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4.0

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5.0

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39

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latitude = 45
longitude = −30
20

latitude = 45
longitude = −20

0
4 6 8

4 6 8

temperature
n = 213

temperature
n = 105

temperature
n = 112

latitude = 35
longitude = −40

latitude = 35
longitude = −30

latitude = 35
longitude = −20
15
10
5
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5

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0 2 4 6 8

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20 



4 6 8

temperature
n = 37

temperature
n = 24

temperature
n = 44

latitude = 25
longitude = −40

latitude = 25
longitude = −30

latitude = 25
longitude = −20   



10
5

4 6 8

4 6 8

4 6 8

temperature
n = 47

temperature
n = 35

temperature
n = 27


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pS | A (Y | D) = 0.80;
pS | A (Y | R) = 0.35;

  

  



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pS | A (N | R) = 0.65. 

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fU | T (1 | 1) = fU,T (1, 1)/fT (1) = .27/.34 ≈ .80. 

   

  

fT (0) = .63 + .03 = .66 

 

        

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+ E(X | Y = 4) P[Y = 4] + E(X | Y = 5) P[Y = 5]
+ E(X | Y = 6) P[Y = 6] + E(X | Y = 7) P[Y = 7]
+ E(X | Y = 8) P[Y = 8] + E(X | Y = 9) P[Y = 9]
+ E(X | Y = 10) P[Y = 10] + E(X | Y = 11) P[Y = 11]
+ E(X | Y = 12) P[Y = 12]
2
3
1
+0×
+ E(X | Y = 4)
=

36
36
36
4
5
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36
5
4
6
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36
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2
1
3
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36
36
36

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E(X
|
Y
=
y)
y
=
4,
5,
6,
8,
9,
10 
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=
5
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z=7

z

w = 1 × 4/36 + 0 × 6/36 + w × 26/36
(10/36)w = 4/36
w = 4/10.

'

*    !   *        - 
E(X) =

3 3
4 4
5 5
6
5 5
4 4
3 3
2
+
+
+
+
+
+
+
≈ .493.
9 36 10 36 11 36 36 11 36 10 36 9 36 36

2    .  * 
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#  ( & -

Cov(X, Y ) ≡ E((X − µX )(Y − µY ))  

   
  
  
 

 

 
    

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$ 

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) 

           

cor = −0.9

cor = 0.3

cor = 0.96

cor = −0.5

cor = 0.5

cor = 0.67

cor = −0.2

cor = 0.8

cor = −0.37

cor = 0

cor = 0.95

cor = 0.62

$ & )  

        

                       



5
%

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1980
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(x1 + x2 )f (x1 , x2 ) dx1 dx2
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Var[x1 + · · · + xn ] = σ12 + · · · + σn2  
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Var(X1 + X2 ) = E((X1 + X2 )2 ) − (µ1 + µ2 )2
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= E(X12 ) − µ21 + E(X22 ) − µ22 + 2 (E(X1 X2 ) − µ1 µ2 )
= σ12 + σ22 + 2 (E(X1 X2 ) − µ1 µ2 ) . 


( 

  
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X

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n = 50
n
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X

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-     

= 200
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E[¯
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) 

    

       

0 1 2 3 4 5 6

Density

2

0.3

0.4

0.5

0.6

0.7

0.6

0.7

0.6

0.7

6
4
0

2

Density

8 10

theta hat
n.sim = 50

0.3

0.4

0.5

10
0

5

Density

20

theta hat
n.sim = 200

0.3

0.4

0.5
theta hat
n.sim = 1000

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(b)

0

0

1

2

2

4

3

6

4

5

8

(a) 

     

140

160

180

120

140

160

calories

calories

(c)

(d)

180

0

0.010
0.000

1

2

3

density

4

5

120

120 140 160 180

100

calories

(e)

(f)

200

0.000

0.010

0.015

density

0.020

0.030

calories

0.000

density

100

140
calories 

  

150

180

100

140

180

calories 

           
 ! +  !" +  !# +      
"
"   

    
" 
! +  !& +  !
+   !       
        


" 

      

  
          


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1
0.5

dose

2

(a)

5

10

15

20

25

30

35

25

30

35

25

30

35

growth

1
0.5

dose

2

(b)

5

10

15

20
growth

OJ

method

VC

(c)

5

10

15

20
growth 

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n = 213 
x , . . . , x  
         
           
    1     213 
 
  
! !    
  

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"    

(x , . . . , x(213) ) 
      "  

    (1) 
         
    

E[(z(1) , . . . , z(213) )] 
   
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! 

     

   

0

2

4

6

8

10

Individual quizzes

Q1 Q4 Q7

Q11

Q15

Q19

Q23

Student averages

0

2

4

6

8

10

score 

  
" 

 

            

$  

   

  

      

   !                         
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"  

     

       
 

       


 
     

      

       
                    
               
            
  
    

         
    
   

                 
    
           

      

 

   
     
  
 

                           
   
 
  
 
              
        
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latitude = 45
longitude = −30

latitude = 45
longitude = −20

4

9
7

4.5

6

5

6

5.5

8

7

8

6.5

9

10

latitude = 45
longitude = −40

−3 −1

1

3

−2

0

2

−2

0

2

n = 105

n = 112

latitude = 35
longitude = −40

latitude = 35
longitude = −30

latitude = 35
longitude = −20

5.5

8.5

8.0

6.5

8.5

9.5

9.0

7.5

9.5

10.5

n = 213

−2

0

2

−2

0 1 2

−2

0

2

n = 24

n = 44

latitude = 25
longitude = −40

latitude = 25
longitude = −30

latitude = 25
longitude = −20

−2

0

2

7.2
−2

n = 47 

    "     
"

6.8

6.5

6.5

7.0

7.5

7.5

8.5

8.0

7.6

n = 37 

0

n = 35 

2

−2 

      ◦    



0

n = 27 

2 

     

   

  

       

             
               
                                      

 
      

  
  
     

  

   

   
         


   




 


                    %          

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1198/(1198 + 1493) = 44.5% 
    
557/(557 + 1493) = 30.4%

 

                 
 

  

                             

   

!  

  

      

                    
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Student admissions at UC Berkeley
Rejected

Female

Gender

Male

Admitted

Admit 

    $  
"   

    

          

  

     

Student admissions at UC Berkeley
Female

Admitted

Male

Rejected

Admit 

Gender 

  
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(a)

2

3

4

$

(c)

5

6

40

60

80

duration (min)

waiting (min)

(b)

(d)

100

0.01

0.02

Density

0.3
0.2
0.0

0.00

0.1

Density

0.4

0.03

0.5

1 

1

2

3

4

5

duration (min)

6

40

60

80

100

waiting (min) 

                            
           !       "      
"       
   

    

    

  

     

50

60

70

80

90 

time to next eruption 

1.5

2.0

2.5

3.0

3.5

4.0

4.5

5.0 

 

 

duration of eruption 

  
" 

 

#  

" 

       

  
   

  
 

     

   



1.5

2.5

3.5

duration

4.5

a

0

50

100

150

200

250

200

250

data number

50

70

waiting time

90

b

0

50

100

150

data number 

     

"  

 
     
      
            

"  

" 
  
     
 
   

     

  

     

3.5
1.5

duration

a1

0

50

100

150

data number

4.0
2.0

duration

a2

0

20

40

60

80

100

120

140

data number

80
50

waiting time

b1

0

50

100

150

data number

80
50

waiting time

b2

0

20

40

60

80

100

120

140

data number 

     

   
     
 
      
" 
!        

   

"  

"  

 
              

 
 

    
     

 
     
  
          

      

        

  

 
     

              
          

       
     
              
          

       
    
            
          

          
     
            
          

          
     

   

 
                 

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" 
" 
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"       
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−10) " 
" 
 
     
  

(−17,
!                
         

"  

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35◦      

        
     
       " 
    

"   

"    

!          
                   

" 
" !  (−20,
−13) (−25, −16) (−30, −20)
             

(−34, −25)  (−40, −28) 
                              

   
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"    

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•  

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• 
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X∼      

    
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(λ) 
 
θ) 
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  θ  

          
! 
 
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X ∼ (µ, σ) 
             

   
   
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(µ, σ) 
      
 λ 
 
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θ
(µ, σ) 
         

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Given : lon
−40

30

−30

40

−25

−20

50

20

−15

30

−10

40

50

5

10

15

temp

5

10

15

20

−35

20

30

40

50

lat 

  
" 

  

                      

 

 

      
"    

  

     

Given : lat
20

−30

30

−20

35

40

−10

−40

45

−30

50

−20

−10

5

10

15

−40

25

5

10

15

temp 

−40

−30

−20

−10

lon 

  
"   

                      

" 

 

 

     

 

    

   

          
       
      

"     

X∼
(λ)  

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X 
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λ
Pr[X = 3 | λ] 
     
    
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λ
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" 
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X=3 
  λ    
             
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     !              

 
     ! 
      
   
       
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, . . . , Xn ∼
f (x | θ) 
1  
  

θ
Y 
  

f (X1 , . . . , Xn | θ) =
f (Xi | θ). 
     
             #       
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 f(   
"     !         

| θ)   
   
θ       

"          

  

  
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 )        
`(θ |  
!                    

         
 
          
 `(θ 1 
     
 
θ2
)/`(θ2 ) > 1
θ1  

   
 
θ 
    
k        !  θ2  
)/`(θ ) = k 
`(θ
1   2        1            

       
                      
                                 
X  

  

  

     

  

   
X 

NR, R, NR, NR, NR, R, NR, NR, NR, R 

  
     
                   

 
 
   
   
X = 3   

    
3
7     

X ∼  (10, θ) 
`A (θ) = 10
θ
(1

θ) 
              !       3       
   "  !  !  
!                       

                    "           

    
  
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θ   θ ≈ 0.3  

  

   
                 
     
  θ 
           

       
      !        
θ ≈ 0.3 
  
 
       

       ! !    
θ ≈ 0.1
θ ≈ 0.6         

  
 
         
 
    
θ      

"    

          

   
   

θ ≈ 0.3  

"   

  

     

0.8
0.6
0.4
0.2
0.0

likelihood function

1.0 

0.0

0.2

0.4

0.6

0.8

1.0

θ 

          
"            

`(θ) 

 

  

θ 

    

  

 

    

   

  

$ 

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"     

  
•     

!     

 

!    

     

 
 
        "  " 
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    ! 
        !                      

Y 
                 

            
         
       
 
      
Y = 10        

  

`B (θ) = P[Y = 10 | θ] 
  
   
= P[ 
" 

9 2
θ (1 − θ)7 × θ
=
2 

9 3
θ (1 − θ)7
=
2

$ 

    

 
] × P[  

] 

      
!           9 10       
`A 
                ! 2 / 3      
        !  
                    
 
   

   

  


θ
                      
     "           !               
      
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Z
Zk   

      

 1 
 
k  
    

 #  
  Zi        

"   !   i    !      
                !  
                  

   

     

`B 

  

`C (θ) = (1 − θ)θ(1 − θ)(1 − θ)(1 − θ)θ(1 − θ)(1 − θ)(1 − θ)θ = θ3 (1 − θ)7 

!    

  

      

    

        !        

`A  `B   

     

    !                        

       "  

          !      
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"  

    
   
    
 
   

  % &    &&      +

`C

                        !            
  %   !           "       !            
  !             "             &            
           !       '     !       


`(λ) ≡ p(
| λ)
= p(y1 , . . . , y60 | λ)
=

60
Y
1

= 

   Q

p(yi | λ)

60
Y
e−λ λyi

yi !
1
−60λ 40

∝e

λ 

      " !            

  

yi !
λ 
 "    
        
       P       "   
`(λ)
`(λ)
y 
      i '    "    
            '  P
yi
yi = 40 
 
    
        #   
          
      
yi `(λ) 
       '  
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        !  
   !         "   ! 
      

              
      

     
       
  
       
   

              

        
     

λ 

 

    



0.4

0.8 

! 

0.0

likelihood 



0.0

0.5

1.0

1.5

2.0

λ 

  
"  

"

`(θ)  

      

 P 

yi = 40   

 

  

 

      
  
   
    

   

  

    
  % &      &
    

                       
    

  "   

!  !    

                 
   #  !       
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!  #  !         !     "                 



                      

  

 !  "  "               !      
!        !  & "               
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#                       !  "  "    
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!   



x=8 

      

  

 %      

               
  

      

X 

    %  !  "  "     

         %    

'     !    

X∼ 



(145, θ) 

 % " 

`(θ) ∝ θ8 (1 − θ)137 

  

     
       
  
           "   ! 
  
θ 
            %      "                   

likelihood

%    "    ! 
  !    %          %       
θ 
       %   

0.00

0.05

0.10

0.15

0.20

θ 

  
"  

$              

             %  !       

         

         

       
 
   
       
       

              

        
     
     

 

    

 

!  

&     !          !  "   ! 
    
θ 
 
                      

`(θ) 

    '          !      '     

  
    
           !         

       !       
       
     
  
         
     
  
   
 !      
          
!   
            
  

    

   
 
    
! 
  
      
!           

                    
"    
  

                          
       

"   

" 
 !                  
 
 
               
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"    
    

      

"         

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   "  
          

        

"                     
    
  
" 
 
                             
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! 
n   

P[n  |  ] = 2−n  P[n  |    ] = 
          n                        
              

1 
      "      2   
   

           "         
   

"     

       


≈ 1/8 
        argmax `(θ) ≈ .055 
  `(.025)/`(.055) 
  ≈ .13

 
θ = .025    θ = .055   

"  
     "
     
            
 " 
             
  !  
 
          

 "  θ = .1 
 `(.011)/`(.055) 
       
  ≈
`(.15)/`(.055) ≈ .001
θ = .011
θ = .15    

" 


                             
   
"    

       
      
     
θ 
θ = .025
θ = .1     

 
     
               
     
               θ ≈ .055 
 ! θ         
" 
  

 
         θ   
   

!! 

 

  
 


          

  

      


       

                          !   
                      
                 

      
                  
     
  
 
                " 
  !      

"     

          

         
  
 !   !  #  
  !  
f 
  
     X1, X2 ,. .. , Xn 

                      

f  
           

          " 
f      µ     σ             

 
(µ, σ) 
 
 !    

            µ
= 
     Q               
   `(µ, σ) 

f (   | µ, σ) =
f (Xi | µ, σ)  

   f     

`(µ, σ) 
     
     
        
                   
          

         " 
   µ     
¯       ¯ 
X 
µ  
  δi ≡ Xi − 
X  

  

!   
¯
X, i = 1, . . . , n  
  
               
   

  

n  "

¯ ∼  (µ, σ/ n),         !
X 

#  

   2       ! 
σ 

σ
ˆ 2 = s2 =  

     
!  


X

1
`M (µ) ∝ exp −
2 

δi2 /n

¯
µ−X

σ
ˆ/ n 

2 !  

!  

            
 
 
   

      
     
 ! 
$$   

!   

           

      
      
           

    " 
"  

 
  

    
          
   
            #               
    
   
  

"    
"  

  

"     

        

!  

  % &      &
        &  

     

                               

'                 '       

      

                     
   
X 
 i  !       
¯ = 8/145 ≈ .055      σˆ 2 = (8(137/145)2 +
X 
 

 
2 

137(8/145) ))/145 ≈ .052

σ
ˆ ≈ .23

1
`M (µ) ∝ exp −
2 

µ − .055

.23/ 145 

2 !  

 

                '     !     
    

marginal
exact

0.0

0.4

likelihood

0.8 

'           %                 '     

0.00

0.05

0.10

0.15

0.20

µ 

  
" 

 

  

"    

            
   

           %  !       

         

      
              

 
               
    

           
                 

!    

  

     

       
              
         
      
   
           

        
     
     

   
      

      
    
    


  % &        
 

        #    
%                

    %               
     "   %        


              !    !  !   %     

  

 
 

%         %        %     &       

  &           !       & "       

     
     '  % & "      "        

"    
                    !  
 !    "     !   &       '  &           
   %      !         
$              !     

              

          
  
  
   

&   !     ' '   (

   

  

           
%            !  

! #    !     &  
         "     
               '     !     

` (µ)

n = 60 

µ

M

              !     "   
        
    !               %             
                      !        "  
             %       #      
       
¯                %          !      '    
X 
   
                  '     !       

`M (µ) 

        

!

(a)

0

200

400

600

800

1000

Salary (thousands of dollars)

0.2

0.6

1.0

(b)

likelihood 

340

360

380

400

420

440

460

mean salary 

  
" 

 

  

     
"      

 

 

!  

!

"    

  

     

            %  !       

 

                          
    

 
     

   
  
      

          

              
        

 





•  

   
     
  

              
        
  

 
  

   
  

 
   


     
         

        
       

       

          

 
•   

• 

           

      !  

              %     

                           %   
%   

              
            

 !          
        
  

!    %           !         

   % %   

  

! 

   

  
 


       

    

#           
                      

 
  
                       
 
          Xi           (µ, 
σ)    
 
  (µ, σ)  

    

  % &             &  

                   %   
#        ' 
  

                  # 
      
2  

        

! 

  

   
#      

  

$ 

  %    
       

      !  &   %       !   %        "   %    
%          

        "  !  %  
            

       

 %    "   %       !   
                                  
"     !           %      %        
%          %                 
 "   !
(µ, σ) 

      %           
     

'     !     

`(µ, σ) =
=

n
Y

1
n
Y
1

f (xi | µ, σ)

1
2
1
e− 2σ2 (xi −µ)
2πσ
1

∝ σ −n e− 2σ2

Pn

2
1 (xi −µ)

     %          !  '     !     
       
    '     !        
  



(µ, σ) ≈ (1.27, .098) 

"   ! 
 %         
           
(µ, σ) 
  '       %     !                    
            

       

      !       
  

             
"    !
(µ, σ)
              
%            

µ 

!               #       " 
2 
    
              %             
σ 
 
 !      ! %   
            % "     
`
µ
σ 
          % 
%  !  
 "    !    
      
µ
     '     !      
 
     ! 
σ = .09, .10,
.11 
   
     % 
    "         
 !  

µ 

  "      !      "   ! 
    "      
µ
& 

"    !      !                !    " 

σ

         '     !     ! 

µ 

            

                 '     "   ! 

"    !
µ
µ 
        %      "        
 "   
"  

(1.25, 1.28)      

      

 

(b)

0

0.10
0.08

1

0.09

2

σ

3

0.11

4

5

0.12

(a)

1.0

1.2

1.4

1.6

basal area ratio

1.20

1.30
µ

0.6
0.4
0.0

0.2

likelihood

0.8

1.0

(c)

1.20

1.30
µ 

                 
 
$$"    
"$$            "    

    ÷
              
  

 
  

     
   
 
  

         



            
 
    
    
  
      
           

        
   
   
            

  
     
        
  
       
        

       


        

      

      
  
          
  
   

          
      
 

       
     

          
             

      
        


  
        
       

      
       
 
       
        
 
     
        
  
  
      

  
     

          
          

            %           
 
                    '     


                     ! 
  "    '     

   
"    !

  "             "                 

 
             
           


             "            

     
`(µ, σ)  

 

    

µ 



σ

"    

      !   

             

     "                  

•  

  

     

                  "         
     "          '             
     


•    

           

       


     &  

"           "                ! "     
  
             "          

          %          ' 
                            
   

•    

  

 

       

!   

    

       

        
   

 

$  

 

  

         "      

   %     

          
•  

'         !         

          !   "   ! 
   

σ

                     

  % &     

  
&      & 

σ = .09, .10, .11 

                  %     

     
    

            %    %               
 %     !     

!             ! 

"         "                     
                  %       %  %       
  %    
        % 

(µ, σ)

       '     !     
      "   ! !  
µ 
%       %       "   !
!    %      %         
σ 
    !           !  !           %     
(µ, σ) 
      "       !              &   

             '                     
       !   

           %
                 
        
 
       
        
 
       

       

0.8

0.9

1.0

1.1

1.2

1.3 

0.7

σ 

6.8

7.0

7.2

7.4

7.6

µ 

  
" 

   

       

 

      

!    

  

     



        

      

      
  
           
  
    
        
      
  

           

          

      
                  !     
     

  "      
         
      
 
!  " !                  
   ! 
   "   

 
        !      
     "     
         
  !       !           
                  

 
        
  

  % &       &&       &  

                       % "       %      

       
        

   %             " "   

 

   

     !             '     
  
   "  "          ' !  %                  
                 &                 



 " "               
     '         % "    
        %  !                  

"         
   



t 

   " %              

t−1 

%                !     

 #         
 
  !    

               !    

                            !   
    !     !  
    %  % !     
   

              &       %   "    %        

                         "
             !           

 T %       %  !    
N 

           i !          
% 
i
NiO 
% "     %   !                         
i 
             T  

           
           

  

Ni ∼

(λ)  

         

$$ 

$$  

   
    

   

θf   

    

  

 "  

  

     

"  

     

 

       

      $$   $$   
"      

 

! %  !             

θf 

      

!       % !       %   !          
          !   !   !       &       " 

      
                "     
        
 

     
  T   
θf
NO ∼
(NiT , θf )
NiO
Ni 
  % "  
   i      
 %         

(λ, θf ) 
      !          '       O 

N1992 = 0 

      %        '     !     

`(λ, θf ) = P[N O = 0 | λ, θf ]

X
=
P[N O = 0, N T = n | λ, θf ]
n=0

=
=


X

n=0

X
n=0

=

P[N T = n | λ] P[N O = 0 | N T , θf ] 

e−λ λn
(1 − θf )n
n!  


X
e−λ(1−θf ) (λ(1 − θf ))n
n=0
−λθf

eλθf n!

=e

         

    
 ! !  "   
log `(λ, θf )
log `
`

        10     

   10    !        " 
   !    %  

 % 
(λ, θf ) = (2.5, 1)
(λ, θf ) =   

   
 " 
   
   
%   
O
N =0 
       
             

 

log10 `(λ, θf ) = −1 
 
(λ, θf )
(6, .4) 

λ=0

θ =0 

f
%       !  !     "          %        !  

    

         !         

λ 

      

      " 
&       "   !

λ 

   

      

  

      

"     %    '                   %      
  !  %  "  

θf 

  %        
 "    !    
  

   %         %    "   ! 
      
λ 
 "  "    ! 
       "     %   '     !

λ 

           %          "   ! 
               "   !
"    !

θf
θf  

!    %    

  "  %    
'        !                          

λ 

    '       
"    !  !           "   !
λ
λ
%           %           "   ! 
   
 %   

   & 

θf

%  '    !     !             

        !         !               
   

λ 



θ 

  '                   % 

       f"   

                !      
      

   
      

  

      
      
             

         

              
  
                

    
 
    

       
 
 

 

              

              

      

•  

    %       

                !      

  
      


      
      
        

             

              
  
              
      
 
     
       



              

        

0.4
0.0

θf

0.8

(a)

0

1

2

3

4

5

6

λ

0.0

0.4

0.8

(b)

θf 

0

200

400

600

800

1000

λ 

  
" 



! 

" 

      
     

 

(λ, θf )  

    

    

"    

  

      

              

     

#   

          
   
              

 
  
  !     

      !              !   

"      
                    
        

            ! 
      
     

          !           
  
           " 
             θ 
    ! 
        
 !     "        t
t ∼ (θ, σt )  
 ! 
  
  
σ
t 
    !    
      

"       

  
           

θ  
  
`M (θ) 
      

      

     
!                  

          "       
   ! 
y          ! 
y      
θ 
"       

         

p(y | θ)
!  
       `(θ)  
         
θ 
 
   
   
θ   

        
θ `(θ) 
     
`(θ1 ) > `(θ2 )
θ1            

        
      
      
          θ2  
       ! "    

θ1  θ2  
`(θ) 
  
             

`(θ1 ) = 2`(θ2 )
θ1     

θ2 
        "           θ                θˆ 
              !               
θ 
θ  
 y    

                      
  

`(θ)    "  

! 
   

  
  

 
  
 
  

!         
  
 
      
θ  
          

       
       

`(θ)
θ    

         

   ˆ
θ   

 

θˆ ≡ argmaxθ p(y | θ) = argmaxθ `(θ). 

               $
           

" 
θ    

     
  
  
 
  
`(θ) 
y = 8         

!  

     $                ˆ
θ ≈ .05.
" 

""     

     

$

#  

             
     !        

`(θ)         

"  

                 
  
 " 
  
 
 `(θ) ∝ θ8(1 − θ)137 
    
  

  

 "  

! 

`(θ)
∝ 8θ7 (1 − θ)137 − 137θ8 (1 − θ)136 

θ
= θ7 (1 − θ)136 [8(1 − θ) − 137θ]  

  

0 = 8(1 − θ) − 137θ
145θ = 8
θ = 8/145 ≈ .055  

                            

θˆ ≈ .055 
               
                

   

  

`  

 
        

         !                  !   

"      
    

"   

    
       ! 
ˆ
y  
y " θ = y/n  
      n − 
           !          
  
                          

"        log 
      
`(θ) = argmax log(`(θ))  

Q 
     !       argmax 
        

log
`
`(θ)
=
p(y
|
θ)
log
`(θ)
=   

"  

P  

                 i      

θ)  
log 
p(x 
i | 
                 

  

log `(θ) = 8 log θ + 137 log(1 − θ) 

log `(θ)
8
137
= − 

θ
θ 1−θ
137
8
=
1−θ
θ
137θ = 8 − 8θ
8
.
θ=
145 

    

 
y1 , . . . , yn ∼ 
(θ) 
X
  
yi =  
θˆ = n−1  

      !            

 " 
   

  

   

     

θ       



y1 , . . . , yn ∼ 

(µ, σ) 

 

µ
ˆ = n−1  

y1 , . . . , yn ∼ 



ˆ = n−1
λ 
 

y1 , . . . , yn ∼ 

(λ) 

  

X

yi =  

    

X 

        

λ

 

     

      

µ



yi =  

 

ˆ = n−1
λ 

 

    

X 

 

(λ)  

λ



yi =          

  

  

                    
   !    !
"       
           
 ˆ "          
θ 
θ     

         

   ˆ      !              !  
θ 
θ  
  "    
     "  

   
                                 

! 
           

                                    
!  
 !         
  
ˆ 
    " 
"   

θ 

`(θ) > `(θ)/10 
  
 !        
         

" 
   

  

.1

≡ 

 

(

`(θ)
θ:
≥ .1
ˆ
`(θ)

) 

   
   !   
! 
     
    
 
"   
α ∈ (0, 1)   

  
  
 
 α 

α

(

`(θ)
θ:
≥α
ˆ
`(θ)

) 

           
      !       
θ  

 
      
   α       !                
θ    

        

          !       ! 
 
           α!          
 
   

                  

          !   
  # 
α 
       θ             

    !   



α ≈ .1 

    

    

  

!           
               

`(θ) 
   
        !    
!    ˆ       
"     θ  " 
 θ → 
 
  
  "    $    
±∞ 
 
ˆ
" 
    

θ ≈ θˆ ⇒ `(θ) ≈ `(θ) 
  ˆ                   θˆ 
   θ   
  
      
 
 θ    

α     

θl  θu 

α 

    
 

= [θl , θu ] 

    

      !       

   

     "      ˆ 
  
 ˆ          

`(θ)  
θ = 8/145 
   !   
        
 
" 
  
    
 
     

     !  
  
 !          
  
  
!! 

θl  θu     

    

  ≈ .013         

  ≈ .015    
      
                  


.1 ≈ [.023, .105] 
     $       "        θ
"   

        "     
 
           
              θ    
"   
        

"            

θ 
!                     
      
      !  !     
   
         !    
    θ           !    
       !     

" 
 "   

      #         n → ∞   "" 
           
 
   
  " 
  

   
θ    

  % & 

   
%       & 
                              % % 

        !     

θ 

! 

                   

  !    "           !   
    %    
         !            '     !     

 
                          

`(θ) 

`(θ)

    
     
     "  !            

 " %          '  !  

      

 !   

 

      

!  

  

                  !

≈ [.15, .95] 
    
`(θ) 
!         

.1 

!        !  
      

   

       

≈ [.05, .55] 

[.25, .7] 

  ' !      .1
% 

.1 
   ' "  !      % 

[.38, .61]      

  

     

0.6
0.4
0.0

0.2

likelihood

0.8

1.0 

0.0

0.2

0.4

0.6

0.8

1.0

θ 

   
"   

   

    

 

  !     
 
θ     

" 

" 
"      
 
 

            $        

     

              !       
      


  

     

    


       
        

  

            

   

    

    
     
      

  
        
    

  
     
      


       



     
   
    

             
          

                  !      
" 
 
     "        
 !                      

!         !                  

   

! 
 
   
 
  

  
 


 
     


   

     ˆ         
         
θ      

y1 , . . . , yn 
 
    
  
ˆ   ˆ         
"      "    θ
θ   
    
    
 ˆ    
# 
        

        
Fθˆ
θ 
     
    
                

! Fθˆ                     
"  "  

 
n = 50, 200, 1000 
  θ   
           !               
                          $  θˆ      

" 
  

Fθˆ
θˆ    
            

               ˆ             

θ   

          "
     
!      
F ˆ  
   
 
" 
   

          
 !  θ ˆ 
         

  

"   

θ  
θ
Fθˆ 
 !          ˆ    ! 
      !    

