© All Rights Reserved

16 views

© All Rights Reserved

- Revisiting a 90-Year-old Debate_ the Advantages of the Mean Deviation
- Regression Model
- Dig
- fulltext
- Probability
- Engineering journal ; Information Disseminated with Technology Firms on Social Media
- gaussian
- c2
- Hanushek-The Market of Teacher Quality
- L3 Output Wiyono
- Statistics
- Print
- 1EF36_0E
- Base Line Characteristics
- Back Caluclating Regression Values Through Pizza Example
- Tutorial 5
- Tips for the Labs
- GridDataReport-tes Map 1
- dcp vs mr
- ErrorAnalysis_3

You are on page 1of 8

Descriptive statistics:

Population mean, variance and coefficient of variation:

𝑁 𝑁

1 1 𝜎

𝜇 = ∑ 𝑥𝑖 ; 𝜎 2 = ∑(𝑥𝑖 − 𝜇)2 ; 𝐶𝑉 = ∗ 100%

𝑁 𝑁 𝜇

𝑖=1 𝑖=1

𝑁

1 𝑐𝑜𝑣(𝑥, 𝑦) 𝜎𝑥𝑦

𝑐𝑜𝑣(𝑥, 𝑦) = 𝜎𝑥𝑦 = ∑(𝑥𝑖 − 𝜇𝑥 )(𝑦𝑖 − 𝜇𝑦 ) ; 𝜌𝑥𝑦 = =

𝑁 𝜎𝑥 𝜎𝑦 𝜎𝑥 𝜎𝑦

𝑖=1

𝑛 𝑛

1 1 𝑠

𝑥̅ = ∑ 𝑥𝑖 ; 𝑠 2 = ∑(𝑥𝑖 − 𝑥̅ )2 ; 𝐶𝑉 = ∗ 100%

𝑛 𝑛−1 𝑥̅

𝑖=1 𝑖=1

𝑛

1 𝑐𝑜𝑣(𝑥, 𝑦) 𝑠𝑥𝑦

𝑐𝑜𝑣(𝑥, 𝑦) = 𝑠𝑥𝑦 = ∑(𝑥𝑖 − 𝑥̅ )(𝑦𝑖 − 𝑦̅) ; 𝑟𝑥𝑦 = =

𝑛−1 𝑠𝑥 𝑠𝑦 𝑠𝑥 𝑠𝑦

𝑖=1

Introduction to probability:

Permutation rule formula:

𝑛!

𝑃𝑥𝑛 = 𝑛(𝑛 − 1)(𝑛 − 2) … . (𝑛 − 𝑥 + 1) =

(𝑛 − 𝑥)!

Where 𝑥! = 𝑥(𝑥 − 1)(𝑥 − 2) … (1)

Combination rule formula:

𝑛(𝑛 − 1)(𝑛 − 2) … . (𝑛 − 𝑥 + 1) 𝑛! 𝑃𝑥𝑛

𝐶𝑥𝑛 = = =

𝑥(𝑥 − 1) … (1) 𝑥! (𝑛 − 𝑥)! 𝑥!

Where 𝑥! = 𝑥(𝑥 − 1)(𝑥 − 2) … (1)

Addition rule:

𝑃(𝐴) + 𝑃(𝐵) = 𝑃(𝐴 ∪ 𝐵) + 𝑃(𝐴 ∩ 𝐵)

Conditional probability:

𝑃(𝐴 ∩ 𝐵)

𝑃(𝐴|𝐵) =

𝑃(𝐵)

Multiplication rule:

𝑃(𝐴 ∩ 𝐵) = 𝑃(𝐴|𝐵)𝑃(𝐵) = 𝑃(𝐵|𝐴)𝑃(𝐴)

1

Law of total probability:

𝑃(𝐴) = 𝑃(𝐴|𝐵1)𝑃(𝐵1 ) + 𝑃(𝐴|𝐵2)𝑃(𝐵2 ) + … + 𝑃(𝐴|𝐵𝑘 )𝑃(𝐵𝑘 )

where 𝐵1 , 𝐵2 , … , 𝐵𝑘 are mutually exclusive and collectively exhaustive events.

