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Formula Sheet

This document provides formulas and explanations for various probability distributions and statistical concepts. It defines discrete and continuous expected value and variance. It then lists common discrete distributions like Bernoulli, binomial, geometric and Poisson along with their probability mass functions and key properties. Continuous distributions like uniform and exponential are also defined. It concludes with formulas for joint and marginal distributions, conditional probability and expectation, covariance, correlation, and expectations of functions of random variables.

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146 views4 pages

Formula Sheet

This document provides formulas and explanations for various probability distributions and statistical concepts. It defines discrete and continuous expected value and variance. It then lists common discrete distributions like Bernoulli, binomial, geometric and Poisson along with their probability mass functions and key properties. Continuous distributions like uniform and exponential are also defined. It concludes with formulas for joint and marginal distributions, conditional probability and expectation, covariance, correlation, and expectations of functions of random variables.

Uploaded by

fexiko9727
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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1

Formula Sheet

Discrete Continuous
∞
Expected Value 𝐸[𝑋] = 𝜇𝑋 = ∑ 𝑥𝑓(𝑥) 𝐸[𝑋] = 𝜇𝑋 = ∫ 𝑥𝑓(𝑥)𝑑𝑥
𝑥 −∞
∞
Variance 𝑉𝑎𝑟[𝑋] = 𝜎𝑋2 = ∑(𝑥 − 𝜇)2 𝑓(𝑥) 𝑉𝑎𝑟[𝑋] = 𝜎𝑋2 = ∫ (𝑥 − 𝜇)2 𝑓(𝑥)𝑑𝑥
𝑥 −∞
std deviation ∞
= ∑ 𝑥 2 𝑓(𝑥) − 𝜇 2 = ∫ 𝑥 2 𝑓(𝑥)𝑑𝑥 − 𝜇 2
𝜎 = √𝑉𝑎𝑟(𝑋)
𝑥 −∞

Discrete Explanation Probability Mass Function Mean Variance


Distribution 𝑬(𝑿) 𝑽𝒂𝒓(𝑿)
Bernoulli Success 𝑓(𝑥) = 𝑝 𝑥 (1 − 𝑝)1−𝑥 𝑝 𝑝(1 − 𝑝)
probability p 𝑥 = 0 𝑜𝑟 1
Binomial Number of 𝑛 𝑛𝑝 𝑛𝑝(1 − 𝑝)
𝑓(𝑥) = ( ) 𝑝 𝑥 (1 − 𝑝)𝑛−𝑥
successes among 𝑥
n independent 𝑥 = 0,1, … , 𝑛
trials
Geometric Number of trials 𝑓(𝑥) = (1 − 𝑝)𝑥−1 𝑝 1 1−𝑝
until first success 𝑥 = 1,2, … 𝑝 𝑝2
Negative Number of trials 𝑥−1 𝑟 𝑟 𝑟(1 − 𝑝)
𝑓(𝑥) = ( ) 𝑝 (1 − 𝑝)𝑥−𝑟
Binomial until 𝑟 𝑡ℎ success 𝑟−1 𝑝 𝑝2
𝑥 = 𝑟, 𝑟 + 1, …
Poisson Number of 𝑒 −𝜆𝑡 (𝜆𝑡)𝑥 𝜆𝑡 𝜆𝑡
outcomes on a 𝑓(𝑥) =
𝑥!
given interval 𝑡,
average number
of outcomes per
unit time is 𝜆

Continuous Explanation Probability Density Function Mean Variance


Distribution 𝑬(𝑿) 𝑽𝒂𝒓(𝑿)
Uniform 1 𝑎+𝑏 (𝑏 − 𝑎)2
𝑓(𝑥) = 𝑖𝑓 𝑎 ≤ 𝑥 ≤ 𝑏
𝑏−𝑎 2 12
Exponential Interarrival time 𝑓(𝑥) = 𝜆𝑒 −𝜆𝑥 𝑓𝑜𝑟 𝑥 ≥ 0 1 1
between two Cumulative distribution function: 𝜆 𝜆2
occurrences 𝐹(𝑥) = 1 − 𝑒 −𝜆𝑥 𝑓𝑜𝑟 𝑥 ≥ 0

𝑋−𝜇
Normal Distribution: 𝑋 ~𝑁𝑜𝑟𝑚𝑎𝑙(𝜇, 𝜎) then 𝑍 = 𝜎 is standard normal 𝑍~𝑁𝑜𝑟𝑚𝑎𝑙(0,1)
Sampling Distribution: 𝑋̅~𝑁𝑜𝑟𝑚𝑎𝑙(𝜇, 𝜎/√𝑛) where n is the sample size.
2

𝒇(𝒙, 𝒚) 𝒊𝒔 𝒕𝒉𝒆 𝒋𝒐𝒊𝒏𝒕 𝒑𝒓𝒐𝒃𝒂𝒃𝒊𝒍𝒊𝒕𝒚 𝒅𝒊𝒔𝒕𝒊𝒃𝒖𝒕𝒊𝒐𝒏

Discrete Continuous
∞
Marginal 𝑔(𝑥) = ∑ 𝑓(𝑥, 𝑦)
distribution 𝑔(𝑥) = ∫ 𝑓(𝑥, 𝑦)𝑑𝑦
𝑦 −∞
of X
∞
Marginal ℎ(𝑦) = ∑ 𝑓(𝑥, 𝑦)
distribution ℎ(𝑦) = ∫ 𝑓(𝑥, 𝑦)𝑑𝑥
𝑥 −∞
of Y
Conditional 𝑃(𝑋 = 𝑥, 𝑌 = 𝑦) 𝑓(𝑥, 𝑦)
distribution 𝑃(𝑋 = 𝑥|𝑌 = 𝑦) = 𝑓(𝑥|𝑦) =
𝑃(𝑌 = 𝑦) ℎ(𝑦)
𝑓(𝑥, 𝑦) 𝑏
= 𝑃(𝑎 < 𝑋 < 𝑏|𝑌 = 𝑦) = ∫ 𝑓(𝑥|𝑦)𝑑𝑥
ℎ(𝑦) 𝑎
∞
Conditional 𝐸(𝑋|𝑌 = 𝑦) = ∑ 𝑥𝑃(𝑋 = 𝑥|𝑌 = 𝑦)
Expectation 𝐸(𝑋|𝑌 = 𝑦) = ∫ 𝑥𝑓(𝑥|𝑦)𝑑𝑥
𝑥 −∞

Covariance: 𝐶𝑜𝑣(𝑋, 𝑌) = 𝜎𝑋𝑌 = 𝐸[𝑋𝑌] − 𝜇𝑋 𝜇𝑌


𝜎
Correlation Coefficient 𝜌𝑋𝑌 = 𝜎 𝑋𝑌
𝜎
𝑋 𝑌

Let 𝑔(𝑥) be a function of random variable 𝑋, then


𝐸[𝑔(𝑥)] = ∑ 𝑔(𝑥)𝑓(𝑥) 𝑖𝑓 𝑋 𝑖𝑠 𝑑𝑖𝑠𝑐𝑟𝑒𝑡𝑒
𝑥
∞
𝐸[𝑔(𝑥)] = ∫ 𝑔(𝑥)𝑓(𝑥)𝑑𝑥 𝑖𝑓 𝑋 𝑖𝑠 𝑐𝑜𝑛𝑡𝑖𝑛𝑜𝑢𝑠
−∞
𝐸[𝑎𝑋 + 𝑏] = 𝑎𝐸[𝑋] + 𝑏
3
4

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