Fθˆ
"  
  
 θ θ
"   
   

!    

  

      

       
 !                 ˆ  
"     

θ 

θ   
     ! 
                    
   

     ˆ  ˆ      

       

θ1  θ2  
Fθˆ1  Fθˆ2  
                  !         
 
 " 

"  
  
 

θ 
              
               

y1 , . . . , yn
FY  
     
#                   

θP≡ E[Y ]       
         
ˆ
θ1 = (1/n) yi 
θˆ2     

       
                  
   
 "       
                
n = 4, 16, 64, 256       


          
  

      ˆ  

  FY    (0, 1)         θ1  
       

ˆ
θ2 

"  "    
 "        F Y 
#           F Y                     
       "       

         
ˆ
ˆ
θ2  
"  ""           " 
     ˆ    !θ1  

      

"    


θ1
θ 
    ˆ                        
 
 "  

 

θ2 

   

    !         
 "  
        
 

  
    

" 

  

    

               
                      

 

          
         

        

  
         

     
        
    
          
     

          
      
 
   
    
  



   

  ˆ  ˆ   !    !           
 
  

 
       "  θ1   θ2 
 
  

   ˆ                 
 
θ   
         

    

(b)

−2

−1.0

−1

0

0.0

1

0.5

(a) 

mean

median

mean

(d)

−0.4

−0.2

0.0

0.0

0.4

0.2

(c)

median

mean

median

mean

median 

               ˆ       
   
" 
 " 
θ 
 
 θˆ2 
  
                 1 
      

!   

 

! 

      

  

      

        
 ! 
" 
  

        !                  
   

      

         
! 
   

   
#                
FY          

 
  
                           

   
     ˆ       !   !               

 !    
  "     θ  
     
  
     !  
 
 
  

  

Fθˆ 

θˆ ∼  

(µθˆ, σθˆ).

µθˆ = µY
σY
σθˆ = √
n 

"  

     
   !                
    


       
              
   
 
"  

 
 "  

   
         !                     

   

       
#          
n = 5, 10, 25, 100
p = .1       

"  

        !        !         
   
         
           

            

           
        
 
 
 " 

   

    !         
 "  

         


 
    
     
 
    

                   
           
       

                    
 

     
           

" 

   

      
     

   

   

    

0.2

0.4

0.6

0.0

0.4

(c)

(d)

0.6

0.0

0.2

0.4

0.6

θ^ 

             ˆ   
"      "   !θ       

     
 
 

  

! 
  
!

0 2 4 6 8

density

12

θ^

0 2 4 6 8

density

0.2

θ^

12

0.0

0 2 4 6 8

density

0 2 4 6 8

density

12

(b)

12

(a) 

0.0

0.2

0.4

0.6

θ^ 

           

(n, .1) 
    

     
        



  

"  

     

  

      

    

   

     
        
      
    

   

                 

    

         

          
     
 
    

                 
       
              
    

                    
        

       
    
      
      

       
             
          
    
     
    
     

 
     

        
     !      
         ! "      n 
           ! 
      
  
"       FY   "      
  
" 
     
  
    

 
           
     
n
=
5
n 
               
"       !     
n  
"              "   "    
  
                 !    n    
   !        
256  

n =  
        
ˆ 

    θ          
  
  
  
 "  
θˆ    
       "
  
    
       "       
         
 
    
 !  
   

 

ˆ 
#  ˆ  
  !         !
|θ − θ| 

θ ∼ (µθˆ, σθˆ)  
 
σ θˆ        
  
         $        
  

 ±2   
 
       



Pr[|θˆ − θ| ≤ 2σθˆ] ≈ .95    

      

$ 

         
    
         
   $                !  

   

#         !             !     
     
   
"  !        "  
  
`(θ)    

      "  Fθˆ                  

   
 "  

√  
#  ˆ    

          
θ ∼ (θ, σθˆ)  σθˆ ≈ σ/ n     

   

!              
   
       

θ    

   $              

±2σθ   
 (θˆ − 2σθˆ, θˆ + 2σθˆ)  
          
  
   
           
 #                   

    

 
  
            
     

"     

"       

2           

¯
ˆ
ˆ
√Y
`(θ) ≈ exp − 21 σˆθ− 
   ! 
.1 ≈ (θ −2σθˆ, θ +2σθˆ)
/ n 
               
     

   

      
   

                      
                   
#      

θ! 
                         
    

p(θ)
p(θ) 
      "   
 "           
θ
p(θ)
θ  

                    
  
p(θ)   

! # 
               $        
    
θ
"  
 
              
  &     
p(θ)
! % 

! # 
 "  &            &          
  

                               $  
!   

  
             (              
! '  

   
                           
 !           

!            

P( ) = P(' ) = 1/2 ! )  
              

    

P( ) = 1
P(' ) = 1
              
                
           '  ! #  

             !        #     
! 
     *+  *        , *           , *+     

   
           &       
−$1 + P[ 
! 
] × $10 !

* +   

                     

       
! 
             

!






• 

     
   

         



P[

   



] ≥ .1 ! 

   

              

                      

                       

!  

  

#  

"          "             

                     

!

#  

            

          
!

#    

  

           

          

! 

   

               "    "    

                         

! 

     

                   

      "  "   
!   

         
               
! 
              
           
θ 
    "   ""   
!

• # 

                           
! 
         "                      

                              

!  

                       "       

                           
  

θ 
          
            
p(θ)
θ! ' 
         
           
 " 

p(y1 , . . . , yn | θ) 
                         
y1 , . . . , yn
θ! 
 "         
          
p(y , . . . , yn , θ) ! 
  
    1     
  " 

p(θ | y1, . . . , yn )
θ
y1 , . . . , yn ! # 
                   
p(θ | y1 , . . . , yn ) 
 
                               

! p(θ) 
   
    
  
 
p(θ | y1, . . . , yn )
  
      


!   

      

     

* * 

                     
     
#
!  
               &  *  *+ ++     
!
                          (     $
'  

                            
! 
          "     
           
=1  

               "   

    
!
'
' =1
=0 
  "   
        " 
          
' =0 
$           
!# 

P[' = 1 | = 1] = P[' = 0 | = 0] = .95 ! 
                     "      

   "       
  

P[ = 1 | ' = 1]  

#  "                         

" 
                     

( , ')
'
! ' 
             "
   
'! '  


P[ = 1 

' = 1]
P[ = 1 | ' = 1] =
P[' = 1]  


P[ = 1
' = 1]
= 
  
 
P[' = 1
= 1] + P[' = 1
= 0]     

P[ = 1] P[' = 1 | = 1]
=    

P[ = 1] P[' = 1 | = 1] + P[ = 0] P[' = 1 | = 0]
(.001)(.95)
=
(.001)(.95) + (.999)(.05)
.00095 

=
≈ .019.
.00095 + .04995 
$
! 

        "              "  
'  

   "         $   
                  !           

               *+ + +          * 
! 
   

"                 " (      $$$      

  "                 +    " (  
     *         "   *           

   
     
                $
! '
! '  

                          

     
!
#                              

' 

"                                   

*  

     

=0 

 

= 1!  

         

           

`(0) = .05;

`(1) = .95 

 $                               

      "          

!   


P[ = 1 | ' = 1]
' = 1]
P[ = 1
=   


' = 1]
P[ = 0 | ' = 1]
P[ = 0  

P[ = 1] P[' = 1 | = 1]
=  

P[ = 0] P[' = 1 | = 0]   

 

P[' = 1 | = 1]
P[ = 1]
=  

P[ = 0]
P[' = 1 | = 0]  


1
.95
=
999
.05
≈ .019

                     "       

' 

! ' 
                                   

                             
  

!  

                  "              

! 
                            
#   

      
! 
 $                           

  "      
       "        
!
y 
   
y1 , . . . , yn !

p(θ, y)
p(y)
p(θ, y)
=R
p(θ, y) dθ
p(θ)p(y | θ)
=R
p(θ)p(y | θ) dθ

p(θ | y) = 

     !*+             !$ 

           "   
       

p(θ | y) = R  

!*+  

             
! 
      


p(θ | y)

p(θ)`(θ)
p(θ)`(θ) dθ

θ     

     

*  

p(θ | y) =

p(θ)`(θ)
c 

R
 
                  
  
 
c = p(θ)`(θ) dθ
θ! # 
           (             
θ 
  &  θ       
             
θ! '
c 
     *   R 
           
p(θ | y) dθ = 1 ! #
c
! ! ! 
                           

         
        
c! 

* *
p(θ | y) ∝ p(θ)`(θ)
!  

                      

# 

     ! *+   c!         !* * 
     ! *!          

    
    
cR 
  
c = [ p(θ)`(θ) dθ]−1 ! 
 
! 

    

               
                                            
    %   !        "      
               
(λ) 
      %   %         !         "   !   
          
                         
                                      

 

         
   

           

    

  %                   


       
  
p(λ) = 4λ2 e−2λ
(3,
1/2) 
     
                      !    
p(y | λ) ∝ λ3 e−λ
!            
     
  !                
          
                
p(λ | y) ∝ λ5 e−3λ 
    
           !       
  !  

(6, 1/3)
c 
          %                   
      (
c =
6 
1/[5! × (1/3) ] 

     

! "   

                     
             
                   

!  

   $                  "   " 
! 

!  

            

y1 , . . . , yn 

`(λ) =

Y

p(yi | λ) =

Y e−λ λyi
yi !

∝ e−nλ λ

P

yi

!    

       

0.5

*

0.0

0.1

0.2

0.3

0.4

prior
likelihood
posterior

0

1

2

3

4

5

λ 

 

   "                  
!  

            " 
y=3

λ 

         

     

*  

      
                   

$ 

' 

!  

         
* 
 
      

! !
`(λ)
n = 1, 4, 16 
    
   
y¯ = 3 !
n = 1, 4, 16  
                       
* 

! # n 
               !
 $     
n
λ
' 
      
    
      
  λ
! ' 
  
                      "  
λ  

"             
!       

! 

                         

# n 
       
 $     
    
`(λ) ! '
n 
                              

                        
!  


"                       
! 
                                

                                

! 
                             

! 
                   
log `(λ) = c +
# 
P    

          
n
log p(λ) + 1 log p(yi | λ) ! # n → ∞ 
            "             
          
log p(λ) ! 
            $        
#        *  y¯     +        n+    ! 
        
! 
!  

!
#   
    

* 
!
p(θ | y1, . . . , y60 ) ∝ λ42 e−62λ   



      
               + 
   
      " (43, 1/62)
!
! !  
   !  !!*                      !   
"   * $$$         

    

     

! 

        
     !                               
! "              !         
          
                         "            
              "                       
                                         

*   

        

b

0.6
0.0

0.0

0.1

0.2

0.4

likelihood

0.3
0.2

prior

0.4

0.8

0.5

a

0

1

2

3

4

5

0

λ

1

2

3

4

5

λ

0.6
0.4

n=1
n=4
n = 16

0.0

0.2

posterior

0.8

1.0

c

0

1

2

3

4

5

λ 

     $     
!

1, 4, 16 

      

          

λ  

n =   

     

* 

prior
likelihood
posterior

2
0

1

density

3 

0.0

0.5

1.0

1.5

2.0

λ 

    +    
P

!

yi = 40 ! 

              

λ  

n = 60

* "    

        

           !       &     %          
      !                          !           
 &          

" 

           "  "      

      

  

    ! "     

           %    !  

     

       %          %    

θ 

    % %     

              "     

   !                                 
  !          " %           !           
            "   
  !          "       
!       !        !         
#     
4.2/145 ≈ .03 
 "    !                     %          "  !   % !     
                              
"    !
θ ≈ .03 
         " %      % !     !                  
   %             !    %  

     !     
θ ≈ .06  
               
         !     
Γ(20)Γ(400) 19
θ (1 − θ)399
p(θ) =
Γ(420)  

!*  

 
        !    
(20, 400)  

      
        
  !           
`(θ) ∝ θ8 (1−θ)137 
                 
 
p(θ | y) ∝ θ27 (1−θ)536
(28, 537)

  !                                 
       

     

  

p(θ | y) =

Γ(28)Γ(537) 27
θ (1 − θ)536
Γ(565) 

            
          

   *   * "    "              
! !
!
        a −bλ        a 
     
λ e
θ (1 − θ)b 
         
                   

c 
      
         
 " 
! ' 

! ' 
                          "     
                       
! ' 
"                              

       "                       

      
!

* $ 

      

40 

10

20

30

prior
likelihood
posterior

0 

0.00

0.05

0.10

0.15

0.20

θ 

     *    
! 

                

     

*" +      

        

 

    

                                  

"     
      
#    "
y1 , . . . , yn , yf
p(· | θ) !
y1 , . . . , yn
! 
    
       
           
yf 

yf ! ' 
         
! 
      

                   
yf !
# 
      
                         
             
!
 
 
     

"       
 
#
           

"      "    
 " "      
y !# 
           f         " 

! 
      '
(0, 5) 
"  
$ +    " 

yf  
Pr[y ∈ (0, 5)] = .90 ! 
   "        
        f  "   

"      $ +  " $  " +  "  
! 
  
           " "     
! #  

          
 $ +    " "    $
!
(0, 5) 
  $ +    " " 
    
(−1, 4.5)
!

      

  

 "              
# 
   
    "       &       
yf ! 
       
      "            
   
! 
           $   
   $        
       
θ ! #        
    "
y1 , . . . , yn !  

$           
     $        
θ!    

  
 

y1 , . . . , yn , yf ∼ ! ! ! (−2, 1) !
              
          
θ
'    

              
  $     
   
y1 , . . . , yn
! ' 
           
                
 
     yf 
   
 
           
θ!
y1 , . . . , yn
yf 
       
"
θ!  

p(yf | θ, y1, . . . , yn ) = p(yf | θ).

                  
' 
    
y1 , . . . , yn ! 

     



θ 

    

*" * 

    

           

  
    
#
yf
yˆf = −2  

            
           $ +     
!
(−2, 1) 
"  

#        

(−∞, −0.72) (−3.65, −0.36)
(−3.28, ∞) ! 
               
             

 

"    
            "        "  

! #
yf 
       
       "       

yf
(−2, 1) ! 
                  
yf ! 
 
               $  
             

   
θ! ' 
               
  

! 

. . , yn
θ 
  y1 ,.  
          
       
ˆ
p(y | θ) ! 
       f           "      
y ,...,y
    
! 
  
 
               1 n
µ
ˆ = −2
σ
ˆ =1  

" 
!                   *   *   

!!
!  

  "        #    
     
ˆ
λ
λ = 2/3 ! ' 

!  

 "               
      
! ! yˆf = 0 
 
  
 $          
"     
{0, 1, 2}
! '  

        

 $$  " 
(   
≈ .97
{0, 1, 2, 3}
!
! 

0.4
0.2
0.0

probability 



0 

       
! 
       

2

4

6 

 "     

8

yf ∼ 

10

(λ = 2/3) 

  

*"    

        

                         
' 
   $       "     !      
    
   "           
   θ ! #     
yf 
   $   
       
θ !                   $
! ' 
    
                    
! 
     
"   
          

y1 , . . . , yn
θ  

" 
    
            
!   

θ 
                            
! 
                        "    
! 
                            
             " "     "    
! 
              $           " " 
   
               
θ! # 
  
        
             
! '
θ 
" 
"              
y1 , . . . , yn , yf
θ
y1 , . . . , yn , yf , θ
     "                 
" 
   
yf
y1 , . . . , yn !  

p(yf | y1 , . . . , yn ) =
=
=

Z

Z

Z 

     ! *!       y

p(yf , θ | y1 , . . . , yn ) dθ 

p(θ | y1, . . . , yn )p(yf | θ, y1, . . . , yn ) dθ
p(θ | y1, . . . , yn )p(yf | θ) dθ  

!*!  

       "           
                    "   
 
! '
(θ, yf )
R 
       "    
R 

p(y )
p(θ, yf ) dθ = p(θ)p(yf | θ) dθ 
  
    
       f 

p(θ)
p(θ | y1 , . . . , yn ) ! '
y1 , . . . , yn 
  "               
    
!
θ
   "       

* 
          
' 

! !   

          "            $         
! 
  *        
                
θ   

! !  
              "    
     
! 
        
                  
θ 
   *                        

! !  
"     
!
f     

      

            

*"  

  

!          

     % 

Y 

     %  !           

          

        !              

Y ∼
(λ) 
 !                  "     %       
p(λ) = 4λ2 e−2λ
% %            
      %  
      
y
Z
pYf (y) ≡ P[Yf = y] = pYf | Λ (y | λ)pΛ (λ) dλ
Z y −λ 3
2
λ e
λ2 e−2λ dλ
=
y! Γ(3) 

Z
3
2 
!* 
=
λy+2 e−3λ dλ
y!Γ(3)
Z
3y+3
23 Γ(y + 3)
λy+2 e−3λ dλ
=
y!Γ(3)3y+3
Γ(y + 3) 
 3  y 

2
y+2
1
=
,
y
3
3 

   #                 "          %    
 
!                        

3
8
2
=
Pr[Yf = 0] =
3
27 
3
2
1
8
Pr[Yf = 1] = 3
=
3
3
27 


             % %    
   &        !   
            %       
y1 = 3 
            



%        

% "  

y1 = 3 

36
p(λ | y1 = 3) = λ5 e−λ/3 .
5! 
                 "

pYf | Y1 (y | y1 = 3) =

Z  

   %    ! 

pYf | Λ (y | λ)pΛ | Y1 (λ | y1 = 3) dλ 
 6  y 

3
y+5
1
=
y
4
4  

!* 

*"

!   

  !  

         

     

6
3
Pr[Yf = 0 | y1 = 3] =
4 
6
3 1
Pr[Yf = 1 | y1 = 3] = 6
4 4 


             % %  

             !  

  !   % 

     

!  

6243 42 −62λ
λ e
p(λ | y1, . . . , y60 ) =
42! 
                        "  

!*  

   %       

 6  y
y + 42
1
62 
!*" 
Pr[Yf = y | y1, . . . , y60 ] =
63
63
y

             % %   
        !     
% "     
   "        %  
n=1
λ 
  !                         "     %     
   %      !              "     %       ! 
n = 60 
% "    
   !             !         %  
λ 
           "     %     "                 " 
   %      

            


                        
! 
           
            

       

0 
   
     
• 

! 


0 


• 
    

                   & " 
              

!

!  

       

*

0.5 

0.0

0.1

0.2

0.3

0.4

n=0
n=1
n=60
plug−in

0

2

4

6

8

10

y 



 
 "        
         
!
y 
    
     f   "

n = 0, 1, 60

* 

• 

• 

0  

          

! 
      "           

    
0 
    

   &  
  
 

       

   

• 

            
!
0 
 "    

• 

 


 

    

! 


0 


'
'

   " "       

%

!  

    
0 
    

• 


0 


• 


0 


• 

 ! 

 ""         !


!

!


•  

      "           

    
•  

  

'
' 

        

! 
    "   

   
  

 


! 

! 

!



 

"     " 
     "

!

! 

                        
0 
        
                    
                      
  " 
! 
        "                   " 
      
! 
                        " 

          "        $          
!     

       

*
 


     " "                   
                     
       
!   

  
 "        
      
  "           

! 
        &                    
          &      
   "  "   "   !         
!
       
                       

! ' 
                 0     
  

0!  

              (                 
            0
            0
! '  

                             
!   

*      
              
! 

! 

! 

    
              

w = w(y1 , . . . , yn ) 
   
 
          
   &      

! 

! 

w

0

! 

                  

w

      " "   
  
w 
              
0!  

   

0!

y1 , . . . , yn  

                             
      "                 
                
         
! ' 
             "     "    

! 
     "                        
               
!   

                          
       
    
        "
!
Xi 
               
 
!
X ,...,X ∼    

                1    ( n   

(θ1 ) ! %
!! ! 
 
    
 
 

Y1 , . . . , Yn ∼ ! ! !
(θ2 ) !
θ1
θ2 !  w = θˆ1 − θˆ2 ! 
  
                 
E[w] = 0 ! 

0  

        $  ˆ   ˆ        
θ1
θ2
w! 

' 
    
 

     

!   " 
 $ &
w
# 
   

  $ "   !   
   $           

0!  

*
  

   

            

        "          
'
! 
       
        
 

X , . . . , X ∼ ! ! ! (µ , σ1 ) ! 
   "    1    n    1   

Y , . . . , Yn ∼ 
 
  

 1  
! ! ! (µ2 , σ2 ) !
µ1 = µ2 !  w = µ
ˆ −µ
ˆ2 ! '
0 
 
  
     1 (  
 
 
µ1 , µ2 , σ1 , σ2
w 
       
    
 


! # 
  

w
  

!   " 
 $ &     $          

  $ "   ! 


0! 

    

      

         "                  
            
           
      
 
              
! 
                          
                            
! 
                    "     
  
 "                   
! 
    "      &        
   
0!
!   
   
 
 
 

  

  
         

 

0! 
"       
0! 
         $               
' 
   
 
                    
! ' 
   & "        $                
! 
                  
! 
     
                   
# 
               
     "    
! 
       (  "        
   

! # 
                     

      
!  YC,i 
                           
    $
i 
     
                      
YT,i 
          
    $     
     
i
! ' 

YC,1 , . . . YC,n ∼ ! ! ! fC ;
E[YC,i ] = µC ;
Var(YC,i ) = σC2 

E[YT,i] = µT ;
Var(YT,i) = σT2
YT,1 , . . . YT,n ∼ ! ! ! fT ; 
             
 
 "  

  
µC
µT
σC
σT ! ' 
               

:µ 
0 T

= µC
: µT 6= µC   

*
 

        

   $ 

   &        
    
w = Y¯T − Y¯C !  

                      

'
n 
  

     2
    +   
2
2
! '
w ∼ (0, σw2 )
σ
=

+
σ
)/n
0
w
T
C 
 
 "  2          "         
σ
0! ' 
  "  

 2w      2            
! σT2
!
σ
w          
      C      σ 

w
 $     
          $   $ "       

!
0
0! 
  
                    
# 
         
              
! ' 
"      
             
! ' 
                            
! 
  
 "            (     "   
   
   
                 
! # 
     

 
                 
! 
Y
Y
$      $ T,i 
  C,i 

     
! '
i
i 

Xi =
'

(

1
0 

YT,i > YC,i 

 

      

X1 , . . . , Xn ∼ ! ! ! 

             
   

p! ' 



(p)

            

: p = .5 
0

: p 6= .5

P 
  

   
        
w=
Xi ! 
(n, .5) ! '
(n, .5)
0 w ∼ 
        
        0 
       
!
!
w  

                +   +       
n = 100 ! w 
                   
           
w
0! 
   +        +               
  
! ' 
            
|w − 50|
!
                             
' 
   $     &        
      
!
! ! !
0 
                          
      
                    
     &   
w
!

     
                     
!  

* + 

   

           

0.00

0.04

0.08 

30

40

50

60

70

w
   

!         (100, .5)      

          
             
w  

' 
    
             
 
µ0
! '
            "          
   
σ0
w
  0!            
!
0  

  *  "   $        
   "     $ 

!  
             (                 
! 
 "                          
√! 

  
    
 
   
!
µ0 = n/2
σ0 = n/2
n = 100
0! 
                            
!  

                "     
w 

  
   
          
 
(µ0 , σ0 )
µ
σ0 
  
      0          0 

! t ≡ |w − µ0 |/σ0
0 
           
 $ "       

0!
                    
'
!    

             

  

                  ! "             #    
$ %   & 
 #       $           '        #  ' $
= 0.5 
# 
   (      # )         *      #       + 

* * 

       

0.00

0.04

0.08 

30

40

50

60

70

w
   

!          (100, .5)  

   

(50, 5)  

        

'     #     # )                 $      
#           $       
      #       *   *   
x1 , . . . , x10 
# 
 
(   
      #       *   *    (  
= 
y ,...,y
=  
*       #           "     #
"     # 1#  #10 
# 
xi
yi
# *            
# 
x1 , . . . , x10 ∼
f  

# 
y1 , . . . , y10 ∼
f
     *       
# 
       $  +
µ
≡ E[xi ]
µ ≡ E[yi ]  
 #      '     #            

0 

: µ
= µ
: µ
6= µ

        $             
  * "      # )        *          #      
  $       
   '            ' 
w = |¯
x − y¯|
w
0

*   

   

           

       *          *       
    $

 

    

!    

σ

x¯ ∼  µ
, √
n  

σ
y¯ ∼  µ , √
n 
    $      #   
0

w∼ 

0,

r

2
2
σ

+ σ
n

!

, 

    $      
     #   
#   # 
w
SD 
    #  $ #                             
        '# '      #  $    
         
t/σ ≈ 3.2
t 
    # '  t #      #  ' #  #  $     ' # 
0 
    
0 

    

  *    # # *        *    

#  


       &  

       (        

      %   &      

       &  

       (        

      %   &     
     &   
 &    

%   !   "    # "   
 &  $ 
"      & !  % &  % ' % &  % '  &   (  
   "    ' %     "    ' ' % '   &    ' 
     '       '       
     '  '  )  *+ ' ) &   * 

          ##       '# '   

t 

     

                           
          
!
0 

(  

w 

   

* 

       

0.00

0.15 

−6

−4

−2

0

2 



4

  
             
!
# 
 "     "      
!
t

6

t! '

  

         



   

                 *       $           '      
    *               #              '  * *      
                     #$            '          
*                               ) &   &%( 
            '             #   '   #     '   
#        #  '            * # '              
  #  $ '      #   '   $                   '      
           '                  #        
      #    '     #     * *     '         *  
 #         "           $  #   #     *    #     
        '      #        '         *    
  
#         ##     #          '            
               
& )  

 &    &      %   &  &    (  

 
  

 

   !"!  !   !    ##$ %  &% $ '

*      

 
 
 

 
   

      

            

 

 

 

  & )  #       '   *    '# 
      * $     

               *  

  &  #                  '           *         
                             *         

* $    

  &     #      #    *     #     '              

*         ##    *       *    #  

  %   &  &    *              *            *       
'   *   ##      #     * $ 

   (  #              *        #     #           
  *         * $   

! 

            *               *    #      
w
%         
(           &             &     

'           
    #    #    

n = 147
w = 87 
 *               *    #         *       
#         # 
w
0                      

!  

"              $  $        $    
 
 !!  "   !!  "   ! ( #   

 ' 



#  $     '   #                  *           $  
 *                ' ##        $             
*      $  $       *              #   *  #
#             #  $        0                
#       $     #   #           0#  $            

         

 *   *  #      #         
                   
W 
 *    #      *         $             #   
*    $ #         $  *       $       #        
    "  ' #      
% % " 

  !!  "   &     !!  "   ! ( #      
   

    !!  "    &        !!  "   ! ( #      
 
"   *   

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!     *  "  

# &   "   #  &  %  % "  

   " (  

# &       

 " 

  & 

$              $        *           '#        
#  
      #   
w=9 
                   0  * #    *  $        *  
 #                 ! " *              
$ "    (  )  !  $  ! ( # '  "  

%  % "    ! !  "   &     !!  "   ! ( #   $  ! ( #  
      ! !  "    &        !!  "   ! ( #   $  ! ( #  
  & #    '  "  

!     *  "  

# &   "   #  &  %  % " 
   " (   # &         

& (    

    *         $ "               *    #   *   
     '# '         #                     '#
'                       #          # #     *  
w 
              '# '    
    #          *        
w
0 
  $  # $               *           ' #  
     

   

             

    $       #     $ *   $             #
0 
           ' 
  '          0 ' $        
  "          ' $           0        ' #  
      #      ' #        ' $            *    
   0              0     *         # #  
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     #         *                     
#                                 #   
                                 $ 
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#  0       #  * *       *  0  #       #    $  '  

       $      *    #    
    

  *    # # *        *      

$  ! ( # "  (   ! ( &    ! !  "   ! ( # 
$  ! ( # "   &  $ $  ! ( # "

#       !   )  ' 
!     *  $  ! ( # " 

$ !! %    !!  "   ! ( #   $  ! ( # "   
!  "  " (   
 !!  "   &  $ ! ! %  
   !!  "    &     $ !! %  
"   $ "   $  ! ( # "   '  " 
 "   "  '       '       '    $  ! ( # "   ' 
     $ & )  !  " ' " 
# !  "   !  " '  ' # )  *+ ' ) &   * 
#     !  "  

    

  *    # # *        *       

!  "   & #    '  $  ! ( # " 
"           '  $  ! ( # " '  "  
!     *  $  ! ( # " 

$ !! %    !!  "   ! ( #   $  ! ( # "      

       

VIV

0

0

200

200

400

400

OMO 

6

7

8

9

10 11

8

10

12

w

w

NYA

WEA

14

16

0

0

100

100

200

200

300

300

5

0

1

2

3

4

5

15

20

w

25

30

w

0

50

100 150

LIN

8

10

14

18

w  

    

 


 

        

      
    

   

 

    


  
       

0    

   

            

0

100

200 

50

60

70

80

w.tot 

  

     

   

       


!  "    " (    

  

      

 

     

 !!  "   &  $ !! %  
   !!  "    &     $ !! %  

"   '  $ "   $  ! ( # "   '  "  

!  "  !  " (    !  " 
"   !   # #     "  '  ' " ( 
 "   "   ! '       !  '       ' 
     $ & )  !  "  ! ' "   !
# !  "   !  "  ! '  ' # )  *+ ' ) &   * 

#     !  "  ! 

  

   


    
  


      
 



g(x)   

 

 

   

  

  

     

   

 



  



 

    






 

  

 

!!  !  

