2.

Independence and Bernoulli Trials

Independence: Events A and B are independent if

P ( AB ) = P ( A) P ( B ). (2-1)

• It is easy to show that A, B independent implies A, B;

A, B ; A, B are all independent pairs. For example,
B = ( A ∪ A ) B = AB ∪ AB and AB ∩ AB = φ , so that
P ( B ) = P ( AB ∪ AB ) = P ( AB ) + P ( AB ) = P ( A) P ( B ) + P ( AB )
or
P ( AB ) = P ( B ) − P ( A ) P ( B ) = (1 − P ( A )) P ( B ) = P ( A ) P ( B ),
i.e., A and B are independent events.
1
As an application, let Ap and Aq represent the events
Ap = " the prime p divides the number N"
and
Aq = " the prime q divides the number N".

Then from (1-4)

1 1
P{ Ap } = , P{ Aq } =
p q
Also
1
P{ Ap ∩ Aq } = P{" pq divides N "} = = P{ Ap } P{ Aq }
pq
(2-2)
Hence it follows that Ap and Aq are independent events!
2
• If P(A) = 0, then since the event AB ⊂ A always, we have
P ( AB ) ≤ P ( A) = 0 ⇒ P ( AB ) = 0,
and (2-1) is always satisfied. Thus the event of zero
probability is independent of every other event!
• Independent events obviously cannot be mutually
exclusive, since P ( A) > 0, P ( B ) > 0 and A, B independent
implies P ( AB ) > 0. Thus if A and B are independent,
the event AB cannot be the null set.
• More generally, a family of events {Ai } are said to be
independent, if for every finite sub collection
Ai , Ai , , Ai , we have
1 2 n

⎛ n ⎞ n
P ⎜⎜ ∩ Aik ⎟⎟ = ∏ P( A ik ). (2-3)
⎝ k =1 ⎠ k =1
3
• Let
A = A1 ∪ A2 ∪ A3 ∪ ∪ An , (2-4)
a union of n independent events. Then by De-Morgan’s
law
A = A1 A 2 An
and using their independence
n n
P ( A ) = P ( A1 A 2 An ) = ∏ P ( A ) = ∏ (1 − P ( A )) . (2-5)
i =1
i
i =1
i

Thus for any A as in (2-4)

n
P ( A ) = 1 − P ( A ) = 1 − ∏ (1 − P ( Ai )) , (2-6)
i =1
a useful result.

4
Example 2.1: Three switches connected in parallel operate
independently. Each switch remains closed with probability
p. (a) Find the probability of receiving an input signal at the
output. (b) Find the probability that switch S1 is open given
that an input signal is received at the output.
s1
s2
Input Output
s3

Fig.2.1
Solution: a. Let Ai = “Switch Si is closed”. Then P ( Ai ) = p ,
i = 1 → 3 . Since switches operate independently, we have
P ( Ai A j ) = P ( Ai ) P ( A j ); P ( A1 A2 A3 ) = P ( A1 ) P ( A2 ) P ( A3 ).
5
Let R = “input signal is received at the output”. For the
event R to occur either switch 1 or switch 2 or switch 3
must remain closed, i.e.,
R = A1 ∪ A2 ∪ A3 . (2-7)
Using (2-3) - (2-6),
P( R) = P( A1 ∪ A2 ∪ A3 ) = 1 − (1 − p)3 = 3 p − 3 p 2 + p3. (2-8)
We can also derive (2-8) in a different manner. Since any
event and its compliment form a trivial partition, we can
always write
P ( R ) = P ( R | A1 ) P ( A1 ) + P ( R | A1 ) P ( A1 ). (2-9)
But P ( R | A1 ) = 1, and P ( R | A1 ) = P ( A2 ∪ A3 ) = 2 p − p 2
and using these in (2-9) we obtain
P ( R ) = p + ( 2 p − p 2 )(1 − p ) = 3 p − 3 p 2 + p 3 , (2-10)
which agrees with (2-8).
6
Note that the events A1, A2, A3 do not form a partition, since
they are not mutually exclusive. Obviously any two or all
three switches can be closed (or open) simultaneously.
Moreover, P ( A1 ) + P ( A2 ) + P ( A3 ) ≠ 1 .
b. We need P ( A1 | R ). From Bayes’ theorem

P ( R | A1 ) P ( A1 ) ( 2 p − p 2 )(1 − p ) 2 − 2 p + p 2 (2-11)
P ( A1 | R ) = = = .
P( R) 3p − 3p + p
2 3
3p − 3p + p
2 3

Because of the symmetry of the switches, we also have

P ( A1 | R ) = P ( A2 | R ) = P ( A3 | R ).

