Probability Generating Functions

Transcription

1 Probability Generating Functions Andreas Klappenecker Texas A&M University 2018 by Andreas Klappenecker. All rights reserved. 1 / 27

2 Probability Generating Functions Definition Let X be a discrete random variable defined on a probability space with probability measure Pr. Assume that X has non-negative integer values. The probability generating function of X is defined by G X pzq Erz X s PrrX ksz k. k 0 This series converges for all z with z ď 1. 2 / 27

3 Expected Value Expectation The expectation value can be expressed by ErX s k PrrX ks GX 1 p1q, (1) where G 1 X pzq denotes the derivative of G X pzq. Indeed, G 1 X pzq k PrrX ksz k 1 k 0 k PrrX ksz k 1. 3 / 27

4 Second Moment Second Moment ErX 2 s G 2 X p1q ` G 1 X p1q Indeed, GX 1 pzq k PrrX ksz k 1 and GX 2 pzq kpk 1q PrrX ksz k 2 pk 2 kq PrrX ksz k 1. k 2 k 2 4 / 27

5 Variance Variance VarrX s ErX 2 s ErX s 2 G 2 X p1q ` G 1 X p1q G 1 X p1q 2. 5 / 27

6 Bernoulli Variables Example Let X be a random variable that has Bernoulli distribution with parameter p. The probability generating function is given by G X pzq p1 pq ` pz. Hence G 1 X pzq p, and G 2 pzq 0. We obtain ErX s G 1 X p1q p and VarrX s G 2 X p1q ` G 1 X p1q G 1 X p1q 2 0 ` p p 2 pp1 pq. 6 / 27

7 Geometric Random Variables Example The probability generating function of a geometrically distributed random variable X is Gpzq pp1 pq k 1 z k pz Some calculus shows that G 1 pzq p1 pq k z k k 0 p p1 p1 pqzq 2, G 2 pzq pz 1 p1 pqz. 2pp1 pq p1 p1 pqzq 3. Therefore, the expectation value is ErX s GX 1 p1q 1{p. The variance is given by VarrX s G 2 p1q ` G 1 p1q G 1 p1q 2 2p1 pq p 2 ` 1 p 1 p 2 1 p p 2. 7 / 27

8 Sums of Independent Random Variables Proposition Let X 1,..., X n be independent Z ě-valued random variables with probability generating functions G X1 pzq,..., G Xn pzq. The probability generating function of X X 1 ` ` X n is given by the product G X pzq nź G Xk pzq. 8 / 27

9 Proof. It suffices to show this for two random variables X and Y. The general case can be established by a straightforward induction proof. k k G X pzqg Y pzq PrrX ksz PrrY ksz k 0 k 0 PrrX ls PrrY k ls kÿ z k k 0 l 0 PrrX l, Y k ls kÿ z k k 0 l 0 kÿ PrrX ` Y ksz k G X `Y pzq k 0 l 0 9 / 27

10 Binomial Distribution Example Recall that the Bernoulli distribution with parameter p has generating function p1 pq ` pz. If X 1,..., X n are independent random variables that are Bernoulli distributed with parameter p, then X X 1 ` ` X n is, by definition, binomially distributed with parameters n and p. The generating function of X is G X pzq pp1 pq ` pzq n nÿ k 0 ˆn k p1 pq n k p k z k. 10 / 27

11 Binomial Distribution Example (Continued.) We have G 1 X pzq nppp1 pq ` pzq n 1 The expected value is given by ErX s G 1 X p1q np. 11 / 27

12 Binomial Distribution Example (Continued.) We have G 1 X pzq nppp1 pq ` pzq n 1 and G 2 X pzq npn 1qp 2 pp1 pq ` pzq n 2. The expected value is given by VarrX s GX 2 p1q ` GX 1 p1q GX 1 p1q 2 pn 2 nqp 2 ` np n 2 p 2 np 2 ` np npp1 pq 12 / 27

13 Uniqueness Theorem Proposition Let X and Y be discrete random variables with probability generating functions G X pzq and G Y pzq, respectively. Then the probability generating function G X pzq G Y pzq if and only if the probability distributions for all integers k ě 0. PrrX ks PrrY ks 13 / 27

