!"#$%&' ) *+%', #+- .#/01 !

,+1&$%/
N: opulaLlon elemenLs
n: Sample elemenLs
ua||tat|ve: nomlnal: CannoL be ordered
Crdlnal: Can be ordered
uant|tat|ve: lnLerval: ulfferences of values are meanlngful, raLlos noL.
8aLlo: ulfferences and raLlos are meanlngful.
D|screte var|ab|es: SeL of posslble varlables can be counLed.
Cont|nuous var|ab|es: SeL of posslble varlables wlLh same real lnLerval, wlLh uncounLable many
numbers.
Descr|pt|ve Stat|st|cs: CaLherlng Lhe daLa, summarlzaLlon (Lables, graphs, sLaLlsLlcs)
robab|||ty (theory): Chance, probablllLy, rules
Samp||ng (theory): Pow Lo draw a sample? roperLles of random sampllng
Inferent|a| Stat|st|cs: urawlng concluslons abouL Lhe populaLlon on Lhe basls of a sample from lL

!"#$%&' 2 3#45&/ #+- 6'#$"/
Irequency d|str|but|on: Cvervlew of all values wlLh accompanylng frequencles
ke|at|ve frequency d|str|but|on: Cvervlew of all values wlLh accompanylng relaLlve frequencles
- ltepoeocy/totol obsetvotloos
CDI (cumulaLlve dlsLrlbuLlon funcLlon l): l(a) = relaLlve frequency of Lhe observaLlons a, real
numbers o
C|ass|f|ed freq d|str|but|on: Cvervlew of classes and accompanylng frequencles
- depends on Lhe classlflcaLlon
- preferably equal class wldLh
Irequency dens|ty: Cvervlew of classes and relaLlve frequencles dlvlded by correspondlng
class wldLhs
L|near |nterpo|at|on:
AB
A
=
BC
L
(or see book page 42)

!"#$%&' 7 8&#/9'&/ ,: ;,1#%0,+
Mode: value wlLh Lhe largesL frequency
Med|an: mlddle of ordered observaLlons
Mean (= arlLhmeLlc mean): Average (populaLlon = , sample = x )
We|ghted mean:
_ wixi
n
|=1
_ wj
n
j=|

Geometr|c mean: rg = (1 +r1)(1 +r2
) .(1 + rn
)
n
-1
roperLy: o(1 +rg
)
2
= o(1 +r1)(1 +r2
) .(1 +rn
)

opu|at|on mean: p =
x
1
+x
2
+...+x
n
N

Samp|e mean: x =
x
1
+x
2
+...+x
n
n

8|nary var|ab|e can only have Lwo varlables, summlng up wlll only glve Lhe numbers 1 = p, p/o glves
Lhe mean, LhaL ls Lhe proporLlon.
p, x

= mode
p, x

= medlan
p, x = (arlLhmeLlc) mean
r
g
= geomeLrlc mean
p = populaLlon proporLlon

!"#$%&' < 8&#/9'&/ ,: =#'0#%0,+
!"# %&'()*&( +'(&, -. /)'*012&(
Ik: lnLer quarLlle range (, d)
ke|at|ve Ik:
IR
k
2

8ox p|ot: see book page 108
k
l,
k
l
= l
Lh
quarLlle (l=1, 2, 3)
, d = lnLerquarLlle range |k
3
- k
1
|, |k
3
- k
1
|
o
2
, S
2
= varlance
o, s = sLandard devlaLlon
!"3 %&'()*&( +'(&, -. 4&51'01-.( 6*-7 08& %&'.

opulaLlon varlance: o
2
=
1
N
_ (xi - )
2

n
I=1

opulaLlon sLandard devlaLlon: o = Vo
2

Sample varlance: s
2
=
1
n-1
_ (xi -x )
2

n
=1

Sample sLandard devlaLlon: s = Vs
2

CoefflclenLs of varlaLlon:
c
||
and
S
|x |

SPC81-Cu1 lC8MuLAS lC8 vA8lAnCL
(xi -p)
2

n
=1
= xi
2

n
=1
-Np
2

opulaLlon varlance:
o
2
=
1
N
(xi -p)
2
= (
1
N
xi
2
) -p
2

n
=1

n
=1

(xi -x )
2

n
=1
= xi
2

n
=1
-nx
2

Sample varlance:
s
2
=
1
n -1
(xi -x )
2
=
1
n -1
(xi
2
) -
n
n -1
x
2

n
=1

n
=1

1he opu|at|on var|ance ls [usL Lhe mean of Lhe squares mlnus Lhe square of Lhe mean.

!"9 :.0&*;*&0'01-. -6 08& (0'.,'*, ,&51'01-.
Chebyshev's ru|e: for all k > 0 lL holds LhaL:
Sample daLa: aL leasL 1 -
1
k
2
of Lhe observaLlons lles ln (x -ks, x + ks)
opulaLlon daLa: aL leasL 1 -
1
k
2
of Lhe observaLlons lles ln (p -ko, p +ko)

!"! <=>?-*&(
opulaLlon daLaseL: Z
0
=
x0 -
o

Sample daLaseL: Z
0
=
x0 - x
s

Cut||ers: CbservaLlons LhaL are exLremely small or exLremely hlgh.
1urkey's def|n|t|on: CuLller lf smaller Lhan k
1
- 1,3o or larger Lhan k
1
+ 1,3o, also called 1,3o-
deflnlLlon
!"@ A'*1'.?& -6 B=# ,'0'

opulaLlon daLaseL: o
2
=p(1!p)
o=
_
p(1!p)
Sample daLaseL: x =p
s
2
=
n
n-1
p (1 -p )
s = _
n
n-1
p (1 -p )
!"C A'*1'.?& -6 ' 6*&D)&.?E ,1(0*1F)01-.

ulscreLe frequency dlsLrlbuLlon: _ (xi -x )
2 n
=1

Classlfled frequency dlsLrlbuLlon: _ (xi -p)
2 n
=1



%&'. G Variance n
3

H*1I1.'2 -F(&*5'01-.
1
N
xi
n
=1

1
N

n
=1
(x

-p)
2

J*&D)&.?E ,1(0*1F)01-. p =
1
N

]
x
()

n
=1

1
N

n
=1

]
(x
(])
-p)
2



!"#$%&' > ?#0'/ ,: =#'0#45&/
@"# >?'00&* ;2-0K L-5'*1'.?& '., L-**&2'01-.

