A probability is a value between zero and one characterizing how likely an event may occur.

  • đŸ›Ŗī¸ $\omega$ (small-omega) is an outcome possible
  • đŸ—ēī¸ $\Omega$ (big-omega) is a set of all possible outcomes, also called sample/probability space
  • 📌 $A$ is an event included in $\Omega$. It's often defined by a sentence. If it has only one outcome, it's called an elementary event.
  • 🌍 $\overline{A}$ or $A^c$ is the opposite/complementary event of A ("not A").
  • ⛔ $\emptyset$ (empty set) means an impossible event.

👉 Events "incompatible/disjoints/mutually exclusive events" are events that can't happen simultaneously.

We write $\mathbb{P}(A)$ the probability of A occurring. It's a value in $[0,1]$.

  • $\mathbb{P}(\Omega) = 1$ and $\mathbb{P}(\emptyset) = 0$
  • $\mathbb{P}(\overline{A}) = 1 - \mathbb{P}(A)$

For instance, we are rolling a die 3 times in a row 🎲.

  • An outcome is đŸ›Ŗī¸: $(6, 1, 2)$
  • The probability space đŸ—ēī¸: $\lbrace\ (x, y, z) \mid x y z \in [1,6]\ \rbrace$
  • An event $A$ 📌: having 3 times 6, e.g., $(6, 6, 6)$
  • Complementary event $\overline{A}$ 🌍: not having 3 times 6
  • An impossible event ⛔: ...
  • $P(A) = \frac{1}{6^3}$


The cardinal of $E$ means the number of elements of $E$. We use these notations: $card(E) \Leftrightarrow |E| \Leftrightarrow \#E$. We will need to know the cardinal of $\Omega$ or an event to use most formulas.

For instance, let's say you have a sample space "rolling a die 9 times" and an event $A=$"having a sum > 50". What is $card(A)$?

We have a few techniques we can use. Assuming $card(E) = k$, according to the event $A$, we will pick $n$ outcomes from $E$.

  • without replacement: we can take an element only once
  • ordered: we consider $(1, 2)$ and $(2, 1)$ to be different

📚 We use {...} for unordered outcomes, and (...) for ordered outcomes: {(5,1),(1,5)} (ordered) vs {{1,5}} (unordered).

➡ī¸ See also: Counting Examples.

Ordered sampling with replacement

It means each value can be picked $n$ times.

@ k^n @

⚠ī¸ You must make sure that you are not inverting $k$ and $n$.

Ordered sampling without replacement

Since k is decreasing by 1 after each pick, it's a factorial: $n! = n * (n-1)!$ and $1! = 1$. For example, $5!=5*4*3*2*1$.

@ A^k_n = \frac{k!}{(k-n)!} @

When $k = n$, $A^k_n = k!$, we call it a permutation. When the elements are not unique, we use:

@ \frac{n!}{\prod_i o_i!} @

➡ī¸ $A^k_n$ is called an Arrangement.

Unordered sampling without replacement

@ \frac{k!}{(k-n)! * n!} \Leftrightarrow \frac{A^k_n}{n!} @

Unordered sampling with replacement

@ C^{k-1}_{n+k-1} = \frac{(n+k-1)!}{(k-1)! * n!} @

➡ī¸ $C^k_n$ is called a Combination.

Discrete probability

Discrete probability refers to the branch of probability theory that deals with finite random variables, e.g., in $\mathbb{N}$ or $\mathbb{Z}$.

We are defining $\mathbb{P}(X=k)$ the probability that a discrete random variable $X$ is taking the value $k$. We are calling mass function the function giving us the result of $\mathbb{P}(X=k)$. This function is valid if:

  • The sum of all probabilities is 1
  • $\forall{x},\ f(x) \ge 0$

➡ī¸ See also: Discrete Probability Examples.

Discrete Formulas

Using combinatorics to get the cardinal:

@ \mathbb{P}(A) = \frac{card(A)}{card(\Omega)} = \frac{|A|}{|\Omega|} @

When each event has the same probability of occurring, it's called an uniform probability and the formula is simpler:

@ \forall{w} \in \Omega\quad \text{then}\quad \mathbb{P}(w) = \frac{1}{card(\Omega)} @

A conditional probability is when, knowing that another event $B$ occurred, we want to know of probability of $A$ occurring.