    

      

           

    

 
 
  

   

    

 

     

  
 

  
      

          

   

    

 

          


  

 

 

 
  

 

  

 


   

   
  

 

 

 

  
  
    






   

    

&  ( #  !  

   $    

 



     

      
  

    

       

 
  

  


    



 

 

 

     

   

   

  

`(θ) 

 

   

 
     

   



  
  
     

  
 

 

     

   

 



  

 
      

  

   

        

  



    

  

  

    

 

 

  
  
 
    

   



  


 
  

  

p

   
 


  
   
    
p ≈ .1 
    
   
          
   


     
 
  
          
    
       

   

      


 



 

  

   

  

 

 

 



              

 


 


         
     

 
 
 

    

  

   (      



 
   
   

 
" #  !     (   &  ( #  !  " *     
  
    " #     (   &  ( #   "  * *   
! 

! 

     

 

  

     

                
   

   


 

 
         

 

        

      
 

  
   


 

  

      
   

  

   
 
  
   

 

 

 
      




 

   

     



   
 

             


                    

   
 

  
   
      

X
          

   
  

 
 

  

   

  

p 

 

p            

 
 

 

  

 

 

 

  

 
  


x1 , . . . , xn ∼
(λ)
`(λ)

  
    
 
 P 



x1 , . . . , xn 

`(λ) 

  
  



   

  

y , . . . , yn

xi

xi



      
 

1 
   

      

 

   

   

(λ)  

   

 

  

 



ˆ = y¯
λ 

  


  


  

 

       
   
    
 

   



  

   

 
       


 

 
   
 
   
 

       
 "   
#      

"  ) ( &%(  %   " & " 
      
 %  &  " 
 % *         

   

Yij

   
 

   

 

i
j
i = 1875, . . . , 1894
j = 1, . . . , 14 

    
    

       

 

 

   



Yij 





 
 
 


 

        


  



 

     

   

 


   

       

   

   

  

  

λ

(λ)  

  

  

  

   
   

     

   
  

      

  
 
  

 

    


ˆ
λ

   


  
  
      

 

 

 
 
     

 



 

    
   
    

   

      

 

       

   

 
   

    

 

 

     

          

     
 

X1 , . . . , Xn ∼  

   



  

 

(µ, 1)

d d
f (x1 , . . . , xn |µ)
dµ dx

d
f (x1 , . . . , xn |µ)
dµ 

 

   

d
f (x1 , . . . , xn |µ)
dx 

 

  

   

   

      
 

   

  

θ    

    

 

µ
ˆ  

 

=0

=0
=0  

  

   

   

 

  

 
   
 
 

y1 , . . . , yn ∼
(µ, 1)
`(µ)
y1 , . . . , yn

  
    
 
 P 
  

     
    

 

    

  

n = 10  

 

 

yi 




(µ, 1) 
  


µ 
  

y 1, . . . ,
y10 ∼
 

y , . . . , y10 ∼
 1 

`(σ)   

   

      
 

      
  

 
      
   


         

Yi  

   
     




µ  

µ

(µ, 1) 

  




 

  



µ  

    

 
  

 
   



σ



σ

 

  

   


`(λ) 


 

      


   

µ
ˆ = y¯ 

       
   

       
 

        

           

       
      
  



Yi ∼
(λ) 
 
 
λ ≈ 3.1 

  
 

  

  

  

σ
y1 , . . . , y10

y1 , . . .P
, yn
(µ, σ)
2
−1
2      
σ
ˆ =n
(yi − µ) 
     %  " ) " &  & "    
    
!
i  

 



(µ, σ)
y1 , . . . , y10  

   
  

   
   

µ

(µ, σ) 

`(µ) 

 

y1 , . . . , yn

yi

 

  

      
    



`(µ) 

    

    

 

   
   

  

  
                

  

 

  
      

 

    

    

            

       
   

 
    

     
     
  

          
      

       
   
    
  

 

    
             

         

    

    

   

    

   
  

 

     

   

  

P[  

 



 

  

 

 

 

 

 

] = .8 

   

  
 

 

   

    

   

  

  

 


     

 

 

             

 

     

 

    

| 

 

  

  
  

 

|    

   



 

n 

  

    

 

 

   

  

       

  

   

 
 

  

 

].

 

 

      



T ∼ exp(λ)
λ 
  
         


t1 , . . . , tn  



     

 
     
 
λ
 
          
   

n = 10 

 


ˆ
`(λ)
λ 

 
            
        
λ 

  
    
 
 P 
 

   

 
 


 
   

  

] = .2.

    
 
    
      


T 

  
             


  
 
    

   
  
   

Pr[  



      

   


 
 
   

P[  

    

   

      

 

       

            
  

                         


  

   

     

 

`(λ)

ti


 

ti 

 

  
   


 

  

     
 

     

 
  

     

 
  

   
  

   
   

 

  

  

 

  


   
 



  

      

    


   

    

   

   

  




  
  
     

  

  
       
   


       

   
  

  
  




  

 
   



P[H] = 1/4 

  
   

 

   


     



  


P[H] = 2/3   

     
     
         
     
     
                  
     
     
                 

    


  
   
          


     
 
               

       

  

  


    


   

   
       

    
       


  

 

   

 

    

   

 

 
   

P[     

    

     

 

  

 

 

 

 

] 

  



] = .01

P[ 

    

 
  

 
 

 

    

   


  




 

     

   

  


  

  

] 

   
    




] 

P[    

 

]   

  

      


   




 

      

 

 

 
   

P[ 

  

    

 

P[

    

 

        
     

  

   


 

  

       

    
 

 

P[   

 

(700, 50) 

   

(600, 50) 

 

    
 


   


    

   


 

]      

 
    

P[   

   

   

            

   
    




    

]   



P[    

       


 

]

  

  

     

  

 

!      
 

  

   



 

     

    

 

   

   

  

!  
      

     

      

    
"

    " 

 

] ≈ .5  

   

       
 

    

  

 

    

       

  

   

   

     

       



  
 


       
     
     
      0
   

    
      
        


 

P[ 

  
   
 

 


    
  

  
 
  
  

 

  
  

      

      

   

 !  



    

 ! 

 ! 

    

            

    
    

 ! 

 

   

 

 

 

 

    !      ' *  '  

"(      + 

    

   



w 

 

    


      

  



   

   



 

  
   
 
      

 

 

  

             
      
           
  

   

     

      

 
  
 
  

 



t  

  

 

w 

 

    

  

   

   
   

     




b

  
   
 
       
  


  
     
  
 
   
   

   

       

   

  

 

    


 


  

      

 

    
 
   
    
    

     
  

     

      
  

t 

      

     



 

y∼  

 

θ

(θ, 1) 

  

   

y ∼
(m, σ)

   







   

θ 

 

y 

       

      
   

 

(θ, σy ) 

 

y 

   



θ 

 

y1 , . . . , yn 



θ 

θ∼ 

     

(0, 1)

  
 
   

 

     



 
 

  

n 

(m, σ) 

 

 


          

θ∼





θ

θ ∼

  
 
   

 

  

  

y ,...,y

  

  

     


1
n 
  


   





   



  

       

θ   



 

  



(θ, σy )  

      
 

 

   



 
  

    

     

       

 





 

    



     

   

% ! "& 

 

=2  

     

     

0, 1, . . . , 9 

     

 

  
  

(−3.28, ∞) 

 
 

    

Pr[yf = k | y1, . . . yn ]  




   
   



    
 

 
  

   

      

   

         

 

  

      

    

  




       

    

        
     

   

   
 
    

    

   

 
     

k = 1, 2, 3, 4 
   

(−∞, −.72) (−3.65, −0.36) 

     

 
 

  

 

 
  

      

      

   

       

    




% ! "&

=1   

   



    



 
 

  



 

  

 



 


   
 

  

     

X = 122 

  

  

"( ##  

   

       

 

 

= 

"( ##    

  

   

 
  

 

        

  

     
  

  

 
       
 

      
  


     
  

   


 


  

   

    

    

     

  

    

        

      
 


  
 
 

   

       

 

   

         

     

 

  

       
 
       

 
    

  

       
   

    

 
  

=   

               
  

      

   
  
   
  
       
   
 
     
   
           

   

     
 



 

          

      

 


    

 

 

             

  

    

     

   

  

X = 122 

    

    

 

 




  

   

     
  
   

   
     

 
             
    
      

    
     
   


     

    

   


   




 

   

  

     
    

  
    

 

         

nA = 100 
        

nB = 400 
         

nC = 100 

    
    

      

    


 

 

  

.1 
 

 

   

.1 



.2 

   
  

   

    

    


 

     

  

        

   
 
  
  

 
   

      



 

     

   

 
  

 



 
     

 


        

     
  

 

  

  

  

  

  

!  

  

  



  


   

  

   

  



 

  
 

  





    

 



      

  

 


 

    

     

 

!      

 

 

  
   

 

   
    

     
    
 



  

  

   


  

   

   

 

λw = 100 

  
   

λw 



    



λw 

 

         
         

 

M

M



xi 

  

*  '  *  

"     

!   &"
   # &" 

 

 



   
 
   
 

x1 , . . . , x15 



xi ∼
(λw ) 

  &# 
  & 
"  " !     


  


   

    



! 

 

 
  

    
  

     
 

    



 
       

     



 

    

  

      
   

  
   

      

  

   

 
 



   

 

      

  

 
    

 


     
    

* 

 

   

   
 

 

   

  
!     * *   
  &# 
  & 
"  " ! 

*  '  *  

"    

!   &"  

  

! '  

 


    

  

   # &" 
   !  *   

*  

#     *   

            

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    *     
 
         

      
   
    


 

            
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!     *  

       

 

      

 
        

!     *   

      

   

    

   

   

 

 
 

      

    

   


        

 



    



    


       

 
   
    
 
       
  

 

  

& ( 

      

 

  

  

Y = 

      

 

      

  

    

 
 

     

 

  
   X

X 

  ! (    

Y   

 




 

Y 

   
 

 

    

Y

      

    

     

     
  

        

 

 
 

  
 

Y

Y 

) "  

        

    



       

X 



X  

 

 

 




       
      

  
 

Y 

  

     

   

        

  
    

   


   

     
 

   (  
      
    
 
  

   
      
    

     
   

 

      
   


  
     

   

 

    

  


 

    
 

  

  
             


  

          



 

   



        

X =


 

 


 

  

X 

   

     
            
 

     
 

X 

 


    


 

   

          

     
    

 



   



Y =  

 




     

  
  
      

      


 

X 



 
   

X= 

 

   
  

         

 
    

     

Y  

   

#       !   )  '

%   

 & (

%   

   ! (     
   ! (     
&  # '    ! (      !  & '      &  # &   (  &  '  

    ! !  &  '        ' # )   

#  !   &  (  %  " '  &  (   ) ) &  '       "   ) &  ' 
    ) ) &  &    !   '        ' # )   

#  ! 

%   

 ) "
"  # )     )   "    )   "    ' # )  * '      &  $  ' 
& ! %    &   '        (  
   "  ""  !   ' 
    ) 

%        ( 
#  !      (  ' # )    '      %  

 
  

 
 

  

      

      

 

 

X = 


  

    

 

 

X 

X

 

  

   
  
  

  

Y  

 

  

 

  

  



  

   


      

  
  

     


 

   

Y 

 
   

   

 
  

  

   

Y 

 
    

    

Y

    

X 

    

        




        
   

      

 


 



X= 

     

     

X 




       
  
          
    

  
    

       

   

     


      
        



  

 

&  (     ! (            (      
 
 )  "      
  
 

   

  


 

Y =


Y 

  

       

(b)
150
50
0

100

300

60 70 80 90

Distance

temperature

(c)

(d)

0

70
50

60

waiting

80

1

90

0

Manual Transmission

100

ozone

0.6
0.4
0.2
0.0

Acceleration

0.8

(a)

2

3

4

5

1.5 2.5 3.5 4.5

Weight 



eruptions  

  

  

      

  



X 

       

         

Y  


 

  
  

 


 

    
   

   

     

    
   

   

   



      
          

    

     

                 

          $   #     $  '          *         
  $           #   #               

  $ #               # *  #    
       #    # *    #   $      
# # *        #    '# #           #        
        # *   #   #       $  #   $     
  #           *     #  #    #        
#$   $   #
#         
 *     #  *  
X =
Y =
                *   
# 
X
Y 
     

    

*    # # *        *      

#  !  %      !   &   ' %         ! ' 
     !   &    '          (   &  

      $          *   
# 
 $         +
X
Y 
# '    
# )       # )    '       # "   # 
Y
X 
                    #           $   $  *    

X 
   '             
       *  *  # #      # 
Y 

E[Y | X] = g(X) 

      *          
g 
   '  $     +                    #
g 
     '              *     #     $ 
# 
*  

                    *     
*  
g 
 #        #$       $  *       $   ' * #        
     *   # ' $        #       #      # *   #    
   *       #         $   

      

200
0

100

Draft number

300 

0

100

200

300

Day of year 

 

    

  
   

              

   

     

0

100

200

Draft number

300 

0

100

200

300

Day of year

   

 

!  & ""    

  
  

     

      
" ( # " ( 

  

  

 
  

 

       
     
 
  

*    # # *        *      
%      !   &  
%         !

#  !   '  '       !   &    '          (   &   
  & "   !  & ""   '  
  & "  " ( # " (   ' 
'     
!  & "" 

 $ *   #           # "( # " (    
       *     "                       !  & "" 
 '   *  $        "( # " (   '                 
               '      *  $       *  
# *      #    '              

      



  

    #            #      #$ *    #        * 
!                   *                *   

'   # )     '        #             *   
                   # # ' ##        #   
×
× 
           '     * #      #      ' '         

#  # * #       # )     # )      # # )     #    

       *             * #              #    

      '      !  & ""   '                 #  *     
            #  #      #             ) $  #    
    

*    # # $

#  !  !    &  '     ! (  %    % &   ' 
    !    &  " &&%   $ "  
  & "   !  & ""  !    &  

   

   

i yi 


  

   

    
       

 

(xi , yi ) 

   


yi = g(xi ) + i .

 

i = 1, . . . , n 
    

 
xi

    

   

     

0

5

10

15

20

total new seedlings

25 

0

10

20

30

40

50

60

quadrat index 

  



    

 

   

   

    

        

  

   

  



yi

     
         
i g


    

g 

   

       

  

   

  

     


  
  

yi − gˆ(xi )
r
       i 
i 

   

 

 

  



  

     

   

  

        

   

ri      

  

  

       

y

   

    

   

!    

    

   

   


   
      
y 
        
  


y
x 
  
     
 

y  


   

y


     
 

   


x  

  

     

   
  

x
x

x

y 



      

x

g      

  

 

  

     

x   

   

 

y 

 
  

x

y 

x 

  

 

 

  
  


      
         

  

y 

   

       

       
        

y

   

ri ≡ 

 

  x

 

  

 

                   
   

     

 

           

 

  !  

  

  
     
 
 

g 

   

  

 


    

x

   

 
         

  
 
        
 
     

   



   

     

    

  

        

 
          

x   

i  

     

 
 
      
     
   

          
   
     

  


 


   

 

  

 

 
 

  




  


   

     

g(xi ) 


  

 

 

    i 

     

  

 

     

  
 

  

ˆi = ri = 
  

  
  

     

   

  

       

   

  

y

y

  

x  

        

     
  


   
  

  
  

     

    

         

        
                                
 

     
 
     

                 
                   

   

    


  

 
  
  

  
  
  



   

  

    

     
 
 
    
 

 

  
   

       

  

  


   

g 

    

   

   

g  

        

   

   

       

 

     

   

      

   

        

 



     
     
 
 
 

   
                    
                  

 
         
                    
     


                    
      
  
   
    
   
                            

 

    

  

 

    
  

          


  

    
#  $     #      $      #           
 $   #    '    '          $  *                 
#     *    # *   #     # 
    

*    # # *  

"  # )    ! % ! $ "    !   & "  ! % ! $ " 
 # & ' # )  * '  

   )   !   & " 

              #     $   #             
                                    *  #  $ 
                  $       $      #      
           #      '   #     )        # *     
     $                                 
 #       #                   #        '  

               # *  #          '          
 #      #   
#  
(µB , σ)
B1 , . . . , B20 ∼  
# 
 
(µM , σ)
M1 , . . . , M17 ∼
 
#  
(µP , σ),
P1 , . . . , P17 ∼
*      
" 
"  # "                        #
Bi Mi
P
# 
 $   
   ' $i          

µB ≈ 150;

µM ≈ 160;

µP ≈ 120;

σ ≈ 30. 

        

Beef

Meat

Poultry 

  

100

120

140

160

180

calories 

   


  
  


      

   

      

    '            

# 
B1 , . . . , B20 ∼ 
(µ, σ)  
# 

M1 , . . . , M17 ∼ 
(µ + δM , σ)  

# 
P1 , . . . , P17 ∼ 
(µ + δP , σ)
 #     #           $    '              
            #            $ #      $      
  #        #                #      *        
              '      *                         
    * #   #     
 *      *   $            #             
* *    *       #  
    

*    # # *        *      

#       !   )  '*
#  !  % &  "    ! % ! $ "   ! % ! $ " 
   &&   '      '  

   )   '   '      '       '     )   !   & "  ' 
    &&  
#  !  % &  "    ! % ! $ "   ! % ! $ " 
   &   '      '  

   )   '   '      '       '     )   !   & "  ' 
    &  
#  !  % &  "    ! % ! $ "   ! % ! $ " 
   ! (     '      '  

   )   '   '      '       '     )   !   & "  ' 
    ! (    

! % !$ "  

# ! % ! $ " 
    '               
                  ' # 
#   $   
! % ! $ "    !   & "  # ! % ! $ " 
 # & *          '     

                       

% &  "      '      
     
    #  $  +      

 !      #* #   '                 #* #  
'    *  $    $ # )      #* #     *     $
#  

   

        

Beef

50

100

150

200

250

200

250

200

250

calories

Meat

50

100

150
calories

Poultry

50

100

150
calories 

  

   

  
  
  
  


  

  



 

µ

µM

µ + δM 

 



µP 

 
  

 
 

   

   

σ  

     
   

   

    

   

  

 

  

 
  

  

      

 

  

   

 

  

 
     

   


  

          

    

   

 

    

 

 

 
   
    


 

   

  
  

    

   !    

       

  

 
  

   

  

 


δP

σ 

     

   

 
   



µP − µB  

   

 
  

 

δM 

  

   

  



µM − µB 

      


   



µ + δP   

 
 



µB 

   

 

     

        
 
   

  

  

      
 
   

     

&  $ $  ! ( #
*
)  
% * 
 ( 
*(   

  

   



)  
)   

 

  

  

 

  

     

        

      

   

    

      

  

      
 

   

 

 



    
   
   

       

   
  

   

 

      

  

 

 
   

        

ctrl

trt1

trt2 

  

3.5

4.0

4.5

5.0

5.5

6.0

weight 

    


   

  

 

   !  

  


  

  

   !  $  ! ( # ' # )  * '  

    &  $   

  

     

   !   &  $

"  # )    

 

        
 
      


           
   

      
            

  

  

    

 

 

 

    

          

  

 

 

 
   

 

 

   

  

         

   

    

 

  

   

     

  

     

   

 
  

  

     


  

  

 



   
 

   
  
    
    

µ
δ2

   



        
   
    


     
 

     

 

  

    

   



  

 
 
 
 

δ1  

           

σ

     

   

      

   
  

  

WC,1 , . . . , WC,10 ∼
(µ, σ) 
  
WT1 ,1 , . . . , WT1 ,10 ∼
(µ + δ1 , σ) 
  
WT2 ,1 , . . . , WT2 ,10 ∼
(µ + δ2 , σ). 
  

            

    
    



      

 

 
  
 
     


     

   

         



  

    

          


  

                            '          
    #    
# # #         #  # 

Y
Y      

              $   #    #  *      #     
Y
  #         
# )    #  # )             +
Y 
          #       *     #  #      $      #  
Y 

          #        
*  #  #        $       #
Y   

 
 '          #  

X  
# 
   

    

# 
  

       #      
  *  
Yi
Xi   

  "                 #      *     *     
i 
                             $ '       
Y 
    #  #       

# & 

&&  
&&  

 & " 
!
*( +

*( * 

&
&

! (   
! (   

*% 
* (

* 
*  

! % ( 
%
%
% ( 

% 
  

    $              #      '   
*        #           $ # )        '        + 
             $  #        
      #   #$
! 
                      
 #  * 
(Y1 , . . . , Y54 )
i 

   

* '     

       

X1,i 

#   

$

X2,i
(
1
X1,i =
0 

   "    #    
i 
  *  

#

( 
   "    #     $ 
i
1
X2,i = 
  *  
0 
# 
 #   '      * #   '              
X1,i
X2,i 
  "    #    *  * 
# 
    *   * *   $       
i
X
X 
   $          1,i 
     2,i 
#   '           
k
k−1 
  * '       #        *     


i = 1, . . . , 54 

*   

Yi = µ + δM X1,i + δP X2,i + i  

#  
(0, σ). 
1 , . . . , 54 ∼ 
         $ 
                 
*          $    '   #        !   



Y = (Y1 , . . . , Y54 )t ,
B = (µ, δM , δP )t ,
E = (1 , . . . , 54 )t , 
               $  '     '       '    #

1
1




1

1 

X=


1

1
 



0 0
0 0  
 



0 0

1 0  
 


1 0

0 1  
 


1 0 1   

   

      

 
                      #       
54 × 3 
            #     #                  $   #    
          *   

X 



Y = XB + E 

   

 

   !   

 

Yi =  

   

 

X1,i =

(

1
0

X2,i =

(

1
0

i

i

i 



 

 

   
 

   

  

    
    



 

, 

              

  

                

Y = (Y1 , . . . , Y30 )t
B = (µ, δ1 , δ2 )t
E = (1 , . . . , 30 )t 

 

     

 

1
1




1

1 

X=


1

1
 


1  


0 0
0 0   

  




0 0

1 0   

  



1 0

0 1 
  

  


0 1   

 



Yi = µ + δ1 X1,i + δ2 X2,i + i  

Y = XB + E.

 

   


 

        

    

  

    

    
     

 

XB

µ + δM X1,i 

   !  

   

  

    

  

Yi
+ δP X2,i       

      

 



  

     

 

        

    

     

   

   

   

 

µ + δ1 X1,i + δ2 X2,i  

 !      

    

          
   
     
      
 
E 
i
   
 
 
                          


    
      
   
                       
  

  
 
 
         i           
   
 
   

                    
    

         
        
 

   

    

 



    


     

    

  

+ 

 

     
  
 


  

   

 

=

µ + δM X1,i + δP X2,i
  
µ + δ1 X1,i + δ2 X2,i

  

       


 

      

 

  


(µ, δM , δP ) 

  
(µ, δ1 , δ2 )  

    

   

!    

 !  

   
 


 
   
  
X
          
   
    
   

X 
                    
       
        

   

 

X 

   

Y

   

              *    $ 

          *    # '       +*      # 
         $
   $    $
             #$

*   #               #  #      '     
                 '     !  +    #   
'    ###          # 
    #* #    #    

  "  ) ( &%(          & "   ) &  &       

    *           
%  &
*   

( +

#  )& 
 

) !  &
(

& #
%* 

 $ &  # 
+ 

&  

 


 
  


            

   

#   

% 
    

(   

+
+ 

(* 

   

     

+ 

+( 

  '       

    #  +         #$     


   
 

                  

   

            #   

   

  $    $ 

  #   

            #    

        '       # $        # 
   

*        #$    $
     $
     $
 

     

          '                        
            

  
       
= β0 + β1
+

*  # #       #    $ *          #       
                                       

 *             
(β0 , β1 ) 
    





Y = ( 1 , . . . , 30 )t
B = (β0 , β1 )t
E = (1 , . . . , 30 )t 
#

   #  

 
  
1
1
1    
 
2 
X =   


 
 
1
30

Y = XB + E. 
             #   #             #  $   

         

0.25

0.30

0.35

0.40

consumption

0.45

0.50

0.55 

  

30

40

50

60

70

temperature 

 

 

◦  

   
    

        

         

  

   

   

  

  

 
     


     

   

     

   
        

 

 
  

  

   




   

 

    

  

  

  

 

   
              

 
        
 
         

   

  
 
   

      

  

   

 


   

p 

  

  

 

    

   
  

   

 

   

     

  

       

n  

  

    

 


    
   
  


Yi = β0 + β1 X1,i + · · · + βp Xp,i + i  

 

   

 



Y = XB + E. 

 

 

    

   

 

   
    

       

   
 
    
     

       

    
    

    
      

        

 

    
 

    

Yi ∼ (µi , σ)
P


 
i = 1, . . . , n
µi = β0 + j βj Xj,i 
  
    

p+2
(β0 , . . . , βp , σ)
`(β0 , . . . , βp , σ) =

n
Y
i=1

=

n
Y
i=1       

  

√   

  

   

   
 

i 

y −(β +

P

β X

)  

«2

0
i
j j,i
−1
1
σ

=
e 2
2πσ
i=1
P 
− n
2
1 P
= 2πσ 2 2 e− 2σ2 i (yi −(β0 + βj Xj,i ))

(0, σ)

1 yi −µi 2
1
e− 2 ( σ )
2πσ

    

    

p(yi | β0 , . . . , βp , σ)

n
Y  


  

p+2 

    

   
   

     

       

   

  

   
      

    

  

        

    

 
  

 
  

 

   
  

log  

X
1 X
yi − (β0 +
βj Xi,j )
log `(β0 , . . . , βp , σ) = C − n log σ − 2
2σ i
j

 
 

    
  

C  

   



  

X 

1 X
ˆj Xi,j ) Xi,p = 0
ˆ0 +
β
y

(
β
i
σ
ˆ2 i
j
X
X 
2
n
1
− + 3
yi − (βˆ0 +
βˆj Xi,j ) = 0
σ
ˆ σ
ˆ i
j 
   
 


        

     
                

 

 

        

     




yˆi

(βˆ0 , . . . , βˆp , σ
ˆ) 

   

  

  
     


     
       
p+1   

   
     
   
  

      
σ2
p+1
p+1
β 
           
                



ˆ = (Xt X)−1 Xt Y,
B

 

    

   

!2       

 

X 

1 X
ˆ0 +
ˆj Xi,j ) = 0
y

(
β
β
i
σ
ˆ2 i
j
X
X 

1
ˆj Xi,j ) Xi,1 = 0
ˆ0 +
β
y

(
β
i
σ
ˆ2 i
j 

 

  

 

i ∈ {1, . . . , n}    

yˆi = βˆ0 + x1i βˆ1 + · · · + xpi βˆp . 
         

      

         

ri = yi − yˆi
= yi − βˆ0 + x1i βˆ1 + · · · + xpi βˆp    

     
  

  

      

i  

  

  

   

      


     
 


    

σ
ˆ

X 
2
1 X
n
+ 3
yi − (β0 +
βj Xi,j )
σ σ i
j
X
1
n
ri2
=− + 3
σ σ i

0=−

σ
ˆ2 = 

σ
ˆ= 

1X 2
ri
n 
P

ri2
n   

 

      

   

      

  

      

   

βi 

12 

     

  

   





  

  
   

         

    

β    

     

 

 

   
 

         
     

 


  

  

       
 

  
 
   

          


  

              #    #  
            

 +     #        #       *        #     
    #  #    $           $  #         #    
  *      #        #  #  
! % ! $ "      ! % ! $ "    !   & " 

•  

! % !$ " 
 # & 

#         #  

#                #   $    "  #     +
•  
#   
 #   
#         # #   
    

               #         # #        
$   

  


•  

         

     $     #  

    $      
             #     
X 
    

             #    #   *     # ! % ! $ "    
    *  #  '  #   $    *    

•   

  '       %    *        %       &    #
! % ! $ "     

! % ! $ "    ! & "  

! % !$ " 
 # &

*   #  ' *   
! % ! $ "      

  & " 
 # & ' %    ! % ! $ " 
!

  $ *     $       *  *    

 ! % ! $ "      " " (            "   #           
   *        *      
"(       ! % ! $ "    

 

 !  (    ! % ! $ "    !   & "  

& "  %(   " 



*

 *   + *( %   

!

