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Stat Cookbook PDF
Cookbook
Version 0.2.1
14th July, 2016
http://statistics.zone/
Copyright
c Matthias Vallentin, 2016
Contents 14 Exponential Family 16 21.5 Spectral Analysis . . . . . . . . . . . . . 28
i=0
i! x!
1 We use the notation (s, x) and (x) to refer to the Gamma functions (see 22.1), and use B(x, y) and Ix to refer to the Beta functions (see 22.2).
3
Uniform (discrete) Binomial Geometric Poisson
n = 40, p = 0.3 0.8 p = 0.2
=1
n = 30, p = 0.6 p = 0.5 =4
n = 25, p = 0.9 p = 0.8 = 10
0.3
0.2 0.6
0.2
PMF
PMF
PMF
PMF
1
0.4
n
0.1
0.1
0.2
0.0
0.0
0.0
CDF
CDF
CDF
0.50 0.6 0.50
i
n
0.25 0.4 0.25
n = 40, p = 0.3 p = 0.2
=1
n = 30, p = 0.6 p = 0.5
=4
0 0.00
n = 25, p = 0.9 0.2 p = 0.8 0.00
= 10
4
1.2 Continuous Distributions
Notation FX (x) fX (x) E [X] V [X] MX (s)
0 x<a
(b a)2 esb esa
xa I(a < x < b) a+b
Uniform Unif (a, b) a<x<b
ba ba 2 12 s(b a)
1 x>b
(x )2
Z x
2 s2
1
N , 2 2
Normal (x) = (t) dt (x) = exp exp s +
2 2 2 2
(ln x )2
1 1 ln x 1 2 2 2
ln N , 2 e+ /2
(e 1)e2+
Log-Normal + erf exp
2 2 2 2 x 2 2 2 2
1 T
1 (x) 1
Multivariate Normal MVN (, ) (2)k/2 ||1/2 e 2 (x) exp T s + sT s
2
(+1)/2 (
+1
2 x2 2
>2
Students t Student() Ix , 1 + 0 >1
2
2 2 1<2
1 k x 1
Chi-square 2k , xk/21 ex/2 k 2k (1 2s)k/2 s < 1/2
(k/2) 2 2 2k/2 (k/2)
r
d
(d1 x)d1 d2 2
2d22 (d1 + d2 2)
d1 d1 (d1 x+d2 )d1 +d2 d2
F F(d1 , d2 ) I d1 x , d1 d1 d2 2 d1 (d2 2)2 (d2 4)
d1 x+d2 2 2 xB 2
, 2
1 x/ 1
Exponential Exp () 1 ex/ e 2 s (s < )
1
!
(, x) 1 x 1
Gamma Gamma (, ) x e s (s < )
() () 2 1
, x
1 /x 2 2(s)/2 p
Inverse Gamma InvGamma (, ) x e >1 >2 K 4s
() () 1 ( 1)2 ( 2) ()
P
k
i=1 i Y 1
k
i E [Xi ] (1 E [Xi ])
Dirichlet Dir () Qk xi i Pk Pk
i=1 (i ) i=1 i=1 i i=1 i + 1
k1
!
( + ) 1 X Y +r sk
Beta Beta (, ) Ix (, ) x (1 x)1 1+
() () + ( + )2 ( + + 1) r=0
++r k!
k=1
sn n
k k x k1 (x/)k 1 2 X n
Weibull Weibull(, k) 1 e(x/) e 1 + 2 1 + 2 1+
k k n=0
n! k
x
m x xm x2m
Pareto Pareto(xm , ) 1 x xm m
+1 x xm >1 >2 (xm s) (, xm s) s < 0
x x 1 ( 1)2 ( 2)
1
We use the rate parameterization where =
. Some textbooks use as scale parameter instead [6].
