Contents Preface to the Second Edition Preface to the First Edition 1. Probability 1.1 Introduction, 1 1.2 Sample Space, 2 13. Probability Axioms, 7 1.4 Combinatorics: Probability on Finite Sample Spaces, 21 1.5 Conditional Probability and Bayes Theorem, 28 1.6 Independence of Events, 33 2. Random Variables and Their Probability Distributions 2.1 Introduction, 40 2.2 Random Variables, 40 2.3. Probability Distribution of a Random Variable, 43 2.4 Discrete and Continuous Random Variables, 48 2.5. Functions of a Random Variable, 57 3. Moments and Generating Functions 3.1 Introduction, 69 3.2. Moments of a Distribution Function, 69 3.3 Generating Functions, 85 3.4 Some Moment Inequalities, 95 4, Multiple Random Variables 4.1 Introduction, 102 102vit 42 43 44 45 46 4a CONTENTS Multiple Random Variables, 102 Independent Random Variables, 119 Functions of Several Random Variables, 127 Covariance, Correlation, and Moments, 149 Conditional Expectation, 164 Order Statistics and Their Distributions, 171 5. Some Special Distributions 180 Su 52 53 4 55 Introduction, 180 Some Discrete Distributions, 180 ‘Some Continuous Distributions, 204 Bivariate and Multivariate Normal Distributions, 238 Exponential Family of Distributions, 251 6. Limit Theorems 286 61 62 63 64 65 66 Introduction, 256 Modes of Convergence, 256 ‘Weak Law of Large Numbers, 274 Strong Law of Large Numbers, 281 Limiting Moment Generating Functions, 289 Central Limit Theorem, 293 7. Sample Moments and Their Distributions 306 TW 12 13 14 15 16 1 Introduetion, 306 Random Sampling, 307 Sample Characteristics and Their Distributions, 310 ‘Chi-Square, ¢- and F-Distributions: Exact Sampling Distributions, 324 LLarge-Sample Theory, 334 Distribution of (X, 5?) in Sampling from a Normal Population, 339 Sampling from a Bivariate Normal Distibution, 344 8. Parametric Point Estimation 353 81 82 83 84 85 Introduction, 353 Problem of Point Estimation, 354 Sufficiency, Completeness, and Ancillarity, 358 Unbiased Estimation, 377 Unbiased Estimation (Continued): Lower Bound for the Variance of an Estimator, 391CONTENTS 9% 10. nL 13. 8.6 Substitution Principle (Method of Moments), 406 8.7 Maximum Likelihood Estimators, 409 8.8 Bayes and Minimax Estimation, 424 8.9. Principle of Equivariance, 442 ‘Neyman-Pearson Theory of Testing of Hypotheses 9.1 Introduction, 454 9.2 Some Fundamental Notions of Hypotheses Testing, 454 9.3 Neyman-Pearson Lemma, 464 9.4 Families with Monotone Likelihood Ratio, 472 9.5. Unbiased and Invariant Tests, 479 9.6 Locally Most Powerful Tests, 486 ‘Some Further Results of Hypothesis Testing 10.1 Introduction, 490 10.2 Generalized Likelihood Ratio Tests, 490 10.3 Chi-Square Tests, 500 104 1Tests, $12 10S F-Tests, 518 10.6 Bayes and Minimax Procedures, 520 Confidence Estimation 11.1 Introduction, 527 11.2 Some Fundamental Notions of Confidence Estimation, 527 11.3. Methods of Finding Confidence Intervals, 532 11.4 Shortest-Length Confidence Intervals, 546 11.5 Unbiased and Equivariant Confidence Intervals, 553 General Linear Hypothesis 12.1 Introduction, 561 12.2 General Linear Hypothesis, 561 12.3 Regression Model, 569 12.4 One-Way Analysis of Variance, 577 12.5 Two-Way Analysis of Variance with One Observation per Cell, 583 12.6 Two-Way Analysis of Variance with Interaction, 590 Nonparametric Statistical Inference 13.1 Introduction, 598 527 S61 598,x conTENTS 13.2. U-Statistics, $98 13.3 Some Single-Sample Problems, 608 13.4. Some Two-Sample Problems, 624 13.5 Tests of Independence, 633 13.6 Some Applications of Order Statistics, 644 13.7 Robustness, 650 References 663 Frequently Used Symbols and Abbreviations 669 Statistical Tables on [Answers to Selected Problems 3 Author Index 708 Subject Index 7