Statistics How To

Probability Vector: Definition, Example

Probability >

A probability vector is a vector (i.e. a matrix with a single column or row) where all the entries are non-negative and add up to exactly one. It’s sometimes also called a stochastic vector.

probability vector

A probability vector can represent probabilities of rolling 1 to 6.

As a simple example, the vector (1/6, 1/6, 1/6, 1/6, 1/6, 1/6) represents the probability distribution of a random roll of a fair dice. Each entry represents your odds of rolling one face of the dice (i.e. you have a 1/6 chance of rolling either a 1, 2, 3, 4, 5, or 6).

It’s not always so symmetric; in fact, it usually isn’t. For example, the stochastic vector representing the likelihood it might rain, snow, be cloudy without rain/snow, or be sunny all day might be (0.5, 0, 0.40, 0.10). Notice that here the entries still add up to one, and the categories represent all possible outcomes, and don’t overlap.

In essence, an n-dimensional probability vector may represent the probability distribution of a set of n variables. It’s a concise, very convenient way to represent the probability distribution of discrete random variables.

Probability Vector Properties

Every n-dimensional probability vector has a mean of 1/n.

What is called the length of a probability vector we calculate with the formula:
probability vector 1.


Here σ2 is the variance of all the entries in the probability vector. The ‘length’ of a probability vector, so defined, has nothing at all to do with the number of entries in the matrix.

  • The longest possible probability vector has the value of 1 as one entry, and 0 in all others. It has a length of 1. In a situation with four possible alternatives (like the weather example above), the longest possible probability vector would be {1000} (or {0100}, or {0010}, or {0001}).
  • The shortest possible probability vector has 1/n as each entry, and it’s length is 1/ √(n). In the dice example with six possible alternatives, the shortest possible vector would be {1/n, 1/n, 1/n, 1/n, 1/n}.

So the shortest vector represents a system with minimum certainty, (any of the options are equally likely to come to pass) and the longest a system with maximum certainty (you know exactly what will happen). For example, if the weather vector is {1000}, then there’s 100% chance of rain.

If A is a regular stochastic matrix, and is n x n, there is a unique stochastic vector v for which Av = v.

References

Silva, G. (2007). Probability vect., Markov chains, stochastic matrix
Retrieved from https://www.dcce.ibilce.unesp.br/~gsilva/math152/Ch4-9-lay-classnotes.pdf on January 11, 2018
Quinlan, R. (2006). MA203 Course Notes Chapter 4: Markov Processes
Retrieved from http://www.maths.nuigalway.ie/~rquinlan/MA203/section4-1.pdf on January 11, 2018

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