Bayes’ theorem:

𝑃(𝐵|𝐴)𝑃(𝐴)

𝑃(𝐴|𝐵) =

𝑃(𝐵)

Probability distribution function

𝑃(𝑥) = 𝑃(𝑋 = 𝑥) for all values of 𝑥

Cumulative probability distribution

𝑥≤𝑥𝑚

𝑥 𝑥

𝑥

Bernoulli distribution

𝑃(𝑋 = 1) = 𝑃 ; 𝑃(𝑋 = 0) = 1 − 𝑃

𝑀𝑒𝑎𝑛: 𝜇 = 𝑃; 𝑣𝑎𝑟𝑖𝑎𝑛𝑐𝑒: 𝜎 2 = 𝑃(1 − 𝑃)

Binomial distribution

𝑛!

𝑃(𝑥) = 𝑃 𝑥 (1 − 𝑃)𝑛−𝑥

𝑥! (𝑛 − 𝑥)!

𝑀𝑒𝑎𝑛: 𝜇 = 𝑛𝑃; 𝑣𝑎𝑟𝑖𝑎𝑛𝑐𝑒: 𝜎 2 = 𝑛𝑃(1 − 𝑃)

Poisson distribution

𝜆𝑥

𝑃(𝑥) = 𝑒 −𝜆 𝑓𝑜𝑟 𝑥 = 0,1,2, …

𝑥!

𝑀𝑒𝑎𝑛: 𝜇 = 𝜆 𝑎𝑛𝑑 𝑣𝑎𝑟𝑖𝑎𝑛𝑐𝑒: 𝜎 2 = 𝜆

Probability of 𝑋 between 𝑎 and 𝑏:

𝑏

𝑃(𝑎 < 𝑋 < 𝑏) = ∫ 𝑓(𝑥)𝑑𝑥

𝑎

2

Cumulative distribution function:

𝑥

𝐹(𝑥) = 𝑃(𝑋 ≤ 𝑥) = 𝑃(𝑋 < 𝑥) = ∫ 𝑓(𝑥)𝑑𝑥

𝑥𝑚𝑖𝑛

𝑥𝑚𝑎𝑥 𝑥𝑚𝑎𝑥

𝜇 = 𝐸[𝑋] = ∫ 𝑥𝑓(𝑥)𝑑𝑥 ; 𝜎 2 = 𝐸[(𝑥 − 𝜇)2 ] = ∫ (𝑥 − 𝜇)2 𝑓(𝑥)𝑑𝑥

𝑥𝑚𝑖𝑛 𝑥𝑚𝑖𝑛

Uniform distribution

1 𝑥−𝑎

𝑓(𝑥) = ; 𝐹(𝑥) = 𝑓𝑜𝑟 𝑎𝑛𝑦 𝑎 ≤ 𝑥 ≤ 𝑏

𝑏−𝑎 𝑏−𝑎

𝑎+𝑏 2

(𝑏 − 𝑎)2

𝑀𝑒𝑎𝑛: 𝜇 = ; 𝑣𝑎𝑟𝑖𝑎𝑛𝑐𝑒: 𝜎 =

2 12

Normal distribution

1 2 /2𝜎 2

𝐹𝑜𝑟 𝑋~𝑁(𝜇, 𝜎 2 ), 𝑓(𝑥) = 𝑒 −(𝑥−𝜇)

√2𝜋𝜎 2

Standard normal distribution:

1 2 /2

𝐹𝑜𝑟 𝑍~𝑁(0,1), 𝑓(𝑧) = 𝑒 −𝑥

√2𝜋

Exponential distribution:

𝑓(𝑡) = 𝜆𝑒 −𝜆𝑡 ; 𝐹(𝑡) = 1 − 𝑒 −𝜆𝑡 for t > 0

1 1

𝑀𝑒𝑎𝑛: 𝜇 = 𝑎𝑛𝑑 𝑣𝑎𝑟𝑖𝑎𝑛𝑐𝑒: 𝜎 2 = 2

𝜆 𝜆

Joint Probability Distribution:

Joint probability distribution:

𝑃(𝑥, 𝑦) = 𝑃(𝑋 = 𝑥 ∩ 𝑌 = 𝑦)

