Christians Study Notes for Exam P

Kind of like Cliffs Notes, except these are Christians notes.

Complements
Either A occurs, or it does NO occur! ". Pr# $ " Pr# A A
C

Unions
". Pr# " Pr# " Pr# " Pr# B A B A B A +
%ou also must the kno& the extension of this formula to three random 'aria(les, &hich is
". Pr# " Pr# " Pr# " Pr# " Pr# " Pr# " Pr# " Pr# C B A C B C A B A C B A C B A + + +
Independence
)f A and * are independent, then
". Pr# " Pr# " Pr# B A B A
)f A and * are mutually exclusi'e, then
. + " Pr# B A
De Morgans Laws
$. " Pr# " " Pr##
C C C
B A B A
,. " " Pr## " Pr#
C C C
B A B A
Conditional probability
" Pr#
" Pr#
" - Pr#
B
B A
B A

, &hich can also (e expressed as

" Pr# " Pr# " - Pr# B A B B A
.
The Law of Total Probability
)f you can car'e up the pro(a(ility domain into different non.o'erlappin/ #i.e. mutually
exclusi'e" re/ions, then the pro(a(ility of a random 'aria(le is the sum of the
pro(a(ilities of the intersections of this random 'aria(le. )n other &ords, if i
B A
and

j i
B B
for all i,j, such that
j i
, then

i
i
B A A " Pr# " Pr#
. Also from the
conditional pro(a(ility formula,

i
i i
B B A A " Pr# " - Pr# " Pr#
.
Bayes Theorem
" Pr# " - Pr# " Pr# " - Pr#
" Pr# " - Pr#
" - Pr#
C C
A A B A A B
A A B
B A
+

Epected !al"e
here are t&o &ays to calculate the expected 'alue. he (asic, most direct route is one of
the thin/s you ha'e to kno&!
0or a discrete distri(ution f#x",

x
x f x X E " # " #
0or a continuous distri(ution!

dx x f x X E " # " #
*ut theres also another &ay to calculate the expected 'alue that can (e faster, (ased on
the information you are /i'en in the pro(lem.
0or a discrete distri(ution!

x
x X X E " Pr# " #
0or a continuous distri(ution,

dx x X X E " Pr# " #
&here
" # $ " Pr# x F x X
, &here 0 is the cumulate distri(ution function.
%ou ha'e to kno& the (asic &ay to calculate the expected 'alue1 the other method is also
nice to kno& and can sa'e you 'alua(le time in the heat of the exam.
!ariance
he 'ariance of a random 'aria(le X, denoted Var(X), is /i'en (y the formula
, ,
" # " # " # X E X E X Var
Co#ariance
he co'ariance (et&een t&o 'aria(les is
" # " # " # " , # Y E X E XY E Y X Cov
.
Also, you need to kno& that
", , # , " # " # " # Y X Cov Y Var X Var Y X Var + +
and that
" # " #
,
X Var a b aX Var + and
". , # " , # Y X abCov bY aX Cov
he standard de'iation, denoted
X
, is simply the s2uare root of the 'ariance,
" # X Var
X
.
Coefficient of 'ariation! his is simply the ratio of the standard de'iation to the mean,
that is
" # X E
X

.
Do"ble Epectation
E(X) = E
Y
(E(X|Y=y))
3ar#4"53ar
%
#E#4-%5y""6E
%
#3ar#4-%5y""
7asnt on my exam, (ut you ne'er kno&.
Probability Distrib"tions
8ean, median, and mode
he three most tested pro(a(ility distri(utions are the uniform, exponential, and Poisson.
%ou also need to kno& the (inomial, /eometric, the ne/ati'e (inomial, and the
hyper/eometric.
The Uniform Distrib"tion
his is the simplest of the continuous distri(utions. %ou are /i'en an inter'al (a,b), for
&hich the likelihood of any point in the inter'al is 9ust as a likely as any other. he
pro(a(ility density function is
a b
x f