&%   

  ( 

! % !$ " 
 # &  

   

 

+   %

&    ) & "  

"   &  %     !  "   ( & 
&  ) & #
*  + (   
 % +     *
! % !$ " 
 # & & 
* (  + 
 
 % 
! % ! $ " 
 # & ! (    

 ( ( 
%   *


   

 & *+ & & & 
( * * 

% &  + & & &    

 $    ) ! % & "  

& & &     * 

  

& &    *

&     

      
  * 

* 

& "  %(   "   %   % &   !    % + !   * % & $  && " !    &&% ! 
(  #  &   ! (   &%    ( + + ' 
%  ( " &%  " ! (   &%    +  +

"   "  )  *+ 

!    %  * '

# "   ( &   ( +  &  +

                           # ! &    )  &  "  

      *                                     
             &  ) & #  ! % ! $ " 
 # & &    # ! % ! $ " 
 # & ! (    
          #  "   &           "          # 

Yi = β0 + β1 X1,i + β2 X2,i + i
*    
# 
 #   '           $      #      # 
X1
X2 
 

Yi = β0 + i
Yi = β0 + β1 + i
Yi = β0 + β2 + i 

      #   
    #   
    $  #  

             
&  ) & # 
               #  
β0 =
=
% $ " 
 # & &  
 # )     *       #    #  
β1 = ! !
=
% $ " 
 # & ! (    
 # )     *  
β2 = ! !
= 
   #   $   #   
  

  ! &    )  &  "            

βˆ0 = 156.850
βˆ1 = 1.856
βˆ2 = −38.085

                  #  %     !           "   
            ˆ           
  ˆ           
β
β 
   # 
       0               ! 1      $   
ˆ
β2 

   

          

    $        

βˆ0 ∼  (β0 , σβ0 )
βˆ1 ∼  (β1 , σβ1 )
βˆ2 ∼  (β2 , σβ )
2

   "                  "          !        
    $           #                  
  $
β0 
*      # 
                 
 *      #
β 
          
     # 
 *     1# +        
β 
   
                2                 ' #  
     #    '    '          *                #    
             ' #       $   #    '   #   $  *    
    $

*    # # *        *       

 )  *  + (  ' * (  + '  ( ( 
"  )    % + '    '   

#       !   )  ' 
 " & !   *   & " * '  * #  & " * '  &  $  % 
#  !   ' %  !   ' * '" * '  # &    ' 
   &  #  & ""  !   ( '       &   !! %  '      
 " & !      & "   '    #  & "   '  &  $  % 
#  !   ' %  !   '   '"   '  # &    ' 
   &  #  & ""  !  % &     ' 
    

&   !! %  ' 

    

 " & !      & "   '    #  & "   '  &  $  % 
#  !   ' %  !   '   '"   '  # &    ' 
   &  #  & ""  !  % &     ' 
    

&   !! %  ' 

   

     $    '                 #  & "  %(  
σ  

   

     

likelihood

likelihood

140 150 160 170

−20

µ

0 10
δM

likelihood 

−60

−40

−20

δP      

 

   
 

(µ, δM , δP ) 

  

 
 

     

   

         

"   %   % &   !         

      #  $        
σ
ˆ ≈ 23.46
# 
$                   '     $       #       

*                         
  *               

  

 

      

    

 
 
 

                

   



   


         

  

     
           
       

 
 
 
Y
                  
    

Y 
   
      
 
   
      
        
          

               

       
   



   
      



        


                       #   )   "     + 
                  $ *            #           
                  '            $  %    )   "  
#    #    # &  #  )   "                   
  # *   #        $      #    + 
   #                #           
#    #                    $   +    #  
      $                          $       
  #    #   $                    #          
   '      
      

*    # # $

#    "   )   " ') * '   

  $       #  '             '                '   
#    '                         #  



= β0 + β1

*

+ 

       %     #  !  $  #& #   '' '   #& # $!  

σ
ˆ ≡#
'  &#  
 $ '   #   '' ' $  %  !$  $
P
1/2
( r' i2
/(n

p

1)) 
   $   #    &  $ &  '  $ 
#  
np
! n#$%    $     '  

400

3.0

4.5

16 

     

22
25

100 

  

400

10

mpg

250

100

disp

4.5

50

hp

4

3.0

drat

22

2

wt

16

qsec
10

25

       #   " 

   
 

50 



 

250 

) "

2 

  

4 

  & #  )   "   

 

   

          

    #     #       #                  '  *     
   #       #               ˆ 
#
β0 ≈ 37.3

#                    

$      

    ' $

βˆ1 ≈ −5.34 
  #   *          #         $       # 

*      $     $          *  #  $
            
*           #              *            

                     $   $ # )     *     # 
  # *      
              # )       '     
  #     $  '     $                  * 
*       # 
 

 

= γ0 + γ1 +  
  "  #                                  +
γ 
           "          
# 
        
γˆ0 ≈ 30.1
γˆ1 ≈ −0.069 
 *        #       # #         #  # *      
         # )        #                  
*                      $              *   *    
*   #     
 * $   #    #        
*          #   

# 
 
  #         #  
'       # '    
'       
X 
   #   *    '            #         
#  #  $  #  *    '  #            # #    #   
    # $   *    '  *   #  # $       '           
 '                #                 '    
 # '   *       
 #     #    #    *      
# '           
                 #    #    
               '    #                 
                             #        
                     $           $       * 
 # $     # *             $       # $   *  
                  # #     '           
#         $          +          *    #   $      
   +                 #       # $     #         $ 
        '          #       # $   *           *  
#          $        #                   # $ 
      "(             #            # $   *
σ
ˆ
σ
ˆ ≈ 3.046
*       # $    
      *  *    #      *   
σˆ ≈ 3.863 
       *  " *        *     #      $  *           

   

      

 

             *       $       # $   *   # $     
            $         *      #    *     #  
     #  
# $      

#$ 

 # # ' %    )   "

       
* 
   
 # 
            

• 



= δ0 + δ1

* 

1 

         

+ δ2 

2 

#    

*

+   

 #        #     $    *                "     

 # 
      #       
σ
ˆ ≈ 2.6
δˆ0 ≈ 37.2 δˆ1 ≈ −3.88 δˆ2 ≈ −0.03 
 '#   #         #             #     $   #  #      
             #     $ *       $       #       
      

*    # # *  

#  !   )   "  '  )   "  # $ '      &  $  '      # $  
# $   *     # $   ' %    )   " 
  &  ) ! &   # $   * 

       

    # 

*    # # *   

#  &  )
#  !    &%  # $   * '  & "  %  # $   * '      )  ' 
     &% "   ( & "   !    *  '      & "  %  
#  &  %
#  !    &%  # $    '  & "  %  # $    ' 

     &% "   ( & "   !      '      & "  %  ' 
    %   

     

   

 

  

 

  

   

   

 

       

   

10

20

mpg

10

20

mpg

30

(b)

30

(a)

3

4

5

50

250

horsepower

(c)

(d)
6
−6

−4

−2

2

resid

resid

150

weight

0 2 4 6

2

10

15

20

25

30

10

fitted values from fit1

15

20

25

fitted values from fit2

−4

0

resid

2

4

6

(e)

10

15

20

25

30

fitted values from fit3

  

  

#$ 

# #  

 ) "  

    

 

   

     

 

 

#$  

   

# 



  

     


      

 

#$  

 

    

 

 

  

 

   

 

    

 

      

 

 


δ1 

   

   

   



β1    

  

 

 

 
 

γ1 

(−.05, 0)
   

δ1   

 

   

 

         
   
    

   

 


    

δ1  

 

 


      

 

   

  

 

  
  

 

 

 

δ2   

 

β 

 1 

     

   



    

β1 ≈ δ1
 
 
δ2  

    
 

       
 

   
 

#       !   )  ' 
 " & !  ( ' *  '  &   + 
#  !   ' %  !   '   % %  '    * '  # &    ' 
   &  #  & ""  !   &  *  '       '      
 " & !  * '  '  &   + 
#  !   ' %  !   '  +(  '  * *  '  # &    ' 
   &  #  & ""  !  $     * '       '      
 " & !  ( ' *  '  &   + 
#  !   ' %  !   '  ( (  ' +    '  # &    ' 
   &  #  & ""  !  % &   * '       '     
"
&
!  * '  '  &   +  

#  !   ' %  !   '   * '      '  # &    ' 
   &  #  & ""  !  % &     '       '       

     

    

   

  
 
 

(−.1, −.04) 
     
   
γ1 6≈ δ2

    

      

X
Y
 

 

       

   
  

  

γ1 

 

 

     

 
    

 
  

     

 
          
     



 
 

β1

β1  

 

 

  
  

      

     
   

     
   
   

 

 

  

        

    

   
 


            

 
  
  

= β0 + β1 +  

= γ0 + γ1 +   

= δ0 + δ1 1 + δ2 +  



  

      

     

  

    

    

   

       

  

−8

−6

−4 



−2

−0.10

−6

−4

−2

−0.10

δ1


  

 

0.00

γ1

β1

−8

−0.04 

   
 

−0.04

0.00

δ2  

β1 γ1 δ1 

δ2 

  

)  "        

  

       

              

      

 

   

      


      

  

  

  

 

     

 




 

 

 

  

  

 
   

       

     


 
 

              
  

Y |X    

     

     

 
  



  

 

E[Y | X] 
  
    
 

   
   
    
  

X
Y |X
            

  
  
 

 
E[Y | X]
Y 
   
  
  
    
  
    
   
 

θ
X
        


       
    
        
Y  

     
        

         

 
    

 
              #             

            
)              *             #           
2 
        
                    *  
## ' $ $          $                    
    )     '#                      $  # 
           #   2          *      $ #         
   *  #     * *         " #   $       #      
*        *        $     $                    
     $          #                 
  '         $    #   #   #           
                
     # 
         
X
Y 
#    *                 
'   
                #  
            
Y
X 
                 $   '      

  

    
 
     $     $       *      # $    #            
            #    #     '   *               
*     #       " !  $  "##   *         #           
    "  

 
  
$   
            *    #    $          

              #              *       #       
   # '   $                    *         

    

 

        

*    # $  +           $     $                 
*    #        +             #   #            *   
             *       #        *     
       #      '       #    *    #  " )  &  ) & 
" )   "  $ ! "  " (  &   ""  !  "   *   % ! ) "         
  #          '   

        

 

            #          

    
      #    '   '           

    
   $ # # #           # 

                   #  '     
        *  *          #      #  '         # 

*         #                 +      
                #              #        
  *      $   ' # $            #   $  #         

    $      # *       $       +     *  #   # $   

*                      $   #          # *    
                  '           $       #  *     

  # #             #       $  '       
          
    #        
       
Y =
X = 
                       #        #         
#            $   ' #    #  +          *  #   
#           $   #                     #   #    
        $   #     
                           
37◦

         

    

    

 

     

 

 
 

E[Y | X] = P[Y = 1 | X]   

 

E[Y | X] = P[Y = 1 | X]  

 

   

  

  

         

 
 

 



 

      
 

 

 
     




X
X

        


    

    

  

   
 
   


E[Y | X] = P[Y = 1 | X] =

eβ0 +β1 x
1 + eβ0 +β1 x 

  

    

      

0.8
0.4
0.0

pine cones present

(a)

5

10

15

20

25

DBH

0.8
0.4
0.0

damage present

(b)

55

60

65

70

75

80

temperature


 

 

 

   
     

                

       

    

    

   


  



 
 

 
 

 

  

       
 

   

  

  

   



β0

   

 


   

β0   

  

  

  
   

   

 

β      

 



    

 

β1 

  

 

 

    

β1     



 

 
 

 
 
       

#      !    

# !   !   "      
        
       
  #    !   " #   "          
!  "     ! # 
  " 
#    $ % &" " 

    &! " & ' &! " 
!    
(
   "     #  #   ) 
  *  
)   #  #   ) 
  *
  
# !  !    "    # !    "      #       #        
       #   "          
" # $      ! # 
  " 
#     #
"
$ 

     &  &  & 
!    
(
   "     #  #   ) 
  *  
)   #  #   ) 
  *
  

+
      

 
 

,- ./ 0.
12 12// . -3  4  



i



   
      

   

      

0.0

0.4

0.8

pine cones present

(a)

5

10

15

20

25

DBH

0.0

0.4

0.8

damage present

(b)

55

60

65

70

75

80

temperature


   

  

   
     

                 

       

 


  
      
       

    

    

   

xi 

 

  
 

,- .0

      

φi 

       

 

θi = E[Yi | xi ]  

θi
φi ≡ log
.
1 − θi 

θi   

   

     
  


θi = 
 
    
 
   

eφi
.
1 + eφi

φi = β0 + β1 xi . 



23 21,. 2

     

φ   


   

   

,.3 21  - 2,

E(Y | x)

      

β0 + β1 x 
  

θ→1
x → −∞ θ → 0  

   


 
  

,   



  



,.3 21  12.
0 -1    

 

 
  
         

x → +∞
  
 
β0 
 
  
β1


 
 
               
      
   
 
4
      
                            
       



  

    

 




   


E(Y | x) 
 
β1 > 0 

  

β1 < 0

  

     

 

Y |x 

  

 

 

   



   

   

 
 

  

    
      


 
     



 
  
  

      


    

   
  

 

  

 

      
   


    
 

 

   


   


p(Y1 , . . . , Yn | x1 , . . . , xn , β0 , β1 ) =
=

Y
i

Y
i

=



p(Yi | xi , β0 , β1 )
θiyi (1 − θi )1−yi

Y

θi

i:yi =1

=

Y 

(1 − θi )

i:yi =0

Y
eβ0 +β1 xi
1
1 + eβ0 +β1 xi i:y =0 1 + eβ0 +β1 xi
i:y =1
Y
i 

      

i

      
         

  
    

  4 




 

  
    



(β0 , β1 ) 

   

  

     

β0 

β1 

   

      

−6

−4

0.35

0.40

0.45

0.50 

0.15

0.20

0.25

0.30

β1 

−11 −10

−9

−8

−7

−5

β0


  

   4   

   

      
     

    
 

 

  


 

 

 

      

  

    

      

n 

  
         


      

   

     

  


    

 

  

    

 
   

  

 

   

   

 
  

     

    


 
 
        

       !   "    # # #    

# 
#   " 


 !     ' # 

  " 
&
" &"     ' #
           ' # ' # 
!    
(' # 
!    
(' # 
  #       #   ) 
  *  !   "        

   #   #     
)   #    #   
  
       #  !           *  
     
    

             
!  !     # 
       #   " "  !     #  
    #   ""  !      



• 

   

 

    

       
      

   

 

#   &&& 

  &&&  


          

  



    

   & & & 

         



  

   

     


(β , β ) 
0 1   

   
      
 
    


     
    

   
 

 #               
         !   "      
    

  #  
 
   
  
  


    
   
                

 
 * 
 
          
       

   

 

      

      


   

β0 

  
     


β1 

   

 

         

  

  

   
  



  


  


    

 
   
  
       

 
 
 

 


  


 
  




β0 ≈ −9  

  

     

 

 

 

 

   

    


   

   




  

   

     

β0 

    

  



β1 

    

β1

β0 

β1 

β0 ≈ −6   



    

 

 


 

 
 

+
 

  

  

β1 

  



  

       


   

 

        

β

 


           

(β0 , β1 ) 

1 
    

   
 

 



    

      

β0   


 

   
    

           
  
 
  

β1 



 
  

         

 

 

 

      

 

 

   

  
 

 
        

       

!   "      &        #     !   " &         
 
   !   "      

       !   "    # # #    

# 

             !   "      
       !  
"        
&&& 
!        " ( 

       
"      &    !  
  

   #  
% &! ' '$ !

&% ' # #!  ! & !   &
  #  * * *
# &#   

&$ % ! # &# # #
# % * * * 
!   "      
# & '


&&&

" &&&
•  !  

 

   

   

      

 
& & &

# &%

& '

&! ! 

  


  

 
$
# &  #  
&! 
& ' #  
! &

' &
' #  
&! 

#
#
# 



"#     
  
$  


   

###
#
#
#
!
#
'

  !!       !!    
#     
  .3  / 
 # # #       

     
       

  

 
       


 

  

    
        



# # 

# #!

#
 

0 2     

  !!    ! !  "#   

    

      

  
     
       

   

• 

    & & &  

       

  


    

 & & &   

  

   

 
   

   

  

 
  

  

     

    

      !  

"         

   

y   

          

 

  
   


    

   

        
      

  

  

    

 

  

    

  

  

  

       

 

#     

   

(βˆ0 , βˆ1 ) ≈ (−7.5, 0.36) 

       

  



  
      
  

        
 

• 



±2  

  

 
 

 

β1  

 
                        
            
    

   
 
  
          
   
 Y        
Y
     
 
      

       
       
  

 
 
  

            
       Y         

X  

Y ∼

(λ) 

X

 



      



log λ = β0 + β1 x
+
     
    

  

 
       
       
   

λ 

  
   

     

 

 
          

    
           ! 
 " ! !  

    #$%&' '()'(*+   !",   -,. 
    
    !"    
/ 0/ 1  , 
  /  2" -,3 ,   -,4      0 
!  1 !5  

/, 
" /  6!"7 8    !"  !  5     , 2 7    
   6/7  !  " !   !  "     " !, 9  /
! 0 /      " !  !   !"   ! :    5
" !  ! #  /;    !      ,+ !  !  
 !0  8    !"   <(λ)  0!,   Y 0 
ij
!0  8    !" 0
 ! 1   i ! / j , = 
> !
7 ! !   λ 
 0/ 1   ! ! !     !;, 

    

       

      &          
      &           
     &          

 #         
                

                            


• 

  !    &               ,    0           

" /    ! 
  0       !/  
          !  7     !  !  
    0/   ;  !"   ,
9                7  
!"    !     7 
   7 !    ,       ! ! ! # 8    !"+7
1    !0  ! /  ,       !/      0 5 

!, 
  !   &       !  " ! !      ,    7 
!     !"     !     !  
  0 7     
  !  
  0 ,   ; 0    !;  !    

 0  !!!"  
 4  /!"    4 1      4   
   !"   
1   , 9  !  1    !0  
  0 7 !  !0 , 
  !   " !    !   ,             " ! 
/    6!     ;  !",       /      0 
! !            , 
      
 /  >    ! / ! !  7 ! 

   , 
            /  >  !        

   ,     ;  /  !  
   7 !  
  0   
   4 1   , 

 !   > !         7     

>  
 !   
 >  
 ! 2"  -,
, < !    ! 

    

 

         

      # ,        / 0 
  !"7       !
!       !  !    !   , < !    !       
 
  
,  !   !       !          

        / !          !   # ,   ; ! ! 
     !"  2"   -,3 ,        
,
2"   -,

!!     /, < !           
  
" ! /  ,       :  ! 0  ! / , 
7 -7 !  
"   /  . ! 3   ,           /       , 
 ; ! 0/ 
             )              
    

< !    !     "!       ,       !  
! 2"   -,
      !" /   6  !    0 :  !  
>,
2"   -,
           !" ! , 
           
        #                    

                     

   #
 
        #            #               

                    
            #            
                         

         
   #
 
            #                #  
                                  

           
           
                         

         
   #
 
           
              
 
                                  

   

(b)

6
4
0

2

residuals

10
5
0

actual values

15

8

(a) 

      

0.8

1.0

1.2

0.6

1.0

fitted values

fitted values

(c)

(d)

1.2

4
0

2

residuals

6

15
10
5
0

actual values

0.8

8

0.6

0.865 0.875 0.885 0.895

0.865 0.875 0.885 0.895
fitted values

(e)

(f)
3
1
−3

−1

residuals

10
5
0

actual values

15

fitted values

0

1

2

3

4

fitted values

5

0

1

2

3

fitted values

4

5 

      
                      
          #                   #      
           
 

       

           

   !" !    2"   -,

    ! , 
           
                 
 
                            

                    
 
                         

         
   #
 
                            
                                  

 

  


   

      

                   
             
         

x 

  

β 

        00 2  , 2/   

x 

      
     12.
0 2  , 2/  

                   

   )   
-, !       !        ", =   !5 
!    ! 0/  !"         6   0 ! / :  ! 
!  !/     !     , 2      6!   "
!    !  
          ! 1  ! -,

7
-, 7 ! -, 7    !    >  
      , +! 
/0 7  

 - .
yˆi = βˆ0 + βˆ1 i
,  

 - / .
yˆi = γˆ0 + γˆ1 i
,   

 -  .
yˆi = δˆ0 + δˆ1 i + δˆ2 i
,
9    >  
 " !             !/ ! 5 
0 :  ! , 2"   -,
*  /     , 2"   -,
*     
  ! " 
# $ % & $' # (        

*   

      


/

(b)

10
0

5

actual values

1
0
−1
−3

residuals

2

3

15

4

(a)

1

2

3

4

year

5

0 2 4 6 8
fitted values

0
−1
−3

−2

residuals

1

2

3

(c)

0 2 4 6 8
fitted values 
   -                  
   

          $                

      

  

     


!    &      >  
   0 ! /      
! " !"    /      
7      &       > 
5
   :           !      
7   
   ,    !   !         & 
!    &   
  &  , + !   -,
 6  >      "       & 
σ
ˆ 
!      & 
, 
  &    

2"   -,
*          !" ! , 
   &                 & 
        &   
      &          
         &                   
                               

• 

          > 
 ,     ! 0 !/    
  /
>  0/  7   7       !!  >  , 

    

-            -   

y = β0 + β1 x + 

,

-

. 

  
                    
  
 


x
y 
                                   
     

                        

    
  
    4  
     
             
xf  
    

   
   
    
  
        

yf 

xf

yf ∼

yf

(µf , σ) 

 

µf = β0 + β1 xf 
      
  
 
        
β0
β1  

       
      

µf

µ
ˆf = βˆ0 + βˆ1 xf

(β0 , β1 )

  

    

      

20

10

20

30

20

25

30

10

20

25

10

15

fitted from wt

20

25

30

10

15

fitted from hp

25

30

10

15

fitted from both

10

15

20

actual mpg

10

20

30 

   - /  
    

10 



20

30  

          

   
 
 

   

     

            

µf   

  
     
   
       
ˆ
ˆ
(β0 , β1 )
(β0 , β1 )  

        

µ
ˆf  

       
    

µ
ˆf ∼ 

  
        
  
σ 
     

xf  

      

(µf , σ )

              
 

 

      
 

                    
    
 
       
        
   
x
µ
ˆf
y 
    
   f 
         
 

f    
µf 

µf

y f = µf +  
  
        

∼ (0, σ) 
    
  

±2σ

yf 

     

µf   

   

    
      
 
   
      .  
σ
yf  

  
  
  

  
          
 , .  
µ 

(β0 , β1 )  
   
 f    
       
   

  
    ,      

σ  

                       
       
  
           
    

   
  

   
(β0 , β1 ) 
    
     
           
  
        
                  
                  

 
     

 

 


,

.                                

   -  . 
.    . 
,
,
,
.                

,

.                             
, 
                &    
  .
, 
              
              
            
           
  
     
 
                   
   
X
Y  

      

-                           
    - - 
                             .    
,        
          
 
  
                        -    
           
              
   
  

         0  
  
w
w 

0 

              -          
 
  
                
  
, 

   

 -     -  

.       
                     

                    
  

            

.
,

.
, 
.
, 
.
, 
.
, 

   
   

 

          

            

      
 
   

  +          

  

 
0   

          -     -       -           
 
  
                        
                 
              
    -                   
    
δP 
          

/ 

   

 -     -       

      +   
                          
   
          
            

,

.   
        -               
   -  

,

.         +    -    
                   


.

, 

   
  

             

   

-  

   

,

- 

.         +    -    
                 

.              -  
, 
.              

, 
.             
           -  
, 
.      
,   

                
      

 
                
        

   
    

   

       + 
      -             
+    -    
                  
   
          
   
      

         
         
     ◦         
    
    
 
 

       
  +        
    - /                   -           

     

β0

β1 

       
   

    - / 

γˆ0 ≈ 30 γˆ1 ≈ −.07 



σˆ ≈ 3.9  

                               
                     
     
  

 (   &  &  &                   
!(  ' ' #   !!                          
              

 
          
 
      
           
       
   
                  
 
    
 
      

-             
,

. 

    

µC µT 1 µT 2

.         
, 

.         
,  

 

     

σ 

 

   -   

µT 1 = µC 

µT 1 = µT 2  

 
                       
             
             
                  
          
  

 
          

      

     

                            

  
  
                      
         
  
      
    
      
     

                    
  
     
    
      
         
      
  
      
         
        

       
  
                

    

        
               
                            
                
         
    
     
    .3 2//   -0. 23 0       
  
 
 
          -       
      
      

          . 
   
  
  
Pi = 1
0 ,
B
=
1
0 , 

i 
        . 

b

p 

39

40

41

42

43

44

45

HQ 

   -        

     

        

   
  
     
     
   
,

i 


   

= α0 + α1 Pi + i

.           

α0 α1 β1 



i

β2 

= β1 Pi + β2 Bi + i 

   

.
,

.
, 

   

          
β1
β2
α0
α1 
          
        
 
HQ = 43
HQ = 44 
    2 
   
             
σ
ˆ =1 ,  
      

                 .    
         
    

α0 α1 β1
β2  

    
  
   
  
  

  

 

         

          
                

                   

     
'' '  

%
' '  

  

           
 
             
  
                      21
23 0  122 , 3
       

   
      
                      

  
           
       
       

     
    23  -  1  2      
       
        

      
  
  
 

           

      
                           
   
 
                     
   
,

.         
               
                 
     

.                         
,                          
     

                     
       

              

.          
                     
                          

, 

      

.           
                  
,
                           
   
+                              
               


              

      

 4          
   
          ˆ ˆ  
(β0 , β1 )
                          -          

      -              
 

β0
β1  

      
                   
         -                    

                        
   

  

/         
                     

   
        
 
        

    
 
       
 
         
     
yi
z   

   
      
 

  i        
z = β0 + β1 yi
β1  

    i  

    ' &  $' ( &   

, 

.             

   

       ' # 

 
 
           
     

,

.

  

      

    

   )      ' #  
          
+                     

.      
  
     



, 

      

SD(βˆ0 ) = .13
SD(βˆ1 ) = .22 

 

βˆ0
βˆ1  

   
  

#   # 

  # 
     
(
# #  
       ' # 

 
   )      ' #  
         
         
   & '   #    # ) 

          
   &! !  
   
) 

+            #    
         
    

              
              

 
            4  
   

60◦
t1 , t2 , . . . , t100  

        

.     

  .     

t1 = ,
t100 = ,
4  
           
       
y1 , . . . , y100 
z1 , . . . , z100   

 
                          . 
  ,    
            

t1 , t2 , . . . , t100  yi 
zi  
         
               
                                 

      
              
, 

.  %     !&   

    

yi = β0 + β1 ti + i 
  
,   

    

.  %     !&   

    

yi = β0 + β1 ti + β2 t2i + i 
      

    

zi = β0 + β1 ti + i 
   

-  -. 

    

.  %     !& 

,

, 

    

,

-

. 

      

/  

.  %    !&       
, 

-  .

zi = β0 + β1 ti + β2 t2i + i 
     

     

.  %    !& 

,

,  

    
-

yi = β0 + β1 zi + i 
    

,

. 

     

.  %    !&       
, 

-  .

yi = β0 + β1 zi + β2 zi2 + i 
   

, 

     

.                  
, 
.                  
,   

 

βˆ0 
 

βˆ2 

 .
,  
  .
, 

-          
                   .     



          
      ,        
 

                
        
   
   
      
                         
        /         
        
      

  !  
        ! 
,

.      
  
        
   
  
 
             
 
ˆ  ˆ     

β0 β1

σ
ˆ

.                             !    ! 

,

.        
 
    
,  

.  
  
       
           
, 
                     
         
           ,        
        .  

.        
 
 
,  

.             
         
,         
                    
 
               
    

   
     

   
 
       

   

      
 
   * )
)     
#


,

.                

.                   

,

.      
              
,   

.         
             
, 
.                    
, 
     

  

&   
# # # 
      &   
    
( &   
        #  
   * )
)       # #
 
         
            

        
         )   

    

    

      

  

 
     
           
yi = β0 + β1 xi + i                             


β1  



    
      
             

yi 
xi   

 
    
  
   
  

w = xi + δi
δi ∼ (0, .1) 
     i    

   

yi = β0∗ + β1∗ wi + ∗i
(β0∗ , β1∗ )  

     

        
     
  
(β0 , β1 ) 
wi 
xi       

         

    

      

&   
# # # 
&#   
# (
# 
&
  
# (
# 
  # 
    
(
 
    
(
 
      &    

    
( &   
         
   )       #    &
  
   &#  )  *  &
  )        
         
             

         

            

          &
       

           
                    

       
&# $ '% # &! ! ' $  &
#
%         
   

           
                    

 
  
  
                 
β0 

β1
,

.                          
x  

    
         
      

       

 

,

.            
 
           
β0
β1 
        
 
  
          
β 
 
         
      
  .
2  21/

β1

β0

.    

  
 

    
(β0 , β1 )
θi = eβ0 +β1 xi /(1 +
,                

     
eβ0 +β1 xi )
θi
xi 

       
   
   

   

,  

.               
 
  
  
    
x
β 
                      

θ 
     
      
  
   
      
    

                      
x
β 

       
      

        
         
         
                
      ◦    
36 
            
           
 
          
                    

/       
      -    

.               
      -        
, 
   

.          $    )                
,           

.                     
        
, 
     
     $    )     

.                       
      