Marginal probability distributions

𝑦 𝑥

𝑃(𝑥, 𝑦) 𝑃(𝑥, 𝑦)

𝑃(𝑦|𝑥) = ; 𝑃(𝑥|𝑦) =

𝑃(𝑥) 𝑃(𝑦)

Conditional mean

𝑌

Conditional variance

2 2 2

𝜎𝑌|𝑋 = 𝐸 [(𝑌 − 𝜇𝑌|𝑋 ) |𝑋] = ∑ [(𝑌 − 𝜇𝑌|𝑋 ) |𝑋] 𝑃(𝑦|𝑋)

𝑌

Covariance

3

𝐶𝑜𝑣(𝑋, 𝑌) = 𝐸[(𝑋 − 𝜇𝑋 )(𝑌 − 𝜇𝑌 )] = ∑ ∑(𝑥 − 𝜇𝑋 )(𝑦 − 𝜇𝑌 )𝑃(𝑥, 𝑦)

𝑦 𝑥

Correlation

𝐶𝑜𝑣(𝑋, 𝑌)

𝜌 = 𝐶𝑜𝑟𝑟(𝑋, 𝑌) =

𝜎𝑋 𝜎𝑌

General rules:

𝐸[𝑋 + 𝑌] = 𝜇𝑋 + 𝜇𝑌

𝐸[𝑋 − 𝑌] = 𝜇𝑋 − 𝜇𝑌

𝑉𝑎𝑟(𝑋 + 𝑌) = 𝜎𝑋2 + 𝜎𝑌2 + 2𝐶𝑜𝑣(𝑋, 𝑌)

𝑉𝑎𝑟(𝑋 − 𝑌) = 𝜎𝑋2 + 𝜎𝑌2 − 2𝐶𝑜𝑣(𝑋, 𝑌)

𝑉𝑎𝑟(𝑋 + 𝑌 + 𝑍) = 𝜎𝑋2 + 𝜎𝑌2 + 𝜎𝑍2 + 2𝐶𝑜𝑣(𝑋, 𝑌) + 2𝐶𝑜𝑣(𝑋, 𝑍) + 2𝐶𝑜𝑣(𝑌, 𝑍)

𝑉𝑎𝑟(𝑋 − 𝑌 + 𝑍) = 𝜎𝑋2 + 𝜎𝑌2 + 𝜎𝑍2 − 2𝐶𝑜𝑣(𝑋, 𝑌) + 2𝐶𝑜𝑣(𝑋, 𝑍) − 2𝐶𝑜𝑣(𝑌, 𝑍)

𝑉𝑎𝑟(𝑋 − 𝑌 − 𝑍) = 𝜎𝑋2 + 𝜎𝑌2 + 𝜎𝑍2 − 2𝐶𝑜𝑣(𝑋, 𝑌) − 2𝐶𝑜𝑣(𝑋, 𝑍) + 2𝐶𝑜𝑣(𝑌, 𝑍)

𝐶𝑜𝑣(𝑋, 𝑋) = 𝑉𝑎𝑟(𝑋)

𝐶𝑜𝑣(𝑋 + 𝑌, 𝑍) = 𝐶𝑜𝑣(𝑋, 𝑍) + 𝐶𝑜𝑣(𝑌, 𝑍)

Denote 𝑋̅ as the sample mean of a random sample from a population with mean 𝜇 and

variance 𝜎 2 .

Mean of sample mean:

𝜇𝑋̅ = 𝜇

Variance of sample mean if the population size is infinitely large:

𝜎2

𝜎𝑋2̅ =

𝑛

n

Variance of sample mean if the population size is finite (i.e., N < 0.05):

𝜎2 𝑁 − 𝑛

𝜎𝑋2̅ =

𝑛 𝑁−1

with an arbitrary distribution with mean 𝜇 and variance 𝜎 2 , and let 𝑋̅ be the sample mean. As

𝑋̅−𝜇

𝑛 gets larger, the distribution of 𝑍 = 𝜎𝑋

approaches the standard normal distribution.

̅

Denote 𝑝̂ as the sample proportion of a random sample from a population with mean

proportion of 𝑃.