$
" #
.
he mean of the uniform is
,
b a +
and the 'ariance is
( )
$,
,
a b
.
The Poisson Distrib"tion
he Poisson distri(ution is used to model &aitin/ times.
he important stuff!
he mean 5
he 'ariance 5
he mode is e2ual to lam(da, rounded do&n to the nearest inte/er. 0or example, a
Poisson distri(ution &ith mean e2ual to :., has a mode e2ual to :. A Poisson &ith mean
e2ual to : also has mode e2ual to :.
Also /ood to kno& is that the sum of t&o Poisson distri(utions &ith means
$
and
,
is a
Poisson distri(ution &ith mean 5
$
6
,
.
)t /ets a little trickier if t&o Poisson distri(utions or more are in'ol'ed. A shortcut that
can sa'e you a si/nificant amount of time is reco/ni;in/ that the sum of t&o or more
Poisson distri(utions is also a Poisson distri(ution. 0or example, supposed that you are
asked the follo&in/ 2uestion!
A (usiness models the num(er of customers for the first &eek of each month as a Poisson
distri(ution &ith mean 5 :, and for the second &eek of each month as a Poisson
distri(ution &ith mean 5 ,. 7hat is the pro(a(ility of ha'in/ exactly t&o customers in
the first t&o &eeks of a month< he lon/ &ay to do this is to fi/ure out all the different
com(inations =
Case ) = one customer in &eek one, one customer in &eek t&o.
Case )) = t&o customers in &eek one, no customers in &eek t&o.
Case ))) = no customers in &eek one, t&o customers in &eek t&o.
he easy &ay to do this is to use the fact that the sum of t&o Poisson distri(utions is also
Poisson. So the sum of the Poisson distri(utions from &eeks one and t&o is Poisson &ith
mean 5 >. he pro(a(ility of exactly t&o customers is . +?@ . +
A ,
>
> ,

e
The Eponential Distrib"tion
his is another of the essential distri(utions. he exponential distri(ution is used to
measure the &aitin/ time until failure of machines, amon/ other applications.
x
e x f

" #
he mean e2uals

$
, and the 'ariance e2uals
,
$

. his is an important distinction from

the Poisson, &here the mean is e2ual to the 'ariance. 0or the exponential, the mean is
e2ual to the standard de'iation, so the 'ariance is e2ual to the mean s2uared.
Some useful inte/ration shortcuts that can sa'e you 'alua(le time on the exam!

a x
a
e dx e

a x
a
e a dx e x

" #
$

a x
a
e a dx e x

+ +

" " ##
$
, , ,
The $amma Distrib"tion
)ts /ood to ha'e a passin/ familiarity &ith the Bamma distri(ution. he sum of
exponential distri(utions is a /amma distri(ution. he exponential distri(ution is tested
'ery hea'ily on the exam, and there has (een at least one recent exam 2uestion &here it
&ould ha'e (een helpful to kno& that the sum of t&o exponentials is a /amma. hats
a(out all youll need to kno&, (ut you mi/ht /et tested on the /amma outri/ht, so listed
(elo& are some rele'ant formulas for the /amma. )f pressed for time, skip this and focus
on the (asics instead.
Bamma pdf!

x
e x x f

$
" #
$
" #
The Berno"lli Distrib"tion
Ciscrete distri(ution, the simplest pro(a(ility distri(ution, either an e'ent occurs, or
doesnt occur. A pro(a(ility is /i'en for the e'ent that the pro(a(ility occurs.