5
Uniform (continuous) Normal LogNormal Student's t
2.0 1.00 0.4 =1
= 0, = 0.2
2
= 0, = 3
2
= 0, 2 = 1 = 2, 2 = 2 =2
= 0, 2 = 5 = 0, 2 = 1 =5
=
= 2, 2 = 0.5 = 0.5, 2 = 1
= 0.25, 2 = 1
1.5 0.75 = 0.125, 2 = 1 0.3
PDF
PDF
1
1.0 0.50 0.2
ba
a b 5.0 2.5 0.0 2.5 5.0 0 1 2 3 5.0 2.5 0.0 2.5 5.0
x x x x
2 F Exponential Gamma
d1 = 1, d2 = 1 2.0 = 0.5 0.5 = 1, = 0.5
1.00 k=1 3 d1 = 2, d2 = 1 =1 = 2, = 0.5
k=2 d1 = 5, d2 = 2 = 2.5 = 3, = 0.5
k=3 d1 = 100, d2 = 1 = 5, = 1
k=4 d1 = 100, d2 = 100 0.4 = 9, = 2
k=5
1.5
0.75
2
0.3
PDF
PDF
PDF
0.50 1.0
0.2
1
0.25 0.5
0.1
0 2 4 6 8 0 1 2 3 4 5 0 1 2 3 4 5 0 5 10 15 20
x x x x
Inverse Gamma Beta Weibull Pareto
= 1, = 1 5 = 0.5, = 0.5 2.0 = 1, k = 0.5 4 xm = 1, k = 1
= 2, = 1 = 5, = 1 = 1, k = 1 xm = 1, k = 2
= 3, = 1 = 1, = 3 = 1, k = 1.5 xm = 1, k = 4
4 = 3, = 0.5 = 2, = 2 = 1, k = 5
4 = 2, = 5
1.5 3
3
3
PDF
PDF
1.0 2
2
2
0.5 1
1 1
0 0 0.0 0
0 1 2 3 4 5 0.00 0.25 0.50 0.75 1.00 0.0 0.5 1.0 1.5 2.0 2.5 1.0 1.5 2.0 2.5
x x x x
6
Uniform (continuous) Normal LogNormal Student's t
1 1.00 = 0, = 3
2 1.00
= 2, 2 = 2
0.75 = 0, 2 = 1
= 0.5, 2 = 1
= 0.25, 2 = 1
0.75 = 0.125, 2 = 1 0.75
0.50
CDF
CDF
CDF
CDF
0.50 0.50
0.25
0.25 0.25
= 0, 2 = 0.2 =1
= 0, 2 = 1 =2
= 0, 2 = 5 =5
0 0.00 = 2, 2 = 0.5 0.00 0.00 =
a b 5.0 2.5 0.0 2.5 5.0 0 1 2 3 5.0 2.5 0.0 2.5 5.0
x x x x
2 F Exponential Gamma
1.00 1.00 1.00
1.00
CDF
CDF
CDF
0 2 4 6 8 0 1 2 3 4 5 0 1 2 3 4 5 0 5 10 15 20
x x x x
Inverse Gamma Beta Weibull Pareto
1.00 1.00
1.00 1.00 = 0.5, = 0.5
= 5, = 1
= 1, = 3
= 2, = 2
= 2, = 5
0.75 0.75 0.75 0.75
CDF
CDF
CDF
CDF
0.50 0.50 0.50 0.50
= 1, = 1 = 1, k = 0.5
= 2, = 1 = 1, k = 1 xm = 1, k = 1
= 3, = 1 = 1, k = 1.5 xm = 1, k = 2
0.00 = 3, = 0.5 0.00 0.00 = 1, k = 5 0.00 xm = 1, k = 4
0 1 2 3 4 5 0.00 0.25 0.50 0.75 1.00 0.0 0.5 1.0 1.5 2.0 2.5 1.0 1.5 2.0 2.5
x x x x
7
2 Probability Theory Law of Total Probability
n n
Definitions X G
P [B] = P [B|Ai ] P [Ai ] = Ai
Sample space i=1 i=1
2. P [] = 1
" #
G
X 3 Random Variables
3. P Ai = P [Ai ]
i=1 i=1 Random Variable (RV)
Probability space (, A, P) X:R
Probability Mass Function (PMF)
Properties