Measures of assoc|at|on: 1he measure of Lhe sLrengLh of Lhe llnear relaLlonshlp.
o
x,y
, s
x,y
= covarlance
p
x,y
, r
x,y
= correlaLlon coefflclenL

0
, b
0
= lnLercepL of regresslon llne

1
, b
1
= slope of regresslon llne
uadrants I, II, III, IV
l and lll > (xi -x )(yi -y)> u
ll and lv > (xi -x )(yi -y)< u

SPC81-Cu1 lC8MuLAS lC8 CCvA8lAnCL

(xi -px
)(yi -py
)
n
=1
= xi
n
=1
yi -Npxpy
opulaLlon Covarlance:
ox,y =
1
N
(xi -px
)(yi -py
)
n
=1
=
1
N
(xi
n
=1
yi -pxpy)

(xi -x )(yi -y) = xi
n
=1
yi
n
=1
-nxy
Sample Covarlance:
Sx,y =
1
n - 1
(xi -x )(yi -y) =
1
n -1
(xi
n
=1
yi
n
=1
) -
n
n -1
xy
1he popu|at|on covar|ance ls [usL Lhe mean of Lhe producLs mlnus Lhe producL of Lhe means
opulaLlon CorrelaLlon coefflclenL: p = px,y =
cx,y
cxcy

ptopetty. {t{ < 1 ooJ {p{< 1
Sample CorrelaLlon coefflclenL: r = rx,y =
Sx,y
SxSy

ptopetty. {t{ < 1 ooJ {p{< 1


@"3 M&I*&((1-. N1.&

LLAS1-SCuA8LS ML1PCu
LS-method: o and b are Laken such LhaL _ (yi -(o +bxi))
2

ls mlnlmal
opulaLlon regresslon coefflclenLs: [1 =
cx,y
cx
2
onJ[u = py -[1px
opulaLlon regresslon llne: y = [u + [1x
Sample regresslon coefflclenLs: b1 =
Sx,y
Sx
2
onJ[u = y -b1x
Sample regresslon llne: y = bu + b1x

ltopetty. A somple lloe teqtessloo posses ttooqb (x , y), o popolotloo teqtessloo lloe posses ttooqb (
x
,
y
)
8LulC1lCn Anu 8LSluuALS
redlcLlon of y
p
: yp = bu + b1xp
redlcLlons of y
1
, y
2
, ..., y
n
: yp = bu +b1xn
1he n predlcLlon errors are called res|dua|s cn = yn -yn
SuM Cl SCuA8Lu L88C8S
Sum of squared errors (overall): SSE = _ (yi!yi)
2 n
=1
noLe LhaL SSE = _ ci
2 n
=1

@"9 N1.&'* O*'.(6-*7'01-.(
Mean of a + bx
1
, a + bx
2
, .., a + bx
n
= pv = o +bpx
varlance of a + bx
1
, a + bx
2
, .., a + bx
n
(around pv) = ov
2
= b
2
ox
2
hence ov = |b|ox

1ransformaLlon of sLaLlsLlcs under
y = o +bx
1ransformaLlon of covarlance and
correlaLlon by v = a + bx and w = c + dy
P-;)2'01-. ,'0'(&0 >'7;2& ,'0'(&0
L-5'*1'.?& ov,w = bJox,y sv,w = bJsx,y
L-**&2'01-. ?-&661?1&.0
lf bd > 0 pv,w = px,y
lf bd < 0pv,w = -px,y
lf bd > 0 rv,w = rx,y
lf bd < 0rv,w = -rx,y
M&2'01-.(81; F&0Q&&. 0Q- D)'210'015& 5'*1'F2&(

Cont|ngency tab|e: 1able LhaL offers an overvlew of all [olnL frequencles
P-;)2'01-. ,'0'(&0 >'7;2& ,'0'(&0
N-?'01-.
p

= o +bp
x

p

= o +bp
x

y = o +bx
y = o +bx
A'*1'01-.
o

2
= b
2
o
x
2

o

= |b|o
x

s

2
= b
2
s
x
2

s

= |b|s
x

!"#$%&' @ A&:0+0%0,+/ ,: ?',4#4050%B
C"# M'.,-7 &R;&*17&.0(

kandom exper|ment: An experlmenLaLlon or an observaLlon of an unconLrollable phenomenon for
whlch more Lhan one ouLcome ls posslble
Samp|e space: SeL of posslble ouLcomes (U)
L|ements: 1he dlfferenL posslble ouLcomes
= robablllLy (measure), model
U = Sample space
C = empLy seL, empLy evenL
c = SubseL
U = unlon
r = lnLersecLlon
.
c
= ComplemenL
C"3 M)2&( 6-* (&0(

!,+1&$% C,%#%0,+ =&++DA0#E'#F
8&#+0+E :,'
GH&+%/
GF$%B /&% I DDDDDDDD !#++,% ,119'
J#F$5& J$#1& u

K119'/ 1&'%#0+5B
!,F$5&F&+% L
1

L -,&/ +,% ,119'
M+0,+ A U B

L% 5&#/% ,+& ,: %"&
&H&+%/ L #+- .
,119' N#+-O,'P
*+%&'/&1%0,+ A r B

.,%" L #+- .
,119' N#+-P
J94/&% A c B

*: L ,119'/ %"&+ .
,119'/
A0/Q,0+% A r B =

L &+ . 1#++,%
,119' Q,0+%5B
?#'%0%0,+ A)R SSSR A/

GT#1%5B ,+& ,: %"&
&H&+%/ A)R SSSR A/
,119'/
C"9 S1(0-*1?'2 ,&61.101-.( -6 ;*-F'F1210E

C|ass|ca| def|n|t|on of probab|||ty: P(A) =
N(A)
N
for all evenLs A tepoltemeot. epoolly llkely ootcomes
Lmp|r|ca| def|n|t|on of probab|||ty:
n(A)
n
- P(A)osn - tepoltemeot. loJepeoJeot & lJeotlcolly tepeotoble
Sub[ect|ve def|n|t|on of probab|||ty: Pow sLrongly one lndlvldual belleves ln occurrence of evenL A
C"! T&.&*'2 ,&61.101-. -6 U-27-I-*-5

robab|||ty measure (def|n|t|on of ko|mogorov): A probablllLy measure ls a prescrlpLlon LhaL
asslgns real numbers (A) Lo all subseLs of U such LhaL Lhe followlng axloms hold for all subseLs A and
8 of U: - (A) > 0
- (U) = 1
- lf A and 8 are dls[olnL, Lhen P(A U B) = P(A) +P(B)
!"#$%&' U ?',4#4050%B #+- V95&/
V"# +'(1? ;*-;&*01&(

lmporLanL rules for probablllLy: (7.1), (7.2), (7.6), (7.7), (7.8), (7.9)
lmporLanL rules for condlLlonal probablllLy: (7.12), (7.13), (7.17), (7.18), (7.19), (7.20)

1PL 8ASlC AxlCMS
V&W90'&F&+% lormula C9F4&'0+E
P(A
c
) = 1 -P(A) NUS)P
P(0) = u NUS2P
*: LR . #+- ! #'& -0/Q,0+% P(A U B U C) = P(A) +P(B) +P(C) NUS7P
*: L)R L2, ., AF #'& -0/Q,0+%


P __A

m
=1
_ = P(A
1
)
m
=1
NUS<P
*: A)R A2, ., BF is a paitition of u P(

) = 1
m
=1
NUS>P
*: A c B P(A) P(B) NUS@P
P(A U B) = P(A) +P(B) -P(A r B) NUSUP
X,' #55 &H&+%/ . P(A) = P(A r B) +P(A r B
c
) NUSYP
*: A)R A2R ., BF is a paitition of u


P(A) = P(A r

s
=1
) NUSZP
V"3 M)2&( 6-* ?-).01.I

k! = 1 x 2 x 3 x . x k and 0! = 1
[0%" V&$5#1&F&+% [0%",9% V&$5#1&F&+%
K'-&'&- F
\

m!
(m -k)!