'

q p prob with
p prob with
X
$ . +
. $
E(X) = p
Var(X) = p(!p)
Binomial Distrib"tion
" # "
p p # " C p " # f

" $ # " , # " , , # &here
.
"A # A
A
" , #
" # "
#
# " C

8ean 5 #p, 3ariance 5 #p(!p)

$eometric Distrib"tion
Perform *ernoulli trials until success, then stop and count the total num(er of trials = this
is the /eometric random 'aria(le.
he tricky part a(out this is that there can (e t&o different formulations, (ased on
&hether you count the num(er of trials (efore the first success, or the num(er of failures
(efore the first success.
X 5 D trials until first success!
p p
X Var
p
X E
p p # f
#
X
$ $
" #
$
" #
" $ # " #
,
$

Y 5 D failures (efore first success!
p p
Y Var
p
Y E
p p " f
"
Y
$ $
" #
$
$
" #
" $ # " #
,



%egati#e Binomial Distrib"tion
" , , # " , , # p " # f
#
"
p " # f
B $B

p
"
# E " #

,
_

p p
" # Var
$ $
" #
,
&ypergeometric Distrib"tion
Esed for samplin/ &ithout replacement. 0inite population &ith n o(9ects, k are special, n.
k are not. )f m o(9ects are chosen at random, the pro(a(ility that out of m, x are special is
"A # A
A
""A # # "A #
"A #
"A # A
A
" #
% # %
#
x % " # x %
" #
x " x
"
x f

)t looks a little complicated (ut once you'e &orked se'eral pro(lems, this is not too
hard.
%ormal Distrib"tion
Continuity correction factor for (inomial or Poisson or uniform approximations!

,
_

,
_

+
+ < <

> . + > . +
" > . + > . + Pr# " Pr#
" "
" Y " " X
Bi#ariate %ormal Distrib"tion
"" # # " # " - # X E X Y E x X Y E
X
Y
+

, , ,
-
" $ #
Y x X Y

Lognormal Distrib"tion

,
_

y
y
y
y Y y Y y F
ln
ln
ln
" ln Pr#ln " Pr# " #

,
ln
,
$
ln
" #
y y
e Y E
+

,
_

$ " # " #
,
ln , y
e Y E Y Var

Other distri(utions on the sylla(us include the (eta, the Pareto, the Chi.S2uare, and the
7ei(ull. ) ha'e not presented them here.
Marginal Density

X Y
dy y x f x f
-
" , # " #
'rder (tatistics
" # "
" X
x F x F # " C x #f x f

"" # $ # " # " $ , $ # " # " #
$
" #
Conditional Density
" #
" , #
" - #
-
y f
y x f
y x f
Y X

X Y
X Y
dy x y f y x X Y E
-
-
" - # " - #
Moment $enerating )"nctions
&
X
(t)=E(e
tX
)
&
aX
(t)=&
X
(at)
&
b
(t)=e
bt
X,Y independent 5F &
X'Y
(t)=&
X
(t)&
Y
(t)
&
X
(()=
8B0 for *ernoulli! pe
t
'q
8B0 for *inomial! (pe
t
'q)
#
8B0 for Poisson!
" $ #
" #

t
e
X
e t &

8B0 for Standard Normal!
,
,
$
" #
t
e t &
X

8B0 for Normal!
, ,
,
$
" #
t t
e t &
X
+

8B0 for Exponential!

t $
$
8B0 for Bamma!
#
t

,
_

$
$
Note that (ased on a comparison of the 8B0s for the exponential and /amma
distri(utions, its easy to see that the /amma is the sum of n exponential distri(utions.
Goint 8B0s!

,
_

tY )X
e E t ) &
Y X
" , #
,
( ) ( ) + , +
,Y X % #
% #
% #
&
t )
Y X E

+
A couple of other important formulas that can come in handy!
" # " + , #
,
) & ) &
X Y X

" # " , + #
,
t & t &
Y Y X

" # " , #
,
t & t ) &
Y X Y X +

Chebyshe#s Theorem
( )
*
* X
,
- - Pr


Benefit Distrib"tions
E(X) = qE(B)
Var(X) = qE(B) + (qE(B))
,
Miscellaneo"s )orm"las
K
th
central moment of X ! E((X!E(X))
"
)
Correlation coefficient!
Y X
Y X Cov
Y X

" , #
" , #