, 
               
    
      
                   
     
      

        

      


 


    

 

 

      

    

           
           
     
 
 
              
 
 
              
  

    
X
FX  
     

  /     

 
     

d

fX (x) =

FX (b)

db
b=x    
             
    
d
0

F
(b)
f
(x)

F
(x)
= 
X     X    
db  X 
 b=x 
            
    

A  

 
       
         

P[X ∈ A] =

Z

fX (x) dx

Z

f ∗ (x) dx

A 

  ∗    
    
  
         
f
fX
R      

             
        R 


A

A

f =

A

fX

P[X ∈ A] =

A 

 ∗  
             
               
fX
f 
                               

     
       
                                 

       
          
       
    

          
     

       
       
X 
          
    
                 
  
              
         
X  

-  

   

   (# ('   

    


f 

       

P[X ∈ A] =

Z

A  



 
A 

f (x) dx 

   
    
 
   

   
  
        

       
 

 

  

           

X

fX 

           

        -  

  
            
                   

      
  
          
    
    

 
                 

 
      
   
 

"   #  
 

X#      
   


Z 

 
  

  

−1
d g (t)

pZ (t) = pX (g (t))
dt

pX !
g 

Z = g(X) ! $

−1

%  

    
A P[Z ∈ g(A)] = P[X ∈  
         



!     

A] =

R

A

pX (x) dx  




dx
P[Z ∈ g(A)] =
pX (g (z)) dz
dz
g(A)
R 
'()* !+ dz     '()* !+    
 
P[Z ∈ g(A)] = g(A) & 

&
,  
 

−1
pZ (z) = pX (g (z))|dx/dz|
Z 

- 



z = g(x)

−1  

pZ (z) 

.
   

                       
            
   
                     

   
              
            
   
     
                        
  
    

      
                    

X1
Xn 
n
n  

            
   
 



~ = (X1 , . . . , Xn )
X 

         ~           
       
      
  X                       

    

   
  
    

 

 

       

X1 



Xn 

       

~         
X

pX~ (x1 , . . . , xn ).
        
            
       
        
    n  
A
R  

Z

~ ∈ A] =
P[X

···
A

Z 

      

pX~ (x1 , · · · , xn ) dx1 . . . dxn 

       
 


  ~
X1 ∼
(1) X2 ∼
(1/2) X1 ⊥ X2
X = 
             

        
(X1 , X2 )
P[|X1 − X2 | ≤ 1] 
      
     
                 
pX~
pX~  

  
 
  
        

|X1 − X2 | ≤ 1

A

X 1 ⊥ X2

1
pX~ (x1 , x2 ) = pX1 (x1 )pX2 (x2 ) = e−x1 × e−x2 /2
2 

        
   
               
A  

              


P[|X1 − X2 | ≤ 1] =

ZZ 

X 1 X2 

  

pX~ (x1 , x2 ) dx1 dx2

A

1
=
2

Z

1
0

Z

x1 +1

−x1 −x2 /2

e

e

0 

          

  
   

  

1
dx2 dx1 +
2

(X1 , . . . , Xn )

Z


1

Z

x1 +1

e−x1 e−x2 /2 dx2 dx1

x1 −1 

     

.

≈ 0.47 , 

     

pX~ (x1 , . . . , xn ) = pX1 (x1 ) × · · · × pXn (xn )
(x , . . . , x )  

    1   
n             
    
(X , . . . , X ) 
                 
     1   n
(X , X ) 
 

         
   
    i  j            

   

 



  

               
          
         

  
               

~ = (X1 , X2 , X3 )
X

P[(X1 , X2 , X3 ) = (0, 0, 0)]
= P[(X1 , X2 , X3 ) = (1, 0, 1)]
= P[(X1 , X2 , X3 ) = (0, 1, 1)]
= P[(X1 , X2 , X3 ) = (1, 1, 0)] = 1/4  

        

 
X 1 ⊥ X2 X1 ⊥ X3
X ⊥ 
 
                
2  

,

X3

X3 

  
   

 

.

X1 X2 

          

~        
        
      

X
~ ≡ (E[X1 ], . . . , E[Xn ])
E[X]  

 
~ ≡ (X1 , . . . , Xn )       
          
  
X 

 
     

        

   
ij 
Cov(Xi , Xj )  

      

 

  

σii 

 


σ12 σ12 · · · σ1n
 σ12 σ 2 · · · σ2n 
  
2 
 

~
Cov(X) ≡ ΣX~ =     




2
σ1n σ2n · · · σn

σij = Cov(Xi , Xj ) 

 



σi2 = Var(Xi ) 

    

σi2 

     


          

   - 
     
         
  
 
      



~ =
E[g(X)]

~
X
Z

···

R
Z 

g 

      

g(x1 , . . . , xn )pX~ (x1 , . . . , xn ) dx1 · · · dxn 

         
           

~    
g(X)  


                   

   
 
 

g  

   
     

   

X1 

X2 

 
  

Y = X 1 + X2 ! $

! E[Y ] = E[X1 ] + E[X2 ]

! Var(Y ) = Var(X1 ) + Var(X2 ) + 2 Cov(X1 , X2 )
% 

      

!
   
        
          
   

  ' % 

~ =
Y = ~at X   



!

!
% 

P 

~a = (a1 , . . . , an ) 
# 

  

   

  
  
   

n

ai Xi ! $
P
P
E[Y ] = E[ ai Xi ] = ai E[Xi ]
P
Pn−1 Pn
at ΣX~ ~a
Var(Y ) = a2i Var(Xi ) + 2 i=1
j=i+1 ai aj Cov(Xi , Xj ) = ~

/

! 
  

    

  

   - 


, 

. 

   


, 

.  

        
      
              

    
      



k≤n

i = 1, . . . , k

Yi = ai1 X1 + · · · ain Xn =

X
j 

      
      

   

aij  
         
(Y1 , . . . , Yk )

~
Y~ = AX 

   

A 

 

k ×n 

      

aij

~
aij Xj = ~ati X 

~ai = (ai1 , . . . , ain ) 

    

  

  

  

Yi 

~ at X)
~
Cov(Yi , Yj ) = Cov(~ati X,~
j
n X
n
X
=
Cov(aik Xk , aj` Xj )
= 

= 

k=1 `=1
n
X

aik ajk σk2 +

k=1
~ati ΣX~ ~aj 

            

n−1 X
n
X

(aik aj` + ajk ai` )σk`

k=1 `=k+1  

 

      

 

Y~ = 

-  

  

/ 

 



  

"   ~   
  

    

    ~
X
n
E[X] = 
 

     
 
 
~
Cov(X) = Σ
A
k×n
k
µ 
 ~ 

~
Y = AX ! $
#  

! E[Y~ ] = Aµ 

! Cov(Y~ ) = AΣA0 
                                  
'%   

                  - .   
,        
       
        

~ = (X1 , . . . , Xn )  
X 
       
n
fX~
n 
    
          

~
~
~
Y = (Y1 , . . . , Yn ) = (g1 (X), . . . , gn (X)) 
        
              
~ 7→ Y~
gi 
g:X 
        
     
fY~
Y~  
      
 


          
J 
 ∂Y1

∂Y1
·
·
·
∂X1
∂Xn
 ∂Y2 · · · ∂Y2 
 ∂X 1  ∂X n 
J=   




∂Yn
∂Yn
· · · ∂Xn
∂X1 


|J|  

                 

'%

%  

 

  

J 

fY~ (~y ) = fX~ (g −1(y))|J|−1 
                        
R R 

~ ∈ A] = ··· p ~ (~x) dx1 · · · dxn 
A P[Y~ ∈ g(A)] = P[X 
 
             A X

!   

~y = g(~x)   

 

P[Y~ ∈ g(A)] =

Z

···

Z

g(A)

pX~ (g −1 (~y )) |J|−1 dy1 · · · dyn

R
R 
'()*+ dy · · · dy      '()* +
P[Y~ ∈ g(A)] = ··· g(A) & 
1
n 

& 
   
,  

−1
−1 
pY~ (~y ) = pX~ (g (~y ))|J| 
pY~ (~y) 

  

                                 

           
 
        
 


X1 ⊥ X2

 

X1 ∼
(1) X2 ∼
(2) 
             
~
X = (X1 , X2 )
P[|X1 − X2 | ≤ 

     

 

                              
~ =
1]
X 
         
      

     
|X1 − X2 | ≤ 1
(X1 , X2 ) 
 
   
    
              
Y
=
X

X
Y2 

1
1
2 
                  
        
Y~ = (Y1 , Y2 ) 
    
      

         

|Y1| ≤ 1
Y 1 = X1 − X2   

            

 
          

Y2   

         
      n  n      
       
R
R 
Y 
             
    2        

~
X
Y~  

 
  
        
            
Y 2 = X2  

∂Y1 ∂Y1  
1
−1
∂X2
1
=
J = ∂X
∂Y2
∂Y2
0 1
∂X1
∂X2

|J| = 1
X1 = Y 1 + Y 2 



X2 = Y 2 
            



pY~ (y1 , y2) = e−(y1 +y2 ) × 21 e−y2 /2 = 
   
     

  


1 −y1 −3y2 /2               
e e

pX~ (x1 , x2 ) = e−x1 × 12 e−x2 /2

2

P[|X1 − X2 | ≤ 1] = P[|Y1 | ≤ 1] =

ZZ

pY~ (y1 , y2 ) dy1 dy2

A

Z
Z
1 1 −y1 ∞ −3y2 /2
e
e
e
dy2 dy1 +
e
dy2 dy1
2 0
−1
−y1
0
Z
Z
1 1 −y1  −3y2 /2 ∞
1 0 −y1  −3y2 /2 ∞
dy1 +
e
−e
e
−e
dy1
=
−y1
0
3 −1
3 0
Z
Z
1 0 y1 /2
1 1 −y1
=
e
dy1 +
e dy1
3 −1
3 0
0
1
2
1
= ey1 /2 −1 − e−y1 0
3
3 
1 

2
−1/2
1−e
+ 1 − e−1
=
3
3 
- .
≈ 0.47 ,

1
=
2

Z

0

−y1

Z

−3y2 /2 

/ 

   



X2

Y2

X1 

   

 

   

    



  

     

Y1 

   

        

(X1 , X2 )
(Y1 , Y2 )  

   
 
               

~
~
X
Y
|X1 − X2 | ≤ 1   

      

          

            

                              
          

 
                   
     

     

 
                           

      
    
                     
                   
                    

 ! "#   
     

 ! " #   

 
       $            
     

     

 
       $  $               

      
    
   $                 
                  
                    

 % "#   
     

 % " #   

             &        

      

 



              
    

 
                 
                   
 
              
   
 

        

/ 

                 

  
        

        
       

  

     

       

      
         
   
Y
Y 
 Y    p   
  
         

           

Y 
            

   
   
           

Y  

 
  
      
 
 
   
  

FY 

(P  

   

c
Y
y=−∞ P[Y = y]
FY (c) ≡ P[Y ≤ c] = R c  

    
Y
.
p(y) dy
−∞ 

 .

, 

            
                       

           

              
Y 
b∈R
P(Y ≤ b) = F (b) =

Z

b

p(y) dy

−∞ 

  
               
   

p(y) = F 0 (y)

               
   
Y
P[Y = y] = P[Y ≤ y] − P[Y < y] =  

       
−          
FY (y) − FY (y ) ,
FY (y − )
F (z)  

  
 
        
.   Y  
z
y
lim↑0 FY (y − )   

        

(  

   

FY (y) − FY (y − )
Y
pY (y) =  

     
FY0 (y)
Y 

       

  


.

, 

  
    
         

  
     

                
      

FY (y)  


                
    
        


Y
Y   

   
              

    

F 
          Y     
          .          
,  

   
      .       
,  

  

/ 



 

Bin (10, .7)

0.0

0.4

cdf

0.20
0.10
0.00

4

8

0

4

8

y

y

Exp(1)

Exp(1)

0.0

0.0

0.4

cdf

0.8

0.8

0

0.4

pmf 



0.8

Bin (10, .7)

pdf 

0

1

2

3

4

5

0

1

2

y 
  

3
y   

            
   

4

5 

      

 

    

        



/- 

          

    
     
              

    
                  
           

    
              &   
                 
          
            
    
            

           

                                

                               

                          
•     
                          
    

   
          

           

Y   

   
           
       
MY 

MY

(P  

   

ty
Y
tY
y e pY (y)
MY (t) = E[e ] = R ty  

     
e pY (y)
Y 

  ' %  

  

,

. 

          
  
  

pY 
 
                              
                      
               
                          
   
  .
t=0 , 
   
                        
M (t) 

 .  Y        ,   
   

    
t
MY (t) 
                                


δ>0  

      


            
     
MY (t)
t ∈ (−δ, δ) 
   
           

Y 

 


n

MY

E[Y ] = 

      
 

 #   

(n)
MY (0)

dn

≡ n MY (t)
dt
0 

/ 

  

%  

n 

! 

              

   

n=1  

 



  

          

Z

d
d

ety pY (y) dy
MY (t) =
0
0
dt
dt
Z

d ty
=
e pY (y) dy
dt
0
Z

= yety pY (y) dy
0
Z
= ypY (y) dy
= E[Y ]  

  
               

d
dt

Z

f (t, y) dy =

Z

d
f (t, y) dy,
dt 

       
      
             
   
 
f 
     
      
                  
     
  
              
                
          
  

  
          

     

            
          
                    
   

                                
                         
       

       

MY (t) 

 
 
    
    
  ' %      
X   

   
 
     
Y    


MY !
X (t) = MY (t) 
 
    
 

 #   MX
 # M  
       
t
FX = FY ! ! X
Y  
   

! 
  ' %        
     
 
     

Y1 , . . . 
  
  
  
         
 
MY1 , . . . ! 
M(t) = limn→∞ MYn (t) ! 
        
     
 

 #   
 

t
M(t) 
    
         
#                

F 

      

 

! 



!M 

y 

  



/

F (y) = lim FYn (y)

F 

    

n→∞ 
 

  

F!  

         
          
            

                  
 
        
            .      

   

 
  
  

           
  ,   
  

  
        

CY (t) = E[eitY ] 

  
         
  

  
     
i = −1 
 
 
            

 

  

  
 
    
    
    

  
                ,       
          
  
              
   
                         
   

 
                    
     
        /       

        

  ' %      
 
 # 
 

#    
X
a, b 

bt

Y = aX + b ! $

% 

!

MY (t) = e MX (at) !  

MY (t) = E e(aX+b)t  

= ebt E eatX
= ebt MX (at) 

  ' % 

X +Y ! $

% 

! 

        
    
X
Y
Z=
!  

MZ (t) = MX (t)MY (t)  

MZ (t) = E e(X+Y )t = E[eXt eY t ] = E[eXt ]E[eY t ] = MX (t)MY (t) 

    

 

  
  
Y1 , . . . , Yn 
  
 ! ! !
MY ! 
X = Y1 + · · · + Yn ! $ 

' %' !! % 
  

MX (t) = [MY (t)]n   

  

/ 

 

 

 

 
 

   
,

. 

       

   

                 
   
         
~ 
    
         pX  

       
   
x1
x2  
 
   
        
pX~ (x1 , x2 )
(x1 , x2 ) 
                  

   
       
  
 
        
          
x1
x2
pX~ 

            

,

.  

 

              
              

.                   
             

,  

 

    

   

A 

   

 

     

.  
                    
,  

          
               
 
N 
                  
 
X  

                   

-  

P[X ≥ 1] 

                        



(X1 , X2 )  

 
p(X1 ,X2 )  

    
        

   
(X, Y )
p
(x, y) ∝ ky
k > 0  

 
            (X,Y 
)         

(x, y)
(0,
0)
(−1,
1)   

 

(1, 1)

,

.   

k 

.    

P[Y ≤ 1/2]
, 

.   
P[X ≤ 0]
,  

.   
P[|X − Y | ≤ 1/2]
, 
                        
      
       

,

. 

  

   
           
~ = (X1 , X2 , X3 ) 
X  

   
                
X 1 , X2 , X3 
          

   
 

/

.          

~ = (X1 , . . . , Xn ) 
X
, 
                    

X 1 ⊥ X2 X1 ⊥ X3 
 
  

  
              

   

X2 ⊥ X3 

 

X1 X2

X3 

            

              
      
   
  

 

/            



X
Y 

(1, 0) (0, 1) (−1, 0)
,

. 

    

(0, −1)

p(x, y) 
  
 
    
X
Y  

            

,

. 

 

 
   



U =X +Y 



V =X −Y 

           
 



X = UV

.

.
,

.
, 
.
, 
.
, 
.
, 
.
,   

 



U
V 
           

p(u, v) 
 
    

U
V  

           
 

p(u)
p(v) 
    
         
 

p(u | v)
p(v | u) 
   

  

E[U] E[U | V = .5]
E[U | V = −.5] 

      

(U, V ) 
     

, 



p(x)
p(y) 
      
         
 

p(x | y)
p(y | x) 
     

  

E[X] E[X | Y = .5]
E[X | Y = −.5]  

                 

Y = U/V 

          


X Y 

            

            


(X, Y ) 

           
           
  
  
 

P[Y > 1] 

P[X > 1] 

P[Y > 1/2] 

X
Y   

(X, Y )  

  

// 

 

   

.   
P[X > 1/2]
, 
.    

P[XY > 1]
,  

.   
P[XY > 1/2]
, 
                                  
                

t=0 

            
-      

  

Y 
    

MY (0)  



n=2  

                    

X ⊥Y  

    

 

      

   
               
          
           
     
 
             
       
   
                       
  
   

  -          
  
        

    
 

   
   
     N 

      
θ
θ   

     

        
  
      
(0, 1) 
(N, θ)
θ θ 
                    

 

{ 

(N, θ) : θ ∈ (0, 1)} 

    
             
              
       
     
  - .     
-  .         
 - - .  
  ,  
  -  .    ,               ,      
,   
    
 
      



     

            

 

       
   (  '  ( !  (&# % (   # ('       ! "  # $   
# # # %   ""      %%& ! $  ! % ! " %$ &   
# %" % $ "  # %   

%     ' 
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.  ( %  ""  &  % 
   , !  % " .  & ! " %" $ % %  
,  % # 
%  , $ " .      "" % # %  , &   % &  . '   !    

, 
& "  % $ %  

/   

     

' # $& 

%  %" 

n 

' #  %  "   $   



- ' %" % 

θ

 

!  !(   
# & 

% # %"   ! 

!  ""   !   !   # # %   ( 

θ

'  

# %! & (% " 
# $& %  $     $ #  "" 
X   

%" ' #  
!  # ( #  & " ! % $  #  %&  % 
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' #   " ("$    % #   %    
(n, θ)
X∼
(n, θ) 
X
' ' '  '    $ %  ' #    &  "     & "  &   %  ( %" &   
n   

! ' $ ""  
$       ! # %" %  %%& ! %! % 
n
θ
θ
" %  $ '

($ "θ "%  ("$   % ( !   #   "%   ! & "" ("$ 
θ 
( !   #   & X  

% 
"" '  $  ("$  # ( !    $ ( " 
X
θ 
& $  
"    & % '    %$ "%      %$ "% ("$
X =x 

#  
  %( !      $   #    ""     " !  !   %  
  ' #            

 " ("$
' 

θ  

  ' %      



X ∼  (n, θ) 



p(x | θ) 


n x
pX (x) =
θ (1 − θ)n−x
x
x = 0, 1, . . . , n ! 

%"     & "   %&  % %% ! $ # %  "" 
  $     . ! "$%    . $ # 
'    

, #
,!  % # 1000110 · · · 100  "  
#    

$  

$    

S = {0, 1}n 
x ∈ {0, 1, . . . , n} 
# $    
     $     # 
 ! 
' 
Sx 
S
x 1
n − x 0 
#  
'    

%$
"%  

""
# 
( 
# 
&  

s ∈ Sx
Pr(s) = θx (1 − θ)n−x
s
Sx 
%  "  ' # % % 

%  

#  # 

!  $ 



n 

pX (x) = P(X = x) = P(Sx )  

 
=(
Sx ) · θx (1 − θ)n−x 

n x
θ (1 − θ)n−x
=
x


 



  

  

#   "  
&  % $  #  # (      & '  # 
n=1 
#  
!  # (   
  ! % $  #  %&  % '   

% 
% '   
% #  
%
'
X∼
(θ)
X∼
(θ)
pX (x) = θx (1 −θ)1−x
x ∈ {0, 1} 
 %&  #  # (     " $&  % "" !  % $ "" %" ' 
$    
 
 
 
!
'  
X1 ∼
(n1 , θ) X2 ∼
(n2 , θ)
X 1 ⊥ X2
'  #   # ! % $  
   $   #   X3% =
X1 + X2
X3  
 
$    . # % % 
%"   . # %"
X3 ∼
(n1 + n2 , θ) 
n1 + n2 
"" # ( # & 
%  "   ,$   - . # 
%" % ,!  !  
θ 
# 
# # % # %  % 
$,&   . !  . 
# "
X ⊥ X2
X
, 
$ & %  $ 
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$  %   !     # & &    %  $   '
n=1 

X 

  ' %      

% 


!  

Y ∼

θ  



X ∼  (n, θ) ! $  

n
MX (t) = θet + (1 − θ)

%

'

(θ) 

# 

MY (t) = E[etY ] = θet + (1 − θ).

Pn 
# %
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X =
i=1 Yi
"%   '   ' 

# 

%

Yi  

' '! ' 

%

(θ) 

!    "  

  ' %    "    
  

X1 ∼  (n1 , θ) X2 ∼  (n1 , θ)   



X3 ∼  (n1 + n2 , θ) !

X3 = X1 + X2 ! $

% 

#  

%"

X1 ⊥ X2 !

! 

% 

%    

MX3 (t) = MX1 (t)MX2 (t)  

n  
n
= θet + (1 − θ) 1 θet + (1 − θ) 2  

n1 +n2
= θet + (1 − θ) 

$ "   

% 

# " 
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' 

#   !   # % &  ' ' 
&    #    
!% $ '
(n1 + n2 , θ) 

# % &  ' '
# % &   

# 

 
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# &   #
$   "$ " !    $   '  '  

# % &  ' %   #  % $ " !  (  # (%   !  ! %! ! (   

'  

  ' %       

X ∼  (n, θ) ! $ 

  

       

 

! E[X] = nθ !
! Var(X) = nθ(1 − θ) !
p

! SD(X) = nθ(1 − θ) !
% 

#  %  % 
  (  %" % '   
 
# 
E[X]
X

(n,
θ)
X =
! 

Pn 
% & $$ ""   !   !  ' # %  
# % 
%  ! #
X ∼
(θ)
Xi 
X  

%i=1 
 i # % & i  ' 
'  $  

Var(X) = n Var(Xi ) 

Var(Xi ) = E(Xi2 ) − E(Xi )2 = θ − θ2 = θ(1 − θ).
'

Var(X) = nθ(1 − θ)  

""   & & !  "  '

# % $ " %

SD(X) 
&   # $ "   $    %  %     #  & " !% $  ' 
   %&       &     
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$    # "" 

# % % & "% $    %  %   
&     
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# # % ! % $   $     %   # % # "      # % '    

       

   

  

  

      

 
 
 
 

 
 
     
 
 
       
      
 
 
       
      
 
    

     
      


    
  

   

 
     

    

  
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&     

 
  

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&     

   



    
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&       

 
 

&        
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&    
               
 


 
 
  
        
   
&          
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&         

   
 

 

 
  

& 

    

    

 



       

 
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x n
p 
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p

n

#   #  %"  &  # % & '   
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'
# 
Y1 , . . . , Yn ∼ P
(p) 
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# 
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n=5, p=.5

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2

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n=20, p=.05

n=20, p=.5

p(x)

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1

2

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6

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8

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10 15 20 25

y

6

pY(y)
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2
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y

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0.00

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0

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Number of Groups

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Number of Particles in Interval

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# !%  $ #   (   $ "    #  #   %
'   %
1, . . . , n
'  #
&  
Y ∼  (1, n) 
'
p(y) = 1/n 

%
'  # !%  $ %& ! %  $  $  !  &  ! "  %
y = 1, . . . , n 

&
"  !  %""  %   # %
%&    ## # $&  % ! & ! 
$ ""  " " '  # " 
%&  %  '       
""  $  $ " ! % 
$ 
%"  %  $   $n !  ""$ %  
   &
" 
  ' %  

" ! 
&
" 
%   ' 

   

   
        
 # $ $  $  %& ! % 
$  # ! %  $  #
!   ( % #  %("
'   %
[a,
b]
'  "# $  # #   &   #  $  !  # # ! % 
Y ∼  (a, b)
$  %&  #    ""  !  # #  &  '  #
! 

p(y) = 1/(b − a) 

%
'  # &   (%    ! & &    %  $   % " 
y ∈ [a, b] 

%   ' 

$

     %(  % ! & &
" 
%&
'  #  
y1 , . . . , yn
(a, b)  

# & '" ' ' ˆ  #  !    


a, b)

p(y1 , . . . , yn ) =

(

0  

n
1
b−a

a ≤ y(1) 

# %   

# #  &  &   !    $   

(a, b) 

# $ &    #  !    '  #$    

!

b ≥ y(n) 

 & "" 

b−a 
! ˆ
'
b = y(n)
a
ˆ = y(1) 





  " 

                   
      

          
# $

%   % "  %
& # & " $   !   !  

Γ

Γ(α) = 

& &  '  #         ! 

R+
Z ∞
0

tα−1 e−t dt 

 
" 

                    

 

%&    $ #  & &  $     
! %  %       ' % $ %
$ %
   #  

 

$  !  & # &   
%  

% 

% 



(

Γ(α + 1) = αΓ(α)
α>0 
%
(   %
Γ(n) = (n − 1)!
n

Γ(1/2) = π 

$ &  %

α

p(y) = 

! 

#  & & 

1
y α−1e−y/β
Γ(α)β α 

 % 
&
'
Y ∼
(α, β)
  $%  ' #     & & 
β

β

α, β) 

%

y≥0

!    % $ % ("$  

'

! %  $ # 

α

! 
' 

! $ % ("$    

#
 "    $ %  ' # $ %(  % !   %  
# ( !   % 
α 

# 
 '  & &  
"" ! #  

%&  %  #  & & 
α 

! %  $ ' 

# $%
 " "  ! " 
 % #   '  ' '  # $ % $ %( 
# 
 $ !   %  
# 
 %& #
 "  # ( # &
α = .5 
"  '  # !   %  "  %% 
 !  !   %  ("$   ' %
β 
# %  
"" !   

%&  % '    
!% "  %&
!
 !   
$   'β #    "
%&  %  $ 
β
p(y)
y 

"  # %$  # # %
'  # !   "
%&  %  &   !  !
y/β 
 # % &  '  '    ' % & %  "
%&  % '

  $ %  '  
% ! $ 

!  

# ""     

 ' 

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

  

β=1
1.5

3.0

β = 0.5

1.0

α = 0.5
α=1
α=2
α=4

0.0

0.5

p(y)
0.0

1.0

p(y)

2.0

α = 0.5
α=1
α=2
α=4

2

3

4

5

0

4

6

8

y

β=2

β=4
0.4

y

α = 0.5
α=1
α=2
α=4

0.1
0.0

0.0

0.2

0.4

p(y)

0.3

α = 0.5
α=1
α=2
α=4

0.6

2

0.2

1

0.8

0

p(y) 

       

   

0

5

10 15 20
y

  $ %  '  & & 

0

10 20 30 40
y

!   % (%$  ("$  

α 

!

β

' 

                    

  

 

)  '   )$  "&#. 
&      
  %&    
&    %&    &   # )   "" *%+   
. ".  )   &  .)  "   %&".. *%+  )"    )   
"#&   )$,   $  & * &  &+   "#&   "#  

     
 !!  





X∼ 
 # % &  '  ' 

(α, β)

pX (x) =  



Y = cX x = y/c 

! 


 

Y = cX  

Y ∼ 

(α, cβ) 

1
xα−1 e−x/β ,
Γ(α)β α

dx/dy = 1/c 



1
(y/c)α−1e−y/cβ
cΓ(α)β α
1
(y)α−1e−y/cβ
=
Γ(α)(cβ)α

pY (y) = 

# # 

#

!    '  "  

&

%  '

(α, cβ) 

# &   &     ! (%  % % %! !  #  

     
 !!





Y ∼ 

(α, β)   

 ( %" # % &  '

E[Y ] = αβ  

Z

1
y α−1 e−y/β dy
α
Γ(α)β
0
Z
1
Γ(α + 1)β ∞
y α e−y/β dy
=
α+1
Γ(α)
Γ(α
+
1)β
0
= αβ.

E[Y ] = 

#

y

"  $ "  ""    $   
 ! #   % !
Γ(α+1) = αΓ(α) 
  & &  !     #   %"   ' 

   

    

       

#

" %  #
%   %           % !   !    ! 
"$ !   #  #   %"     ( %  $ $" '
%      ' 

     





 
 !
 

      !  

Y ∼ (α, β)  
!
MY (t) = (1 − tβ)−α
t < 1/β  

 !! 

Z

1
y α−1 e−y/β dy
α
Γ(α)β
0
β
α Z ∞
( 1−tβ )
1−tβ
1
α−1 −y β
y
e
dy
=
β
βα
Γ(α)( 1−tβ

0

MY (t) =

ety

= (1 − tβ)−α 

    





Y ∼ 

(α, β)   

Var(Y ) = αβ 2 


SD(Y ) = 
 !!  

αβ.

