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    STOR 435 Formula Sheet: Basics

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    EricQian
    This document provides formulas and definitions for probability distributions, probability rules, and statistical concepts. It includes formulas for calculating probabilities and expectations for binomial, normal, Poisson, exponential, gamma, geometric, hypergeometric, negative binomial, and uniform distributions. It also defines concepts like independence, variance, covariance, correlation, conditional probability, and conditional expectation.

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    STOR 435 Formula Sheet: Basics

    Uploaded by

    EricQian
    162 views3 pages
    This document provides formulas and definitions for probability distributions, probability rules, and statistical concepts. It includes formulas for calculating probabilities and expectations for binomial, normal, Poisson, exponential, gamma, geometric, hypergeometric, negative binomial, and uniform distributions. It also defines concepts like independence, variance, covariance, correlation, conditional probability, and conditional expectation.

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    This document provides formulas and definitions for probability distributions, probability rules, and statistical concepts. It includes formulas for calculating probabilities and expectations for binomial, normal, Poisson, exponential, gamma, geometric, hypergeometric, negative binomial, and uniform distributions. It also defines concepts like independence, variance, covariance, correlation, conditional probability, and conditional expectation.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    162 views3 pages

    STOR 435 Formula Sheet: Basics

    Uploaded by

    EricQian
    This document provides formulas and definitions for probability distributions, probability rules, and statistical concepts. It includes formulas for calculating probabilities and expectations for binomial, normal, Poisson, exponential, gamma, geometric, hypergeometric, negative binomial, and uniform distributions. It also defines concepts like independence, variance, covariance, correlation, conditional probability, and conditional expectation.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 3
    At a glance
    Powered by AI
    The document discusses various probability concepts and distributions including formulas, properties, and relationships.

    Some key probability rules discussed include the multiplication rule, independence, and total probability rule.

    Some key properties of the exponential distribution discussed include its probability density function, expected value, variance, and memoryless property.

    STOR 435 Formula Sheet

    1. P (U k) = P (X1 k, . . . , Xn k) = P (X1 k)
    K k+1 n
    P (Xn k) = ((
    ) )
    K
    2. P (U = k) = P (U k) P (U k + 1)

    Basics
    Event relationships
    1. A = B A B B A
    2. A B = mutually exclusive

    Maximum
    Let V = M ax{X1 , . . . , Xn }

    Probability definition

    1. P (V k) = P (X1 k, . . . , Xn k) = P (X1 k)
    k
    P (Xn k) = (( )n )
    K

    1. 0 P (A) 1, A
    2. P () = 1P
    n
    3. P (A) = i=1 P (Ai ) if Ai , . . . , An partitions A

    2. P (V = k) = P (V k) P (V k 1)
    3. E(V ) = kk=1 P (V k) = K
    k=1 [1 P (V < k)] = K
    K
    K
    k=1 P (X1 < k) P (Xn < k) = K k=1

    Probability rules
    (
    1. P (A|B) =

    P (AB)
    P (B)

    if P (B) > 0

    Calculus

    0
    if P (B) = 0
    2. P (A B)
    =
    P
    (A)P
    (B|A)
    Pn
    3. P (B) = i=1 P (Ai )P (B|Ai )

    Bernoulli trials
     
     
    n k nk
    n
    P (X = k) =
    p q
    if X Bin(n, p) where
    =
    k
    k

    n!
    (nk)!k!

    R
    R
    1. udv = iv vdu
    2. For (x, y) (u, v),
    use Jacobian determinant.
    x x

    (x, y) u v
    =

    (u, v) y y


    u v

    |J| =

    Distributions
    Independence definition
    1.
    2.
    3.

