 325? Here are some examles of the sorts of roblems that we study in this course. Gambler s Ruin You start with $30 and toss a fair coin reeatedly. Every time you throw a Head, you win $5. Every time you throw a Tail, you lose $5. You will sto when you reach $100 or when you lose everything. What is the robability that you lose everything? Answer: 70%.

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3 5 Winning at tennis What is your robability of winning a game of tennis, starting from the even score Deuce (40-40), if your robability of winning each oint is 0.3 and your oonent s is 0.7? Answer: 15%. DEUCE (D) q q VENUS AHEAD (A) VENUS BEHIND (B) q VENUS WINS (W) VENUS LOSES (L) Winning a lottery A million eole have bought tickets for the weekly lottery draw. Each erson has a robability of one-in-a-million of selecting the winning numbers. If more than one erson selects the winning numbers, the winner will be chosen at random from all those with matching numbers. You watch the lottery draw on TV and your numbers match the winning numbers!!! Only a one-in-a-million chance, and there were only a million layers, so surely you will win the rize? Not quite... What is the robability you will win? Answer: only 63%. Drunkard s walk A very drunk erson staggers to left and right as he walks along. With each ste he takes, he staggers one ace to the left with robability 0.5, and one ace to the right with robability 0.5. What is the exected number of aces he must take before he ends u one ace to the left of his starting oint? Arrived! Answer: the exectation is infinite!

4 6 Pyramid selling schemes Have you received a chain letter like this one? Just send $10 to the erson whose name comes at the to of the list, and add your own name to the bottom of the list. Send the letter to as many eole as you can. Within a few months, the letter romises, you will have received $77,000 in $10 notes! Will you? Answer: it deends uon the resonse rate. However, with a fairly realistic assumtion about resonse rate, we can calculate an exected return of $76 with a 64% chance of getting nothing! Note: Pyramid selling schemes like this are rohibited under the Fair Trading Act, and it is illegal to articiate in them. Sread of SARS The figure to the right shows the sread of the disease SARS (Severe Acute Resiratory Syndrome) through Singaore in With this attern of infections, what is the robability that the disease eventually dies out of its own accord? Answer:

5 7 Markov s Marvellous Mystery Tours Mr Markov s Marvellous Mystery Tours romises an All-Stochastic Tourist Exerience for the town of Rotorua. Mr Markov has eight tourist attractions, to which he will take his clients comletely at random with the robabilities shown below. He romises at least three exciting attractions er tour, ending at either the Lady Knox Geyser or the Tarawera Volcano. (Unfortunately he makes no mention of how the haless tourist might get home from these laces.) What is the exected number of activitiesfor a tour startingfrom the museum? 2. Cruise 4. Flying Fox 1 6. Geyser 1 1. Museum 3. Buried Village 5. Hangi 7. Helicoter 8. Volcano 1 1 Answer: 4.2. Structure of the course Probability. Probability and random variables, with secial focus on conditional robability. Finding hitting robabilities for stochastic rocesses. Exectation. Exectation and variance. Introduction to conditional exectation, and its alication in finding exected reaching times in stochastic rocesses. Generating functions. Introduction to robability generating functions, and their alications to stochastic rocesses, esecially the Random Walk. Branching rocess. This rocess is a simle model for reroduction. Examles are the yramid selling scheme and the sread of SARS above.

6 8 Markov chains. Almost all the examles we look at throughout the course can be formulated as Markov chains. By develoing a single unifying theory, we can easily tackle comlex roblems with many states and transitions like Markov s Marvellous Mystery Tours above. The rest of this chater covers: quick revision of samle saces and random variables; formal definition of stochastic rocesses. 1.1 Revision: Samle saces and random variables Definition: A random exeriment is a hysical situation whose outcome cannot be redicted until it is observed. Definition: A samle sace, Ω, is a set of ossible outcomes of a random exeriment. Examle: Random exeriment: Toss a coin once. Samle sace: Ω ={head, tail} Definition: A random variable, X, is defined as a function from the samle sace to the real numbers: X : Ω R. That is, a random variable assigns a real number to every ossible outcome of a random exeriment. Examle: Random exeriment: Toss a coin once. Samle sace: Ω = {head, tail}. An examle of a random variable: X : Ω R mas head 1, tail 0. Essential oint: A random variable is a way of roducing random real numbers.

7 9 1.2 Stochastic Processes Definition: A stochastic rocess is a family of random variables, {X(t) : t T}, where t usually denotes time. That is, at every time t in the set T, a random number X(t) is observed. Definition: {X(t) : t T} is a discrete-time rocess if the set T is finite or countable. In ractice, this generally means T = {0,1,2,3,...} Thus a discrete-timerocess is {X(0),X(1),X(2),X(3),...}: a new random number recorded at every time 0, 1, 2, 3,... Definition: {X(t) : t T} is a continuous-time rocess if T is not finite or countable. In ractice, this generally means T = [0, ), or T = [0,K] for some K. Thus a continuous-timerocess {X(t) : t T} has a random number X(t) recorded at every instant in time. (Note that X(t) need not change at every instant in time, but it is allowed to change at any time; i.e. not just at t = 0,1,2,..., like a discrete-time rocess.) Definition: The state sace, S, is the set of real values that X(t) can take. Every X(t) takes a value in R, but S will often be a smaller set: S R. For examle, if X(t) is the outcome of a coin tossed at time t, then the state sace is S = {0,1}. Definition: The state sace S is discrete if it is finite or countable. Otherwise it is continuous. The state sace S is the set of states that the stochastic rocess can be in.