@ \mathbb{P}(A|B) = P_B(A) = P(B \wedge A) := \frac{\mathbb{P}(A \cap B)}{\mathbb{P}(B)} @

  • $\mathbb{P}(\overline{A}|B) = 1 - \mathbb{P}(A|B)$
  • $\mathbb{P} (B \cup C|A) = \mathbb{P}(B|A) + \mathbb{P}(C|A) − \mathbb{P}(B ∊ C|A)$
  • You may be able to compute $\mathbb{P}(A|B)$ with the first formula

Discrete Transformations

We can use Bayes theorem:

@ \mathbb{P}(A \cap B) = \mathbb{P}(B) * \mathbb{P}(A|B) \equiv \mathbb{P}(A) * \mathbb{P}(B|A) @

We can use the law of total probability:

\[ \begin{split} \mathbb{P}(B) = \mathbb{P}(B \cap \Omega) = \mathbb{P}((A_1 \cap B) \cup (A_2 \cap B) \cup \ldots) \\ = \mathbb{P}(A_1 \cap B) + \mathbb{P}(A_2 \cap B) + \ldots \\ = \mathbb{P}(A_1) * \mathbb{P}(B|A_1) + \mathbb{P}(A_2) * \mathbb{P}(B|A_2) + \ldots \end{split} \]

We can use the probability chain rule:

\[ \prod_{i=1}^n \mathbb{P}(A_i | \bigcap_{j=1}^{i-1} A_j) \]

For instance, if $n=4$, we got

\[ \begin{split} \mathbb{P}(A_4 \cap A_3 \cap A_2 \cap A_1) = \\ \mathbb{P}(A_1) * \mathbb{P}(A_2|\ A_1) * \mathbb{P}(A_3|\ A_2 \cap A_1) * \mathbb{P}(A_4|\ A_3 \cap A_2 \cap A_1) \end{split} \]

A few other formulas that may be handy:

  • $\mathbb{P}(A \cup B) = \mathbb{P}(A) + \mathbb{P}(B) - \mathbb{P}(A \cap B)$
  • $A \subset B \to \mathbb{P}(A) \le \mathbb{P}(B)$ (A included in B)
  • $A \subset B \to \mathbb{P}(A \cap B) = \mathbb{P}(A)$
  • $A \subset B \to \mathbb{P}(A \cup B) = \mathbb{P}(B)$

Discrete Expected value

The expected value noted $\mathbb{E}(X)$, $\mathbb{E}X$, or $\mathbb{E}[X]$ is defined by:

\[ \sum_{x_i \in \Omega}^{} x_i \mathbb{P}{(X_w = x_i )} \]
  • $\mathbb{E}(X)$ is also called the (weighted) mean
  • $\mathbb{E}(X)$ is also called the first moment
  • $\mathbb{E}[X, \lambda Y] = \mathbb{E}[Y] + \lambda \mathbb{E}[Y]$
  • $\mathbb{E}(X) \ge 0$ and if $X \ge Y$ then $\mathbb{E}(X) \ge \mathbb{E}(Y)$
  • $\mathbb{E}[X * Y] = \mathbb{E}[X] * \mathbb{E}[Y]$ if both are independent, otherwise $\mathbb{E}[X * Y] = \sum_{i,j} x_i * y_i * p_{ij}$.
  • $\mathbb{E}(X) = \frac{n+1}{2}$ for an uniform probability
  • Cauchy-Schwarz: $\mathbb{E}[XY]^2 \le \mathbb{E}[X^2] * \mathbb{E}[Y^2]$

Discrete Variance

The variance is the square deviation around the expected value.

\[ \begin{align}\begin{aligned}V(X) = \mathbb{E}[(X - \mathbb{E}[X])^2]\\V(X) = \mathbb{E}[X^2] - \mathbb{E}[X]^2\end{aligned}\end{align} \]
  • $V(X) = \sigma^2$ with sigma the standard deviation
  • $V(\lambda X^2) = \lambda^2 V(X)$
  • $V(a + \lambda X^2) = \lambda^2 V(X)$
  • $V(X + Y) = V(X) + V(Y) - 2cov(XY)$
  • $V(X)$ is also called the second central moment

Discrete Covariance/co-variance (cov)

It's used to evaluate the conjoint variance of two random variables.

\[ \begin{align}\begin{aligned}cov(x,y) = \mathbb{E}[ ( X - \mathbb{E}[X]) (Y - \mathbb{E}[Y]) ]\\cov(x,y) = \mathbb{E}[XY] - \mathbb{E}[X] \mathbb{E}[Y]\end{aligned}\end{align} \]
  • $cov(X,X) = V(X)$
  • $cov(X,Y) = cov(Y,X)$
  • $cov(\lambda * X,Y) = \lambda *cov(Y,X)$
  • $cov(\lambda * X) = \lambda^2 *cov(X)$
  • $cov(A+B,C) = cov(A,C) + cov(B,C)$
  • if $X \perp Y$ then $cov(XY) = 0$
  • $\mathbb{P}(X, Y) = \frac{cov(X,Y)}{\sqrt{V(X)*V(Y)}}$