M+,'-&'&- DDDDDDDDDD [
m
k
=
m!
k! (m-k)!


o
1
- o
2
- .- o
k
=
m!
(m-k)!
(7.10)

V"9 M'.,-7 ,*'Q1.I '., *'.,-7 >'7;21.I

P(]) =
1
N
(7.11)
P(A) =
N(A)
N

P(A) = p
u
(p
o
= telotlve ftepoeocy)
V"! L-.,101-.'2 ;*-F'F12101&( '., 1.,&;&.,&.?&
1he CondlLlonal probablllLy of evenL A glven evenL 8 ls denoLed as (A|8) or as (7.12)
P(A|B) =
P(A r B)
P(B)

lnLerchanglng A and 8 (lf P(A) = u)toP
A
(B)) leads Lo Lhe probablllLy of 8 glven A (7.13)
P(B|A) =
P(A r B)
P(A)

8y mulLlplylng boLh sldes of (7.12) by (8) and boLh sldes of (7.13) by (A) ylelds (7.14)
P(A r B) = P(B) - P(A|B)onJP(A r B) = P(A) - P(B|A)
Slnce some Lerms cancel ouL we obLaln, Lhls ls also called Lhe producL rule (7.13)
P(A r B r C) = P(A) - P(BA) - P(C|A r B)
ln case of four evenLs A, 8, C and u lL follows LhaL (7.16)
P(A r B r C r ) = P(A) - P(B|A) - P(C|A r B) - P(|A r B r C)
LvenLs are sLochasLlcally lndependenL lf (7.17)
P(A|B) = P(A)
1wo oLher equlvalenL ways of expresslng lndependence of A and 8 (7.18) & (7.19)
P(B|A) = P(B)
P(A r B) = P(A) - P(B)
8ule of 8ayes: lL expresses a condlLlonal probablllLy ln lLs opposlLe condlLlonal probablllLy. (7.20)
P(A|B) =
P(A) - P(B|A)
P(B)

!"#$%&' Y ?',4#4050%B A0/%'049%0,+R
GT$&1%#%0,+R =#'0#+1&
kandom var|ab|e (rv) ls a prescrlpL LhaL aLLaches a value Lo each ouLcome of Lhe sample space.
Worklng deflnlLlon: quanLlLy for whlch Lhe acLual ouLcome ls deLermlned by chance
1he acLual ouLcome of a random varlable (x) ls called Lhe reallsaLlon
We only conslder quanLlLaLlve rv's
D|screte: llnlLe or counLable number of values
Cont|nuous: May assume any value ln some lnLerval
robab|||ty d|str|but|on: Cvervlew of Lhe probablllLles of all x-evenLs
x, ? = random varlables
rv = random varlable
x, y = ouLcomes of x, ?
L(x) = expecLaLlon of x
v(x) = varlance of x
Su(x) = sLandard devlaLlon of x
l = cdf, (cumulaLlve) dlsLrlbuLlon funcLlon
f = pdf, probablllLy denslLy funcLlon
ulSC8L1L vA8lA8LLS
robab|||ty dens|ty funct|on (pdf) f of rv \: (x) = P(X = x) for all ouLcomes x of \
f(x) ls Lhe probablllLy LhaL Lhe reallsaLlon of \ wlll be x
f ls also called (d|screte) dens|ty
(x) uonJ _ (x) = 1
x
(8.1)
(Cumu|at|ve) d|str|but|on funct|on (cdf) l of a rv \: F(o) = P(X o) for all real numbers o
l ls non decreaslng
l(-) = 0, l() = 1 (8.2)
l(b) - l(o) = l(o < \ < b) for al a and b wlLh o < b
ke|at|on between d|screte pdf and cdf (=non-decreaslng sLep funcLlon) (8.3)
F(A) = P(X o) = P _ U_
x<u
{X = x]_ = P(X = x) = (x)
x<u x<u

When x ls an ouLcome of \ and x ls Lhe largesL ouLcome LhaL ls smaller Lhan x lL ylelds LhaL (8.4)
(x) = F(x) -F(x
i
)
so f follows from l and f(x) ls [usL Lhe [ump-slze of l aL x
A random varlable x ls called degenerate at the constant b lf b ls Lhe only posslble ouLcome of x.
LxpecLaLlon or expecLed value or mean of a dlscreLe x (8.14)
E(X) = x - (x)
x

LxpecLaLlon of v = b(\) for a dlscreLe \ (8.17)
E(I) = E(b(X)) = b(x) -
x
(x)
x

varlance of a dlscreLe x (8.18)
I(X) = o
2
= E((X -p)
2
) = (x -p)
2
- (x)
x

CCn1lnuCuS vA8lA8LLS
P(X = x) = P(X x) -P(X < x) = u (8.3)
roperLy for conLlnuous x: P(X = x) = u for all real numbers x (due Lo Lhe lnflnlLe amounL of
posslblllLles) (8.6)
roperLy for conLlnuous x: F(x) = P(X x) = P(X < x) for all real numbers x (8.7)
robab|||ty dens|ty funct|on (pdf) f of a conLlnuous rv \: P(o X b) = ] (x)Jx
b
u
(8.8)
L|ementary propert|es of the pdf ! of a cont|nuous k:
f(x) > 0 for all real numbers x (8.9)
] (x)Jx =

-
LoLal area under f, whlch ls 1 (8.10)
ropert|es of the pdf " of a cont|nuous k:
lL ls a non-decreaslng conLlnuous funcLlon LhaL ls sLrlcLly lncreaslng on an lnLerval where Lhe
pdf ls poslLlve
lL ls compleLely deLermlned by Lhe pdf f slnce for all real numbers b: (8.11)
F(b) _ (x)Jx
b
-
= aieaunueiattheleftsiueofb
lL compleLely deLermlnes Lhe pdf f slnce: (x) = F
i
(x) for all real numbers a (8.12)
(o) =
P(u<X<u+h)
h
=
P(u+h)-P(u)
h
foihclosetou (8.13)
8ecause h ls really close Lo zero Lhe probablllLy LhaL x falls ln a small nelghbourhood [o, o + b] ls
relaLlvely large when compared Lo nelghbourhoods of oLher ouLcomes, hence f(o) ls nC1 Lhe
probablllLy of o, lL ls called Lhe llkellhood of ouLcome o (see page 286 for a deLalled explanaLlon).
LxpecLaLlon or expecLed value or mean of a conLlnuous x (8.22)
E(X) = _ x - (x)Jx

-

LxpecLaLlon of v = b(\) for a conLlnuous \ (LoLal area under b(x) f(x) (8.23)
E(I) = E(b(X)) = _ b(x) - (x)Jx

-

varlance of a conLlnuous x (8.18)
I(X) = o
2
= E((X -p)
2
) = _ (x -p)
2
- (x)Jx

-

W"@ M)2&( 6-* &R;&?0'01-. '., 5'*1'.?&

L|near transformat|on (dlscreLe and conLlnuous):
= o +bX - p

= o +bp
x

- o

2
= b
2
o
x
2
(8.30)
- o

= |b|o
x

ShorL-cuL formula for varlance of x (8.32)
o
2
= E(X
2
) - p
2

W"V H08&* (0'01(01?( -6 ;*-F'F1210E ,1(0*1F)01-.(

1he p-quant||e of \ and lLs dlsLrlbuLlon ls such LhaL: (8.41)
P(X <
p
ponJP(X
p
) p
!"#$%&' Z X#F050&/ ,: A0/1'&%&
A0/%'049%0,+/
!"#$ &"'() *"+,-). #$ +/'0- 1 +23 4 5+(0)$
~ = Pas Lhe dlsLrlbuLlon"
= = approxlmaLely has Lhe dlsLrlbuLlon"
8ln(n,p) = blnomlnal dlsLrlbuLlon
P(n, M, n) = hypergeomeLrlc dlsLrlbuLlon