P [] = 0 fX (x) = P [X = x] = P [{ : X() = x}]
B = B = (A A) B = (A B) (A B) Probability Density Function (PDF)
P [A] = 1 P [A]
Z b
P [B] = P [A B] + P [A B]
P [a X b] = f (x) dx
P [] = 1 P [] = 0 a
S T T S
( n An ) = n An ( n An ) = n An DeMorgan
S T Cumulative Distribution Function (CDF)
P [ n An ] = 1 P [ n An ]
P [A B] = P [A] + P [B] P [A B] FX : R [0, 1] FX (x) = P [X x]
= P [A B] P [A] + P [B] 1. Nondecreasing: x1 < x2 = F (x1 ) F (x2 )
P [A B] = P [A B] + P [A B] + P [A B] 2. Normalized: limx = 0 and limx = 1
P [A B] = P [A] P [A B] 3. Right-Continuous: limyx F (y) = F (x)
Continuity of Probabilities
S Z b
A1 A2 . . . = limn P [An ] = P [A] where A = i=1 Ai P [a Y b | X = x] = fY |X (y | x)dy ab
T
A1 A2 . . . = limn P [An ] = P [A] where A = i=1 Ai a
f (x, y)
Independence
fY |X (y | x) =
A
B P [A B] = P [A] P [B] fX (x)
Independence
Conditional Probability
1. P [X x, Y y] = P [X x] P [Y y]
P [A B]
P [A | B] = P [B] > 0 2. fX,Y (x, y) = fX (x)fY (y)
P [B] 8
Z
3.1 Transformations E [XY ] = xyfX,Y (x, y) dFX (x) dFY (y)
X,Y
Transformation function
E [(Y )] 6= (E [X]) (cf. Jensen inequality)
Z = (X)
P [X Y ] = 1 = E [X] E [Y ]
Discrete P [X = Y ] = 1 E [X] = E [Y ]
X
fZ (z) = P [(X) = z] = P [{x : (x) = z}] = P X 1 (z) =
fX (x)
X
E [X] = P [X x]
x1 (z) x=1
Cauchy-Schwarz
2 Exponential
E [XY ] E X 2 E Y 2
n
X
Markov Xi Exp () Xi
Xj = Xi Gamma (n, )
E [(X)]
P [(X) t] i=1
t Memoryless property: P [X > x + y | X > y] = P [X > x]
Chebyshev
V [X] Normal
P [|X E [X]| t]
t2
X
Chernoff X N , 2 = N (0, 1)
e
X N , Z = aX + b = Z N a + b, a2 2
2
P [X (1 + )] > 1
(1 + )1+
Xi N i , i2 Xi Xj =
P
Xi N
P
i , i i2
P
i i
Hoeffding
P [a < X b] = b a
X1 , . . . , Xn independent P [Xi [ai , bi ]] = 1 1 i n (x) = 1 (x) 0 (x) = x(x) 00 (x) = (x2 1)(x)
1
2 Upper quantile of N (0, 1): z = (1 )
P X E X t e2nt t > 0
Gamma
2n2 t2
P |X E X | t 2 exp Pn 2
t>0
i=1 (bi ai ) X Gamma (, ) X/ Gamma (, 1)
P
Jensen Gamma (, ) i=1 Exp ()
P P
E [(X)] (E [X]) convex Xi Gamma (i , ) Xi
Xj = i Xi Gamma ( i i , )
10
Z
() 9.2 Bivariate Normal
= x1 ex dx
0
Let X N x , x2 and Y N y , y2 .
