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Slot A 3 .
( AG t MI t IM )
:
Randy
An experiment whose outcome is
Experiment
Unknown .
Ex .
Tossing a coin
time in
Waiting a
queue
samphs-paa.ch
)
Given a random
experiment , a set I
all possible outcomes is a
sample
Space
.
D= EH , T ) -
tossing coin
die
R -
- El , 2,3--14,5 ,
-
Rolling a
time in
waiting
a
Co
r
)
-
= a
,
green
,
-
,
,
spaces - continuous
[ op )
,
Ca , b)
events
Assignment f probability to .
equally likely .
A be event Relative
Let an .
f.
#I g regnency
HAI
assignment
=
.
# r
case .
discrete / finite / all outcomes are
times
no 8 event A occurred in n
runs
fa
-
= -
n
BCA ) FA
=
nhjm ,
needs
for
L
only kcyents
-
Obsa : certain
-
an
to
assign probabilities .
for die
instance in of rolling
case a we
,
all other
Pk )
,
PK ) . Then
probability 8
events are automatically assigned .
? ?
happens
certain laws
- Because are
intuitively assume
of probability .
-
We will formalize these laws / these
an event .
Definition : T - field .
5-
algebra if
Ii ) Ai Az E F then
'
Az
- .
,
-
, ,
.
iIAi E F and Ai EF
EI .
R -
- EH ,
T }
F = Er = E to EH }
, ,
ET } E Hit } }
Ex : re 91,2 , 3,4 , 5,6 }
F = Er
Definition : Lets be the sample space
for a random experiment .
let F be
associated
the f-
algebra with SL .
is
The
probability P :
a measure a
function on F to IR C p : I → IR )
such that
ii ) Pfe ) = I
for
iii
) If Ai are mutually disjoint
i -4,3 - - -
( Ain Aj =
4 for itj )
PL Ai ) -
I ,
PHI )
Properties :
PIA I
'
i
) =
I -
PIA )
A UAC = r
'
Pcr )
'
NAVA ) = PIAITPIA ) =
in
because A4A° are distant
g) plot ) -_ o
A r result
take
-
-
in previous .
A CB PLATE PCB )
3) If ,
then
µf B=HulB
disjoint
union
PIB )
,¥tPlB
Pp
; so
FiT AaB
-
'
AUB
=fAnB ) ULANB ) UCACNB )
disjoint .ae
←
PCAUB ) = Plan Bc ) + Pl Acn B) t PLAN
B) ti )
Now notice ,
'
A = ( AaB ) U ( AaB )
←
disjoint
union
'
PIAS = Plans ) + plan By
Plan B
'
)= MAI -
Pl AaB ) -127
similarly , PLAT B) =p LB ) -
PLA AB ) - Cs
)
From C
17,121 ,
(3)
PC Bnc ) -
Plan t PIAA Bnc )
similarly using induction
,
prove
PIA , U Az . . .
VAN ) -
-
Eixample
Experiment fair coins
-
i
)
: Toss 2
D= { IHH ) , CHT )
,
CTH ) C TT ) }
F = 2B
PIHH ) k
Assume : PC HH ) =
I =
HT )=
PC
at PC HT ) = Pz
PITH )
I PITH ) Pz
=
=
PITT )
tf PITT ) A Hitz
=
=
I - -
OSP , ,k ,
BCI
of Past
-
C 8 sets )
sequence increasing .
and then
A =
VAI
IT
PI B ,
=
At
Az = Az AAE
Bz =
Az A AE
:
An Ants
Bn =
n
II. Bi =
II.
Ai
A =
II. Ai = Bi
.de?BiI=EIPCBi
RAD
=P )
°
Let {Bi ,
Bz
,
- - .
, Bn } be a
disjoint
cover of r .
)
d )
[
( Bi ti ,j
Bj 1,2 n
n = =
,
.
-
and
ii. Bi = r
t PCAOB n )
Conditioning .
t PCB ) >
f
o
Let A ,
BE s . .
Conditional probability g A
given
B .
PCA 1B ) = NAIB )
ng
PCB )
fair die
R Rolling
: a
top face of
A 2 the the die
appears
: on
To the die
main =3
It
?
:& ,
=*÷÷¥±i÷÷÷÷
It I AaB )
probability .
B) PCAIB ) PCB )
rule
Plan = - - -
product
41 ) of probability
If PLA ) > 0
PC BIA ) =
NAIB )
PLA )
PLAN B) = PIBIA ) .
PIA )
427
::::::÷÷÷÷
Consider { Be
,
Bz
,
-
-
,
Bn } disjoint cover fr .
&
! )
of for
Bin Bj =
! Bi =
r
no Bi =
0
For any At F
A = ( AaB , ) U C An Bd U -
-
Ulan Bn )
Idisj.int
union
t Plan Ba )
,) PIAIBIPIB.lt
-
- PIAIB PIB It ,
-
- .
.
.
-
t Plott Bn ) PCBs )
IPIAI-iIPIAIBIIPIBTY-totafpkwmae.in ,
-
pcpsgla )p1Bi)
PlAnlBglPlB# ) Baye 's
EPIAIBI
= ←
rule .
E- i
independence
Conditional A given B ( Pbl 'D
probability 8
PCB )
are
equality likely .