Lxpectat|on, var|ance and standard dev|at|on of Alt(p) (9.1)
p = p o
2
= p(1 -p) o = p(1 -p)

1he b|nom|na| d|str|but|on wlLh parameLers o and p has Lhe followlng pdf ( 8lo(o, p)) (9.2)
(k) = [
n
k
p
k
(1 -p)
n-k
foiallk = u, 1, ., n

Lxpectat|on, var|ance and standard dev|at|on of 8lo(o,p) (9.3)
p = np o
2
= np(1 -p) o = np(1 -p)

Lxpectat|on, var|ance and standard dev|at|on of P
`
= proporLlon successes ln blnomlal (9.4)
experlmenL
p
p
= p o
p
2
=
p(1-p)
n
o
p
= _
p(1-p)
n

lf
n
N
u.1, thenE(n; H, N) = Bin(n,
M
n
)
(9.9)
A0/%'049%0,+ C,%#%0,+ 6789 GT$&1%#%0,+ =#'0#+1&
]B$&'E&,F&%'01 :72;<=>9 _
H
k
] _
N -H
n -k
] _
N
n
] n
H
N
n
H
N
N -H
N
N -n
N -1

.0+,F0+#5 ?#272=,9 [
n
k
p
k
(1 -p)
n-k
2, +$N)D$P

!"#$%&' )^ X#F050&/ ,: !,+%0+9,9/
A0/%'049%0,+/
#B"# X.16-*7 ,1(0*1F)01-.(

Un|form d|str|but|on: (10.1)
(y) =
1
[ -o
foiallyintheinteival(o, [), otheiwise(y) = u
(10.2)
F(y) =
y -o
[ -o
foiallyin(o, [)
LxpecLaLlon, varlance and sLandard devlaLlon of u(o,6) (10.3)
p =
o +[
2
, o
2
=
([ -o)
2
12
anuo =
-u
V12

#B"3 YR;-.&.01'2 ,1(0*1F)01-.(

Lxponent|a| d|str|but|on: (10.4)
(y) =
1
p
c
-

foiallyintheinteival(u, ), otheiwisef(y) = u
Some properLles of xpo() wlLh cdf l: (10.3 & 10.6)
E() = p; I() = p
2
; F(y) = 1 -c
-

foially u
P( > o +b| > o) = P( > b)foiallpositiveoanub
#B"9 Z-*7'2 ,1(0*1F)01-.
Norma| d|str|but|on: (10.7)
(y) =
1
oV2n
exp_-
(y -p)
2
2o
2
_foialliealnumbeisy
noLaLlon: N(,o
2
) lf has Lhls denslLy



Some propert|es of Lhe pdf of N(,o
2
)
(p) =
1
cV2n
ls Lhe maxlmum value of f
(p -o) = (p +o) for all poslLlve o, so f ls symmeLrlc around
lf y --~ or y-~, Lhen f(y) -0
AL y = - o and y = - o Lhe graph of f has a Lurnlng polnL ln Lhe sense LhaL Lhe decllne
decreases when golng furLher from
Lxpectat|on and var|ance of N(,o
2
) (10.8)
If~~N(p, o
2
), thenE() = panuI() = o
2

Standard norma| dev|at|on or z-d|str|but|on (10.9)
(z) =
1
V2n
exp_-
z
2
2
_foialliealnumbeisz
lf \ N(,o
2
) and = o - b\, Lhen N(o - b, b
2
, o
2
) (10.10)
lf \ N(,o
2
) and Z =
X-
c
, Lhen 2 N(0,1) (10.11)
2 N(0,1) and ? = oZ + , Lhen Z N(,o
2
) (10.12)
P( y) = P_
-p
o

y -p
o
] = P [Z
y -p
o
=
y -
o
(1u.1S)
( Z < z
o
) = 1 - o and ( Z > z
o
) = o (10.14)

A0/%'049%0,+ C,%#%0,+ :NBP GT$&1%#%0,+ =#'0#+1&
M+0:,'F 0{o,)
1
[ -o
foiu < y < [
o +[
2

([ -o)
2
12

GT$,+&+%0#5 @A,'7B9
1
p
c
-

foiy u _ _
2
C,'F#5 N{p,o
C
9
1
oV2n
exp_-
(y -p)
2
2o
2
_ _ o
2


!"#$%&' )) `,0+% ?',4#4050%B
A0/%'049%0,+/
!") &"'() *"+,-). #$ +/'0- 3#$*.)-) 5+.#+/()$= *'2-#20'0$ +.) 2'- (''D)3 #2-'
#2 -"#$ /''DE
Cov(\,) = covarlance
(\{ = y) = condlLlonal expecLaLlon of \ glven LhaL = y
v(\{ = y) = condlLlonal varlance of \ glven LhaL = y
b(x,y) = [olnL pdf
f(x|? = y) = condlLlonal pdf of \ glven LhaL = y
p
x,?
= correlaLlon effecL
o
x,?
= covarlance
Covar|ance of x and ? (11.3)
o
X,
= E [(X -p
x
)( -p

) = (X -p
x
)( -p

)b(x, y)
(x,)

Corre|at|on coeff|c|ent of x and ? (11.4)
p = p
X,
=
o
X,
o
x
o

Short-cut formula for covar|ance of x and ? (11.3)
o
X,
= E(X, ) -p
x
p

Covar|ance and Corre|at|on of v = o - b\ and w = c - J
Covarlance o
x,?
= bdo
x,?

CorrelaLlon coefflclenL
lf bJ > 0. p
v,w
= p
\,
lf bJ < 0. p
v,w
= - p
\,


Cond|t|ona| expectat|on of v = v(\) glven LhaL [ = y} (11.8)
E(I| = y) = E(:(X)| = y) :(x)(x| = y)
x


(Stochast|ca||y) |ndependent rv's \ and (11.9)
\ and are (SLochasLlcally) lndependenL lf Lhe [olnL pdf ls equal Lo Lhe producL of Lhe Lwo marglnal
pdf's:
b(x, y) = (x)g(x)foiallx, y
roperLles of Lwo |ndependent rv's \ and (11.10)
E(X) = E(X)E()anucov(X, ) = u
LxpecLaLlon and varlance of a ||near comb|nat|on of \ and (11.14)
w = o +bX +c - _
p
w
= o +bp
X
+cp

o
w
2
= b
2
o
X
2
+c
2
o

2
+2bco
X,


Lxpectat|on and var|ance of \
1
- ... - \
o
: (11.16)
E(X

) =
n
=1
E(X

); I(X

) = I(X

) +2cov(X
,
, X
]
)
<]
n
=1
n
=1
n
=1

Lxpectat|on and var|ance of \
1
- ... - \
o
for lndependenL \
l
wlLh Lhe same mean and var|ance (11.17)
E(X

) = pfoialli; I(X

) = o
2
foialli; allX

inuepenuent;
- E(X

) = npanuv(X

) = no
2

n
=1

n
=1

roperLy of Lhe sum of Lwo |ndependent b|nom|a| rv's (11.18)
X~Bin(n
1
, p); ~Bin(n
2
, p); X, inuepenuent - X +~Bin(n
1
+n
2
, p);

roperLy of Lhe sum of Lwo lndependenL normal rv's (11.19)
X~N(p
1
, o
1
2
); ~N(p
2
, o
2
2
); X, inuepenuent
- a +bX +cY~N(a +b
1
+c
2
, b
2
o
1
2
+c
2
o
2
2
)

v
= n and o
v
2
= no
2
,
W
= n and o
W
2
= n
2
o
2
(11.20)