    P (A B) = P (A)P (B)
    P (A|B) = P (A)
    P B|A) = P (B)
    Disjoint blocks of independent events are independent
    Mutually exclusive ; independent
    Mutually independent pairwise independent (:)

    Density curve (continuous RV)


    1. fR (x) 0

    2. f (x) dx = 1
    3. P (a X b) =

    Rb
    A

    f (u) du

    Multivariate
    Joint: P(X,Y ) (x, y) = P (X = x, Y = y)
    Marginal: PX (x) = P (X = x) = y P(X,Y ) (x, y) = P (X =
    x, Y = y)
    If X = Y X and Y have the same distribution

    Maximum and Minimum


    Minimum
    Let U = M in{X1 , . . . , Xn }

    General facts
    1. Same distribution if P (X = v) = P (Y = v).
    P (a X b) = P (a Y b).
    2. Equal if P (X = Y ) = 1.

    Implies

    Binomial: X Bin(n, p)
    1. X = IA1 + + IAn . Var(X) = IA1 + + IAn =
    n(E(IA1 ) [E(IA1 )]2 ) = npq
    2. A and B are independent IA + IB
    3. A B IA IB = IA

    Binomial approximation
    z
    P (a X b) P ( a.5

    = npq. Works if 3.

    b+.5
    )

    where = np and

    Exponential: X exp()
    x
    1. f (x) = e
    (
    1 ex where x 0
    2. F (X) =
    0 where x < 0
    1
    1
    3. E(X) = , V ar(X) = 2

    4. Survival: P (X > x) = 1 F (X) = ex


    5. Memoryless property: P (X > x + t|X > x) = P (X > t)

    Gamma: Sn Gamma(n, p)

    CDF

    Continuous analog of Poisson


    1. Let Sn = X1 + .. + Xn where Xi exp()
    ex n xn1
    2. fSn =
    where (n) = (n 1)!
    (n)
    n
    n
    3. E(Sn ) = , Var(Sn ) = 2

    Continuous and step-wise


    1. F (x) = P (X x), limx = 1
    2. Step function: F (x) = u:ux P (X = x) P (X = x) =
    F (x) F (X ) where F (X is the left limit
    (a) P (a < X < b) = F (b ) F (a)
    (b) P (a X < b) = F (b ) F (a )
    (c) P (a < X b) = F (b) F (a)
    (d) P (a X b) =RF (b) F (a )
    x
    d
    F (x)
    3. Continuous: F (x) = f (u)du f (x) = dx

    Geometric: X Geom(p)
    1. P (X = k) = q k1 p, P (X k) = q k1
    k1
    2. E(X) =
    = =
    k=1 P (X k) = q
    q
    3. Var(X) = p2

    1
    p

    Hypergeometric X HG(n; N, B)

    Joint, marginal, and independence

    Sample n balls without


    N =B+R
     replacement,
    
    B R
    1. P (X = b) =

    r
    N
    n

    B
    2. E(X) = P (Ai ) = np where p =
    n
    N n
    R
    3. V ar(X) = (
    )npq where q =
    N 1
    n

    Independent Normal RV
    1. X = z + X N (, 2 )
    2. X1 , . . . , Xn iid for Xi N (i , i2 ) Sn := X1 + + Xn
    N (1 + + n , 12 + + n2 )

    Multinomial
    Let X1 , . . . , Xn be iid with P (X1 = m) = pm .
    1. Nm = IX1 =m + + IXn =m
    n!
    pn1 . . . pnmm
    2. Then, P (N1 = n1 , . . . , Nm = nm ) = n1 !...n
    m! 1
    3. Cov(Nk , Nm ) = npk pm

    Negative Binomial: X NegBin(n, p)


    Number of failures until r successes
    k r
    k1
    1. P (X = k) = k+r1
    r1 q p , P (X k) = q
    rq
    2
    2. E(X) = = p , V ar(X) = rq/p

    Conditional joint and marginal


    R
    1. fY (y) = fy (y|X = x)dx
    2. Multiplication rule: f (x, y) = fx (x)fy (y|X = x)
    f (x, y)
    3. fy (y|X = x) =
    fx (x)
    R
    4. P (Y B|X
    =
    x)
    = B fY (y|X = x)dy
    R
    5. P (B) = R P (B|X = x)fX (x)dx
    6. E(Y ) = E(Y |X = x)fX (x)dx