Mean of sample proportion:

𝜇𝑝̂ = 𝑃

Variance of sample proportion:

4

𝑃(1 − 𝑃)

𝜎𝑝2̂ =

𝑛

with an arbitrary distribution with population proportion 𝑃, and let 𝑝̂ be the sample proportion.

𝑝̂−𝑃

As 𝑛 gets larger, the distribution of 𝑍 = 𝜎 approaches the standard normal distribution.

̂

𝑝

Denote 𝑠 2 as the sample variance of a random sample from population with mean 𝜇 and

variance 𝜎 2 .

Mean of sample variance:

𝐸(𝑠 2 ) = 𝜎 2

If the population distribution is normal, then

(𝑛 − 1)𝑠 2 2

= 𝜒𝑛−1

𝜎2

has a 𝜒 2 distribution with 𝑛 − 1 degrees of freedom.

If the population distribution is normal, variance of sample variance:

2𝜎 4

𝑉𝑎𝑟(𝑠 2 ) =

𝑛−1

Confidence Interval:

Confidence

90% 95% 98% 99%

Level

𝜶 0.10 0.05 0.02 0.01

𝒛𝜶/𝟐 1.645 1.96 2.33 2.58

If population is normal or sample size is large, and population variance 𝜎 2 is known, the

100(1 − 𝛼)% confidence intervals of population mean is:

𝜎

𝑋̅ ± 𝑧𝛼/2

√𝑛

If population is normal or sample size is large, and population variance 𝜎 2 is unknown, the

100(1 − 𝛼)% confidence intervals of population mean is:

𝑠

𝑋̅ ± 𝑡𝑛−1,𝛼/2

√𝑛

If population is normal or sample size is large, the 100(1 − 𝛼)% confidence intervals of

population proportion is:

𝑝̂ (1 − 𝑝̂ )

𝑝̂ ± 𝑧𝛼/2 √

𝑛

If population is normal, the 100(1 − 𝛼)% confidence intervals of population variance is:

5

(𝑛 − 1)𝑠 2 (𝑛 − 1)𝑠 2

2 < 𝜎2 < 2

𝜒𝑛−1,𝛼/2 𝜒𝑛−1,1−𝛼/2

If population size is infinitely large, margin of error for population mean is required to be 𝑀𝐸,

sample size 𝑛 is determined by

2

𝑧𝛼/2 𝜎2

𝑛=

𝑀𝐸 2

If population size is finite, margin of error for population mean is required to be 𝑀𝐸, sample

size 𝑛 is determined by

𝑛0 𝑁

𝑛=

𝑛0 + 𝑁 − 1

2

𝑧𝛼/2 𝜎2

Where 𝑛0 = 𝑀𝐸 2

determined by

2

0.25𝑧𝛼/2

𝑛=

𝑀𝐸 2

Hypothesis Test:

One-sided

Two-sided

of 𝛼,

against one-sided alternative 𝐻1 : 𝜇 > 𝜇0 if

𝑋̅ − 𝜇0

𝑧= > 𝑧𝛼

𝜎/√𝑛

against one-sided alternative 𝐻1 : 𝜇 < 𝜇0 if

𝑋̅ − 𝜇0

𝑧= < −𝑧𝛼

𝜎/√𝑛

against two-sided alternative 𝐻1 : 𝜇 ≠ 𝜇0 if

6

𝑋̅−𝜇0 𝑋̅−𝜇0

𝑧= > 𝑧𝛼/2 or 𝑧 = < −𝑧𝛼/2

𝜎/√𝑛 𝜎/√𝑛

level of 𝛼,

against one-sided alternative 𝐻1 : 𝜇 > 𝜇0 if

𝑋̅ − 𝜇0

𝑡= > 𝑡𝑛−1,𝛼

𝑠/√𝑛

against one-sided alternative 𝐻1 : 𝜇 < 𝜇0 if

𝑋̅ − 𝜇0

𝑡= < −𝑡𝑛−1,𝛼

𝑠/√𝑛

against two-sided alternative 𝐻1 : 𝜇 ≠ 𝜇0 if

𝑋̅−𝜇0 𝑋̅−𝜇0

𝑡= 𝑠/√𝑛

> 𝑡𝑛−1,𝛼/2 or 𝑡 = 𝑠/√𝑛

< −𝑡𝑛−1,𝛼/2

Population regression model:

𝑦𝑖 = 𝛽0 + 𝛽1 𝑥𝑖 + 𝜖𝑖

where 𝜖𝑖 is the population error.