1he probablllLy dlsLrlbuLlon of \ + for lndependenL \ and
ulsLrlbuLlon of \ ulsLrlbuLlon of ulsLrlbuLlon of \ +
Bin(n
1
, p) Bin(n
2
, p) Bin(n
1
+n
2
, p)
?^N_)P ?^N_2P ?^N_)a _2P
N(p
1
, o
1
2
); N(p
2
, o
2
2
) N(p
1
+p
2
, o
1
2
+o
2
2
)


!"#$%&' )2 V#+-,F J#F$5&/
1here are 4 Lypes of random sampllng
8andom Sampllng wlLh replacemenL
8andom Sampllng wlLhouL replacemenL
SLraLlfled 8andom Sampllng: 1he populaLlon ls dlvlded lnLo naLural sub-populaLlons (sttoto)
and lndependenL random samples are drawn from Lhem.
ClusLer Sampllng: 1he populaLlon ls dlvlded lnLo sub-populaLlons (clostets), are random sample
of clusLers ls drawn and a|| elemenLs of Lhese clusLers consLlLuLe Lhe sample.
l-properLy: x
1
, ..., x
n
are lndependenL (only wlLh 'wlLh replacemenL')
ld-properLy: x
1
, ..., x
n
have Lhe same probablllLy dlsLrlbuLlon (boLh wlLh 'wlLh, and wlLhouL
replacemenL')
A Samp|e Stat|st|c ls a random varlable LhaL ls only based on Lhe random sample x
1
, ..., x
n
and noL on
unknown parameLers.
An Lst|mator of a parameLer ls a sample sLaLlsLlc LhaL can be used Lo generaLe approxlmaLlons of LhaL
parameLer. P
`
ls Lhe naLural esLlmaLor of p, and esLlmaLe ls denoLed wlLh a small leLLer p .
!"#$%&' )7 3"& J#F$5& 8&#+
8andom sample wlLh replacemenL:
I(X

) =
o
2
n

8andom sample wlLhouL replacemenL:
E(X

) = p
I(X

) =
o
2
n
-
N -n
N -1

lf Lhe sample slze ls less Lhan 10 of Lhe populaLlon slze, Lhe drawlng of Lhe sample ls done wlLhouL
replacemenL buL lLs resulLs are analysed as lf done wlLh replacemenL. When noL sLaLed oLherwlse we
can assume lL ls a random sample wlLh replacemenL.

Centra| L|m|t 1heorem (CL1): 1he sample mean X

of a random sample x
1
, ..., x
n
has Lhe followlng
properLy:
ifnislaige, thenX

= N(p,
o
2
n
)
ln many cases o has Lo be aL leasL 30 Lo use normallLy for Lhe sample mean.
lf Lhe dlsLrlbuLlon N(,o
2
) and/or Lhe sample slze o ls large Lhen:
X

= N_p,
o
2
n
_anuZ =
X -p
o
Vn
= N(u,1)
P _p -Zu
2
o
Vn
< X

< p +Zu
2
o
Vn
] = 1 -o
P _X

-Zu
2
o
Vn
< p < X

+Zu
2
o
Vn
] = 1 -o
!"#$%&' )< J#F$5& ?',$,'%0,+ #+-
,%"&' J#F$5& J%#%0/%01/
lrom Chebyshev's rule lL can be proved LhaL:
P(|P
`
-p| < e 1 -
p(1 -p)
ne
2
foialle > u
lf o ls so large LhaL op > 5 and o(1-p) >5, Lhen:
P
`
= N(p,
p(1 -p)
n
anuZ =
P
`
-p
_
p(p -1)
n
= N(u,1)
P _p -Zu
2
p(1 -p)
Vn
< P
`
< p +Zu
2
p(1 -p)
Vn
_ = 1 -o
P_P
`
-Zu
2
p(1 -p)
Vn
< p < P
`
+Zu
2
p(1 -p)
Vn
_ = 1 -o
LsLlmaLor SLd. uevlaLlon SLandard Lrror
lnLeresL ls ln : p = X

c
Vn
unknown o =
S
Vn
knowno =
c
Vn

lnLeresL ls ln p: p = P
`
_
p(1-p)
n
_
P
`(1-P
`)
n


!"#$%&' )> *+:&'&+%0#5 J%#%0/%01/
0 = noLaLlon for a general parameLer
L = noLaLlon for a general esLlmaLor
P = half wldLh
Cln1 LS1lMA1lCn:
LsLlmaLor: sample proporLlon P
`

lormaL 1: l = - n and u = - n where n ls a non-negaLlve sample sLaLlsLlc.
lormaL 2: l = o and u = b where o < 1, b > 1 and o < b (see chapLers 17 and 18)
P = a * Su or lf Su conLalns unknown varlables P = a * SL (sLandard error) (13.2)
ln1L8vAL LS1lMA1lCn: (13.4) & (13.3)
I = P
`
-Zu
2
p(1 -p)
Vn
anuu = P
`
+Zu
2
p(1 -p)
Vn

E = Balfwiuth = Zu
2
_P
`
(1 -P
`
)
Vn

lf o ls known Lhen change p(1-p) lnLo o, half wldLh ls now consLanL, noL random.
P?C1PLSlS 1LS1lnC:
n
1
= AlLernaLlve hypoLhesls = 8 n
0
= null hypoLhesls = 8
c

AcLual j SLaLlsLlcal - uo noL re[ecL n
0
8e[ecL n
0

n
0
ls Lrue CorrecL concluslon lncorrecL, Lype l error
n
1
ls Lrue lncorrecL, Lype ll error CorrecL concluslon

1ype l errors are conLrolled, normally 0.03 or 0.01, or some oLher prescrlbed o. 1hls ls Lhe
slgnlflcance level. 1ype ll errors usually become small for a large o.
1here are Lhree Lypes of LesLlng problems,
0
ls a flxed and known consLanL called h|nge.
l. <
0
agalnsL n
1
. >
0
one-slded, upper-Lalled
ll. >
0
agalnsL n
1
. <
0
one-slded, lower-Lalled
lll. =
0
agalnsL n
1
. =
0
Lwo-slded
1LS1lnC 8C8LLM l
LesL <
0
agalnsL n
1
. >
0

LesL sLaLlsLlc: Z =
X

-
0
o
Vn

8e[ecL n
0
z > z
o

CalculaLe Lhe va|, Lhe value of 2 when daLa are subsLlLuLed
uraw Lhe sLaLlsLlcal concluslon
1LS1lnC 8C8LLM ll
>
0
agalnsL n
1
. <
0

LesL sLaLlsLlc: Z =
X

-
0
o
Vn

8e[ecL n
0
z < -z
o

CalculaLe Lhe va|, Lhe value of 2 when daLa are subsLlLuLed
uraw Lhe sLaLlsLlcal concluslon
1LS1lnC 8C8LLM lll
=
0
agalnsL n
1
. =
0

