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Probability theory 


In probability theory, a conditional probability measures the probability of an event given that (by assumption, presumption, assertion or evidence) another event has occurred.^{[1]} If the events are A and B respectively, this is said to be "the probability of A given B". It is commonly denoted by P(AB), or sometimes P_{B}(A). In case that both "A" and "B" are categorical variables, conditional probability table is typically used to represent the conditional probability.
The concept of conditional probability is one of the most fundamental and one of the most important concepts in probability theory.^{[2]} But conditional probabilities can be quite slippery and require careful interpretation.^{[3]} In statistical inference, the conditional probability is an update of the probability of an event based on new information.^{[3]} Incorporating the new information can be done as follows ^{[1]}
Note: This approach results in a probability measure that is consistent with the original probability measure and satisfies all the Kolmogorov Axioms.
Note: The phraseology "evidence" or "information" is generally used in the Bayesian interpretation of probability. The conditioning event is interpreted as evidence for the conditioned event. That is, P(A) is the probability of A before accounting for evidence E, and P(AE) is the probability of A after having accounted for evidence E or after having updated P(A). This is consistent with the frequentist interpretation.
Note: P(AB) (the conditional probability of A given B) may or may not be equal to P(A) (the unconditional probability of A). If P(AB) = P(A), A and B are said to be independent.
Given two events A and B from the sigmafield of a probability space with P(B) > 0, the conditional probability of A given B is defined as the quotient of the probability of the joint of events A and B, and the probability of B:
This may be visualized as restricting the sample space to B. The logic behind this equation is that if the outcomes are restricted to B, this set serves as the new sample space.
Note that this is a definition but not a theoretical result. We just denote the quantity P(AB)/P(B) as P(AB) and call it the conditional probability of A given B.
Some authors, such as De Finetti, prefer to introduce conditional probability as an axiom of probability:
Although mathematically equivalent, this may be preferred philosophically; under major probability interpretations such as the subjective theory, conditional probability is considered a primitive entity. Further, this "multiplication axiom" introduces a symmetry with the summation axiom for mutually exclusive events:^{[4]}
If P(B) = 0, then the simple definition of P(AB) is undefined. However, it is possible to define a conditional probability with respect to a σalgebra of such events (such as those arising from a continuous random variable).
For example, if X and Y are nondegenerate and jointly continuous random variables with density ƒ_{X,Y}(x, y) then, if B has positive measure,
The case where B has zero measure can only be dealt with directly in the case that B = {y_{0}}, representing a single point, in which case
If A has measure zero then the conditional probability is zero. An indication of why the more general case of zero measure cannot be dealt with in a similar way can be seen by noting that the limit, as all δy_{i} approach zero, of
depends on their relationship as they approach zero. See conditional expectation for more information.
Conditioning on an event may be generalized to conditioning on a random variable. Let X be a random variable taking some value from x_{n}. Let A be an event. The conditional probability of A given X is defined as the random variable:
More formally:
The conditional probability P(AX) is a function of X, e.g., if the function g is defined as
then
Note that P(AX) and X are now both random variables. From the law of total probability, the expected value of P(AX) is equal to the unconditional probability of A.
Suppose that somebody secretly rolls two fair sixsided dice, and we must predict the outcome.
What is the probability that A = 2?
Table 1 shows the sample space of 36 outcomes
Clearly, A = 2 in exactly 6 of the 36 outcomes, thus P(A=2) = ^{6}⁄_{36} = ^{1}⁄_{6}.
+  B=1  2  3  4  5  6 

A=1  2  3  4  5  6  7 
2  3  4  5  6  7  8 
3  4  5  6  7  8  9 
4  5  6  7  8  9  10 
5  6  7  8  9  10  11 
6  7  8  9  10  11  12 
Suppose it is revealed that A+B ≤ 5
What is the probability A+B ≤ 5 ?
Table 2 shows that A+B ≤ 5 for exactly 10 of the same 36 outcomes, thus P(A+B ≤ 5) = ^{10}⁄_{36}
+  B=1  2  3  4  5  6 

A=1  2  3  4  5  6  7 
2  3  4  5  6  7  8 
3  4  5  6  7  8  9 
4  5  6  7  8  9  10 
5  6  7  8  9  10  11 
6  7  8  9  10  11  12 
What is the probability that A = 2 given that A+B ≤ 5 ?
Table 3 shows that for 3 of these 10 outcomes, A = 2
Thus, the conditional probability P(A=2  A+B ≤ 5) = ^{3}⁄_{10} = 0.3.
+  B=1  2  3  4  5  6 

A=1  2  3  4  5  6  7 
2  3  4  5  6  7  8 
3  4  5  6  7  8  9 
4  5  6  7  8  9  10 
5  6  7  8  9  10  11 
6  7  8  9  10  11  12 
Events A and B are defined to be statistically independent if:
That is, the occurrence of A does not affect the probability of B, and vice versa. Although the derived forms may seem more intuitive, they are not the preferred definition as the conditional probabilities may be undefined if P(A) or P(B) are 0, and the preferred definition is symmetrical in A and B.
In general, it cannot be assumed that P(AB) ≈ P(BA). This can be an insidious error, even for those who are highly conversant with statistics.^{[5]} The relationship between P(AB) and P(BA) is given by Bayes' theorem:
That is, P(AB) ≈ P(BA) only if P(B)/P(A) ≈ 1, or equivalently, P(A) ≈ P(B).
Alternatively, noting that A ∩ B = B ∩ A, and applying conditional probability:
Rearranging gives the result.
In general, it cannot be assumed that P(A) ≈ P(AB). These probabilities are linked through the formula for total probability:
where :. This fallacy may arise through selection bias.^{[6]} For example, in the context of a medical claim, let S_{C} be the event that a sequela (chronic disease) S occurs as a consequence of circumstance (acute condition) C. Let H be the event that an individual seeks medical help. Suppose that in most cases, C does not cause S so P(S_{C}) is low. Suppose also that medical attention is only sought if S has occurred due to C. From experience of patients, a doctor may therefore erroneously conclude that P(S_{C}) is high. The actual probability observed by the doctor is P(S_{C}H).
Not taking prior probability into account partially or completely is called base rate neglect. The reverse, insufficient adjustment from the prior probability is conservatism.
Formally, P(AB) is defined as the probability of A according to a new probability function on the sample space, such that outcomes not in B have probability 0 and that it is consistent with all original probability measures.^{[7]}^{[8]}
Let Ω be a sample space with elementary events {ω}. Suppose we are told the event B ⊆ Ω has occurred. A new probability distribution (denoted by the conditional notation) is to be assigned on {ω} to reflect this. For events in B, it is reasonable to assume that the relative magnitudes of the probabilities will be preserved. For some constant scale factor α, the new distribution will therefore satisfy:
Substituting 1 and 2 into 3 to select α:
So the new probability distribution is
Now for a general event A,