8 10 For Reference: Discrete Random Variables 1. Binomial distribution Notation: X Binomial(n, ). Descrition: number of successes in n indeendent trials, each with robability of success. Probability function: Mean: E(X) = n. f X (x) = P(X = x) = ( ) n x (1 ) n x x Variance: Var(X) = n(1 ) = nq, where q = 1. for x = 0,1,...,n. Sum: If X Binomial(n,), Y Binomial(m,), and X and Y are indeendent, then X +Y Bin(n+m, ). 2. Poisson distribution Notation: X Poisson(λ). Descrition: arises out of the Poisson rocess as the number of events in a fixed time or sace, when events occur at a constant average rate. Also used in many other situations. Probability function: f X (x) = P(X = x) = λx x! e λ for x = 0,1,2,... Mean: E(X) = λ. Variance: Var(X) = λ. Sum: If X Poisson(λ), Y Poisson(µ), and X and Y are indeendent, then X +Y Poisson(λ+µ).

9 11 3. Geometric distribution Notation: X Geometric(). Descrition: number of failures before the first success in a sequence of indeendent trials, each with P(success) =. Probability function: f X (x) = P(X = x) = (1 ) x for x = 0,1,2,... Mean: E(X) = 1 = q, where q = 1. Variance: Var(X) = 1 2 = q 2, where q = 1. Sum: if X 1,...,X k are indeendent, and each X i Geometric(), then X X k Negative Binomial(k,). 4. Negative Binomial distribution Notation: X NegBin(k, ). Descrition: number of failures before the kth success in a sequence of indeendent trials, each with P(success) =. Probability function: ( ) k +x 1 f X (x) = P(X = x) = k (1 ) x for x = 0,1,2,... x Mean: E(X) = k(1 ) = kq, where q = 1. Variance: Var(X) = k(1 ) 2 = kq 2, where q = 1. Sum: IfX NegBin(k, ),Y NegBin(m, ),andx andy areindeendent, then X +Y NegBin(k +m, ).

10 12 5. Hyergeometric distribution Notation: X Hyergeometric(N, M, n). Descrition: Samling without relacement from a finite oulation. Given N objects, of which M are secial. Draw n objects without relacement. X is the number of the n objects that are secial. Probability function: f X (x) = P(X = x) = Mean: E(X) = n, where = M N. ( M N M ) x)( n x ( N for n) ( N n ) Variance: Var(X) = n(1 ), where = M N 1 N. { x = max(0, n+m N) to x = min(n, M). 6. Multinomial distribution Notation: X = (X 1,...,X k ) Multinomial(n; 1, 2,..., k ). Descrition: there are n indeendent trials, each with k ossible outcomes. Let i = P(outcome i) for i = 1,...k. Then X = (X 1,...,X k ), where X i is the number of trials with outcome i, for i = 1,...,k. Probability function: n! f X (x) = P(X 1 = x 1,...,X k = x k ) = x 1!...x k! x 1 1 x x k k k k for x i {0,...,n} i with x i = n, and where i 0 i, i = 1. Marginal distributions: X i Binomial(n, i ) for i = 1,...,k. i=1 Mean: E(X i ) = n i for i = 1,...,k. Variance: Var(X i ) = n i (1 i ), for i = 1,...,k. Covariance: cov(x i,x j ) = n i j, for all i j. i=1

11 13 Continuous Random Variables 1. Uniform distribution Notation: X Uniform(a, b). Probability density function (df): f X (x) = 1 b a for a < x < b. Cumulative distribution function: Mean: E(X) = a+b 2. Variance: Var(X) = (b a)2. 12 F X (x) = P(X x) = x a for a < x < b. b a F X (x) = 0 for x a, and F X (x) = 1 for x b. 2. Exonential distribution Notation: X Exonential(λ). Probability density function (df): f X (x) = λe λx for 0 < x <. Cumulative distribution function: F X (x) = P(X x) = 1 e λx for 0 < x <. F X (x) = 0 for x 0. Mean: E(X) = 1 λ. Variance: Var(X) = 1 λ 2. Sum: if X 1,...,X k are indeendent, and each X i Exonential(λ), then X X k Gamma(k,λ).

12 14 3. Gamma distribution Notation: X Gamma(k, λ). Probability density function (df): f X (x) = λk Γ(k) xk 1 e λx for 0 < x <, where Γ(k) = 0 y k 1 e y dy (the Gamma function). Cumulative distribution function: no closed form. Mean: E(X) = k λ. Variance: Var(X) = k λ 2. Sum: if X 1,...,X n are indeendent, and X i Gamma(k i, λ), then X X n Gamma(k k n, λ). 4. Normal distribution Notation: X Normal(µ, σ 2 ). Probability density function (df): f X (x) = 1 2πσ 2 e{ (x µ)2 /2σ 2 } for < x <. Cumulative distribution function: no closed form. Mean: E(X) = µ. Variance: Var(X) = σ 2. Sum: if X 1,...,X n are indeendent, and X i Normal(µ i, σi 2 ), then X X n Normal(µ µ n, σ σ 2 n).

13 15 Uniform(a, b) Probability Density Functions 1 b a f X (x) a b x Exonential(λ) λ = 2 λ = 1 Gamma(k, λ) k = 2, λ = 1 k = 2, λ = 0.3 Normal(µ, σ 2 ) σ = 2 σ = 4 µ