Discrete Independence

Random variables are independent ($\perp$ perp) if the product of the probabilities is equal to the probability of the events $X_1, ..., X_n$.

\[ \mathbb{P}(X_1 = x_1\ \cap\ \ldots\ \cap\ X_n = x_n) = \prod_{i=1}^n \mathbb{P}(X_i = x_i) \]

➡ī¸ Alternative way: checking $\mathbb{P}(A|B) = \mathbb{P}(A)$ or $\mathbb{P}(B|A) = \mathbb{P}(B)$.

Discrete Cumulative distribution function

The cumulative distribution function (CDF) $F_X(k)$ is the primitive of the mass function, meaning that deriving the CDF will give you the mass function. $F_X(k)$ is the probability of $\mathbb{P}(X \le k)$.

\[ \mathbb{P}(X \le k) = \sum_{i=0}^{k} \mathbb{P}(X=i) \]

For instance, $P(X\le3) = P(X=0) + P(X=1) + P(X=2) + P(X=3)$.

Continuous probability

Continuous probability refers to the branch of probability theory that deals with non-finite random variables, e.g., in $\mathbb{R}$.

The probability of taking a value is 0: $P(X=k)=0$ because the probability of each elementary event is converging to 0, while the sum of all elementary events is converging to 1.

➡ī¸ See also: Continuous Probability Examples.

Probability Density Function

The probability density function $f_X(x)$ (or $f(x)$) is defined as:

  • $\int_{-\infty}^{+\infty} f_X(x)dx = 1$ (we can reduce the interval if we have constraints)
  • $\forall{x},\ f_X(x) \ge 0$
  • $f_X$ is continuous

We can use it to compute probabilities:

\[ \begin{split} \mathbb{P}(x \in X) = \int_{x \in \Delta X}^{} f_X(x)dx \\ or\ \mathbb{P}(a \le X \le b) = \int_{a}^{b} f_X(x)dx \\ or\ \mathbb{P}(x \le a) = \mathbb{P}(x \lt a) = \int_{a}^{+\infty} f_X(x)dx \\ or\ \mathbb{P}(x \ge b) = \mathbb{P}(x \gt b) = \int_{-\infty}^{b} f_X(x)dx \\ or\ \mathbb{P}(X \ge a) = 1 - \mathbb{P}(X \le a) \end{split} \]

📚 The support of X $\bigtriangleup_X$ or $X(\Omega)$ is the domain of the density function. It means a probability outside of the support is $0$.

Continuous Cumulative distribution function

The cumulative distribution function (CDF) $F_X(k)$ is the primitive of the density function, meaning that deriving the CDF will give you the density function. $F_X(k)$ is the probability of $\mathbb{P}(X \le k)$.

  • $0 \le F_X(x) \le 1$
  • F is increasing and continue
  • $\mathbb{P}(a \le X \le b) = F_X(b) - F_X(a) = \int_{a}^{b} f_X(x)dx$

Continuous Inverse cumulative distribution function

The Inverse cumulative distribution function or Quantile function is used when given the result $\alpha$, we are trying to find $k$.

@ \alpha = \mathbb{P}(X \le k) @

It's written $F_X^{-1}(\alpha)$ or $Q_\alpha$.

Continuous Transformations

If we can express $Y$ as $Y=aX+b$, we can find $F_Y(x)$ from $F_X(x)$.

@ F_Y(y) = F_X(\frac{y-b}{a}) @

With an increasing monotone function, we can use the formula $Y = \varphi(X)$. For example, $Y = \exp(X)$ and $\varphi^{-1}(y) = ln(y)$.