LesL sLaLlsLlc: Z =
X

-
0
o
Vn

8e[ecL n
0
z < -z
o/2
or z > z
o/2

CalculaLe Lhe va|, Lhe value of 2 when daLa are subsLlLuLed
uraw Lhe sLaLlsLlcal concluslon
1he p-va|ue or observed s|gn|f|cance |eve|: Lhe smallesL level of o LhaL allows Lhe concluslon of
re[ecLlng n
0
. A p-value can only be calculaLed afLerwards, as soon as Lhe vol has been calculaLed.
1esLlng p-value wlLh hlnge
0

LesL sLaLlsLlc: Z =
X

-
0
o
Vn

8e[ecL n
0
z < -z
o/2
or z > z
o/2

CalculaLe Lhe va|, Lhe value of 2 when daLa are subsLlLuLed
uraw Lhe sLaLlsLlcal concluslon
KH&'H0&b ,: H#'0#45&/

$%&'()* +
n = populaLlon elemenLs
n = sample elemenLs
| | = absoluLe value

$%&'()* ,
= no new symbols lnLroduced

$%&'()* -
p, x

= mode
p, x

= medlan
p, x = (arlLhmeLlc) mean
r
g
= geomeLrlc mean

$%&'()* .
p = populaLlon proporLlon

k
l,
k
l
= l
Lh
quarLlle (l=1, 2, 3)
, d = lnLerquarLlle range |k
3
- k
1
|, |k
3
- k
1
|
o
2
, S
2
= varlance
o, s = sLandard devlaLlon



$%&'()* /
o
x,y
, s
x,y
= covarlance
p
x,y
, r
x,y
= correlaLlon coefflclenL

0
, b
0
= lnLercepL of regresslon llne

1
, b
1
= slope of regresslon llne

$%&'()* 0
=p (measure), model
U = sample space
C = empLy seL, empLy evenL
c = SubseL
U = unlon
r = lnLersecLlon
.
c
= ComplemenL

$%&'()* 1
= no new symbols lnLroduced

$%&'()* 2
x, ? = random varlables
rv = random varlable
x, y = ouLcomes of x, ?
L(x) = expecLaLlon of x
v(x) = varlance of x
Su(x) = sLandard devlaLlon of x
l = cdf, (cumulaLlve) dlsLrlbuLlon funcLlon
f = pdf, probablllLy denslLy funcLlon
$%&'()* 3
~ = Pas Lhe dlsLrlbuLlon"
= = approxlmaLely has Lhe dlsLrlbuLlon"
8ln(n,p) = blnomlnal dlsLrlbuLlon
P(n, M, n) = hypergeomeLrlc dlsLrlbuLlon

$%&'()* +4
= no new symbols lnLroduced

$%&'()* ++
Cov(\,) = covarlance
(\{ = y) = condlLlonal expecLaLlon of \ glven LhaL = y
v(\{ = y) = condlLlonal varlance of \ glven LhaL = y
b(x,y) = [olnL pdf
f(x|? = y) = condlLlonal pdf of \ glven LhaL = y
p
x,?
= correlaLlon effecL
o
x,?
= covarlance

$%&'()* +, 5 +- 5 +.
= no new symbols lnLroduced

$%&'()* +/
0 = noLaLlon for a general parameLer
L = noLaLlon for a general esLlmaLor
P = half wldLh

!"#$%&' )@D)Y
O=41(0*1F)01-.

use a 1 dlsLrlbuLlon when Lhe populaLlon varlance ls unknown so when S ls used lnsLead of o. p
0
ls
also known as Lhe 'hlnge'. Craph ls symmeLrlc.

CCnlluLnCL ln1L8vAL
I = X

-tu
2
;n-1
S
Vn
anu0 = X

+tu
2
;n-1
S
Vn


P?C1PLSlS 1LS1lnC

(l) 1esL (a) E
o
:p p
0
vsE
1
:p > p
0

(b) E
o
:p p
0
vsE
1
:p < p
0

(c) E
o
:p = p
0
vsE
1
:p = p
0


(ll) 1esL sLaLlsLlc:
I =
X

-p
0
SVn


(lll) 8e[ecL E
0
- t t
u;n-1

8e[ecL E
0
- t -t
u;n-1

8e[ecL E
0
- t -to
2
;n-1
oit to
2
;n-1


1lNv(o,o-1)

(lv) CalculaLe Lhe vol

(v) (uon'L) re[ecL n
0
slnce vol ls smaller/greaLer Lhan Lhe crlLlcal value.


P=41(0*1F)01-.(

use a dlsLrlbuLlon when a value can only be 1, or 0.

CCnlluLnCL ln1L8vAL
I = P
`
-Zu
2
P
`
(1 -P
`
)
Vn
anu0 = P
`
+Zu
2
P
`
(1 -P
`
)
Vn


P?C1PLSlS 1LS1lnC
(l) 1esL (a) E
o
:p p
0
vsE
1
:p > p
0

(b) E
o
:p p
0
vsE
1
:p < p
0

(c) E
o
:p = p
0
vsE
1
:p = p
0


(ll) 1esL sLaLlsLlc:
Z =
P
`
-p
0
p
0
(1 -p
0
)Vn


(lll) 8e[ecL E
0
- Z Z
u

8e[ecL E
0
- Z -Z
u

8e[ecL E
0
- Z -Zo
2
oiZ Zo
2


NOkM5lNv(1-o)

(lv) CalculaLe Lhe vol

(v) (uon'L) re[ecL n
0
slnce vol ls smaller/greaLer Lhan Lhe crlLlcal value.


L81=(D)'*& ,1(0*1F)01-.

Make assumpLlon LhaL Lhe random sample ls normal. Craph ls noL symmeLrlc. use when calculaLlng
varlances.

CCnlluLnCL ln1L8vAL
I =
n -1
_
u
2
;n-1
2
S
2
anu0 =
n -1
_
1-
u
2
;n-1
2
S
2


P?C1PLSlS 1LS1lnC
(l) 1esL (a) E
o
:o
2
o

0
2
vsE
1
:o
2
> o

0
2

(b) E
o
:o
2
o

0
2
vsE
1
:o
2
< o

0
2

(c) E
o
:o
2
= o

0
2
vsE
1
:o
2
= o

0
2


(ll) 1esL sLaLlsLlc:
w =
n -1
o
0
2
S
2


(lll) 8e[ecL E
0
- _ _
u;n-1

8e[ecL E
0
- _ _
1-u;n-1

8e[ecL E
0
- _ _
1-
o
2
;n-1
oi_ _o
2
;n-1


cnllNv(o,o-1)

(lv) CalculaLe Lhe vol

(v) (uon'L) re[ecL n
0
slnce vol ls smaller/greaLer Lhan Lhe crlLlcal value.

OQ-=P'*'7&0&* 41(0*1F)01-.

1wo dlfferenL samples, lndependenL samples, and noL lndependenL samples, also called palred.