14 Proof. If the probability distributions are the same, then evidently G X pzq G Y pzq. Conversely, suppose that the generating functions G X pzq and G Y pzq are the same. Since the radius of convergence is at least 1, we can expand the two generating funcions into power series G X pzq G Y pzq PrrX ksz k k 0 PrrY ksz k k 0 These two power series must have identical coefficients, since the generating functions are the same. Therefore, PrrX ks PrrY ks for all k ě 0, as claimed. 14 / 27

15 Number of Inversions 15 / 27

16 Inversion of a Permutation Definition Let pa 1, a 2,..., a n q be a permutation of the set t1, 2,..., nu. The pair pa i, a j q is called an inversion if and only if i ă j and a i ą a j. Example The permutation p3, 4, 1, 2q has the inversions tp3, 1q, p3, 2q, p4, 1q, p4, 2qu. 16 / 27

17 Number of Inversions Definition Let I n pkq denote the number of permutations on n points with k inversions. Example We have I n p0q 1, since only the identity has no inversions. Example We have I n p1q n 1. Indeed, a permutation π can have a single inversion if and only if π is equal to a transposition of neighboring elements pk ` 1, kq for some k in the range 1 ď k ď n / 27

18 Number of Inversions Example Since no permutation can have more than `n 2 inversions, we have ˆn I n pkq 0 for all k ą. 2 Example By reversal of the permutations, we have the symmetry ˆˆn I n k I n pkq 2 18 / 27

19 Probability Generating Function Suppose that we choose permutations π uniformly at random from the symmetric group S n. Let X n denote the random variable on S n that assigns a permutation π its number of inversions. Then the probability generating function is given by G Xn pzq p n 2q ÿ k 0 G Xn pzq PrrX n ksz k p n 2q ÿ k I n pkq z k. n! 19 / 27

20 Probability Generating Function Question Can we relate the generating functions G Xn pzq and G Xn 1 pzq? 20 / 27

21 Probability Generating Function Question Can we relate the generating functions G Xn pzq and G Xn 1 pzq? Observation Suppose that we have a permutation π n 1 on t1, 2,..., n 1u. If we insert the element n at position j with 1 ď j ď n, then we get an additional n j inversions. Example / 27

22 Probability Generating Function Example additional inversions: additional inversions: additional inversions: 7 Observation We need to insert n uniformly at random to obtain a uniformly distributed permutation on n elements from uniformly distributed permutations on n 1 elements. 21 / 27

23 Probability Generating Function Proposition $ & p1 ` z ` z 2 ` ` z n 1 q G G Xn pzq n Xn 1 pzq if n ą 1, % 1 if n / 27

24 Probability Generating Function Corollary G Xn pzq 1 n! nź nź p1 ` z ` z 2 ` ` z n 1 q 1 z k kp1 zq 1 n! nź 1 z k 1 z 23 / 27

25 Factorization: Expected Value In other words, the generating function G Xn pzq is the product of generating functions of discrete uniform random variables U k on t0, 1,..., k 1u, G Xn pzq nź G Uk pzq, where G Uk pzq 1 ` z ` ` z k 1. k By the product rule for n functions, we have nź nÿ GU 1 n pzq G Uk pzq l 1 1 p1 ` 2z ` 3z 2 ` ` ` pl 1qz l 2 q n. G Ul pzq Then ErX n s G 1 U n p1q nÿ k 1 2 npn 1q / 27

26 Expected Value (Alternative Way) Example (Creating a Permutation by Inserting One Element at a Time) Observation X n U 1 ` U 2 ` ` U n ErX n s ErU 1 s ` ErU 2 s ` ` ErU n s 25 / 27

27 Expected Value Proposition ErX n s nÿ ErU k s nÿ k 1 2 npn 1q / 27

28 Variance Proposition VarrX n s 2n3 ` 3n 2 5n. 72 Proof. Since X n U 1 ` U 2 ` ` U n and the U k are mutually independent, we get nÿ nÿ k 2 nÿ 1 VarrX n s VarrU n s 1 k 2 n ˆ2n3 ` 3n 2 ` n n n3 ` 3n 2 5n / 27