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Table of Contents
Distributions ............................................................................................................................................................................................. 3
Discrete .......................................................................................................................................................... 3
Binomial X~Bin(n,p) .............................................................................................................................................................3
Poisson X~Poi() ..................................................................................................................................................................3
Continuous ..................................................................................................................................................... 4
Uniform U~(a,b) ..................................................................................................................................................................4
Exponential X~Exp() ...........................................................................................................................................................4
Gaussian X~N(,2) ..............................................................................................................................................................5
Joint ............................................................................................................................................................................................................. 5
Discrete .......................................................................................................................................................... 5
Discrete Joint PMF ...............................................................................................................................................................5
Finding Discrete Marginal PMF ............................................................................................................................................5
Discrete Joint CDF................................................................................................................................................................5
Stating CDF ..........................................................................................................................................................................5
Continuous ..................................................................................................................................................... 6
Continuous Joint PDF ...........................................................................................................................................................6
Continuous Marginal PDF ....................................................................................................................................................6
Continuous Joint CDF...........................................................................................................................................................6
Independence ................................................................................................................................................. 7
Discrete Independence ........................................................................................................................................................7
Continuous Independence ...................................................................................................................................................7
Expectancy................................................................................................................................................................................................. 8
Discrete .......................................................................................................................................................... 8
Continuous ..................................................................................................................................................... 8
Symmetry Theorem ......................................................................................................................................... 8
Covariance and Correlation ............................................................................................................................. 8
Covariance ..........................................................................................................................................................................8
Correlation ..........................................................................................................................................................................9
Independence .....................................................................................................................................................................9
pg. 1
Uniqueness ................................................................................................................................................... 14
Single Variable .............................................................................................................................................. 15
MGF for Functions of Single Variables ...............................................................................................................................15
Corollary ..................................................................................................................................................................................................... 15
Multivariate .................................................................................................................................................. 16
pg. 2
Distributions
Discrete
Discrete Distributions take on finite values
Probabilities are specified by a pmf
Discrete functions are given in a table form
= =
= =
= 2 2
Binomial X~Bin(n,p)
Models the number of success in a series of independent events, each with a probability of success p
Parameters:
n = number of trials
p = probability of success
= ( = ) =
1 , , 1
! !
= 1 +
=
= (1 )
Poisson X~Poi()
Probability of events occurring in a fixed time period occurs with a known average rate and are independent of
the time since the last event
Parameter: Average rate is
For the probability of exactly n occurrences, with an average of in the time frame
=
= exp{ 1 }
=
=
pg. 3
Continuous
Continuous functions are those in which there are infinite outcomes
For a pdf ()
= =
= =
= 2 2
Uniform U~(a,b)
Parameter: Uniform on (a,b)
1
= ,
0,
otherwise
1,
=
,
<
0,
<
=
1
= ( + )
2
1
=
12
Exponential X~Exp()
Parameter: Describes events between Poisson process, i.e. continuous and independent
,
0
=
0,
otherwise
= 1 ,
0,
= 1
=
0
otherwise
1
2
pg. 4
Gaussian X~N(,2)
Parameter: Mean , Variance 2
1
2
=
exp
2 2
2 2
1
2 2
exp
2 2
1
= exp{ 2 2 }
2
=
= 2
Stating CDF
1. If is bounded between two real values , , () is three piecewise,
= 0 if < , = if < < , = 1 if >
2. If is bounded from a real value a and infinity, only two parts are given, = 0 if < , and
= if >
3. If across only the function needs to be given
Joint
Discrete
Discrete Joint PMF
Discrete Joints are given as a table
= , = = ,
Satisfying the following conditions
i , 0 for all pairs ,
ii
(, ) = 1
Therefore to check if a joint discrete probability function exists, the above conditions must be met
Marginal PMF
=
(, )
(, ) , (, )
Note: The use of dummy variables , . These must be used, or great confusion will occur
Callum Biggs 20498066
pg. 5
Continuous
Continuous Joint PDF
Continuous Joint PDF specifies the distributions of probabilities over a space of all pairs (, ) of
possible values of two random variables X and Y
The domain of a joint pdf can be taken as the plane
Continuous PDFs are draw in 3D, with x axis, y axis, and axis
For I and J, intervals on , plane,
, =
, = 1
Therefore to check if a joint continuous probability function exists, the above conditions must be met
, =
, , (, )
Once again note the use of dummy variables , . These must be used, or great confusion will occur
Applications of the Joint CDF
, =
2
,
< , < = , , , + (, )
= lim ,
ii) lim , = 1
,
iii)
lim , = 0 ,
lim , = 0
pg. 6
Conditional Probability
Discrete
| , =
,
,
Continuous
| =
,
,
Multiplication Rule
Discrete:
|= =
| |
| | ()
Continuous:
|= =
|= ()
Where and are the set of all values x and y can take
Independence
Discrete Independence
, =
| = ()
Continuous Independence
, =
| (|) = ()
pg. 7
Expectancy
Discrete
= =
Continuous
= =
<
Symmetry Theorem
Some functions cannot be integrated to determine the expected value. This occurs if they are not convergent,
and will result in integrals approaching infinity. These problems are solved by using the symmetry theorem.