Beta
1 ( + ) 1 1 z
x1 (1 x)1 = x (1 x)1 f (x, y) = exp
2(1 2 )
p
B(, ) ()() 2x y 1 2
B( + k, ) +k1
E X k1
E Xk =
" 2 2 #
= x x
y y
x x
y y
B(, ) ++k1 z= + 2
Beta (1, 1) Unif (0, 1) x y x y
Conditional mean and variance
8 Probability and Moment Generating Functions E [X | Y ] = E [X] +
X
(Y E [Y ])
Y
GX (t) = E tX |t| < 1 p
V [X | Y ] = X 1 2
" #
X (Xt)i X E Xi
ti
MX (t) = GX (et ) = E eXt = E =
i=0
i! i=0
i!
P [X = 0] = GX (0)
9.3 Multivariate Normal
P [X = 1] = G0X (0) Covariance matrix (Precision matrix 1 )
(i)
GX (0)
P [X = i] = V [X1 ] Cov [X1 , Xk ]
i! .. .. ..
E [X] = G0X (1 ) =
. . .
(k)
E X k = MX (0) Cov [Xk , X1 ] V [Xk ]
X! (k)
E = GX (1 ) If X N (, ),
(X k)!
2
V [X] = G00X (1 ) + G0X (1 ) (G0X (1 )) 1/2 1
fX (x) = (2)n/2 || exp (x )T 1 (x )
d 2
GX (t) = GY (t) = X = Y
Properties
9 Multivariate Distributions Z N (0, 1) X = + 1/2 Z = X N (, )
X N (, ) = 1/2 (X ) N (0, 1)
9.1 Standard Bivariate Normal X N (, ) = AX N A, AAT
p
Let X, Y N (0, 1) X
Z where Y = X + 1 2 Z
X N (, ) kak = k = aT X N aT , aT a
Joint density
1 x2 + y 2 2xy
10 Convergence
f (x, y) = exp
2(1 2 )
p
2 1 2
Let {X1 , X2 , . . .} be a sequence of rvs and let X be another rv. Let Fn denote
Conditionals the cdf of Xn and let F denote the cdf of X.
Types of Convergence
(Y | X = x) N x, 1 2 (X | Y = y) N y, 1 2
and
D
1. In distribution (weakly, in law): Xn X
Independence
X
Y = 0 lim Fn (t) = F (t) t where F continuous
n 11
P
2. In probability: Xn X
Xn n(Xn ) D
Zn := q = Z where Z N (0, 1)
( > 0) lim P [|Xn X| > ] = 0
n V Xn
as
3. Almost surely (strongly): Xn X lim P [Zn z] = (z) zR
n
h i h i
P lim Xn = X = P : lim Xn () = X() = 1 CLT notations
n n
qm
Zn N (0, 1)
4. In quadratic mean (L2 ): Xn X
2
Xn N ,
lim E (Xn X)2 = 0
n
n
2
Xn N 0,
Relationships n
2
qm P D n(Xn ) N 0,
Xn X = Xn X = Xn X
as
Xn X = Xn X
P
n(Xn )
N (0, 1)
D P
Xn X (c R) P [X = c] = 1 = Xn X
P P P
Xn X Yn Y = Xn + Yn X + Y
qm qm qm
Xn X Yn Y = Xn + Yn X + Y Continuity correction
P P P
Xn X Yn Y = Xn Yn XY
P P
x + 12
Xn X = (Xn ) (X)
D D
P Xn x
Xn X = (Xn ) (X) / n
qm
Xn b limn E [Xn ] = b limn V [Xn ] = 0
x 12
qm
X1 , . . . , Xn iid E [X] = V [X] < Xn
P Xn x 1
/ n
Slutzkys Theorem
Delta method
D P D
Xn X and Yn c = Xn + Yn X + c
2 2
D P D 0 2
Xn X and Yn c = Xn Yn cX Yn N , = (Yn ) N (), ( ())
D D D n n
In general: Xn X and Yn Y =
6 Xn + Yn X + Y
H0 : 0 versus H1 : 1
Likelihood ratio test
Definitions
The approximate size LRT rejects H0 when (X) 2k1, Bayes Theorem
Pearson Chi-square Test f (x | )f () f (x | )f ()