@ F_Y(y) = F_X(\varphi^{-1}(y)) @

Continuous Expected Value

The expected value $\mathbb{E}(X)$ is defined by:

@ \mathbb{E}[X] = \int_{-\infty}^{+\infty} xf_X(x)dx @

  • The density function must be integrable (or the EV doesn't exist)
  • if $\mathbb{E}(X) = 0$ then $X$ is centered
  • if $\mathbb{E}(X)$ is finite, then $X$ may be centered
  • $\mathbb{E}[X * Y] = \int_{-\infty}^{+\infty}\int_{-\infty}^{+\infty} x * y * f_{XY}(x , y)\ dx dy$

Continuous Variance

The variance $V(X)$ is defined by

@ V[X] = \int_{-\infty}^{+\infty} (x-\mathbb{E}[X])^2\ f_X(x)\ dx @

Moment-Generating Function (MGF)

The Moment-generating function helps in finding the expected value, the variance, and other moments.

\[ M_X(t) = \mathbb{E}(\exp(tX)) = \int \exp(tx)\ f_X(x)\ dx \]
\[ \mathbb{E}(X) = \frac{\delta M_X (t)}{\delta t} = M'_X(0) \] \[ V(X) = \frac{\delta^2 M_X (t)}{\delta t^2} - \mathbb{E}(X)^2 = M''_X(0) - \mathbb{E}(X)^2 \]

Probability distributions

We write $X \sim L$ a random variable $X$ following a distribution $L$.

Bernoulli distribution (discrete)

Bernoulli is used for binary random variables, e.g., either 0 or 1. $B(p)$ represents the probability of $k$ successes with a probability of $p$.

  • The mass function is $\mathbb{P}(X=k) = p^k * (1-p)^{1-k}$
  • $\mathbb{E}(X) = \ p$
  • $\mathbb{V}(X) = \ p * (1-p)$

👉 Ex: flipping a coin.

Binomial distribution (discrete)

The binomial distribution $B(n,p)$ represents the probability of $k$ success on $n$ trials with a probability of $p$.

  • The mass function is
\[ \begin{split}\begin{cases} \mathbb{P}(X=k) = 0 & if & k > n \\ \mathbb{P}(X=k) = C_n^k * p^k * (1-p)^{n-k} & else \\ \end{cases}\end{split} \]
  • $\mathbb{E}(X) = \ n * p$
  • $\mathbb{V}(X) = \ n * p * (1-p)$

📚 A binomial distribution is a repetition of Bernoulli distributions.

Discrete Uniform distribution

A distribution, on an interval $[a,b]$, in which each value has the same probability, is a uniform distribution $U([a,b])$.

  • The mass function is $\mathbb{P}(X=k) = \frac{1}{b-a+1}$
  • $\mathbb{E}(X) = \ \frac{a+b}{2}$
  • $\mathbb{V}(X) = \ \frac{(b-a)(b-a+2)}{12}$

Considering $[1,n]$, we would have

  • The mass function is $\mathbb{P}(X=k) = \frac{1}{n}$
  • $\mathbb{E}(X) = \ \frac{n+1}{2}$
  • $\mathbb{V}(X) = \ \frac{n^2 - 1}{12}$

Geometric distribution (discrete)

This distribution $\mathbb{G}(p)$ answers the question "If I have a probability of success $p$, what's the probability of the trial $k$ being the first success?"

  • The mass function is $\mathbb{P}(X=k) = (1-p)^{k-1} * p$
  • $\mathbb{E}(X) = \ \frac{1}{p}$
  • $\mathbb{V}(X) = \ \frac{1-p}{p^2}$

HyperGeometric distribution (discrete)

The HyperGeometric distribution $H(N, K, n)$ is representing the probability of having a number of successes $K$ in a finite set of size $N$, given that we made $n$ trials without replacement.

  • The mass function is $\mathbb{P}(X=k) = {{{K \choose k}{{N-K} \choose {n-k}}} \over {N \choose n}}$
  • $\mathbb{E}(X) = \ n * \frac{K}{N}$
  • $\mathbb{V}(X) = \ \mathbb{E}(X) * (1 - \frac{K}{N}) * \frac{N-n}{N-1}$

Poisson distribution (discrete)

The Poisson distribution $\mathbb{P}(\lambda)$ requires that the probability $p$ is relatively smaller than $n$, while the parameter $\lambda$ is equal to $n*p$.

  • The mass function is $\mathbb{P}(X=k) = \frac{\lambda^k * e^{-\lambda}}{k!}$
  • $E(X) = \lambda$
  • $V(X) = \lambda$

Exponential distribution (continuous)

The exponential distribution is $E(\lambda)$.

  • The density function is $f_X(x) = \lambda e^{-\lambda{x}}$
  • $\mathbb{E}(X) = \ \frac{1}{\lambda}$
  • $\mathbb{V}(X) = \ \frac{1}{\lambda^2}$

Normal distribution (continuous)

Also called the Gaussian distribution and noted $N(\mu, \sigma^2)$.

