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Thursday, 1 November 2012

Law of total probability

If {Bn:n=1,2,3,} is a finite partition of a sample space (i.e., a set of pairwise disjoint events whose union is the entire sample space), then for any event A of the same probability space:
Pr(A)=nPr(ABn)
or, alternatively,
Pr(A)=nPr(A|Bn)Pr(Bn)

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