OQ- 1.,&;&.,&.0 ('7;2&( '., o
1
2
= o
2
2
K &D)'2=5'*1'.?& 0&(0

CCnlluLnCL ln1L8vAL
I = X

1
-X

2
-tu
2
;n
1
+n
2
-2
- _S
p
2
(
1
n
1
+
1
n
2
)anu0 = X

1
-X

2
+tu
2
;n
1
+n
2
-2
- _S
p
2
(
1
n
1
+
1
n
2
)

P?C1PLSlS 1LS1lnC

(l) 1esL (a) E
o
:p
1
-p
2
bvsE
1
:p
1
-p
2
> b
(b) E
o
:p
1
-p
2
bvsE
1
:p
1
-p
2
< b
(c) E
o
:p
1
-p
2
= bvsE
1
:p
1
-p
2
= b

(ll) 1esL sLaLlsLlc:
I =
X

1
-X

2
-b
_S
p
2
(
1
n
1
+
1
n
2
)


(lll) 8e[ecL E
0
- t t
u;n
1
+n
2
-2

8e[ecL E
0
- t -t
u;n
1
+n
2
-2

8e[ecL E
0
- t -to
2
;n
1
+n
2
-2
oit to
2
;n
1
+n
2
-2


1lNv(o,o
1
-o
2
-2)

(lv) CalculaLe Lhe vol

(v) (uon'L) re[ecL n
0
slnce vol ls smaller/greaLer Lhan Lhe crlLlcal value.
OQ- 1.,&;&.,&.0 ('7;2&( '., o
1
2
= o
2
2
K ).&D)'2=5'*1'.?& 0&(0

CCnlluLnCL ln1L8vAL
I = X

1
-X

2
-tu
2
;m
-
_
S
1
2
n
1
+
S
2
2
n
2
anu0 = X

1
-X

2
+tu
2
;m
-
_
S
1
2
n
1
+
S
2
2
n
2

m = mlo(o
1
,o
2
)-1

P?C1PLSlS 1LS1lnC

(l) 1esL (a) E
o
:p
1
-p
2
bvsE
1
:p
1
-p
2
> b
(b) E
o
:p
1
-p
2
bvsE
1
:p
1
-p
2
< b
(c) E
o
:p
1
-p
2
= bvsE
1
:p
1
-p
2
= b

(ll) 1esL sLaLlsLlc:
I =
X

1
-X

2
-b
_
S
1
2
n
1
+
S
2
2
n
2


(lll) 8e[ecL E
0
- t t
u;m

8e[ecL E
0
- t -t
u;m

8e[ecL E
0
- t -to
2
;m
oit to
2
;m


1lNv(o,m)

(lv) CalculaLe Lhe vol

(v) (uon'L) re[ecL n
0
slnce vol ls smaller/greaLer Lhan Lhe crlLlcal value.

OQ- P'1*&, ('7;2&(K 7'0?8&,=;'1*( ,&(1I.

CCnlluLnCL ln1L8vAL
I =

-tu
2
;n-1
-
S

Vn
anu0 =

+tu
2
;n-1
-
S

Vn

= meoo of tbe Jlffeteoces

P?C1PLSlS 1LS1lnC

(l) 1esL (a) E
o
:p

bvsE
1
:p

> b
(b) E
o
:p

bvsE
1
:p

< b
(c) E
o
:p

= bvsE
1
:p

= b

(ll) 1esL sLaLlsLlc:
I =

-b
S

Vn


(lll) 8e[ecL E
0
- t t
u;n-1

8e[ecL E
0
- t -t
u;n-1

8e[ecL E
0
- t -to
2
;n-1
oit to
2
;n-1


1lNv(o,o-1)

(lv) CalculaLe Lhe vol

(v) (uon'L) re[ecL n
0
slnce vol ls smaller/greaLer Lhan Lhe crlLlcal value.

J=41(0*1F)01-.

1he l-dlsLrlbuLlon wlLh Lhe parameLers ls Lhe probablllLy of a speclal denslLy LhaL ls concenLraLed on
Lhe half llne (0, ~), shorLly F
v
1
,v
2


CCnlluLnCL ln1L8vAL
I = F
1-
u
2
;n
1
-1,n
2
-1
-
S
1
2
S
2
2
anu0 = Fu
2
;n
1
-1,n
2
-1
-
S
1
2
S
2
2


P?C1PLSlS 1LS1lnC

(l) 1esL (a) E
o
:
c
1
2
c
2
2
bvsE
1
:
c
1
2
c
2
2
> b
(b) E
o
:
c
1
2
c
2
2
bvsE
1
:
c
1
2
c
2
2
< b
(c) E
o
:
c
1
2
c
2
2
= bvsE
1
:
c
1
2
c
2
2
= b

(ll) 1esL sLaLlsLlc:
F =
S
1
2
S
2
2
b


(lll) 8e[ecL E
0
- F
u;n
1
-1,n
2
-1

8e[ecL E
0
- F
1-u;n
1
-1,n
2
-1

8e[ecL E
0
- F
1-
o
2
;n
1
-1,n
2
-1
oiF Fo
2
;n
1
-1,n
2
-1


llNv((1-)o,o
1
-1,o
2
-1)

(lv) CalculaLe Lhe vol

(v) (uon'L) re[ecL n
0
slnce vol ls smaller/greaLer Lhan Lhe crlLlcal value.

P=41(0*1F)01-. Q108 0Q- ;-;)2'01-.(

CCnlluLnCL ln1L8vAL
I = P
`
1
-P
`
2
-Zu
2
_
P
`
1
(1 -P
`
1
)
n
1
+
P
`
2
(1 -P
`
2
)
n
2
anu0 = P
`
1
-P
`
2
+Zu
2
_
P
`
1
(1 -P
`
1
)
n
1
+
P
`
2
(1 -P
`
2
)
n
2



P?C1PLSlS 1LS1lnC
(l) 1esL (a) E
o
:p
1
-p
2
uvsE
1
:p
1
-p
2
> u
(b) E
o
:p
1
-p
2
uvsE
1
:p
1
-p
2
< u
(c) E
o
:p
1
-p
2
= uvsE
1
:p
1
-p
2
= u

(ll) 1esL sLaLlsLlc:
p
1
-p
2
= urp
1
-p
2
=

Z =
P
`
1
-P
`
2
_P
`
(1 -P
`
)(
1
n
1
+
1
n
2
)
oiZ =
P
`
1
-P
`
2
-b
_
P
`
1
(1 -P
`
1
)
n
1
+
P
`
2
(1 -P
`
2
)
n
2


(lll) 8e[ecL E
0
- Z Z
u

8e[ecL E
0
- Z -Z
u

8e[ecL E
0
- Z -Zo
2
oiZ Zo
2


NOkM5lNv(1-o)

(lv) CalculaLe Lhe vol

(v) (uon'L) re[ecL n
0
slnce vol ls smaller/greaLer Lhan Lhe crlLlcal value.