%   ' 

   

  
$# 

√ 

     
 

 # ( 

! " 

# 

$   

# " &    & 
# & $ "  
  ! (  # 

 

# &  $ ! & "
%    " ! %  $ % $# $   # 

!
  ! %  $ '    # & $ " #  & !   % # ( 
Y 
$% '  
#  

 "
! %  $ #  % & 
#
! 
Y
λ>0 

Y

pY (y) = λ−1 e−y/λ 

%

y≥0

' 

!   %

'  #  !   
$% !    $ %  '  %
 
Y ∼ (λ)
  $ %  ' % $ % ("$   '  #

 " ! %  $  # 
"

λ 

 

                    

 

 #  & &  ! %  $  # 
'  # &   
 ! &   %
α=1
SD 
(    # % &   '  
' ' 
#

 " !   #   &  & $ &  
! ! %   &  
y=0 

""  '  # ("$ 
!  %&   # ("$ 
! # % 
λ
p (0 | λ)
! %  ' 
$ ""  
$      '  & "" ("$   Y %
( !   % "% 
λ
y
("$    "%  ("$   % ( !   % & "" ("$   '

λ

λ

10

y

0

2

4

p(x)

6

8

lambda = 2
lambda = 1
lambda = 0.2
lambda = 0.1

0.0

0.5

1.0

1.5

2.0

x

  $ %  ' 

 

" !    

   
             

                    
  
/    

 
    
 
  

  

 

     

       

        %  

                 
        

         %

6
6    
          

  


238 
8 2     
  
  

8 7 
   
    % 6
       
239    α        % 64
2358  
     +  .. 


 

α 
%& 
   

#  

 %. 
%&8 "%           
   
   

    
   
    
 
Y                

)    
     

  
 
          
:            
        
    
    
    
  & λ(         %       

0   

    
     

  
λ
m
P[Y ≤ m] =  

 
  %             
P[Y ≥ m] = 0.5
m 
 
           

Z     

m

λ−1 e−y/λ dy = 0.5.

0  

  
λ log 2 %   

  % 6m =  

       

 
 4



λ   6 9 7 

8  2 %  6    

7
73     

%      

       


   

4
λ   
     
8       87   

                      ! !   

 
"    !        !    
        !   

(λ)
#     !    # !   $ !
  
  $  
        " 

T

    $       
 !         " " 
"   
  
t
T ≥t
S 
!  !       " " 
"             # 

S = T −t
S

    !   



T > t

r>0

P[S > r | T ≥ t] = P[T ≥ t + r | T ≥ t] =
= 

P[T ≥ t + r, T ≥ t]
P[T ≥ t]

λ−1 e−(t+r)/λ
P[T ≥ t + r]
=
= e−r/λ .
P[T ≥ t]
λ−1 e−t/λ 

     
 

                 
 
S
(λ) 

   $   
 !  
  "           

  #  
          "    

         t  $ 

   # !               $     
!     #    ! 
        "  #           

    $$ 
(λ)

!    #  " 

  %

T


+       

  

, 
)    
    /     

                     

  

 %   
   %       $    
  
   
! !             "     $    
$ !
  

$  !  $  $ " 

    $  $$     
$
λ 



"   !   #       !   # $       !   
T 
          


(λT )

" # 
 
    !        !   # $  

I
I2
I1 
 1
   
#    !   # $ 
"

I2

$               $  #    !  !  !  
" 

     !     $   !  "   
   !  #  
t0
T1 
 $  # 
 
  !        $  "   
t0
Y1 = T1 − t0
T1
Y1 
  !    "             # 
  
  
! 
 

 

y

Y1  

 

Pr[Y > y] = Pr[ 

 $  

 $        #     



[t0 , t0 + y]] = e−λy 

  

!
 " 



Pr[Y1 > y] = e−λy ⇒ Pr[Y ≤ y] = 1−e−λy ⇒ pY (y) = λe−λy ⇒ Y1 ∼ 

      
$  #

t0

(1/λ) 

 !     $   $   
   !  #   $  
T2 


"             # 
  

Y2 = T2 − t0

#    

Y2

y>0

$ 

Pr[Y2 > y] = Pr[
[t0 , y]]
$   
$  
= Pr[
[t0 , y]] + Pr[
[t0 , y]]
= e−λy + yλe−λy 
  #   

!

pY2 (y) = λe−λy − λe−λy + yλ2e−λy =

λ2
ye−λy
Γ(2)

" 
      !        $       ! 
  
Y
(n, 1/λ) 
 "    #$    !n
 #   # 
    ! "

Y2 ∼ 

 %  %    

 

α ≡

(2, 1/λ)





P

Y1 , . . . , Yn
Y ≡

αi  

       

 
  


X

Yi ∼ 

(α, β)

Yi ∼ 

(αi , β)   

  

 !!   

$ 

     

      

" 

    !  "         !        ! 
Yi 

  !         
"
αi 

 
       
             

β 

   

    %        
    ! !          

2 
   
    $   
    
 β = 
  !
α = p/2   

    #p #  ! "    
2" 

% 

p 

 %  % 
X ∼ χ2n  
 !!  





 

  

!  



Y ∼ χp 

Y1 , . . . , Yn ∼    

  


(0, 1)  

$   



X = 

" "

P

Yi2    

        


   !           
            
α
β
(α, β)
#      !    
       "        
Y

pY (y) =

Γ(α + β) α−1
y (1 − y)β−1
Γ(α)Γ(β) 

 
!  
"    
(α, β)
Y 
     !  " "

∼ 

 %  %  





Y ∼ 

(α, β)  

E[Y ] =
Var(Y ) = 
 !!   

" 

$ 

" 

#

(α, β)

"

y ∈ [0, 1] 

!      $

α
α+β
αβ
(α +

β)2 (α

+ β + 1) 

 
    !        " 
$
      #     

    !  !   "       # !                 

! 
$                #    #
α β 
 "  #   
 
 
  !    "      
 
α>1
β>1
p(y)
(1, 1) 
!     
   "  

(0, 1) 

      

 

                     #     $ # !   
     "   
" " "
"          
x1 , . . . , xn ∼ 
(0, 1)         $ 
  (0,1)        $ # # 
# 

x(1)
x(1) 
        
 # "
FX(1) (x) = P[X(1) ≤ x]  



= 1 − P[ Xi

= 1 − (1 − x)n 

 #  
pX(1) (x) = 

  

x]

Γ(n + 1)
d
FX(1) (x) = n(1 − x)n−1 =
(1 − x)n−1
dx
Γ(1)Γ(n) 

 $      
   "           #         $
(1, n)  

$  "  

 %       %   %   % 
 %   
        $        ! !        #    
 ! " 

 %  %   





X1 ∼
Y ≡ 

 !! 

(α1 , β)  X2 ∼

X1

X1 + X2  

(α2 , β)  



X 1 ⊥ X2 

(α1 , α2 )  

$  " 

      !  "     
 
      !   
X
X 
#              
   1   2    "

β 

 





• 

  

     

        

                       

 !    



"   



 !     !     



 !     ! ! $  

     !       

 

  

 

     

      

8

a

4
0

2

p(y)

6

(a,b) = (0.3,1.2)
(a,b) = (1,4)
(a,b) = (3,12)
(a,b) = (10,40)

0.0

0.2

0.4

0.6

0.8

1.0

0.6

0.8

1.0

0.6

0.8

1.0

y

4

b

2
0

1

p(y)

3

(a,b) = (0.3,0.3)
(a,b) = (1,1)
(a,b) = (3,3)
(a,b) = (10,10)

0.0

0.2

0.4
y

6

(a,b) = (0.3,0.03)
(a,b) = (1,0.11)
(a,b) = (3,0.33)
(a,b) = (10,1.11)

0

2

4

p(y)

8 10

c

0.0

0.2

0.4
y

    "               !   " 
  !  "         !  "

  

  

     

•  

             " 

   

              "  $      
$ #    !    !        "    $ ! ! 
      
   # !     $        !              
   
    "     !       !
    $  #   

  !     ! "  

!  $    

  %

µ∈R 



σ>0

p(x | µ, σ) = √ 

   !      

"

1 x−µ 2
1
e− 2 ( σ ) .
2πσ 

 % 
 %   %     %    

 %  

    
        4    

      
2         
      
   
          

8     

    
)               
 
µ

8.08
σ

0.94 
 
   
              
          -      

8            

 
-          
 


44
46 
◦      

 
         7  3 ◦ 
  
   
−21    −19


0.2
0.0

density

0.4 



4

6

8

10

12

temperature  

 

"   !
  ◦  
◦      "       $ 

19 − 21

     
 !  
 
44 −46◦ 
  "  "     " 

   

     

        

          
  
     
                  

    %               

      

   
8◦   ◦ 

   
   
/ 
   

45
20                  

/         

  
    
    
t 
   
  2 2 7 
  
     
   
 
8.5◦    9.0◦  

/    

2 
2  

7   

           
    
   

t
8.5   

 
◦     
    
   
 

9.0

    

P [t ∈ (8.5, 9.0]] = 

Z

9.0
8.5

 "

1 t−8.08 2
1
e− 2 ( 0.94 ) dt ≈ 0.16.
2π 0.94

         
 
4 4      

   
      !    & 
 

     !    :  

 &  
   
  
      %  &            !   
 
 $      &  $ &          
&  , 
•  

  

 
  
    $ * + $ * + 
 $       % $          
•         

 
+ 
+  

+
  

$ * $ *  

$ *&+ $ *&   

 
          
19/112 ≈ 0.17            

8          

 
 
2 
2  

7   

     ,     
.           
    % 

2 
2  

7        

     


◦ 
7.5    8.0  

    

     

P [t ∈ (7.5, 8.0]] = 

Z

8.0
7.5

1 t−8.08 2
1
e− 2 ( 0.94 ) dt ≈ 0.20.
2π 0.94 

4 
 
              

8 


       
                

2 2  7   
   

 %  %  





Y ∼ (µ, σ)   

MY (t) = e

σ 2 t2
+µt
2

.

15/112 ≈ 0.13  

  

      

 !! 

 

Z

1
2
1
e− 2σ2 (y−µ) dy
2πσ
Z
1
2
2
2
1

e− 2σ2 (y −(2µ−2σ t)y+µ ) dy
=
2πσ
Z
2 (µ−σ 2 t)2
µ2
1
2
1
− 2

= e 2σ
e− 2σ2 (y−(µ−σ t)) + 2σ2 dy
2πσ

MY (t) =

=e
=e 

 %  % 





ety √

−2µσ 2 t+σ 4 t2
2σ 2

σ 2 t2
+µt
2

Y ∼

(µ, σ)  

E[Y ] = µ 
 !! 

 

.  



Var(Y ) = σ 2 . 

 !   

E[Y ] = MY0 (0) = (tσ 2 + µ)e 



σ 2 t2
+µt
2

t=0 

  $ 
2

MY00 (0)

E[Y ] =

2

=σ e

σ 2 t2
+µt
2

2

2

+ (tσ + µ) e

σ 2 t2
+µt
2

= µ.

t=0 



Var(Y ) = E[Y 2 ] − E[Y ]2 = σ 2 .

= σ 2 + µ2 . 

    $        !          ! "    

 !  "        !              #  $ 

  #        !        "    !      $   ! 

           $  !  "    $  " " 

(0, 1) 

 %
% 
  

X ∼ 

Y ∼ 

(0, 1)

(µ, σ) 

 


Y = σX + µ 



X = (Y − µ)/σ

Y ∼ 



(µ, σ) 

X ∼ (0, 1)  

  

    
    
 

 !!

"  



X ∼  (0, 1) 



Y = σX + µ

"  

  !

MY (t) = eµt MX (σt) = eµt e
" 



Y ∼  (µ, σ) 



X = (Y − µ)/σ

"

σ 2 t2
2

"   

MX (t) = e−µt/σ MY (t/σ) = e−µt/σ e

σ 2 (t/σ)2
+µt/σ
2

t2

=e2 

$   "    $   2                 $ $
χ 
#    ! !      "    2          $$    !
χ 
#    #      !  " 
      !  "        

" 

 %
% 




X ∼ χ2n  
 !!  

Y1 , . . . , Yn ∼    

     $

n=1

(0, 1)   



X =

"

Z

y2
1
2
MX (t) = E[e ] = ety √ e− 2 dy

Z
1
1
2
√ e− 2 (1−2t)y dy
=

Z √
1 − 2t − 1 (1−2t)y2
−1/2

= (1 − 2t)
dy
e 2

= (1 − 2t)−1/2

tY12  

!

"

X∼
(1/2, 2) = χ2 
# 
     1 " 
n>1
MX (t) = MY12 +···+Yn2 (t) = (1 − 2t)−n/2 

X∼ 

!

(n/2, 2) = χ2n

"

P

Yi2   

 

    



 ~
X  

 

!  
"
Σ~ 
  X  

      

n  

             

!        ! $    !  

 

µX~ 

 $ $

~    !     !        #    
X

pX~ (~x) =

1

1

(2π)n/2 |Σ|

1
2

t

e− 2 (~x−µX~ ) Σ

−1 (~
x−µX
~) 

"  

#     !   #   !   "     
 
~ ∼  (µ, Σ) "
|Σ|
X 
 !   
#        "    
   
   " Σ       
    #   #!  "    !        $ $
!   
 $ #   $   $ 2 "
Σ
σ 
  $!  !   #!      !    !            

      $      $ $ !       

 2
σ1 0
 0 σ22

Σ=
 0" 0"
""


···
· ·" ·
""
"" 

0
0
"

""

· · · σn2 

  $        

pX~ (~x) =

1

1

1
2

t

e− 2 (~x−µX~ ) Σ

−1 (~
x−µX
~)

(2π)n/2 |Σ|  

n Y 
1 Pn (xi −µi )2
n 

1
1
i=1
σ2
i
= √
e 2
σ

i
i=1

”2 
n 
Y
x −µ
1
− 12 iσ i
i

,
=
e
2πσ
i
i=1 

     $ # 
      !     !         #  $ 

n 
!   "   #    
          
!       

Xi  

"    
$  "
i ∼  (µi , σi ) 
X  
      !       !  "
· · · = σn = 1
Σ
n
In 
    σ1 =  

  ~ 

~   
µ1 = · · · = µn = 0
X ∼  (0, In )
X 
       
 
  ! !        
! "
n 

#           !    
   

!  
X1
X2 X1 ⊥ X2   

    !  
" 
  
Cov(X1 , X2 ) = 0
Cov(X1 , X2 ) = 0
X 1 ⊥ X2 
# 
 
   !           !  $      "
X1
X2  

    
    
  

" " # 
 
 
(X1 , X2 ) ∼  (µ, Σ)
Cov(X1 , X2 ) = 0
X ⊥ 
!           $            !1 " 

 %
% 


 ~
! 
  !  !   X = (X1 , . . . , Xn ) ∼ 

(µ, Σ)

X2 

 

"  #$  



Σ    
 !
 


Σ11 012
···
01m
 021 Σ22
···
02m 


Σ =    

 

    


0m1 · · · 0mm−1 Σmm
 



Σii   ni × ni      0ij   ni × nj     !     Pm ni = n 
1 
    !
~ ! ! !      Σ    

Y~i   Y~1 = (X1 , . . . , Xn )  Y~2 =
X   

  
~
1

(Xn1 +1 , . . . , Xn1 +n2 )    Ym = (Xn1 +···+nm−1 +1 , . . . , Xnm )
νi
ν1 =   

(µ1 , . . . , µn1 ) ν2 = (µn1 +1 , . . . , µn1 +n2 )    νm = (µn1 +···+nm−1 +1 , . . . , µnm )   

 

 

~   

Yi 

~ 
Yi ∼ 



 
 ! 
 ! 
   

(νi , Σii ) 

 !!     # !    

  

~ → (Y~1 , . . . , Y
~m)          #!  
X

pY~1 ,...,Y~m (~y1 , . . . , ~ym)
= pX~ (~y1 , . . . , ~ym) =
=

(2π)

1
Q
m
n/2

i=1

1

1

(2π)n/2 |Σ|
1

|Σii |

1
2

e− 2

=

1
2

t

e− 2 (~y−µ) Σ

−1 (~
y −µ)

Pm

m
Y

yi −νi )t Σ−1
yi −νi )
i=1 (~
ii (~

1

1

1

ni /2 |Σ | 2
ii
i=1 (2π)

t

e− 2 (~yi −νi ) Σii

−1

(~
yi −νi ) 

   !          !   !            $  

#  !  $    "    
   $ 
$     " " 
pX~
{~x : pX~ (~x) = c}
c 

            
         $ # ! 

t −1
xi
(~x − µ) Σ (~x − µ)
#!  

$          $ 
$    "       

pX~

Σ 

    

P 
      

     
(~x − µ)t Σ−1 (~x − µ) = n1 (xi − µi )2 /σi2 pX~ (~x) = c 
#      $  
   $$$  !       
µ
"
σi /σj 
                               

   !    "     "          !     "    #   

  $ !      $      #               

$  !      !   # !           "   $  
E[X1 ] = 
  $     
"        
E[X2 ] = 0
σX1 = σX2 = 1
σX1 = 
      
"           

1; σX2 = 2
σ 1 = 1/2; σX2 = 2 
$   !    $   X 
    $     $  #      ! 
  "           $          !  $    
 !          !                
       
   $   " 
  

"   

   $     #     $   " 

        

)  

)  ". 

$  '    "&#.  
$   '    "&#.    

&    &   $        

&    &   $ 
&  .   &      &  
&.   $  $    &  .  $"%     )"%     %&     
$"  $ %& $ * +   )"  $ %& $ * +   
  &       
  &      
".        $"%     )"%     %&     
$"  $ %& $ * +   )"  $ %& $ * +       
$     
   &  
&.   $  $    &  .  $"%     )"%     %&     
$"  $ %& $ * +   )"  $ %& $ * +    

&    &  
&  .   &  

  &       
".        $"%     )"%     %&       

    
    


2
−4
0

2

4

−4

0

x1

x1

(c)

(d)

2

4

2

4

2
−4
0

2

4

−4

−2

0

x1

x1

(e)

(f)

2
−4

0

x2

2
0
−4
−4

−2

0
x1

2

4

−4

−2

0
x1 

"    !    "
" 

E[X1 ] = E[X2 ] = 0 

" 
    σX1 = σX2 = 1 "
σX1 = 1; σX2 = 2
%  
"
σX1 = 1/2; σX2 = 2 
   %
$    #        "
       !   # !        " 
 

4

4

−2

4

−4 

2

0

x2

2
0
−4

x2

−2

4

−2

4

−4

x2

0

x2

0
−4

x2

2

4

(b)

4

(a) 

  

     

$"  $ %& $ * +   )"  $ %& $ * +       
  &   $     
.   &      &  
&.   $  $    &  .  $"%     )"%     %&     
$"  $ %& $ * +   )"  $ %& $ * +   

& 
& 

  &       
".        $"%     )"%     %&     
$"  $ %& $ * +   )"  $ %& $ * +       

• 

  $   !          #   #$   
 
      
X
X
#    $ $              1   2   ! !   "

• 

&      &       ! 
 

!       
   &  

ij 

              

pY~ (~y ) =

Σ

1
(2π)n/2 |ΣY~ |

 !  #  &     &  "
*%+
,  &  * + " 

       "
1

1
2

t

e− 2 (~y−µY~ ) ΣY~

−1 



(~
y −µY~ ) 



Y ∼  (µY~ , ΣY~ ) 

, 

 
~ ∼  (0, I ) " X
~      $ $ #         (0, 1)    !
X 
  "  $ n # $         
!        
$       " 



(n − 1)
"          

1/2 ~
~
pZ~ = pY~
Z = Σ X +µ 

#   
~   Y~     !          #    
Z
!   
!     ! $     !              

#!   #      !    !     ! $  "       

       !  " "    $   #    # !  # !

pZ~ = pY~ 

~  |Σ|1/2         #    !   # Σ "   #  
Z 

pZ~ (~y ) = pX~ Σ−1/2 (~y − µ) |Σ|−1/2
1
−1/2
t
−1/2
= √ n e−1/2(Σ (~y−µ)) (Σ (~y−µ)) |Σ|−1/2

1
1
t −1
=
e− 2 (~y−µ) Σ (~y−µ)
n/2
1/2
(2π) |Σ|
= pY~ (~y )

~
X 

    
    
  

  

   $         !   !     !     ~ 

Y 
               !            #!   
#       !    !    "  

     !   !                    

!     "     "           !     "    #   

  $  !      $      #               

$ !      !   # !             "   $  
E[X ] = 
  $   1   

"        
E[X2 ] = 0
σ1 = σ2 = 1
σ1,2 = 0 
      
"

σ1,2 = .5 
  

"

σ1,2 = −.8 

      $     #    

       
& .    
%    

)  

$   " 

)  ". 

$  '    "&#.& .  
$   '    "&#.& .   
%#  )  
%# * +    
%# * +    
%# * +    
& 

 

     
  
     
     

.   . %$     & .   & .   

 % %&   
%#   %# *% + 
%# %&  "   %#   . %$ %&  
  %& & .   
  %& & .  
$    $ * +  $  * + 

'.  , %,  .  %#   , 
&  . *  +   
$    , . $   ,   %# %&  ,  $  
&.   $  $    &  .  $"%     )"%     
"  "  
$"  $ %& $ * +   

    

2
−4
0

2

4

−4

0

x1

x1

c

d

2

4

2

4

2

4

2
−4

0

x2

2
0
−4

0

2

4

−4

−2

0

x1

x1

e

f

2
−4

−4

0

x2

2

4

−2

4

−4

0

x2

−2

4

−2

4

−4

x2

0

x2

0
−4

x2

2

4

b

4

a

−4

−2

0
x1

2

4

−4

−2

0
x1 

"     !    "
" 

E[X1 ] = E[X2 ] = 0 σ1 = σ2 = 1 

" 
    σ1,2 = 0 "
σ1,2 = .5
%  
"
σ1,2 = −.8 
  %
$   #       "
       !   # !        " 
   

    
    
 

 

)"  $ %& $ * +   %&".. * ,% +  
  . %$  &    , %       %   
  %#  ,  
".   * +   * +     
$"%     )"%    
$"  $ %& $ * +  
)"  $ %& $ * +   %&".. * ,%+  

$  $     $   !    !        !    !    

         #   " 

 %
% 


 ~ 
 



 X ∼  (µ, Σ)

A  

Y ∼ (Aµ, AΣAt )  
 !!  

n 

  !  "  " 


 
  ! 
  n   


!      ! 


Y = AX  

n  



pY~ (~y ) = pX~ (A−1 ~y )|A−1 |
1
t −1 (A−1 ~
− 12 (A−1 y
~ −µX
y −µX
~) Σ
~)
=
1 e
n/2
(2π) |A||Σ| 2
1
t −1 (A−1 (~
y −AµX
y −AµX
− 12 (A−1 (~
~ )) Σ
~ ))
=
1 e
n/2
(2π) |A||Σ| 2
1
t
−1 )t Σ−1 A−1 (~
y −AµX
y −AµX
− 12 (~
~ ) (A
~)
=
1 e
n/2
(2π) |A||Σ| 2
1
t
t −1 (~
y −AµX
y −AµX
− 21 (~
~ ) (AΣA )
~)
=
1 e
n/2
t
2
(2π) |AΣA | 

 $   $        

 




 

(Aµ, AΣAt ) 

 "

  

 
n 
 



    (µ, 
Σ)   

A
n
n
b 


 

 
t
Y = AX + b  
Y ∼ (Aµ + b, AΣA )  

 !!  

  $

~ ∼
X

" 

  ! !      !


!  !
    

n 

    



 

 


¯ 2  
 X
¯ ⊥ S2 
X) 
 !!  

X1 , . . . , Xn ∼   

(µ, σ)   



S2 ≡ 

        ! $  

Y~ = (Y1 , . . . , Yn )t
¯
Y 1 = X1 − X
¯
Y 2 = X2 − X

Pn

i=1 (Xi

""
"

¯
Yn−1 = Xn−1 − X
¯
Yn = X 

    # #         "
"
"

S2 

 #  $     #

(Y1 , . . . , Yn−1)t ⊥ Yn

"   #
"

Pn

S 2 ⊥ Yn

(Y1 , . . . , Yn−1)t 

" "    #  $  #

Yn

"

"

"

P
¯ = 0 "   #   (Xn − X)
¯ = − n−1 (Xi − X)
¯ " 
(X − X)
i=1

i=1 i 
#

S2 =

n−1
X
i=1

¯ 2+
(Xi − X) 

 #  $  #

n−1
X
i=1

(Y1 , . . . , Yn−1 )

¯
(Xi − X)

t"

!2

=

n−1
X

Yi2 +

i=1

n−1
X
i=1

Yi

!2

"



1 − n1 − n1 − n1
· · · − n1
 −1 1 − 1 −1
· ·" · −"n1 
 ""n
"" n
""n
""
"" 
 "
~
"
"
~
~
Y =
 X ≡ AX

 1
 −n
− n1
· · · 1 − n1 − n1 
1
1
1
1
···
n
n
n
n 

    !   

          $  

    

A 
  # 
$       
2
t "     
~
Y ∼  (Aµ, σ AA )
n−1
A 
    "   # 

t

AA = 
   

Σ11 ~0
~0t 1/n 

  !    
    
!   
~0
(n−1)×(n−1)
(n−1) 
$  #   "          !  " 
"
(Y , . . . , Y )t ⊥ Y

Σ11

1

n−1

n  

   ! !   #!

"  

  

  

    
    
 

t 

t 



" 

       

F 

      

         !     # $       !  #   !   

   " 
 
" " " 
    
 
         
X1 , . . . , Xn ∼ 
(µ, σ)
µ
σ 
         !  "
¯       !  "  !  
µ µ
ˆ=X
√ 
   
¯ ∼  (µ, σ/ n)       
X

t

¯ −µ
X
√ ∼  (0, 1)
σ/ n 

     

                  $$    $ ! 
√ !   #   !  "
"      $  !         
µ
µ
±2σ/ n 
        ! !    #   !   $            "

    ! 

σ 

−1

σˆ = n

P

¯ 2
(Xi − X)

1/2   

σ

¯ −µ
X
√ ∼  (0, 1),
σ
ˆ/ n

√ 
   ! "    $       $       #
¯ −µ)/(ˆ
(X
σ / n) 
           !      !   "          #!  

    "    ¯
"    !  "           # 2
X

σ
ˆ
S =
P 
     ! !  "
2
2"


σ = 

% 

¯
(Xi − X)

 

 

 

 



= W1 + W2  
V1 ⊥ V2  

V = V 1
+V
2  
W 
  
!    
 

W1 ⊥ W2  V
W
V1
W1  

 
     !   
 
 

 
 
     !
V2
W2  

 
 !!   

!  !  



#  $   

MV2 (t) = MV (t)/MV1 (t)
= MW (t)/MW1 (t)
= MW2 (t) 



T 

F  

 %
% 



X1 , . . . , Xn ∼    


¯ 2

(µ, σ)   



S2 =

X)   
 !! 

S2
∼ χ2n−1 .
2
σ 


V = 

2
n 
X
Xi − µ
σ

i=1 

 

V ∼ 


χ2

Pn

i=1 (Xi

.

n

n 
X
¯ + (X
¯ − µ) 2
(Xi − X)
V =
σ
i=1 
¯  

2 

n
n
X
X
¯ 2
X −µ
Xi − X
¯ − µ)
¯
+n
+ 2(X
(Xi − X)
=
σ
σ
i=1
i=1 
2  ¯ 
2
n 
X
¯
Xi − X
X −µ

=
+
σ
σ/ n
i=1

≡ 
 

S2
+ V2
σ2

S 2 /σ 2 ⊥ V2
V = 



V2 ∼ χ21 

σ

W1 ⊥ W2 W1 ∼ χ2n−1 

! !   " " 

 

2
n−1 
X
Xi − µ
i=1 

 

" 



+ 

 

Xn − µ
σ
" 

2

W2 ∼ χ21 

≡ W1 + W2 

   $ $   #      



T ≡

n−1
n 

¯ 

√ ¯
n(X − µ)/σ
X −µ

=p
.
σ
ˆ/ n
S 2 /(n − 1)σ 2 

         # 
     !  "  
T 
    


"       
U/ V /(n − 1)
U ∼  (0, 1) V ∼ χ2n−1
U ⊥V 
$            
  # # ! "    
"
t
n−1
T ∼ tn−1 
 !  "       " 

   

p 

   "

r 

 %
% 



U ∼
p
2    
 

U/ V /p ∼ χp 

(0, 1) V ∼ χ2p

p  

 

− p+1
)p 2 2
)
Γ( p+1
Γ( p+1
2
2
2

=
pT (t) =
t
+
p
p
p √
Γ( 2 ) π
Γ( 2 ) pπ 
 !! 

  

    
    
  

U ⊥ V  



T ≡  

− p+1
2
t2
.
1+
p 

  


U
T =p
V /p

Y =V 
           # 

 !       # !  