f ( | x) = =R Ln ()f ()
k f (xn ) f (x | )f () d
X (Xj E [Xj ])2
T = where E [Xj ] = np0j under H0
j=1
E [Xj ] Definitions
D
T 2k1 X n = (X1 , . . . , Xn )
p-value = P 2k1 > T (x) xn = (x1 , . . . , xn )
D
2
Faster Xk1 than LRT, hence preferable for small n Prior density f ()
Likelihood f (xn | ): joint density of the data
Independence testing Yn
In particular, X n iid = f (xn | ) = f (xi | ) = Ln ()
I rows, J columns, X multinomial sample of size n = I J i=1
X
mles unconstrained: pbij = nij Posterior density f ( | xn )
Normalizing constant cn = f (xn ) = f (x | )f () d
R
X
mles under H0 : pb0ij = pbi pbj = Xni nj
PI PJ
nX
Kernel: part of a density that dependsRon
LRT: = 2 i=1 j=1 Xij log Xi Xijj L ()f ()d
Posterior mean n = f ( | xn ) d = R Lnn()f () d
R
PI PJ (X E[X ])2
PearsonChiSq: T = i=1 j=1 ijE[Xij ]ij
D
LRT and Pearson 2k , where = (I 1)(J 1) 15.1 Credible Intervals
Posterior interval
14 Exponential Family Z b
P [ (a, b) | xn ] = f ( | xn ) d = 1
Scalar parameter a
Types
Flat: f () constant
R
Proper: f () d = 1
R
Improper: f () d =
Jeffreys Prior (transformation-invariant):
p p
f () I() f () det(I())
Under the assumption of Normality, the least squares estimator is also the mle
Estimate regression function
but the least squares variance estimator is not the mle.
n k
1X 2 X
b2 =
rb(x) = bj xj
n i=1 i j=1
Training error
n
R
btr (S) =
X
(Ybi (S) Yi )2 19 Non-parametric Function Estimation
i=1
h i n
X h i Frequentist risk
bias(Rtr (S)) = E Rtr (S) R(S) = 2
b b Cov Ybi , Yi
i=1 h i Z Z
R(f, fbn ) = E L(f, fbn ) = b2 (x) dx + v(x) dx
Adjusted R2
n 1 rss
R2 (S) = 1
n k tss
h i
Mallows Cp statistic b(x) = E fbn (x) f (x)
h i
R(S)
b =R 2 = lack of fit + complexity penalty
btr (S) + 2kb v(x) = V fbn (x)
22
19.1.1 Histograms KDE
n
Definitions
1X1 x Xi
fbn (x) = K
n i=1 h h
Number of bins m 1 4
Z
00 2 1
Z
Binwidth h = m 1 R(f, fn ) (hK )
b (f (x)) dx + K 2 (x) dx
4 nh
Bin Bj has j observations c
2/5 1/5 1/5
c2 c3
Z Z
h = 1 c = 2
, c = K 2
(x) dx, c = (f 00 (x))2 dx
R
Define pbj = j /n and pj = Bj f (u) du 1 K 2 3
n1/5
Z 4/5 Z 1/5
c4 5 2 2/5 2 00 2
Histogram estimator R (f, fn ) = 4/5
b c4 = (K ) K (x) dx (f ) dx
n 4
| {z }
m C(K)
X pbj
fbn (x) = I(x Bj )
h
j=1 Epanechnikov Kernel
h i pj
E fbn (x) = (
h 3
|x| < 5
h i p (1 p ) K(x) = 4 5(1x2 /5)
j j
V fbn (x) = 0 otherwise
nh2
h2
Z
2 1
R(fbn , f ) (f 0 (u)) du + Cross-validation estimate of E [J(h)]
12 nh
!1/3
1 6 n n n
1 X X Xi Xj
Z
h = 1/3 R 2 du 2Xb 2
n (f 0 (u)) JbCV (h) = fbn2 (x) dx f(i) (Xi ) 2