  • $\mu$ (mu) is the mean ($\mathbb{E}(X)$)
  • $\sigma$ (sigma) is the standard deviation
  • $\sigma^2$ (sigma-square) is the variance ($\mathbb{V}(X)$)

The key formulas are:

  • The density function is $f_X(x) = {\frac {1}{\sigma {\sqrt {2\pi }}}}e^{-{\frac {1}{2}}\left({\frac {x-\mu }{\sigma }}\right)^{2}}$
  • $\mathbb{E}(X) = \ \mu$
  • $\mathbb{V}(X) = \ \sigma^2$

Standard Normal distribution (continuous)

The standard normal distribution is a normal distribution with $\mu=0$ and $\sigma=1$ giving us $N(0,\ 1)$. We can define $Y \sim N(0,\ 1)$ from X:

@ Y \sim \frac{X-\mu}{\sigma} @

  • The density function is now noted $\phi_X(x)$ (phi)
  • The cumulative distribution function is now noted $\Phi_X(x)$ (Phi)

If you have $X \sim N(\mu,\ \sigma^2)$, then we have:

\[ F_X(c) = \mathbb{P}(X \le c) = \mathbb{P}(\frac{X-\mu}{\sigma} \le \frac{c-\mu}{\sigma}) = \phi(\frac{c-\mu}{\sigma}) \]
  • $\phi(0.5) = 0$
  • $\phi(-x) = 1 - \phi(x)$

Using, the Standard normal table, we can get $\phi(x)$. To use it, simply split $x$ in $a+b$ where $a$ is the line and $b$ is the column of the table.


We have a simplified formula to calculate $F_X^{-1}(\alpha)$:

@ F_X^{-1}(\alpha) = \mu + \sigma * \phi^{-1}(\alpha) @

To find $\phi^{-1}(\alpha)$: Is $\alpha \ge 0.5$?

  • ✅: Find the $z$ (sum of a+b, e.g., line+column) in the table that is associated with the closest value of $\alpha$
  • ❌: Calculate $\phi^{-1}(\alpha) = -\phi(1-\alpha)$

Ex: if $\alpha = 0.95$, we search in the table. We got $\phi(1.64)=0.9495$ and $1.65=0.9505$ giving us $k \in [1.64,1.65]$. If $\alpha = 0.05$, then we have $\phi^{-1}(0.05) = -\phi(1-0.05) = -\phi(0.95)$ so $k \in [-1.65,-1.64]$.

Continuous uniform distribution

A distribution, on an interval $[a,b]$, in which each value has the same probability, is a uniform distribution $U([a,b])$.

  • The density function is $f_X(x) = \frac{1}{b-a}$
  • $\mathbb{E}(X) = \ \frac{a+b}{2}$
  • $\mathbb{V}(X) = \ \frac{(b-a)^2}{12}$

Standard uniform distribution (continuous)

A continuous uniform distribution where $a=0$ and $b=1$.

Let $F_Y(y)$ be the cumulative distribution function of the continuous random variable Y. Then $X = F_Y(y)$ can follow a standard uniform distribution

@ X = F_Y(Y) \sim U([0,1]) @

Using the Probability integral transform (PIP).

Random Notes

Generating function

Generating functions are handy when doing combinatorics. If we got $k$ issues and $m$ experiments, we perform the following product:

\[ G(x) = \prod_{j=1}^{m} \sum_{i=k_j}^{n_j} x^i \]

Once you develop the expression, each $a$ in $a * x^i$ is the number of distributions for $n=i$.

➡ī¸ See also: Generating Function Examples

Indicator Function

The indicator function, also sometimes called characteristic function, of a set B is represented as $\mathbb{1}_{ B }(x)$ and defined as:

  • $1$ if $x \in B$
  • $0$ else

It means we can shorten an expression like this:

\[ \begin{split}\begin{cases} \mathbb{P}(X=k) = 0 & if & k > n \\ \mathbb{P}(X=k) = C_n^k * p^k * (1-p)^{n-k} & else \\ \end{cases}\end{split} \]

To this expression:

\[ \mathbb{P}(X=k) = C_n^k * p^k * (1-p)^{n-k} * \mathbb{1}_{ [[0,n]] }(k) \]

Transfer Theorem

For a discrete variable, we will have:

@ \mathbb{E}(g(X)) = \sum_{i} g(x_i) \mathbb{P}(X = x_i) @

For continuous variables, we will have:

@ \mathbb{E}[g(X)] = \int_{-\infty}^{+\infty} g(x) * f_X(x)\ dx @