(U, V ) → (T, Y ) 
     !       # "      # !   
T
1 



XY 2
U= √
p

V =Y 

  $   

dU

dT
dV

dT 

        #

(U, V )

dU
dY
dV
dY 

21
Y√
= p

0

Y 12

= √
p
1
1

T Y√− 2
2 p

p
u2
1
1
−1 − v2
2
e .
pU,V (u, v) = √ e− 2
v
p
Γ( p2 )2 2
2π 

 #         #

(T, Y ) 

1

2
t2 y
p
1
1
−1 − y2 y
2
y
pT,Y (t, y) = √ e− p
e

p
p
Γ( p2 )2 2

(T, Y )  

T 

F 

   !       #

pT (t) =

Z

T 

pT,Y (t, y) dy

1
=√
p√
2πΓ( 2p )2 2 p

Z

y

p+1
−1
2

y t2

e− 2 ( p +1) dy

0  

p+1
2
p+1
2p
)
Γ(
=√
p+1 √
2
t2 + p
πΓ( 2p )2 2 p
Z ∞
y
p+1
1
−1 − 2p/(t2 +p)
2
y
e
×
dy
p+1  

2
0
2p
p+1
Γ( 2 ) t2 +p
1 

− p+1
)pp/2 2
Γ( p+1
2
2
=
t +p
p √
Γ( 2 ) π  

− p+1
2
)
Γ( p+1
t2
2
= p √
1+
.
Γ( 2 ) pπ
p 

   " "          #              # #  ! 
t 
   
 "              
(0, 1)
"  
     !       ! ! $            
t
!     !      !   !          
 " 
(0, 1)
"    !    
  
         $  
p→∞
tp 
(0, 1) 
 "        $  $$ "    $
" 
  

" " 

     $     #        " 

$  '       "&#. 
&    %&    . $     . $ !    . $      . $  !   
&  $   
. ".  $   &   .)  "   )"    & %.)   $"   .  
".)      " 
"#&   $   ) !  ".)     
"#&    .        !    !   
"    

    
    
 

 

0.4 

0.2
0.0

0.1

density

0.3

df = 1
df = 4
df = 16
df = 64
Normal

−4

−2

0

2

4

t 
  

"

t 

  #  #      # #  !     

(0, 1) 

  

     
 

        #  $   " "         √ ¯ 

n(X − µ)/ˆ
σ  

          ! "    !  "         # 
(0, 1) 
     √ 
 $    
        $"
¯ − µ)/ˆ
n − 1(X
σ
tn−1 
   " "        !             "           
t 
 !          
       $   #$   
(0, 1)
σ 
    !  "       
    " "    
  !    
n
σ 
                $ " 
# 
 

T ∼ tp

Z

)
Γ( p+1
2
E[T ] =
t p √
−∞ Γ( 2 ) pπ
∞ 

"   

− p+1
2
t2
dt
1+
p 

  !   
           −p   $  "     
t→∞
t 
#     #
"      
                  
p > 1
t  

   ! ! "  
 
  
!    
 !  "   1
p > 1 E[T ] = 0  

!    !     
         $ #      #
"
tp
p > 2 
  
 
"     
  
!  ! 
p > 2
Var(T ) = p/(p − 2)
T
k
" 
#     # 
k

E[T ] < ∞

 


"

p>k 

F  

      

      

 

  ! 

"

"  #     ! 

 !  !    #  $   " 

" " 

           # 
  #      " 

        

"   !                !    #        

    #             # $   " 
!      #       !  "
#              !      $ 
      # !   " 

    

 

    # !   
   

#  ! " 

!     #           !  "       
# !   #              !      $  #  ! " 

     

    
    
 

  

$         # !   #              
 $ #          !      $ 

! !    
   $  

 !  "         # !   #              
$$!     # " 

"   

                    !     $ #   #   

     !    "      $  $   $  "  " "     # 
   #     
                      

(3) 
    !          
  
         "  

   

(n, p)

n = 13 

p 

!    !         !  $        
#$ # 
" 

    

!   # $ $$   
      " 

    

 #            $     !               
        $        " 

$  

 

 

#         
  !     " 

    

" 

    $   # 

!    # 

$    

       %   

   
   

 !     $$      !       



$   

 

  " 

 "          " 

 " 

                   $$  " 

    !  ! $ # !   #         
$$  " 

" 

   

!          "             #   # !   
(λ)  

$ "   !       !          !       
(3, 22)  

    "

                    $   "        
!  "  $ !    $  $ #        " #        
 
#         
"      !    # !      

    $                $    "  

 
 
$   

  !   # !      
  !   # !      
  !   #             

     

"  

 
 
#  
 
 
 

  !   #           

 

  !   # !     $$             
        

 !    # !        

     

      !    # !               
   !    # !        

   

            #     
 !   # !         
          

 $    

#      !   # $     #      # !   " 
 !   !                           
    $                        $   
         " 
                 "  
"    "  #            $            $" 
                !     $ #   #       ! 
  "      $  $   $  "  " "    #     
  
          
 
  
       " 

(3)
(λ)
λ 
!      $ $     !              "  

" 

      !   #           !      
      !   #           !      
$       !   #             !      
      !   # !                $  
     !   #             $   
#      !                      
    $     $       !        $
$      $    ! $    "     $   !     

 
 #                               
 $ "                $ !         
$             $        !       
!    #                   $ " 
     !   #      !       $   $    " 
       $ $        #        !      

  

    
    
 

  

 $ "         !   #     $          $   
  !   $   " 

    
    
$     

 

  !    #          #  

  $            #  
  !          #  

 

             # !     $           
$$    " 

" 
" 

 

  ! 

" 



! !  

 

     !  "        E[Y 2 ]   
     !  " " 

      !  "        E[Y 2 ]
#  $   "
"

#  $   " 
 $        



!  !  

 

 

    " "          
%  %
%   %  $!      
!   # # !     !   #    !     !       
    "        "           !    $!  $ $ " 

    

     $  !   # # !      !   #    

    
$     

     $    !   # # !        !   

!   

 

  !    #       !   # # !       

!   

 

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!  "    # !          " #         
      # !     $ !           !  " 

  

 # !          " #               
 # !     $   !       # !      
$ "

" 

!         !         

 #     $         $$     $!  

   
#  
$ #   !            $!    " 
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   #    $$          $   #   
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        !     $   !            
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# !                      " 

     

    $     #    !   # !          
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# !                      $   #      
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" 

      

$                   !     
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"       # 
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         $             #     "  

     $ !          #       

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                     !  !  #      # "  

#    #               !          
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!   " 
$          $                 
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     $            $ $     $  
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$      !    

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  $             
 
        $ 
#   $               $           

"   

    
    
 

  

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!   !  $   #   $ #       "   $  !    
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%    
%
% 
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" 

  

 #   !                    $       !  
           $  "            # 
               " 
" 
" 

" 

  
  

     

  

   $  $ #      

   $  $ " 

 X ∼  (λ) " Pr[X ≤ 7] = 
" 

" 
" 

 X

P7

−λ x
λ /x!
x=−∞ e
P7
−λ x
e λ /x!
Px=0
7
−λ x
λ /x!
λ=0 e 

       #!            " 



Y
Pr[X ≤ .5|Y ≤ .25] = 
" 

"

.5
.25 

" $    # !    #!  

$  X ∼  ! (µ, σ 2 ) " Pr[X > µ + σ] 
"  !     " 

"     " 

"  

     


" $    # !    # !  

"

  X , . . . , X ∼  (0, 1) " X¯ ≡ (X + · · · + X )/100 " Y ≡ (X +
1
100
1
100
1
"  $ 
· · · + X100 ) 
"

¯ ≤ .2]
Pr[−.2 ≤ X
Pr[−.2 ≤ Xi ≤ .2] 
"
Pr[−.2 ≤ Y ≤ .2] 
"
¯ ≤ 2]
Pr[−2 ≤ X 
"
Pr[−2 ≤ Xi ≤ 2] 
"
Pr[−2 ≤ Y ≤ 2] 
 "
¯ ≤ 20]
Pr[−20 ≤ X 
 "
Pr[−20 ≤ Xi ≤ 20] 
"
Pr[−20 ≤ Y ≤ 20] 
 X ∼   (100, θ) " P100 f (x|θ) =
θ=0 
" 

" 

"           !     

 " $    # !    # !  

#  X 

 
"

Y 

       

        "

f (x) =

R1

f (x, y) dx
R01
f (x, y) dy 
" R0x
f (x, y) dy
0 
"

f (x, y) 

" 

 X , . . . , X ∼  ! ! (r, λ)
1
n 

  !           "

f (x1 , . . . , xn ) = 
"

" 
" 

"

P
Q
[λr /(r − 1)!]( xi )r−1 e−λ xi
Q
Q 
"
[λnr /((r − 1)!)n ]( xi )r−1 e−λ xi
P
Q 
"
[λnr /((r − 1)!)n ]( xi )r−1 e−λ xi 

    "          $   !     

$ !  "    
          !    " 

 

  ! 

" " 

     $  

    #       "      "  
"   # !  
k=2 
   ! # #       !  " "      !     ! # #
Y1
Y  
   # 
" 2
Y1  

    
    
 

"
"
"

  %    

%%     



   

  



       

 



 

   Y ∼  (1, n)       !  n             
 "          
" 
   ! " " " "  

 

 !    
 

 Y!  =y ∈6 {1, 2, . . . , n}   nˆ  p(y) 


 y 6∈ {1, 2, . . . , n}  

            !      $ !  # !   #$   
   !      $  $  # ! "  " "     !  

     " " " "         !     
T 
!   #  !                   !   # 
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" 



Y 

 
 
$  
"   

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E[Y ]

"

Var(Y )
MY (t)

Y ∼ 

(a, b)

"

"

" 

    $            # !        
           #     $         
"
!   $   

(1, ∞) 

     $                #!         
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" 

"   
" 

 

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" " 

x1 , . . . , xn ∼ 

" " " 

   $ "

" 

 

  ! 

" " 

" 

 

  ! 

" 

"  

(0, 1) 

   $    $  
  #  %  " 

"  

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" 

  

(−∞, ∞) 
#    !  " " 

         #

x(n) 

   

"              #   

     


"   

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n   

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n 
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         !          !    

X
X 
 !1   n " " "  
   
"""
"

µ1

µn

σ1

σn 

            # $ X "
i 
               # X  " " "  X "
1
n 
$                $       
 


" 

" " 

 # ! # 

  !   $    $ $ !   # 

      "  "

"      #  

x∈R

X1 

""" 

Xn 

" 

x2
1
lim ptp (x) = √ e− 2
p→∞
2π 

  

       
  # #  !    
p (x)
t
p 
tp      # !   "       !   $  "  $  
x 

    
 %
%   %     % 
         " 
"   

    
    
 

  

 

    

                

 #  #      #                         
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θ 
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$   

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!     
θ
θ
!   # !    $     $  #!      #   !  
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θijk
i 
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j
k
i
j 
   $ $ 
"     
 #     
    #

µ
{θijk }k
µ 
!            ij      
 #  $   ij"   ! 
k  

{θijk }k | µij , σk ∼ 

" " " 

(µij , σk ) 

      #        $             $
i

$  
"     
 #     
    #   #   $
µi
{µij }j
µi 
 "      $ 
 $           $    
j
µi
# 
     
!           !              

µ  

σi 

   

     

"         !    $      
" " "

{θijk }k | µij , σk ∼ 
(µij , σk ) 
" " "
{µij }j | µi, σj ∼ 
(µi , σj ) 
" " "
{µi }i | µ, σi ∼ 
(µ, σi ) 

  $      #   !    " 

   "    

   "

%   

 

% %
% 

   $      #  $ $  !    # #  

% %    %   !      $   
   !    $    
                 # !               

   
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$    

%   %
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#!         # !       #              "  

   
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2 
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!  " 

  
 
 

 

  

  

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% 

         
     " 

%   

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  # 

      

 
 %
        !      # $         
              
$    "   !       
#         $  
  "

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                 # 
  !   "  $             ..

      

     


%   .$.  

. " "  

  

        $! !           $ $     

 !  "   $           

  
  "  $   $    
          #         #       $    
              !    "     #         # 
     $  

  

   " 
 # !    !       

  $ 
#   !           !  "     $ ! 
Y1 , . . . , YT 
#    
     
"

Yt 

   "       $     #    

   " 

  !   
". .       .  %&      $"    %  
)"     .   
". .      %&   &     )"          
". .     .     .  *  +  %& 
   
)"    "%&#   %  
". .   "  .   %&    &#
%  
)"    &. ")  .   
". .   ")&$  %&  &  %&  )&$   )"   . %&#   
". .   % &.   %&  % &.    )"     "  
". .    .  ".  * 
 %   %""  +  %&     %    

    

20 40 60 80

1960 1970 1980 1990

DAX

UK Lung Disease

1992

1994

1996

1998

1500

Time

monthly deaths

Time

2000

1974

1976

Time

Canadian Lynx

Presidents
approval

7000

Time

1820

1860

1900

1945

1955

1975

1965

1975

1980

1985

250

Sun Spots

0

60

200

UK drivers

1970

1980

Time

number of sunspots

Time

deaths

1978

30

0

320

36.4

CO2 (ppm)

Mauna Loa

0

trappings

Closing Price

Temperature

Beaver

     

1750

1850

Time

1950

Time 

   " %   %
    !    #     $     !   

         !     $ $  $  #  

$  

$ #      $    $     !     2 
 %   % !    

  # !   $   !   !     !                

!   #    

%   %              
 %
 

  # $     

  !         !   " 

   
 
          

  

  


            
  
     


 
  $ ! !   #    !   "
•    

           "        #   $ ! !   !  !    

#                               #       
  !               !   " "  
 
      "

Y
Y 
        $ $         "   $t   t+1   "  #   
Yt+1
Yt 
          "           $ 
   
    
     $ "  !        $     !          

       #    #$     !    $ 
 # 

       !         $ "          #  $   # 

$ !      $    "    #                     " 
                     

       

 
!       !  

"  

# 

""
"
"
$ 

"
$
"
$
"
"
#  

    
$ "  #  

    !        !   

Cor(Y , Y ), Cor(Yt , Yt+1 ), . . . , Cor(Yt , Yt+5 ) 
  #     $    #  t  t  
" " "  
"      

$    $                         " " 
   "       $     #    

   " 

     
          %& #'         %& '           
    

   % '      

   % ( ' 
   
  

    
  
%&   "'   
  
%& '        
  
  
    

   % '      

   % ( '  

   

30 50 70

yt+1

37.0

Presidents

36.4

yt+1

Beaver

36.4 37.0

30

yt 
   "

Yt+1 

   

     

60
yt

Yt

#    

   "       $     #    

  

 

  

   

   "

        
  &        
 &     
    "  
 &   %  & ' 
&   %(   ' 

           

   % '  
   

   % (  '       
     

$   

!     $                      
   $ !            ! "        $   #       
    !      $     !  # !   !     "   
   "        $         #  $   !     " 
 $                      $     
      
   !   !     $   !      

   
 
         

lag = 1

37.2
36.4
36.8

37.2

36.4

lag = 2

lag = 3

37.2
36.4

36.8

Yt+k

36.8

36.8

37.2

36.4

36.8

37.2

lag = 4

lag = 5

37.0
36.6

Yt+k

37.0

37.4

Yt

37.4

Yt

36.6
36.4

36.8

37.2

36.4

Yt

0, . . . , 5

37.2

Yt

36.4

Yt+k

36.4 

   "

36.8

Yt

37.2

36.4

Yt+k

36.8

Yt+k

36.8
36.4

Yt+k

37.2

lag = 0

Yt+k 

   

36.8

37.2

Yt

Yt

#    

 

      

k = 

    

      

  $    

   
          

$ $ 
          $ $ !          $    

                $ $$     #               
           #   $ $ "    !    #   $    
            !  #            "   !  #   
    " 

%  % 

         !  $ !    $  #        $ 
"        $      #       " #    
$  #  
{Yt } 
    $ 
  #          
          
Yt+1
Yt 
  
 " "   

$             
  
Yt−1
Yt−1
Yt+1
Yt 
   $              $        " 
  "   " 
   "       $   #          " 
   "       $     #    

   " 

  &         

&      
     %  '    %  &  '    %  &  '  
     

   % & '    

   % '  
   

   % ( ' 

    $             

Yt+1  

         #       #
Y 
   t    
"   $   !  
Yt 
                 $     
$  # 
 

"    # 
             
Y
Yt−1
Y
$!    t+1 
 $  
  t     #  $    " 

      !       "  
!       
Yt−1 
   
 
! 
Yt+1
Yt−1 
      ! $   

               
          
 

!  !  

" $   

" " #  

#

" "   & "  "  & " "   

   !        !   
"  $  
Cor(Y , Yt+k | Yt+1, . . . , Yt+k−1 )
#          !  "     "    t   
 $     

 

 
 
         

Yt
36.4

36.6

36.8

37.0

37.4

36.4 36.8 37.2

36.4

36.8

37.2

Yt+1

36.4

36.8

37.2

36.4 36.8 37.2

37.2

36.4 36.8 37.2

Yt−1 
   " 

$   #

Yt+1 

 #  $  #

Yt−1 

Yt

#   

  

   

   

      

  !       $ 
          "       
Yt+1 ⊥ Yt−1 | Yt 
       "      !    #   # !
Y = β0 + β1 Yt + t+1
!       "   $  !     $         t+1
"     #  $  

#     ! "                       "

    &                 
   
  !   
  

                

   


" $  $ 
  
   

     
   

" "   "  

   "   !          !    

" 
Y = β0 + 0.8258Yt + t+1 
   !   $ #  "  "   t+1
" 
         ˆ
β0 = 36.86 
t 
          
    "                $   # 
√ 
        $    
    
Yt+1 ∼  (36.86 + .8258Yt, .012) 
  !       $   #       " 
    
                 $ $   !    
     $   !   "       !    $ !  

      $!          

Yt =  

 

!  

+ 

  $ $

+ 

      

. 

   $   !      !      !   
       # !     !    !      
$ $ "      !  #     !    !       #
t 
   
   #    $  "      

 



t

2

gˆ(t) = 
 

.5yt−6 + yt−5 + · · · + yt+5 + .5yt+6
12 

"  

      !    !  "         
t 

$! !       $ !    "                "     $
gˆ 
             " 
   # ! 
 
"  
&   

g(t)

   
 
           

   "  "         $         !        " 
    #           #    !         !  # 
  !  $      
  # !    !          
2
#    !   "       "   "        "             
       
!     $ "               

g
ˆ
+ 
    #!      "  

   "       $     #    

   " 

  &           
  
   &         
       
  
           
 
    


 &   &   
  
  

        


 &       

      
  &     

           
                 
  
                     
 
    
 
    (   

  $   $ #    !   $    $         "

Yt
t 
 # $         #   ∗ 
      
Y = Yt+1 /Yt
$               
 $  t  $ 
!  ∗    "
Yt
Y 
   "  #       $  $"            
" t ! 
Y  

   !     $             $    "t    
     !   #
"  !        #  $  
Yt − Yt−1 
   !  $                       
$     $$       "          

" 
Yt
Yt−1 
                  

"         
Yt
Yt−1
#  
         
 # 
Yt = β0 + β1 Yt−1
(β0 , β1 ) = (0, 1)
(β , β1 )
#      "       0  
          
  $  $ 
             
    !    #       "
Yt ≈ Yt−1     

  
 
 #
"         !         

Yt −Yt−1  

   

(b)

−2

0

resids

340

−4

320

co2

2

360

4

(a)

     

1980

1960

1980

Time

Time

(c)

(d)

340

co2

0

320

−3 −2 −1

cycle

1

2

360

3

1960

2 4 6 8

12

1960

Index 
   " 
   

gˆ  



1980
Time 

2 
    
 

   

      !  

   

 
 
         

Yt ∼  (Yt−1 , σ) 

    

  !    #     "

1995

1992

1995

(c)

(d)

4000

−200

6000

−3

−1 

   " 
 $   $ "     !   # 
     # 

"

Yt

Yt−1

1

3

Theoretical Quantiles

DAXt−1 

1998

0

Time

Sample Quantiles

Time

5000
2000

0

1998

2000

DAXt

1992

−200

5000

DAXt − DAXt−1

(b)

2000

DAX

(a)

Yt − Yt−1 

   "       $     #    

Yt 

Yt − Yt−1 

   "

        
  

         
  
   
       

  
  % ' &
  % & '  
       

   

     

  
  %& ' 
  %& '       

  
  % & '  
   

  
  % '         
    "   
     
  %& ' 
  %& '        
      
         

• 

   $ ! !       #         $    $  # !   " 
     % ' & %'  % ' & % '     $ $      $ 

$ !                  
%& ' & %& ' "    
      !               
!    
!  $ !    #  " 
   !              % '
& %' 
%#' & % '                 
    !   
     "       $   $   #   !   
  " 

   "  #   
"            !   "     
Yt∗ 
    
!       #   $     "    
 !   #
∗   !       #   $
Y ∗ − Yt−1 
 "       t  

∗ "              
Yt∗
Yt−1 
   ∗   ∗      ∗ 
    !    #   

Yt   Yt−1
Yt ⊥ Yt−1 
 "    
     # ∗ "       !       
Y  

 ∗ 
    !    t#           #        
Yt ∼  (µ, σ) 
           "    !     #   ∗       "   
Y 
  "    ∗
!         !    "
Y ∼  (1.0007, 0.01)  

   "       $     #    

   "

       
  
           
  
            

      % ' &    % & '  
     
      %&  '     %& '       

      % & '  
   

      % '         
    

           

            !    #    
    !           ∗ 

    

 

Yt ≈ Yt−1 
   ∗ 
Y ∼  (1.0007, 0.01)
Yt

   
 
          

500

0

Yt

1500

(d)

0.98

1.04

0.92

1.00

(c)
Sample Quantiles

Time

−3

−1 

    "     !   # ∗ 
Yt 
     #

∗"

Yt−1

1

3

Theoretical Quantiles

ratet−1 
   "
∗  

500

Time

1.00
0.92

0.05

1500

0.92

ratet

0

−0.05

1.00

ratet − ratet−1

(b)

0.92

rate

(a)

Yt 

Yt∗ − Yt−1   

   

     

!           "   !         $      "    
$ #  #      !  "      $  $           
 "        #  $          #  "  $ !    
                "  $  !     !   
#             !   #           "   
!         #  !            $    "    
  $       
           $   #           $   
!       $ !  ! $  $  ! $    !    $ " 

      
  %  

   

    
       
    

          
  %

!" 

  #$  % &   '

( )  & *

+,-+./012 3 ,40+5   .3  5,/ 5  1214,  60/575 819+05 15 0  13  +05 

!:

;< =  $      ' *$*

!>

( ? & @  $**   A =   & ** 

 B   

C
D E F 
 B   

G
H I J I
! 

?%& 

 B  

DN   

M

A  $# K  L & *

                   

! 

  <  #$  %  

 L &  ?    $ % K  L & *

205.471+5       204
5 ,95     +,85  . 5  7120   6    6    6    5 ,  

,0  .0/85  8058./- /05804 3 ,40+5  ,8 025 
! 

 &=  $*& *

1  0  +,85 1/1+1-,75 8, .-7205   1/4    ,3  780 178, ,220 

+18.,/5  1/4 ./802  208  ,2 8 0 ,8 02 41815085 ./ .-720   
9  1  0  +,85 1/1+1-,75 8, .-720   ,3  780  128.1+ 178, ,220+1 
8.,/5  1/4 ./802  208  ,2 8 0 ,8 02 4181 5085 ./ .-720   

620180 1/4  8 1 -,,4 3 ,40+  ,2 9,4  803  02187205 ,  8 0 50 ,/4
901
02 50 8 0 4181508       

1    4,05   718.,/  1
021-0 ,
02 1  012    .5/ 8 .8   ,2

0  13  +0  

1 

gˆ(t) = 
,2

.5yt−k + yt−k+1 + · · · + yt+k−1 + .5yt+k
2k

5,3 0 

k 6= 6 
9   13 ./0 gˆ ./   718.,/
8 0 0/82.05    


0  ,40  ,2

.-720 



50 

. 

 ,/81./5 8 0

/0 05512    120 5,3 0 , 

+./05 



 &       

      
  &     

           

,7+4 8 0  ,++,  ./- +./05  ,2  ./58014  


 &       

      
  &     

           

 ,2 



/,8   

   

     

.5 1 -,,4
.-720  1/4 8 0 1 ,3  1/  ./- 80  8 57--058 8 18
3 ,40+  ,2 8 0   4181  78 8 18 4,05/ 8 5  7120 Y.8t ≈8 Y0t−1
,9502
18.,/
8 18 8 0 5 1
0 1 -0/021++  ./ 2015./- 820/4
Yt 

1  ./4 1  71/8.818.
0  1  8, 5 ,  8 0 820/4 
9   1    8 0   1/1+  5.5 3 .5504 8 0 820/4 
  3  2,
0 8 0 1/1+  5.5 5, .8 5 ,/5.580/8  .8 8 0 820/4

.-7205  1/4   1/4 8 0 1 ,3  1/  ./- 80  8 1/1+  0 8 0 

8.3 0
502.05 15 8 ,7- .8 15 8 0 513 0 5827 8720 8 2,7- ,78 8 0 0/8.20 8.3 0 
,05 8 18 3 1  0 50/50   ./  ,  1/4 .3  +03 0/8 5,3 0  1  ,  ./
058.
-18./-  08 02 8 0 5827 8720 ,  8 0 502.05 1/-05  2,3 012+  8, +180 

6 ,,50 ,/0 ,2 3 ,20 ,  8 0 ,8 02   8,  12  085 8 18 ,3 0  .8 8 0  

 4181  /
058.-180  08 02 .8 15 8 0 513 0 5827 8720 15 8 0   

 

1  
9  



1  0 1  +175.9+0 1/1+  5.5 ,  8 0
7/-  .50150 4181  

15 8 0 8 200 4181 5085  
  
 1/4   
 .
120 8 0 8,81+ 4018 5  8 0 4018 5 ,   03 1+05  1/4 8 0 4018 5 ,  3 1+05 
, 8 0 4018 5 ,   03 1+05 1/4 3 1+05  ,++,  5.3 .+12 4.582.978.,/1+ 
18802/5  758.   ,72 1/5  02

1  0 1  +175.9+0 1/1+  5.5 ,  8 0 205.40/85 1   2,
1+ 218./-5 
1  
9 

1  0 1  +175.9+0 1/1+  5.5 ,  8 0
42.
025 4018 5 

,24./- 8,    6,3  7+5,2   012./- ,  5018 90+85  15 ./82,47 04
,/  1/     .4 8 18 0  0 8 8 0 /73902 ,  4018 5  758. 
,72 1/5  02 
  5 8 0 /73902 ,  4018 5 20+1804 8, 8 0 /739 02 ,   .+,3 08025 42.
0/  
50 8 0
12.19+0  
./ 8 0    
4181 508  758.   ,72
1/5  02  

      

     

@ =  A &=#$& *   ;#  #$*#$  * 

!

     

6,/5.402 8 0  ,++,  ./- 8 ,  1 85

08
. . 4 ,. 6 1  802    02 .50  5 ,  04 8 18
Y1 , . . . , Yn ∼ P
`(λ)
40  0/45 ,/+  ,/
1/4(λ)
/,8 ,/ 8 0 5  0 . 
1+705 ,  8 0 ./4.
.471+
Yi
5

Yi 

08
. . 4   6 1  802    02 .50 5 ,  04 8 18
Y1 , . . . , Yn ∼ P
`(λ)
40  0/45 ,/+  ,/
1/4(λ)
/,8 ,/ 8 0 5  0 . 
1+705 ,  8 0 ./4.
.471+
Yi
5

Yi

728 02  5./ 0
71/8. 05 ,  582,/-+  8 0 4181 57   ,28 01
1+70 ,  
`(λ) 
,8 02 15  0 85 ,  120 .220+0
1/8 ,2 ./  020/ 0 19 ,78 .8 57  05 8,  /,λ
y
λ 
1/4 8 020  ,20 .8 57  05 8,  /,  P  0 4,/ 8 /004 8,  /,  8 0
`(λ)
i
./4.
.471+ 5  0 51 8 18 P .5 1 57  Y.0/8
5818.58.  ,2
Yi
Yi
λ 
0 8.,/ 0  13 ./05 8 0 -0/021+ ,/ 0  8 ,  57  .0/   0  ,2  ./
8 0 ,/80  8 ,  1  1213 082.  13 .+   0 .401 ,  57  .0/  .5  ,23 1+.  04 ./ 
0  /.8.,/

       
9  1  1213 0802
7/  /,  / 08 θ

15

θ

08

90 1  13 .+  ,   2,919.+.8 40/5.8.05 ./40  04

08{p(· | θ)}
9 0 1 513  +0  2,3 
,2 5,3 0
(y1 , . . . , yn )
p(· | θ)
9 y0 1=5818.58.
57 8 18 8 0  ,./8 4.582.978.,/  1 8,25
T (y)
Y
p(yi | θ) = g(T (y), θ)h(y).   