Sample regression model:

𝑦𝑖 = 𝑦̂𝑖 + 𝑒𝑖 = 𝑏0 + 𝑏1 𝑥𝑖 + 𝑒𝑖

where 𝑒𝑖 is the regression residual.

Slope coefficient

∑𝑛𝑖=1(𝑥𝑖 − 𝑥̅ )(𝑦𝑖 − 𝑦̅) 𝑐𝑜𝑣(𝑥, 𝑦) 𝑠𝑦

𝑏1 = 𝑛 = 2 = 𝑟

∑𝑖=1(𝑥𝑖 − 𝑥̅ )2 𝑠𝑥 𝑠𝑥

∑𝑛 ̅)

𝑖=1(𝑥𝑖 −𝑥̅ )(𝑦𝑖 −𝑦 𝑐𝑜𝑣(𝑥,𝑦)

where 𝑐𝑜𝑣(𝑥, 𝑦) = 𝑛−1

and 𝑟 = 𝑠𝑥 𝑠𝑦

.

Intercept coefficient

𝑏0 = 𝑦̅ − 𝑏1 𝑥̅

Error/residual sum of squared, SSE, is:

𝑛 𝑛

𝑖=1 𝑖=1

Coefficient of determination, R-squared, 𝑅 2

7

𝑆𝑆𝑅 𝑆𝑆𝐸

𝑅2 = =1−

𝑆𝑆𝑇 𝑆𝑆𝑇

Under univariate least squared regression,

𝑟2 = 𝑅2

If the population error 𝜖 follows normal distribution and variance of the population error 𝜎 2 is

known, 𝑏1 follows the normal distribution:

𝑏1 ~𝑁(𝛽1 , 𝜎𝑏21 )

where

𝜎2 𝜎2

𝜎𝑏21 = =

∑𝑛𝑖=1(𝑥𝑖 − 𝑥̅ )2 (𝑛 − 1)𝑠𝑥2

The estimator for the variance of the population error

∑𝑛𝑖=1 𝑒𝑖2

𝜎̂ 2 = 𝑠𝑒2 =

𝑛−2

Where 𝑠𝑒 is called the residual standard error.

If the population error 𝜖 follows normal distribution, and variance of the population error, 𝜎 2 ,

is unknown,

𝑏1 − 𝛽1

𝑡= ~𝑡𝑛−2

𝑠𝑏1

follows the Student’s t-distribution with 𝑛 − 2 degree of freedom:

