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Hansen(2006, Econometrics)

Hansen(2006, Econometrics)

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Published by: moimemevollbio on Jul 11, 2012
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For reference, we now list some important discrete distribution function.

Bernoulli

P (X = x) = px

(1−p)1−x

, x = 0,1; 0≤p≤1

EX = p
Var
(X) = p(1−p)

Binomial

P (X = x) = µn
x

¶px

(1−p)nx

, x = 0,1,...,n; 0≤p≤1

EX = np
Var
(X) = np(1−p)

Geometric

P (X = x) = p(1−p)x−1

, x = 1,2,...; 0≤p≤1

EX = 1
p

Var(X) = 1−p
p
2

Multinomial

P (X1 = x1,X2 = x2,...,Xm = xm) =

n!
x1!x2!···xm!px1

1 px2

2 ···pxm

m ,

x1 +···+xm = n;
p1 +···+pm = 1
EX =
Var(X) =

Negative Binomial

P (X = x) = µr +x−1
x

¶p(1−p)x−1

, x = 1,2,...; 0≤p≤1

EX =
Var(X) =

Poisson

P (X = x) = exp(−λ)λx

x! , x = 0,1,2,..., λ > 0

EX = λ
Var
(X) = λ

We now list some important continuous distributions.

169

Beta

f(x) = Γ(α+β)

Γ(α)Γ(β)−1

(1−x)β−1

, 0≤x≤1; α > 0, β > 0

µ = α

α+β

Var(X) =

αβ
(α+β + 1)(α+β)2

Cauchy

f(x) =

1
π(1 +x2), −∞< x <

EX = ∞
Var(X) = ∞

ExponentiaI

f(x) = 1

θ exp³x
θ

´, 0≤x <∞; θ > 0

EX = θ
Var
(X) = θ2

Logistic

f(x) = exp(−x)

(1 + exp(−x))2, −∞< x <∞;

EX = 0
Var(X) =

R1

0 x−2

dx

Z

0

exp(−x)
(1 + exp(−x))2dx

Lognormal

f(x) = 1

√2πσx exp

Ã−(lnxµ)2
2σ2

!, 0≤x <∞; σ > 0

EX = exp¡µ+σ2

/2¢
Var
(X) = exp¡2µ+ 2σ2¢−exp¡2µ+σ2¢

Pareto

f(x) = βαβ

+1, αx <, α > 0, β > 0

EX = βα

β−1, β > 1

Var(X) =

βα2

(β−1)2

(β−2), β > 2

170

Uniform

f(x) = 1

ba, axb

EX = a+b
2

Var(X) = (ba)2
12

Weibull

f(x) = γ

βxγ−1

expµ
β

¶, 0≤x <∞; γ > 0, β > 0

EX = β1

Γµ1 + 1

γ


Var
(X) = β2/γ µΓµ1 + 2
γ

−Γ2µ1 + 1

γ

¶¶

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