   

5,3 0  7/ 8.,/5 1/4 

,2

g 

0

h

 0/

T 

        
 
 

.5 1++04 1 

         

θ

.401 .5 8 18 ,/ 0 8 0 4181 1
0 900/ ,9502
04 
.5 1 ,/581/8
h(y)
Q
8 18 4,05 /,8 40  0/4 ,   5,

θ
`(θ) ∝
p(y | θ) = g(T, θ)h(y) ∝ g(T, θ) 
020  ,20  ./ ,2402 8,  /,  8 0 +.  0+. ,,4  7/ i8.,/ 1/4 3 1  0 ./  020/ 0 19,78 
 0 ,/+  /004 8,  /,  
/,8 1/  8 ./- 0+50 19 ,78 ,2 ,72 ,.55,/
θ
T (y)
y
P
1/4    ,/0/8.1+ 0  13  +05  0 1/ 81  0
T (y) =
yi 
,2 1 3 ,20 4081.+04 +,,  18 57  .0/   8 ./  ,  -0/0218./8 200  02/
(θ)
82.1+5

1/ 90 -0/021804  ,9
.,75+   9  -0/0218./y ≡ (y1 , y2, y3 ) y
y1 , y2 , y3
50 70/8.1++ 
 0  ,55.9+0 ,78 ,3 05 1/4 8 0.2  2,919.+.8.05 120 

(0, 0, 0)

(1 − θ)3

(1, 0, 0)
(0, 1, 0) θ(1 − θ)2
(0, 0, 1)
(1, 1, 0)
(1, 0, 1) θ2 (1 − θ)
(0, 1, 1) 
78

y

1/

θ3

(1, 1, 1)

1+5, 9 0 -0/021804 9  1 8 ,  580   2, 04720 

 0/02180 P 
.8  2,919.+.8.05
y = 0, 1, 2, 3 
3  205  0 8.i
0+ 

θ) θ 

1   

9  

P

yi = 0

P

yi = 1

P

yi = 3

19.+.8 

 

P 

8  

(1, 0, 0) (0, 1, 0) 

19.+.8yi =2 

4  

-0/02180
(0, 0, 0) 
-0/02180  

(1−θ)3 3θ(1−θ)2 3θ2 (1− 

-0/02180 

-0/02180 

(1, 1, 0) (1, 0, 1)
(1, 1, 1) 

,2 

,2

(0, 0, 1)
(0, 1, 1)

01  .8  2,9 
01  .8  2,9 

.5 015  8, 0  8 18 8 0 8 ,  580   2, 04720 -0/021805 01 ,  8 0  ,55.9+0
,78 ,3 05  .8 8 0 513 0  2,919.+.8.05 15 8 0 ,9
.,75 50 70/8.1+  2, 04720 
,2 -0/0218./8 0 8 ,  2, 047205 120 0 7.
1+0/8 78 ./ 8 0 8 ,  580 
y  

2, 04720  ,/+  8 0  258 580  40  0/45 ,/  , .   0  1/8 8, 750 8 0 4181 8,
θ  

       

 
 

+012/ 19,78   0 ,/+ /004  /,  8 0 ,78 ,3 0 ,  8 0  258 580   0 50 ,/4
580  .5 .220+0θ
1/8  0   0 ,/+  /004 8,  /,  P  / ,8 02  ,245  P .5
yi
yi
57  .0/8 
,2 1/ 0  13  +0 ,  1/,8 02 8   0  +08
. . 4 
 18 .5 1
y1 , . . . , yn ∼
(0, θ)
57  .0/8 5818.58. 
(
. 
,2
1
yi < θ
i = 1, . . . , n
θn
p(y | θ) =
,8 02  .50
5 ,  5 8 18
5818.58.

0
1
= n 1(0,θ) (y(n) )
θ 
8 0 3 1  .373 ,  8 0
5
y(n)
yi 

.5 1 ,/0 4.3 0/5.,/1+ 57  .0/8 

 B     
I

  I  I IF           
I        I  N        I              
 I       I      I IF I   
T 
  I       
IF    D    I        
IF     III    I   IF   E  
F        
    I        IF 
x1 , . . . , xn 
I 
  I    I I       I      I
(n) 
IF x  
     I 
I I  I I        
,3 08.3 05 57  .0/8
. . 4  13
 0/

x(n)

5818.58. 5 120 .- 02 4.3 0/5.,/1+ 08

(α, β)

Y

5,

p(yi | α, β) =

Y

1
y α−1 e−yi /β =
Γ(α)β α i 

1
Γ(α)β α

y1 , . . . , yn ∼ 

n Y 
P
α−1
yi
e− yi /β

.5 1 8 , 4.3 0/5.,/1+ 57  .0/8 5818.58.
.5 1 57  .0/8 5818.58.  
7  .0/8 5818.58. 5 120 /,8 7/. 70  

T = T (y)
1/4 .  .5 1   7/ 8.,/  8 0/
.5 1+5, 57  .0/8  , ./ 8 0 ,.55,/ 
f
f (T )
P 
  ,/0/8.1+  1/4  02/,7++. 0  13  +05  020 P 
15 57  .0/8 
yi
y¯ =
/n
.5 1+5, 57  .0/8  78 8 0 +1  ,  7/. 70/055 .5 0
0/ 3 ,20 50
020  0 y i,+0 

4181 508
.5 1/  4.3 0/5.,/1+
57  .0/8 5818.58. 90 1750
Q P
T (y) = ( yi , yi )

T (y) = (y) 

020

n
Y
p(yi | θ) = g(T (y), θ)h(y)

1/4

+5,  8 0         
5818.58. +5,  .

g(T (y), θ) = p(y | θ)
h(y) = 1
.5 1/,8 02  4.3 0/5.,/1+
57  .0/8
n
(y(1) , . . . , y(n) )

T (y) =
.5 1/ 
T  

    

        
 
 

.5 1 8 , 4.3 0/5.,/1+
57  .0/8 ,/0 4.3 0/5.,/1+ 5818.58. 8 0/
2 = (y1 , T )
57  .0/8 5818.58.  78 .8 .5 ./87.8.
0+  T+012
8 18 8 050 57  .0/8 5818.58. 5
120 .- 02  4.3 0/5.,/1+ 8 1/ /0 05512   0  1/ 90 2047 04 8, +,  02 4.3 0/ 
5.,/1+ 5818.58. 5  .+0 2081././- 57  .0/   8 18 .5   .8 ,78 +,5./- ./  ,23 1 
8.,/ 
0  0  .401 ./ 8 0  20 04./-  121-21  .5 8 18 8 0 .- 4.3 0/5.,/1+
57  .0/8 5818.58. 5 1/ 90 821/5  ,23 04 ./8, 8 0 +,  4.3 0/5.,/1+ ,/05  978
/,8        -  .5 1  7/ 8.,/ , 
978
.5

(y(1) , . . . , y(n) )
(y(1) , . . . , y(n) )
/,8 1  7/ 8.,/ ,   0  /.8.,/  .5  ,2 5818.58. 5 8 18 1
0 900/ 2047 04 15
37 15  ,55.9+0 y¯ .8 ,78 +,5./- 57  .0/ 
.5 1++04          .   ,2 
          57  .0/8 5818.58.
T (y)
0
02  ,8 02 57  .0/8 5818.58. 
.5 1  7/ 8.,/ , 

T2 T (y)

T2 (y) 

.5 9,,  4,05 /,8 40+
0 ./8, 3 08 ,45  ,2  /4./- 3 ./.3 1+ 57  .0/8
5818.58. 5  / 3 ,58 1505 8 0 7502 1/ 20 ,-/.  0  08 02 1 5818.58. .5 3 ./.3 1+
57  .0/8 
,05 8 0 8 0,2  ,  57  .0/  .3  +  8 18 5818.58. .1/5 /004 +,,  ,/+ 
18 57  .0/8 5818.58. 5 1/4 /,8 18 ,8 02 15  0 85 ,  8 0 4181   ,8 7.80
08
9 0 9./12  21/4,3
12.19+05 1/4 57   ,50  0 14,  8 8 0 3 ,40+
y1 , . . . , yn
. . 4  02/  0/  ,2 058.3 18./-  0 /004 +,,  ,/+  18 P
y1 , . . . , yn ∼
(θ)
θ
yi 
78 57   ,50
872/ ,78 8, 90

(y1 , . . . , yn )

· · · 0} |1 1 {z
· · · 1},
|0 0 {z 

 

 

. 0  3 1/  5  ,++,  04 9  3 1/  5  7 1 4181508  ,7+4 158 4,798 ,/ 8 0
15573  8.,/ 8 18 8 0 5 120 ./40 0/40/8  74-./-  2,3 8 .5 4181508  .8 +,,  5
yi 
37 3 ,20 +.  0+  8 18
8 0 5 ,3 0 ./ 58201  5  , 5818.58. .1/5 5 ,7+4 +,, 
yi 
18 1++ 8 0 4181  /,8  758 57 
.0/8 5818.58. 5  90 1750 +,,  ./- 18 1++ 8 0 4181
1/ 0+  75 20180 1/4 2.8. 70 3 ,40+5  78 ,/ 0 1 3 ,40+ 15 9 00/ 14,  804  

8 0/ ./  020/ 0 5 ,7+4 90 91504
,/ 57  .0/8 5818.58. 5

 

                                 

     ! 

072.58. 1++  5  01  ./-  15  0 ,++0 8 0
02 3 ,20 4181  0 5 ,7+4
90 19+0 8, +012/ 8 0 8278 0
02 3 ,20 1 72180+  .5 072.58. .5 1  87204 
,23 1++   18 +0158  ,2  1213 0802 058.3 18.,/  9  8 0 /,8.,/ ,  "   #  $  %  ,
51  08 02 1/ 058.3 18,2 .5 ,/5.580/8  0 1
0 8, 40  /0 .8  ,2 0
02  513  +0  

       

 
 

5.  0  , 8 18 0/4  +08
. . 4  ,2 5,3 0 7/  /,  / 40/5.8 1
./·· ∼
f 
/.80 3 01/
1/4  Y1 , Y 2 ,·,2
01 f
+08
 0
.5 1
n
µ
σ
n ∈ N
Tn : R → R
Tn
201+
1+704  7/ 8.,/ , 
,2 0  13  +0  .   0 20 82  ./- 8, 058.3 180
(y1 ,P
. . . , yn )  

0 3 .- 8 81  0

n
−1

µ

Tn = n

1

yi 

        C   0 50 70/ 0 ,   

"  $       $  .   ,2 0
02 

θ

θ

.5 51.4 8, 9 0
058.3 18,25
T1 , T2 , . . .
1/4  ,2 0
02 

"   #  $  $ 

>0

lim P[|Tn − θ| < ] = 1.

n→∞ 

,2 0  13  +0  8 0 1  ,  12-0  739025   0,203   51  5 8 0 50 70/ 0
Pn
,  513  +0 3 01/5
.5 ,/5.580/8  ,2  .3 .+12+   +08
−1
{T
=
n
y
}
µ
n
1 i
P
.5 ,/5.580/8  ,2Sn =

−1
2 90 8 0 513  +0
12.1/ 0  0/
N
{Sn }
σ2
(yi − Tn )
i 
,20 -0/021++   3 + 0 5 120 ,/5.580/8 

# #    
   $ ˆ  $          "  
     B     $
Y1 , Y2 , · · · ∼
pY (y | θ)
θn 
$      
 $ 
 $ 
 "  $#  "   
$# "  "  

(y1 , . . . , yn )
g 
θ 
 $ $ "     #$% "  #$# "  

#   "   #  $  $     "   $#   $ "  
ˆ
{g(θn )} 
"  

g(θ) 

 ""   0  2,,  20 7.205 20-7+12.8  ,/4.8.,/5 20+18./- 8, 4.  020/8.19.+.8 
1/4 8 0 ./802 1/-0 ,  ./80-21+ 1/4 402.
18.
0  8 .5 90  ,/4 8 0 5 ,  0 ,  8 .5
9 ,, 

6,/5.580/  .5 1 -,,4  2,  028  ,/0 5 ,7+4 90  12  ,  1/ ./ ,/5.580/8
058.3 18,2  / 8 0 ,8 02 1/4  ,/5.580/  1+,/0 4,05 /,8 -7121/800 8 18
1 50 70/ 0 ,  058.3 18,25 .5 ,  8.3 1+  ,2 0
0/ 50/5.9+0 ,2 0  13  +0  +08  

8 0 3 01/ ,  8 0  258 1+  , 
Rn (y1 , . . . , yn ) = (bn/2c)−1 (y1 +
·
·
·
+
y
bn/2c )
8 0 ,9502
18.,/5 
.5 8 0  ""  ,   8 0 +12-058 ./80-02 /,8 -201802 8 1/
bwc
w
  0 50 70/ 0
.5 ,/5.580/8  ,2
978 .5 /,8 15 -,,4 15 8 0 50 70/ 0  

w
{Rn }
µ
,  513  +0 3 01/5 
8 5003 5 /18721+ 8,  1/8 8 0 513  +./- 4.582.978.,/ ,  1/ 058.3 18,2 

8, 90 0/80204 12,7/4 8 0  1213 0802 90./- 058.3 1804  .5 405.4021873 .5
1  87204  ,23 1++   18 +0158  ,2 0/802./- ./ 8 0 50/50 ,  0   0 818.,/  9  8 0
/,8.,/ ,  #    

        G  

71/8.8

ˆ −θ
E[θ]

 #    

08 ˆ ˆ
90 1/ 058.3 18,2 ,  1  1213 0802  0
θ = θ(y1, . . . , yn )
.5 1++04 8 0 #   ,  ˆ / 058.3 18,2  ,50 9.15 .5 .5θ 1++04 

θ  

    

        
 
 

020 120 5,3 0 0  13  +05
. . 4 
1/4 ,/5.402 
       B    08
y1 , . . . , yn ∼
(µ, σ)
µ
ˆ = y¯
15 1/ 058.3 180 ,   0 1750 
.5 1/ 7/9.1504 058.3 180 ,    

  

 

B    

µ

08

E[¯
y ] = µ y¯

y1 , . . . , yn ∼
σ
ˆ 2 = n−1

15 1/ 058.3 180 , 
E[n−1

σ2

. . 4 

X

(µ, σ)

µ

1/4 ,/5.402

(yi − y¯)2

X
X
(yi − y¯)2 ] = n−1 E[ (yi − µ + µ − y¯)2 ]
n X
X
= n−1 E[ (yi − µ)2 ] + 2E[ (yi − µ)(µ − y¯)]
o
X
+ E[ (µ − y¯)2 ] 

= n−1 nσ 2 − 2σ 2 + σ 2
= σ 2 − n−1 σ 2
n−1 2
σ
=
n 

020  ,20 2 .5 1
5818.58. .1/5σˆ  20  02
2

y¯)

9.1504 058.3 18,2 ,  2  8 5 9.15 .5 2  ,3 0
σ
−σ /n P 

8, 750 8 0 7/9.1504 058.3
18,2
2
−1
σ
˜ = (n−1)

(yi −

. . 4 
1/4 ,/5.402 ˆ 
    B     08
x1 , . . . , xn ∼
(0, θ)
θ = x(n)
15 1/ 058.3 180 ,   ˆ .5 8 0 3 + 0  500  0 8.,/     78 

θ θ
x(n) < θ
8 020  ,20 
8 020  ,20
.5 1 9.1504 058.3 18,2 ,  

 

E[x(n) ] < θ

x(n)

θ 

  
       



    



                

 

       

!  

(=   *   = K  #$   * 

@  =  K &#&= *

7.
1+0/8  1213 0802.  18.,/5  05  0 .1++     5  08  /
12.1/ 0 ,     5  

 

        
!" 

   = K  #$   

!: 

 =&  ' A  #? & *$* 

B  

 B    

(& *#$  % 

         



   



               

        

    

!> 

 A   &  #$     K $  $& * 

! 

   #$     L

;   & 

K $  $& * 

, 18.,/  5 1+0  13 .+.05 
 

<   #$     * 

7/ 8.,/1+5 
 

  =$    & 

/
12.1/ 0 
 

*' K A #  #$  * 

/ 201+ +.  0  4181 5085 120  /.80 
 08  0 ,  80/ 1   01+ 8, 8 0  1 
(y1 , . . . , yn )
,   12-0  739025 ,2 8 0 60/821+  .3 .8  0,203   0,203 5       1/4 
   . ,/ 02/ 8 0 +.3 .8 ,  1 50 70/ 0 ,  21/4,3
12.19+05 15

n→∞  

0 ,  0 .5 8 18  0/
.5 +12-0 8 ,50 8 0,203 5  .++ 80++ 75 5,3 08 ./- 
n
18 +0158 1   2, .3 180+   19,78
8 0 4.582.978.,/ ,  8 0 513  +0 3 01/  78 

 

    

        
 
  

0 20  1 04  .8 8 0 7058.,/5  ,  +12-0 .5 +12-0   1/4  ,  +,50 .5 8 0 

1   2, .3 18.,/   
, 81  0 1/ 0  13  +0   0 3 .- 8  1/8 8, 1   +  8 0  1  ,   12-0  739 025
,2 8 0 60/821+  .3 .8  0,203 8, 1 50 70/ 0
,  21/4,3
12.19+05
1 , Y2 , . . . 
2,3 1 4.582.978.,/  .8 3 01/
1/4   Y020
120 1  0  ./581/ 05 ,  8 0
µ
σ 
258 50
021+ 0+03 0/85 ,  57 1 50 70/ 0
 
 
 

 
 
 


 




 
 


 


  




  
 
  



 
 
 



  
  
 



 
 


···
···
· · ·

 1

50 70/ 0 , 7  .05 ,/0 2,  ,  8 0 1221  0   ./4. 1805 8 18 8 0 

···

50 70/ 0 ,/8./705 ./  /.80+   0   ./4. 1805 8 18 8 020 120 ./  /.80+  3 1/ 
57 50 70/ 05  0 /739025  020 -0/021804 9   

  
      


    

        

   
     

• 

,50 8, -0/02180
5  2,3 8 0 
4.582.978.,/  5,  7504    
Yi 
(0, 1)
1/4 5,   ,2 8 .5 0  13  +0 
1/4
 ,50 120 129.8212  ,. 05
µ=0
σ=1 
,7+4 1
0 7504 1/ 
1+705 , 
1/4 1/4 1/  4.582.978.,/  ,2  .
µ
σ 
 /,  ,  8, -0/02180 21/4,3
12.19+05 ,/ 8 0 ,3  7802

  4,05 2,7/4./-  / 8 .5 150  0 20  2./8./- 01 /73902  .8 8 ,
40 .3 1+  +1 05 

0 1750 8 020 120 37+8.  +0 50 70/ 05  01  .8 37+8.  +0 0+03 0/85   0 /004
8 , 5795 2.  85 8,  00  821  ,  8 ./-5  2,  02+  08 90 8 0 8 0+03 0/8 , 
j
ij
8 0 8 50 70/ 0 ,2 8 0 8 50 70/ 0 ,  21/4,3
Y12.19+05 
 0 20 ./80205804
i    

020
/4
./ 8 i 0 50 70/
0 ,  3 01/5 
Y¯i1 , Y¯i2, . . .
Y¯in = (Yi1 + · · · + √
Yin )/n  

0 20 1+5, ./80205804 ./ 8 0 50 70/ 0 
020

Zi1 , Zi2 , . . .
Z = n(Y¯ − µ)  

,2 8 0 8 200 ./581/ 05 19,
0  8 0
5
1/4
5
1/ 9 0 in2./804  .8 in

Y¯in 
Zin   



    

       
  

       
  

     
!         

 
      

   ,3  7805 1 737+18.
0 573  5,          .0+45 8 0
0 
8,2                             2./8 ,78 
       .  ,7 20 /,8 5720  18 .8 .5   020  ,20  
    
    .5 8 0 50  70/ 0 ,  Y¯in 5
,3  7805 8 0 5 7120 2,,8  , 8 0 50 ,/4  
581803 0/8  2./85
• ! 
8 0 50 70/ 0 , 
5
• 

0 

Zin 

2057+85  ,2 8 0 ¯ 5 120
Yin 

 
 

      
 

1/4  ,2 8 0
 
 
 



 

 

 
 


 
 
  

 
  
 

  
 
  



  



 



 
 
 


  
 
 

 
 


···
···
· · ·

  
 
  

  
  




 
 
 

  
  
 

···
···
· · ·

5 120

Zin 

  
 
 

20 ./80205804 ./ 8 0  ,++,  ./- 7058.,/5   

 .++ 0
02  50 70/ 0 , 
¯ 5 ,2 i 5 ,/
02-0   .5 

8 0 +.3 .8 1+,/01 2, Yi,  8 0Z1221 

0

 8 0  ,/
02-0 

.5 1 7058.,/ 19 ,78 

4, 8 0  1++ 1
0 8 0 513 0 +.3 .8  

 /,8 0
02  50 70/ 0 ,/
02-05   18  21 8.,/ ,  8 03 ,/
02-0  ,2 

5 ,2 5 
18 .5 8 0  2,919.+.8  8 18 1 21/4,3 +  ,50/ 50 70/ 0 , 
Y¯i 
Zi  

,/
02-05  
,2

1   04   18 .5 8 0 4.582.978.,/ ,  ¯ ,2
n
19,78 8 0 4.582.978.,/
1+,/- ,+73 /5 ,  8 Y0n 1221Zn 

.5

.5 1 7058.,/  

 ,05 8 0

4.582.978.,/ ,  ¯ ,2 40  0/4 ,/ 
Yn
Zn
n 
 5 8 020 1 +.3 .8./- 4.582.978.,/ 15 

n→∞ 
,3 0 5.3  +0 0  13  +05 1/4 8 0  82,/-  1  ,   12-0  739025   0, 
203    1/5  02 7058.,/5   1/4   ,2 8 0 50 70/ 05 ,  ¯ 5  0 60/821+
Y  

5 
.3 .8  0,203   0,203    1/5  025 7058.,/   ,2 8 0 50i  70/ 05 ,   

Zi   

    

 .++ 0
02 

.5 

        
 
 

50 70/ 0 ,  ¯ 5 ,/
02-0   ,  7   ,50 8 0 50 70/ 0 ,  5 

Yi  

Yi 
 0/
¯ ./ 201505  .8 ,78 +.3 .8 1/4 4,05 /,8 ,/
02-0
{Y i }

1, 2, 3, . . .

8 0  ,/
02-0  4, 8 0  1
0 8 0 513 0 +.3 .8 
50 70/ 05 ,  5

 

020 120 8 ,

Yi      

0 ,2205  ,/4./- 

,  

···
···

50 70/ 05 ¯ ,/
02-0 8, 4. 020/8 +.3 .85
{Y i }  

18 .5 8 0  2,919.+.8  ,  ,/
02-0/ 0   0  2,919.+.8  ,  ,/
02-0/ 0
.5   18 5 8 0  82,/-  1  ,   12-0  739 025  /  128. 7+12  8 0 
2,919.+.8  ,  21/4,3 +  -088./- 1 50 70/ 0 8 18 4,05/ 8 ,/
02-0  +.  0  

.5  78 8 0  82,/-  1  ,   12-0  739025 51  5 0
0/ 3 ,20
1, 2, 3, . . . 
8 51  5
P[ lim Y¯n = µ] = 1. 

, 8 0  2,919.+.8  ,  -088./8 18 ,/
02-0 8, 5,3 08 ./-

n→∞

50 70/ 05 57 15
,2
1, 1, 1, . . . −1, −1, −1, . . . 

,8 02 8 1/ .5
µ 

 0 1//,8 51  ./ -0/021+  8 40  0/45 
 18 .5 8 0 4.582.978.,/ , 
Zn
,/ 8 0 4.582.978.,/ ,  8 0 ./4.

.471+
5
Yi  
 ,05 8 0 4.582.978.,/ , 
40  0/4 ,/   05  0  0  8 ./ 8 0 5  0 .1+
Zn
n
150  020  

,2 1++

Yi ∼

(0, 1)

i 

 5 8 020 1 +.3 .8./- 4.582.978.,/   05  18 5 8 0 60/821+  .3 .8  0, 
203  0-124+055 ,  8 0 4.582.978.,/ ,  8 0  5  15 +,/- 15 

Y
Var(Yi ) < ∞
8 0 +.3 .8  15 
,  8 0 4.582.978.,/ ,  i  .5 

n→∞

Zn

(0, 1) 

0  1  ,   12-0  739 025 1/4 8 0 60/821+  .3 .8  0,203 120 8 0,203 5
19,78 8 0 +.3 .8 15
 0/  0 750 8 ,50 8 0,203 5 ./  21 8. 0  0
n → ∞
,  0 8 18 ,72 513  +0 5.  0
.5 +12-0 0/,7- 8 18 ¯
1/4  

n
Zin ∼ (0, 1)
in ≈ µ
1   2, .3 180+   78 ,  +12-0
5 ,7+4 90 9 0  ,20 Y20+ 
./- ,/ 8 050
8 0,203 5 
1/4 ,  -,,4 .5 8 0 1   2, .3 18.,/ n  0 1/5  02 .5   $      "  $  
#  $  # $# "  " $  

 18 5  18  0 +,,  18 /0  8
Y 
, .++7582180   0 i-0/02180
50 70/ 05 ,  5  2,3 8 , 4.582.978.,/5  ,3   

780
5 1/4
5  ,2 50
021+ 
1+705 ,  Y ij1/4
,3  120  /0 4.582.978.,/
¯
Yin 
Zin 
n
.5  
8 0 ,8 02 .5 1 20 0/80204 1/4 205 1+04
025.,/ ,   0

(0, 1)

(.39, .01)  

 
      

0 0
40/5.8  5 ,  / ./  .-720    15 ,50/  ,2 .85 15  3 3 0 
.01)
82   8 15 1(.39,
3 01/
,
1/4 1
12.1/ 0 , 
.39/.40 = .975
(.39)(.01)/((.40)2(1.40)) ≈
 8  15 20 0/80204 1/4 205 1+04 8, 1
0 1 3 01/ , 
1/4
12.1/ 0 , 
.017
.5 
8 0 513 0 15 8 0 
4.582.978.,/
1/12
(0, 1) 
0/5.8.05 ,  8 0
¯ 5 120 ./  .-720  5 8 0 513  +0 5.  0 ./ 201505 
2,3
8, Yin   8 0 ¯ 5  2,3 9 ,8 4.582.978.,/5 -08 +,502 8,
10
n = 270
Y
8 0.2 0n =0 804

1+70 ,    18 5in8 0  1  ,   12-0  739025 18  ,2   0
13 ,7/8 9   . 8 0  20 , 8 0.2 3 01/ -,05  2,3 19,78
8, 19 ,78

±.2
±.04 
 ,2  /4  /1++   15 
18 5 6,2,++12    18 
8 0 40/5.8.05 -08 3 ,20
n→∞ 
,23 1+  18 5 8 0 60/821+  .3 .8  0,203 18  ,2   

,80 8 18 8 0 40/5.8  ,  8 0
5 402.
04  2,3 8 0 
4.582.978.,/ .5
Y¯in 
+,50 8,  ,23 1+ 0
0/  ,2 8 0 53 1++058
513  +0 5.  0   .+0(0,8 1)0 40/5.8 ,  8 0
5 402.
04  2,3 8 0  0
4.582.978.,/ .5  1 ,  18 5 9 0 1750
Y¯in 
(.39, .01) 

.5 5  3 3 082. 1/4 7/.3 ,41+  1/4 8 020  ,20 +,50 8,  ,23 1+ 8, 90-./
(0, 1) 
.8   .+0  0
.5  12  2,3 5  3 3 082. 1/4 7/.3 ,41+  1/4 8 020  ,20
(.39, .01) 
12  2,3  ,23 1+  8, 9 0-./  .8  ,  0
/0045 1 +12-02 8, 3 1  0 8 0
(.39, .01)
1 -,,4 1   2, .3 18.,/n
60/821+  .3 .8  0,203  ,2   . 0  8, 90 
.-720   .5  ,2 8 0
5  8 5 8 0 513 0 15  .-720  0  0  8 8 18 01
Zin 
40/5.8 15 900/ 20 0/80204 1/4  205 1+04 8, 1
0 3 01/ 1/4
12.1/ 0  
0/  78 ,/ 8 0 513 0 5 1+0  0 1/ 500 8 18 1++ 40/5.8.05 120 ,/
02-./- 8,

4

6

8

2

(0, 1)

0 

0.0

0.2

0.4 

.-720    0  0

0.6
(.39, .01)

0.8

40/5.8

1.0  

    

.-720    15  2,47 04 

        
 
 

9

   !               
                                 
.-720   15

-0/021804 9  8 0  ,++,  ./- 

,40 


          
  
   

    
          
 
    
          
  


      
 
   
    
     
 
       
         
 
!                

           
  
       
  
           
       
           
        
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   !                    
          
      
    
      
    
                  
        
                        
        
       
    

          

          

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25
20
15
10
5
0

0

5

10

15

20

25

30

n = 30

30

n = 10

0.0

0.4

0.8

0.0

0.8

25
20
15
10
5
0

0

5

10

15

20

25

30

n = 270

30

n = 90

0.4

0.0

0.4

0.8

0.0

0.4

0.8 

          
    
           
Y¯in
(0, 1)
(.39, .01) 
                     

      

        
 
  

    

 

Y1 , . . . , Yn 

        

      
       
µ 
   
      
      
µ 
  

σ

σ

(µ, σ)

                

                 

      
 
       
µ
σ 
   

         

  
        

Y1 , . . . , Yn
(α, β) 
  


          

 
Y1 , . . . , Yn 

∼ 

  

(−θ, θ)

               

 

    


0.8
0.6
0.4
0.2
0.0

0.0

0.2

0.4

0.6

0.8

1.0

n = 30

1.0

n = 10

−3

−1

1

3

−3

1

3

0.8
0.6
0.4
0.2
0.0

0.0

0.2

0.4

0.6

0.8

1.0

n = 270

1.0

n = 90

−1

−3

−1

1

3

−3

−1

1

3 

           
    
           
Zin
(0, 1)
(.39, .01) 
            
        

    

        
 
  

 

            
   
    
     
    

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