𝑠𝑒2 𝑠𝑒2

𝑠𝑏21 = =

∑𝑛𝑖=1(𝑥𝑖 − 𝑥̅ )2 (𝑛 − 1)𝑠𝑥2

The (100 − 𝛼)% confidence interval for the population slope coefficient 𝛽1 is

𝑏1 − 𝑡𝑛−2,𝛼/2 𝑠𝑏1 < 𝛽1 < 𝑏1 + 𝑡𝑛−2,𝛼/2 𝑠𝑏1

Reject the null hypothesis of 𝐻0 : 𝛽1 = 𝛽 ∗ against alternative 𝐻1 : 𝛽1 ≠ 𝛽 ∗ if

𝑏1 −𝛽 ∗ 𝑏1 −𝛽 ∗

𝑡= 𝑠𝑏1

> 𝑡𝑛−2,𝛼/2 or 𝑡 = 𝑠𝑏1

< −𝑡𝑛−2,𝛼/2

- Revisiting a 90-Year-old Debate_ the Advantages of the Mean DeviationUploaded byAreem Abbasi
- Regression ModelUploaded byapi-3712367
- DigUploaded byRahul Paul
- fulltextUploaded byaovksa
- ProbabilityUploaded bysudersanaviswanathan
- Engineering journal ; Information Disseminated with Technology Firms on Social MediaUploaded byEngineering Journal
- gaussianUploaded byKathiravan Srinivasan
- c2Uploaded bySheriad Majie
- Hanushek-The Market of Teacher QualityUploaded byquadranteRD
- L3 Output WiyonoUploaded byIkrom
- StatisticsUploaded byeverytimeyoulie
- PrintUploaded bySuganyashivraj Suganya
- 1EF36_0EUploaded bypp
- Base Line CharacteristicsUploaded byPrabhav Chauhan
- Back Caluclating Regression Values Through Pizza ExampleUploaded byAkshay Deshmukh
- Tutorial 5Uploaded bysporrob
- Tips for the LabsUploaded byAngelaYanQiLuo-Spelunking
- GridDataReport-tes Map 1Uploaded byAnonymous NZ69BGw7
- dcp vs mrUploaded byashok
- ErrorAnalysis_3Uploaded bylosblancos1
- Ada 049397Uploaded bySabih Haque
- Two Way AnovaUploaded bySumit Chauhan
- Applied Math Unit1 Summary and Useful FormulasUploaded byEquitable Brown
- Tabela de Conversao de UnidadesUploaded byRenata Gabrielly
- ALSMStudentsolnsbookv1 SolutionUploaded bytoancao
- 1 Review of Basic Concepts - Normal Distribution.docUploaded byTiffany Or
- asumsiklasikUploaded byMuhammad Yudhi
- 819753555Uploaded bymereetika
- Hasil RegressionUploaded byDevinta Ayu
- dsp34Uploaded byvikasika

- IS-LM informationUploaded byrohitm95
- ch 16-ansUploaded bynorman
- 101oldfinal.docUploaded byEstrellita Sobrevilla Glodo
- Cause of French Revolution.docxUploaded bynorman
- Economics Sample Roadmap AY2016 2017 Onwards-3Uploaded bynorman
- Standard Normal Distribution TableUploaded bynorman
- Student T-distribution TableUploaded bynorman
- NormanUploaded bynorman

- T_KEYS to Pastexam2 (1)Uploaded byShyama Sundari Devi
- simple linear regression.pptxUploaded byBie JhingcHay
- ch06.pptxUploaded byRay Vega Lugo
- Options - ValuationUploaded byashu khetan
- intervalsUploaded byHarySetiyawan
- Introduction to Fixed Effects MethodsUploaded byWładysław Sidor
- dynamics.pdfUploaded byWalaa Mahrous
- Unbalanced ANOVAUploaded bytecanasio
- Artsy Case SolutionUploaded bylenafran22
- ECON3208 Past Paper 2008Uploaded byitoki229
- unit 4 - description and planUploaded byapi-274589624
- 01a Decision MakingUploaded bysiaapa
- Cumby Huizinga 1992 - Testing Autocorrelation OLSUploaded byackoloz
- Acceptable Quality Level.docUploaded byAmarech Yigezu
- LECTURE 1 of Value engineering and operationsUploaded byblazeace01
- Application of Sensitivity Analysis in Investment Project Evaluation Under Uncertainty and RiskUploaded byBilly Katontoka
- Beyond LateUploaded byKinshuk Saurabh
- Cj - Zj Method SimplexUploaded byChandra Sekhar
- Tut8SolnsUploaded byDai Dexter
- ExercisesUploaded byhpchen9407
- Design and analysis of experimentsUploaded byKewsi Cobbina
- MulticollinearityUploaded bymissinu
- 4 LP Simplex MinimizationUploaded byYozi Ikhlasari Dahelza Arby
- Reliability Growth ModelsUploaded byarnoldindia
- 4. Operations Management PERT & CPMUploaded bypvithalani
- (Monographs on Statistics and Applied Probability 113) Lang Wu-Mixed Effects Models for Complex Data-CRC Press (2010)Uploaded byJeferson Martins
- Pt4 Adv Regression ModelsUploaded bype
- The Multi-Commodity Facilities Location ProblemUploaded byJavier Vargas Rivera
- TradingStrategies Risk (1)Uploaded bymusadhiq_yavar
- Mat 540 Week 4 Homework Feb 1Uploaded bymsldelray