!"#$%&' )Z J0F$5& ;0+&#' V&E'&//0,+
Model sLandard devlaLlon:
S
s
= _S
s
2

Model varlance:
S
s
2
=
1
n -2
(

-
`

)
n
=1

SLandard devlaLlon of 8
1

S(B
1
) = o
B
1
=
o
s
(n -1)s
x
2

SLandard error of 8
1

S(B
1
) = S
B
1
=
S
s
(n -1)s
x
2

(|) 1esL (a) E
o
:B
1
bvsE
1
:B
1
> b
(b) E
o
:B
1
bvsE
1
:B
1
< b
(c) E
o
:B
1
= bvsE
1
:B
1
= b

(||) 1esL sLaLlsLlc:
I =
B
1
-b
S
s
(n -1)s
x
2


(|||) 8e[ecL E
0
- t t
u;n-2

8e[ecL E
0
- t -t
u;n-2

8e[ecL E
0
- t -to
2
;n-2
oit to
2
;n-2
1lNv(o,o-1)

(|v) CalculaLe Lhe vol

(v) (uon'L) re[ecL n
0
slnce vol ls smaller/greaLer Lhan Lhe crlLlcal value.

lnLerval est|mator (l,u) for (
p
) and lnLerval pred|ctor (l,u) for (
p
)
(confldence lnLerval) (redlcLlon lnLerval)
Ioiu = Y

p
_tu
2
;n-2
- S
s
_
1
n
+
(x
p
-x)
2
(n -1)s
x
2
anuIoiu = Y

p
_tu
2
;n-2
- S
s
_
1 +
1
n
+
(x
p
-x)
2
(n -1)s
x
2

!"#$%&' 2^ 895%0$5& ;0+&#' V&E'&//0,+
Samp|e var|ance of Lhe esLlmaLed model:
S
s
2
=
1
n -(k +1)
(

-
`

)
2
=
SSE
n -(k +1)
n
=1


Standard error of Lhe esLlmaLed model:
S
s
= _S
s
2

ANCVA
b
1ab|e
J9F ,: /W9#'&/
A&E'&&/
,:
:'&&-,F
8&#+ /W9#'& XD'#%0, J0E+0:01#+1&
V&E'&//0,+ SSR = SSI -SSE = (y

-y

)
2
n
=1
D FFG H D
SSRk
SSE(n -(k +1))

V&/0-9#5 SSE = (y

-y

)
2
n
=1
2 - 7D I 49
SSE
n -(k +1)
= S
s
2

3,%#5 SSI = (y

-y

)
2
n
=1
2 J 4
SSI
n -1
= s

2


MCuLL 1LS1, uSLluLnLSS Cl 1PL MCuLL
(vl) 1esL E
o
:[
1
= = [
k
= uvsE
1
:atleastoneof[
1
, . , [
k
= u

(vll) 1esL sLaLlsLlc:
F =
SSRk
SSE(n -(k +1))

(vlll) 8e[ecL E
0
- F
u;k,n-(k+1)
llNv(o,k,o-(k-1))

(lx) CalculaLe Lhe vol

(x) (uon'L) re[ecL n
0
slnce vol ls smaller/greaLer Lhan Lhe crlLlcal value.
Crdlnary coefflclenL of deLermlnaLlon: r
2
=
SSR
SS1
= 1 -
SSL
SS1

Ad[usLed coefflclenL of deLermlnaLlon: r
2
= 1 -
SSL
SS1
-
n-1
n-(k+1)

:.6&*&.?& -. 08& *&I*&((1-. ?-&661?1&.0(

Interva| est|mator (l, u) for 8
l
:
I = B

-tu
2
;n-(k+1)
S
B
i
anuu = B

+tu
2
;n-(k+1)
S
B
i

1LS1lnC 1PL lnulvluuAL SlCnlllCAnCL C8 CCn!LC1u8L A8Cu1 8
1

(|) 1esL (a) E
o
:B

bvsE
1
:B

> b
(b) E
o
:B

bvsE
1
:B

< b
(c) E
o
:B

= bvsE
1
:B

= b

(||) 1esL sLaLlsLlc:
I =
B

-b
S
B
i


(|||) 8e[ecL E
0
- t t
u;n-(k+1)

8e[ecL E
0
- t -t
u;n-(k+1)

8e[ecL E
0
- t -to
2
;n-(k+1)
oit to
2
;n-(k+1)
1lNv(o,o-(k-1))

(|v) CalculaLe Lhe vol

(v) (uon'L) re[ecL n
0
slnce vol ls smaller/greaLer Lhan Lhe crlLlcal value.

lnLerval est|mator of (
p
):

`
p
_tu
2
;n-(k+1)
SE(
`
p
)
lnLerval pred|ctor of (
p
):

`
p
_tu
2
;n-(k+1)
SE(
`
p
-
p
)

!"#$%&' 2) 895%0$5& ;0+&#' V&E'&//0,+
A81lAL l-1LS1 (lC8 uSLluLnLSS Cl A C81lCn)
(|) 1esL E
o
:[
g+1
= = [
k
= uvsE
1
:atleastonof[
g+1
, . , [
k
= u

(||) 1esL sLaLlsLlc:
F =
(SSE

-SSE
c
)(k -g)
SSE
c
(n -(k +1))
oiF =
(R
c
2
-R

2
)(k -g)
(1 -R
c
2
)(n -(k +1))

(|||) 8e[ecL E
0
- F
u;k-g,n-(k+1)


(|v) CalculaLe Lhe vol llNv(o,k-q,o-(k-1))

(v) (uon'L) re[ecL n
0
slnce vol ls smaller/greaLer Lhan Lhe. lf n
1
Lrue Lhen Lhe lndependenL
varlables are [o|nt|y s|gn|f|cant.

PlCPL8 C8uL8 1L8MS Anu ln1L8AC1lCn 1L8MS
o
nd
order = number of eLa's, excepL from
0

redlcLor = number of dlfferenL x's
lnLeracLlon Lerm = number of x
n
*x
m
's

1he regresslon coefflclenL of Lhe dummy ls a dlfference of means under a ceLerls parlbus condlLlon.

!"#$%&' 22 895%0$5& ;0+&#' V&E'&//0,+
uu88ln-WA1SCn 1LS1S (1C 1LS1 lC8 Au1CCC88LLA1lCn):
D =
_ (e
t
n
t=1
-e
t-1
)
2
_ e
t
2 n
t=1
= 2(1 -R
1
)Iurlargen
os|t|ve:



Negat|ve:



1wo-s|ded:



LCCl1 MCuLL:
A(t) =
e
t
1 +e
t

LoglL regresslon equaLlon:
y = A(h

+h
1
x
1
++h
k
x
k
)
lL esLlmaLes l ( = 1) and afLer roundlng lL predlcLs lLself.

2
6
+
6
4
Inc
0 1 2 3 4
7

7
8

6
4
6
+
Inc
. 9 7

. 9 7
8

0 1 3 4
6
4
Inc Inc 6
+
6
+
0 1 2 3
4
. 9 7
:,;<
. 9 7
:,;8

7
:,;8

7
:,;<
!"#$%&' 27 30F& /&'0&/ #+- :,'&1#/%0+E
MCvlnC AvL8ACLS
Movlng averages, 3-perlod: s
t
=

t-1
+
t
+
t+1
3
for all t = 2, 2, ., o - 1
LxCnLn1lAL SMCC1PlnC Anu lC8LCAS1lnC
s
1
= y
1

s
t
= wy
t
+ (1-w)s
t-1
for all t = 1, 2, ., o
Y

n+k
= S
n
for all k = 1, 2, .

(|) 1esL P
o
: 1here ls no flrsL-order auLocorrelaLlon vs P
1
: 1here ls flrsL-order auLocorrelaLlon

(||) 1esL sLaLlsLlc: u

(|||) Conclude E
1
- J J
u2,L
oiu 4 - J
u2,L

lnconcluslve - J
u2,L
< J < J
u2,0
oi4 -J
u2,0
< J < 4 -J
u2,L

Conclude E
0
- J
u2,0
J 4 -J
u2,0


(|v) CalculaLe Lhe vol

(v) 1he LesL glves Lhe concluslon...
(ll8S1 C8uL8) Au1C8LC8LSSlvL MCuLL Ak(1)
Y
t
=
1
Y
t-1
+s
1
wlLh (e
t
) = 0 for all t = 2, J, ., o

s
t
= y

+y
1
s
t-1
+u
1