7
 Repeated Trials
Consider two independent experiments with associated
probability models (Ω1, F1, P1) and (Ω2, F2, P2). Let
ξ∈Ω1, η∈Ω2 represent elementary events. A joint
performance of the two experiments produces an
elementary events ω = (ξ, η). How to characterize an
appropriate probability to this “combined event” ?
Towards this, consider the Cartesian product space
Ω = Ω1× Ω2 generated from Ω1 and Ω2 such that if
ξ ∈ Ω1 and η ∈ Ω2 , then every ω in Ω is an ordered pair
of the form ω = (ξ, η). To arrive at a probability model
we need to define the combined trio (Ω, F, P).

8
Suppose A∈F1 and B ∈ F2. Then A × B is the set of all pairs
(ξ, η), where ξ ∈ A and η ∈ B. Any such subset of Ω
appears to be a legitimate event for the combined
experiment. Let F denote the field composed of all such
subsets A × B together with their unions and compliments.
In this combined experiment, the probabilities of the events
A × Ω2 and Ω1 × B are such that
P ( A × Ω 2 ) = P1 ( A), P (Ω1 × B ) = P2 ( B ). (2-12)

Moreover, the events A × Ω2 and Ω1 × B are independent for

any A ∈ F1 and B ∈ F2 . Since
( A × Ω 2 ) ∩ (Ω1 × B ) = A × B, (2-13)

we conclude using (2-12) that

9
 P( A × B ) = P( A × Ω2 ) ⋅ P(Ω1 × B ) = P1 ( A) P2 ( B ) (2-14)
for all A ∈ F1 and B ∈ F2 . The assignment in (2-14) extends
to a unique probability measure P ( ≡ P1 × P2 ) on the sets in F
and defines the combined trio (Ω, F, P).
Generalization: Given n experiments Ω 1 , Ω 2 , ,Ωn, and
their associated Fi and Pi , i = 1 → n , let
Ω = Ω1 × Ω2 × × Ωn (2-15)

represent their Cartesian product whose elementary events

are the ordered n-tuples ξ 1 , ξ 2 , , ξ n , where ξ i ∈ Ω i . Events
in this combined space are of the form
A1 × A2 × × An (2-16)

where Ai ∈ Fi , and their unions an intersections.

10
If all these n experiments are independent, and Pi ( Ai ) is the
probability of the event Ai in Fi then as before
P ( A1 × A2 × × An ) = P1 ( A1 ) P2 ( A2 ) Pn ( An ). (2-17)

Example 2.2: An event A has probability p of occurring in a

single trial. Find the probability that A occurs exactly k times,
k ≤ n in n trials.
Solution: Let (Ω, F, P) be the probability model for a single
trial. The outcome of n experiments is an n-tuple
ω = {ξ 1 , ξ 2 , , ξ n }∈ Ω 0 , (2-18)

where every ξ i ∈ Ω and Ω 0 = Ω × Ω × × Ω as in (2-15).

The event A occurs at trial # i , if ξ i ∈ A . Suppose A occurs
exactly k times in ω.
11
Then k of the ξ i belong to A, say ξ i , ξ i , , ξ i , and the
1 2 k

remaining n − k are contained in its compliment in A .

Using (2-17), the probability of occurrence of such an ω is
given by
P0 (ω) = P({ξi1 ,ξi2 , ,ξik , ,ξin }) = P({ξi1 })P({ξi2 }) P({ξik }) P({ξin })
= P( A)P( A) P( A) P( A)P( A) P( A) = pk qn−k . (2-19)
k n−k

However the k occurrences of A can occur in any particular

location inside ω. Let ω 1 , ω 2 , , ω N represent all such
events in which A occurs exactly k times. Then
" A occurs exactly k times in n trials" = ω1 ∪ ω2 ∪ ∪ ωN . (2-20)

But, all these ω i s are mutually exclusive, and equiprobable.

12
Thus
P(" A occurs exactly k times in n trials" )
N
= ∑ P0 (ωi ) = NP0 (ω ) = Np k q n −k , (2-21)
i =1

where we have used (2-19). Recall that, starting with n

possible choices, the first object can be chosen n different
ways, and for every such choice the second one in (n −1)
ways, … and the kth one (n −k +1) ways, and this gives the
total choices for k objects out of n to be n ( n − 1) ( n − k + 1).
But, this includes the k! choices among the k objects that
are indistinguishable for identical objects. As a result
n( n − 1) ( n − k + 1) n! ∆ ⎛n⎞
N= = = ⎜⎜ ⎟⎟ (2-22)
k! ( n − k )! k! ⎝ k ⎠

13
represents the number of combinations, or choices of n
identical objects taken k at a time. Using (2-22) in (2-21),
we get
Pn (k ) = P(" A occurs exactly k times in n trials" )
⎛ n ⎞ k n −k
= ⎜⎜ ⎟⎟ p q , k = 0,1,2, , n, (2-23)
⎝k ⎠
a formula, due to Bernoulli.
Independent repeated experiments of this nature, where the
outcome is either a “success” ( = A) or a “failure” ( = A)
are characterized as Bernoulli trials, and the probability of
k successes in n trials is given by (2-23), where p
represents the probability of “success” in any one trial.