    Expectation, Variance, and Correlation


    Expectation

    Normal: X N(, 2 )
    Continuous analog of binomial
    1
    1. f (x) = 2
    exp( 21 2 (x )2 )
    2
    2. cdf: (z)

    Poisson: X Poisson()
    k

    1. P (X = k) exp k!

    1. RJoint CDF:
    R xn F (x1 , . . . , xn ) = P (X1 x1 , . . . , X1 xn ) =
    x1
    .
    .
    .
    = f (x1 , . . . , xn )dx1 . . . dxn

    R
    2. 1D Marginal: fxi (xi ) = Rn1 f (u1 , . . . , ui1 , xi , ui+1 , . . . , un
    du1 . . . dui1 dui+1 . . . dun
    3. Independence: f (x1 , . . . , xn ) = fx1 (x1 ) . . . fxn (xn )
    F (x1 , . . . , xn ) = Fx1 (x1 ) . . . Fxn (xn ).
    Also, f (x, y) =
    fx (x)fy (y)
    R
    4. E(g(x1 , . . . , xnR)) = Rn g(x1 , . . . , xn )f (x1 , . . . , xn )dx1 . . . dxn .
    Also, E(X) = xfx (x)dx
    5. P (X dx, Y dy = f (x, y)dxdy

    k1



    2. cdf: E(X) =
    k=0 ke
    k! = k=1 e
    (k1)!

    Let X be a random variable and c be a constant


    1. = xP
    ( (x), E(X) = x xP (X = x)
    0 if A does not occurs
    2. IA =
    1 if A occurs
    3. E(IA ) = P (A)
    4. E(X + Y ) = E(X) + E(Y )
    5. E(c) = c, E(cX) = cE(X)
    6. If X and Y are independent, E(XY ) = E(X)E(Y )
    = V ar(X) =
    7. Let pj = P (Xi = j). E(x) = p1 +2p2 + +npn = (p1 + +
    pn ) + (p2 + + pn ) + . . . (pn1 + pn ) + pn = ni=1 P (x j)

    Uniform: X Uniform[a, b]
    1
    ba
    = a+b
    2 ,

    Conditional Expectation

    1. f (x) =

    2. E(X)
    V ar(X) = (ba)
    12
    ol(A)
    3. P ((x1 , . . . , xn ) A) = VV ol(D)
    A D
    4. D = [a, b][c, d](x, y) is uniformly distributed over D X
    U nif orm[a, b] and Y U nif orm[a, b]

    Conditional expectation < Unconditional expectation


    1. E(Y |X = x) = y yP (Y = y|X = x)
    2. E(g(x, y)|X = x) = y g(x, y)P (Y = y|X = x)
    3. E(Y ) = E[E(Y |X)] = x E(Y |X = x)P (X = x)

    Variance

    Correlation
    Cov(X, Y )
    =
    SD(X)SD(Y )
    2. 1 Corr(X, Y ) 1
    Y
    X
    and X = Y
    (a) X = X
    X
    Y
    (b) E(X ) = E(Y ) = 0
    (c) V ar(X ) = V ar(Y ) = 1
    3. Corr(x, y) = 1 y = ax + b for a, b R

    1. Corr(X, Y ) =
    1.
    2.
    3.
    4.
    5.
    6.
    7.
    8.

    Cov(X, Y ) = E((X X )(Y Y )) = E(XY ) E(X)E(Y )


    V ar(X) = E((X )2 ) = E(X 2 ) 2
    Cov(X, X)=Var(X)
    Cov(X, Y ) = Cov(Y, X)
    Cov(IA , IB ) = P (A B) P (B)P (A))
    V ar(X + Y ) = V ar(X) + V ar(Y ) + 2Cov(X, Y )
    Cov(ai Xi , bj Yj ) = ai bi Cov(Xi , Yj )
    X and Y are independent Corr(X, Y ) = 0 (:)

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