K + K(0)
n i=1 hn i=1 j=1 h nh
2/3 Z 1/3
b C 3 0 2
R (fn , f ) 2/3 C= (f (u)) du
n 4 Z
(2) (2)
K (x) = K (x) 2K(x) K (x) = K(x y)K(y) dy
Cross-validation estimate of E [J(h)]
Z n m
JbCV (h) = fbn2 (x) dx
2Xb
f(i) (Xi ) =
2
n+1 X 2
pb
19.2 Non-parametric Regression
n i=1 (n 1)h (n 1)h j=1 j
Estimate f (x) where f (x) = E [Y | X = x]. Consider pairs of points
(x1 , Y1 ), . . . , (xn , Yn ) related by
0 (xn ) J (xn )
Pm+n = Pm Pn
Least squares estimator
b = (T )1 T Y Pn = P P = Pn
1
T Y (for equally spaced observations only) Marginal probability
n
Cross-validation estimate of E [J(h)] n = (n (1), . . . , n (N )) where i (i) = P [Xn = i]
2
0 , initial distribution
Xn J
X
R
bCV (J) = Yi j (xi )bj,(i) n = 0 Pn
24
i=1 j=1
20.2 Poisson Processes Autocorrelation function (ACF)
Poisson process
Cov [xs , xt ] (s, t)
(s, t) = p =p
{Xt : t [0, )} = number of events up to and including time t V [xs ] V [xt ] (s, s)(t, t)
X0 = 0
Independent increments: Cross-covariance function (CCV)
t0 < < tn : Xt1 Xt0
Xtn Xtn1
xy (s, t) = E [(xs xs )(yt yt )]
Intensity function (t)
P [Xt+h Xt = 1] = (t)h + o(h) Cross-correlation function (CCF)
P [Xt+h Xt = 2] = o(h)
Rt xy (s, t)
Xs+t Xs Po (m(s + t) m(s)) where m(t) = 0
(s) ds xy (s, t) = p
x (s, s)y (t, t)
Homogeneous Poisson process
Backshift operator
(t) = Xt Po (t) >0
B k (xt ) = xtk
Waiting times
Wt := time at which Xt occurs
Difference operator
1
Wt Gamma t, d = (1 B)d
Interarrival times
White noise
St = Wt+1 Wt
1 2
wt wn(0, w )
St Exp
iid 2
Gaussian: wt N 0, w
St
E [wt ] = 0 t T
V [wt ] = 2 t T
Wt1 Wt t w (s, t) = 0 s 6= t s, t T
Random walk
21 Time Series
Drift
Mean function
Pt
xt = t + j=1 wj
Z
xt = E [xt ] = xft (x) dx
E [xt ] = t
Autocovariance function
Symmetric moving average
x (s, t) = E [(xs s )(xt t )] = E [xs xt ] s t
k
X k
X
x (t, t) = E (xt t )2 = V [xt ]
mt = aj xtj where aj = aj 0 and aj = 1
25
j=k j=k
21.1 Stationary Time Series 21.2 Estimation of Correlation
Strictly stationary Sample mean
n
1X
x = xt
P [xt1 c1 , . . . , xtk ck ] = P [xt1 +h c1 , . . . , xtk +h ck ] n t=1
Sample variance
n
k N, tk , ck , h Z
1 X |h|
V [x] = 1 x (h)
n n
h=n
Weakly stationary
Sample autocovariance function
E x2t < t Z
nh
1 X
2
E xt = m t Z
b(h) = (xt+h x)(xt x)
x (s, t) = x (s + r, t + r) r, s, t Z n t=1
b(h)
(h) = E [(xt+h )(xt )] h Z b(h) =
b(0)
(0) = E (xt )2
(0) 0 Sample cross-variance function
(0) |(h)|
nh
(h) = (h) 1 X
bxy (h) = (xt+h x)(yt y)
n t=1
Autocorrelation function (ACF)
Sample cross-correlation function