14
Example 2.3: Toss a coin n times. Obtain the probability
of getting k heads in n trials ?
Solution: We may identify “head” with “success” (A) and
let p = P (H ). In that case (2-23) gives the desired
probability.
Example 2.4: Consider rolling a fair die eight times. Find
the probability that either 3 or 4 shows up five times ?
Solution: In this case we can identify
"success" = A = { either 3 or 4 } = { f 3 } ∪ { f 4 }.
Thus
1 1 1
P ( A) = P ( f 3 ) + P ( f 4 ) = + = ,
6 6 3
and the desired probability is given by (2-23) with n = 8 , k = 5
and p = 1/ 3. Notice that this is similar to a “biased coin”
problem. 15
Bernoulli trial: consists of repeated independent and
identical experiments each of which has only two outcomes A
or A with P ( A) = p, and P( A) = q. The probability of exactly
k occurrences of A in n such trials is given by (2-23).
Let
X k = " exactly k occurrence s in n trials" . (2-24)

Since the number of occurrences of A in n trials must be an

integer k = 0 ,1, 2 , , n , either X0 or X1 or X2 or or Xn must
occur in such an experiment. Thus
P(X 0 ∪ X1 ∪ ∪ X n ) = 1. (2-25)

But X i , X j are mutually exclusive. Thus

16
 n
⎛ n ⎞ k n−k
n
P(X 0 ∪ X1 ∪ ∪ X n) = ∑k =0
P ( X k ) = ∑ ⎜⎜ ⎟⎟ p q
k =0 ⎝ k ⎠
. (2-26)

From the relation

n
⎛n ⎞ k n−k
(a + b) n
= ∑ ⎜⎜ ⎟⎟ a b , (2-27)
k =0 ⎝k ⎠
(2-26) equals ( p + q ) n
= 1, and it agrees with (2-25).

For a given n and p what is the most likely value of k ?

From Fig.2.2, the most probable value of k is that number
which maximizes Pn ( k ) in (2-23). To obtain this value,
consider the ratio
Pn (k )
n = 12, p = 1 / 2.

k
Fig. 2.2
17
 Pn ( k − 1) n ! p k −1 q n − k + 1 ( n − k )! k ! k q
= k n −k
= . (2-28)
Pn ( k ) ( n − k + 1)! ( k − 1)! n! p q n − k +1 p

Thus Pn ( k ) ≥ Pn ( k − 1 ), if k (1 − p ) ≤ ( n − k + 1 ) p or k ≤ ( n + 1) p .
Thus Pn ( k ) as a function of k increases until

k = ( n + 1) p (2-29)

if it is an integer, or the largest integer kmax less than ( n + 1) p ,

and (2-29) represents the most likely number of successes
(or heads) in n trials.
Example 2.5: In a Bernoulli experiment with n trials, find
the probability that the number of occurrences of A is
between k 1 and k 2 .

18
Solution: With X i , i = 0 ,1, 2 , , n , as defined in (2-24),
clearly they are mutually exclusive events. Thus
P(" Occurrence s of A is between k1 and k2 " )
k2 k2
⎛ n ⎞ k n −k
= P( X k1 ∪ X k1 +1 ∪ ∪ X k2 ) = ∑ P ( X k ) = ∑ ⎜⎜ ⎟⎟ p q . (2-30)
k = k1 k = k1 ⎝ k ⎠

Example 2.6: Suppose 5,000 components are ordered. The

probability that a part is defective equals 0.1. What is the
probability that the total number of defective parts does not
exceed 400 ?
Solution: Let
Yk = " k parts are defective among 5,000 components ".

19
Using (2-30), the desired probability is given by
400
P (Y0 ∪ Y1 ∪ ∪ Y400 ) = ∑ P (Y
k =0
k )
(2-31)
⎛ 5000 ⎞
400
= ∑ ⎜⎜ ⎟⎟ ( 0 .1) k ( 0 .9 ) 5000 − k .
k =0 ⎝ k ⎠

20