Symmetry Theorem
If X has a pdf , which is symmetrical around 0 , in the sense that
0 + = 0 ,
for all
And if () exists then = 0
i.e. if symmetrical, point of symmetry is the mean
2
+ 2
2 +
+ 2
Discrete Case
, ,
Continuous Case
cov , =
Therefore
var = var + var 2cov ,
cov , =
() is the expected value of the joint function
Callum Biggs 20498066
pg. 8
Correlation
The correlation coefficient between X and Y is a measure of the degree of linear dependence between X and Y.
The coefficient between two random variables X and Y is defined as
cov ,
=
=
Independence
If X and Y are independent then
cov , = 0
= 0
However, the converse is not necessarily true, cov , = 0, DOES NOT MEAN X and Y are independent
If cov , = 0, i.e. X and Y are uncorrelated, it follows that
var = var + var
It follows that
Properties of Expectation
1.
2.
3.
4.
5.
If = = 1 then =
If = then = ()
If = + then = +
If = + then = +
If = + then = +
pg. 9
Determining SY
1.
2.
3.
4.
5.
Determine in terms of
Determine 1 =
Replace with 1 ()
Manipulate until just in terms of
A number-line helps
1. is strictly increasing
Results in X less than 1 ()
= 1
1 ()
Note:
1 () goes on the top
The integral does not have to go from , but from the lower limits of ()
u is used as a dummy variable to avoid confusion,
2. is strictly decreasing
Results in X greater then 1
= 1
1 ()
Note:
1 () goes on the bottom
The integral does not have to go to , but to the upper limits of ()
u is used as a dummy variable to avoid confusion,
0,
otherwise
Note: Absolute value of derivative is used, this accounts for any negatives which would screw up everything
Proof: Consider definition of CDF, particularly starting with ( ), then derive the CDF
pg. 10
5. Determine
=
,
As 1 =
, and
1 ()
1
||
State =
Determine 1 ()
State = ,
= ( ), replace with 1 ()
State = ( ), and using where g is increase/decreasing, determine
the appropriate integral
6. State cdf, =, note do appropriately with the correct amount of piecewise
7. = ()
Continous
Discrete
, , ,
Joint
Independence
If two variables are independent
, = 1 2
1 , 2
= 1 2
pg. 11
Multivariable Functions
Multivariate CDF
Suppose that a transformation , (, ), is invertible s.t. the random variables Z and
= , ,
= (, )
And and have solutions
= , ,
= (, )
If the inverse transforms are differentiable then let a Jacobian equal
, =
Then
1 , 1 =
, , ,
, ,
, 2
1 1
, 2 : 1 , 1
, , ,
, ,
, 2
Multivariate PDF
From multivariate CDF, assuming the transformation has continuous first order partial derivatives
, = ( , , , ,
For , in the range of the transformation and zero otherwise
1 =
pg. 12
, 2 : 1
1 =
, 1
1 1
1
(1 ) =
1 =
, ,
So it can be seen that the introduction of a transform and another variable allows for easier pathway
to determining the marginal.
Remember to check the domain for , this could result in avoiding integrals to and from
The mgf of a random variable X is essentially the Laplace transform of the pdf of
In fact = =
One reason for working with mgfs is to avoid the nuisance of the minus signs which result in Laplace transform
equivalents
The name arises because the expansion of leads, in suitable cases (allowing interchange of
expectation and infinite sum), to the expansion
2
3
= 1 + + 2 + ( 2 )
2!
3!
2
3
In which the moments of X are , ( ), , appear, with ( ) as the coefficient of ! , this
allows the moments of X to be obtained via differentiation of ()
=0
pg. 13
2. =
Finding E(Xn)
1. Define ()
2. =
4. =
, =
=0
Tabular
Case 1
f(x) differentiates to zero eventually,
g(x) continually differentiates
Case 2
f(x) continually differentiates,
g(x) continually differentiates
f(x) Derivative
g(x) Integration
+()
()
()
()
+ ()
()
() = +
()
Uniqueness
There exists a 1-1 correspondence between mgfs and probability distributions from which an mgf exists
This means that for every element in the distribution corresponds to exactly one element in the
mgf
o i.e. Mapping between mgfs and probability distributions is a bijection
This means that for functions of random variables, mgfs are able to be obtained directly, rather
than through determination of the cdf or pdf
pg. 14
Single Variable
MGF for Functions of Single Variables
For a random variable Y that is a function of a random variable X
=
=
Proof:
For a fixes real , consider a new variable =
The expectation of , from the Single Variable chapter
Let = ()
= ()
Corollary
If = +
= ()
This corollary is very useful for transformations to Gaussian Distributions
PDF Convolutions
= 1 , 2 , ,
= 1 ,2 ,,
pg. 15
Multivariate
It is simple to extend all the previous content into multivariate form by considering the random
column vector = 1 , 2 , ,
=
Whenever the expectation exists for any in some non-degenerate box in that contains the origin,
i.e. a rectangle in 2
This can be extended, via manipulation of the vector to obtain the mgf of functions of multiple
random variables
Example
Moreover, the expression for = 31 23 , in = 5
Then = where = 3, 0, 2, 0,0
pg. 16