Cov [xt+h , xt ] (t + h, t) (h)
x (h) = p =p =
bxy (h)
V [xt+h ] V [xt ] (t + h, t + h)(t, t) (0) bxy (h) = p
bx (0)b
y (0)
Jointly stationary time series Properties
ARMA (p, q) causal roots of (z) lie outside the unit circle Spectral distribution function
X (z)
j 0
< 0
(z) = j z = |z| 1
(z) F () = 2 /2 < 0
j=0
2
0
ARMA (p, q) invertible roots of (z) lie outside the unit circle
F () = F (1/2) = 0
X (z) F () = F (1/2) = (0)
(z) = j z j = |z| 1
j=0
(z)
Spectral density
Behavior of the ACF and PACF for causal and invertible ARMA models
X 1 1
AR (p) MA (q) ARMA (p, q) f () = (h)e2ih
2 2
h=
ACF tails off cuts off after lag q tails off
PACF cuts off after lag p tails off q tails off P R 1/2
Needs h= |(h)| < = (h) = 1/2
e2ih f () d h = 0, 1, . . .
21.5 Spectral Analysis f () 0
f () = f ()
Periodic process f () = f (1 )
R 1/2
xt = A cos(2t + ) (0) = V [xt ] = 1/2 f () d
2
= U1 cos(2t) + U2 sin(2t) White noise: fw () = w
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ARMA (p, q) , (B)xt = (B)wt : 22.2 Beta Function
Z 1
(x)(y)
|(e2i )|2
2 Ordinary: B(x, y) = B(y, x) = tx1 (1 t)y1 dt =
fx () = w 0 (x + y)
|(e2i )|2 Z x
a1 b1
Pp Pq Incomplete: B(x; a, b) = t (1 t) dt
where (z) = 1 k=1 k z k and (z) = 1 + k=1 k z k 0
Regularized incomplete:
Discrete Fourier Transform (DFT) a+b1
B(x; a, b) a,bN X (a + b 1)!
Ix (a, b) = = xj (1 x)a+b1j
n
X B(a, b) j=a
j!(a + b 1 j)!
d(j ) = n1/2 xt e2ij t
I0 (a, b) = 0 I1 (a, b) = 1
i=1
Ix (a, b) = 1 I1x (b, a)
Fourier/Fundamental frequencies
22.3 Series
j = j/n
Finite Binomial
Inverse DFT n n
n1 X n(n + 1) X n
= 2n
X
xt = n 1/2
d(j )e 2ij t k=
2 k
j=0 k=1 k=0
n n
X X r+k r+n+1
Periodogram (2k 1) = n2 =
I(j/n) = |d(j/n)|2 k n
k=1 k=0
n n
Scaled Periodogram
X n(n + 1)(2n + 1) X k n+1
k2 = =
6 m m+1
k=1 k=0
4 n
P (j/n) = I(j/n) X
n(n + 1)
2 Vandermondes Identity:
n k3 = r
m n
m+n
2
!2 !2 X
2X
n
2X
n k=1 =
= xt cos(2tj/n + xt sin(2tj/n n k rk r
n t=1 n t=1
X cn+1 1 k=0
ck = c 6= 1 Binomial Theorem:
c1 n
n nk k
k=0
X
a b = (a + b)n
22 Math k
k=0
Partitions
n
X
Pn+k,k = Pn,i k > n : Pn,k = 0 n 1 : Pn,0 = 0, P0,0 = 1
i=1
References
[1] P. G. Hoel, S. C. Port, and C. J. Stone. Introduction to Probability Theory. Brooks Cole,
1972.
[2] L. M. Leemis and J. T. McQueston. Univariate Distribution Relationships. The American
Statistician, 62(1):4553, 2008.
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Univariate distribution relationships, courtesy Leemis and McQueston [2].
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