A =
{ 1,2 } ,
B =
El 33 ,
,
C -
-
91,4 }
A ,
= El , 2,33 ,
Are -
- fi }
AB
,
=
{ 1,433 ,
Bz = El , 2,43
IA )= PIAL ) =L
PIA , ,
Is 4
I Biltz ) PIB )=
}
P =
,
Ig
PLA ) =
I PIAIB ) -
Iz
PCB )= PCBIA )
I =
Iz
IPIAABJ-piag.pl# -
←
independence .
events
Pairwise independence 8
-
Plan B) = PIA ) .
PIB )
rCdAnr
-
the
dkef.ohm.FI
-
mutual independence
Cd ,
FA ) .
we called A- dB pairwise
independent if
Plan B) = PIA ) - PCB)
Definition ;
Let A ,
B
,
C be three events from
( r
,
F ,
P ) .
We call A ,
B, c mutually
independent if
PIAAB7-PIAI.plrdjpbnd-PIB7.PH i
PIAAC ) = PIA ) .
PCD ; PIAABnct-PIAI.pl Bl Pk )
mutual
we can
generalize the definition q
independence to the events As Az ,
.
-
.
,
An
,
in an inductive way .
-
,
is mutually independent
-
PIA ,
AAH -
-
plan )
outcomes
) .
Eg :
tossing
a win ) R
r -
-
fo B ,
F -
-
I = { 0, r
, Sol ,
3
Pho 3) = I -
b ;
P ( fi } ) =p
Set when
up probability space one
with the
f times
' '
repeats R n number
assumption
that
repetitions are independent
if each other .
For this
compound experiment
D= {9, Yz Tn I Yi uh in -
-
,
- -
C- 90,13 }
"
# D= z
F = 2h power set 8 r
Probability assignment .
th
Probability of be successes in
repetitions at specified -
locations .
W =
y , Yz . .
.
Dn
, ,
( W = I I .
.
-
- I O 0 -
on
-
o )
n h times
is
times
-
is
P ( w ) = p( bi -
- -
bn ) =p ( Il
- -
I 00 - - o
)
a- I
independence
= play .
. . .
pl Aa ) Plain ) -
- -
PHI )
pk pyn
h
-
=
C , -
NNOW if is interested in computing
probability
one the
a
bk pj
-
(I) a
= -
i'
Example : A box contains o balls .
6- red 60%
4 blue
Hob
-
)
Casely Pick a ball and replace it in
)
ball
the box and pick a
again .
A ,
= red ball is picked in the first
trial .
Second trial .
PCA ,
I
Ai ) = PC Are) =
Fo = O -
This is called
process
as
,
with
Sampling replacement .
case Ca ) Pick a ball ; do not
put it back
& ball
in the box pick a
again
I Sampling without replacement ) .
the first
A, = red ball is picked in
trial .
the second
Az = blue ball is picked in
trial .
PIAZIA ,
)=
Ig
t
play = Fox 's t To
.
}
not
Thus Aid Az are
independent .
f
'
'
Increase n and keep the
proportions
the red balls and blue balls constant ,
€ )
Aid Az start behaving more and more A
he independent events :
Uniform
probability spaces .
cast ) :
{ 1.3 - - -
,
n
} -
-
r
with
Probability subsets f
r
8 two
This is the
equal site
=
be equal .
C
that
As a
consequence ,
we can see
probability spaces )
CH : The
given set r is finite and
an interval f R .
In
particular ,
take r = Co ,D
should
"
f
"
r with
equal size ,
then they
have same
probability .
Take an interval Ca ,
b) E Co , D
la 's ) is associated with the
site g ,
which b
length 8 Ca ,
b ) is -
a .
length .
for Ca b) EBD
PCA) b ) b a
any ,
-
=
,
The so -
algebra F ,
here is the set f
algebra )
This is the continuous uniform probability
space
singleton set
Remand Note
:D that any
zero
has probability
.
Ears E Coil ]
in Co , D denoted as Q n Cosi ) .
Qnfod ) is countable
,
Plan Coin ] = o
A
A machine contains 4
E± components
parallel with 3
in
o I o 2,0 o 4
-
. .
.
, ,
respectively .
The machine fails if all
the
components fail simultaneously Nole that
.
that the i
Let Ai : event component
fails .
I -
P [(A ,
a Azn Ash Aa ) ) =P( AAAAA ,
Add
= I - PIA , ) . NAINA ,
)plAa )
= I -
fo
i ) ( o 2) to 3) 10.4 )
. .
= I - 0.0024
hey
E±
A rocket
engine fails if one component
fails .
The probability of failure I this
Soho order to
key component is .
.
In
components in
parallel is proposed so
I -
Co05 )
.
go.gg
+
independence
A probability
E course on is a
very
and students allowed
famous course are
" 2 to '
f- ( o 8).
-
102×10.8 ) o . 2
EE In class too students
.
f
30 -
Mi
40 -
IM
30 -
AG
EI .
3
printers
DP
DP
DB .
Printer Pc
gets 50 To jobs
30 %
p
2
- -
has its
Printer P
, o.is as
probability
8 failure
,
Pz o .
I as its probability 8
and
printer Pz o .
2 as its probability
8 failure .
If a
randomly selected printing job is
F : failed fab
PLFIP , ) = o .
15 PIF 1Pa ) =
0 .
I ,
,
Pfftpz ) =
0.2
PIP , ) = o .
5 Pfk ) =
o -3 Mfs ) -
-
0.2
,
,
compute plots IF )
Plf 1B ) PCB )
PIBIF ) =
.
c- H
EPLEIPI )Plei) T
=
0-332
2 thrown What is
Ex .
fair dice are .
obtain
the probability that gone
will
416
Done has I
six already appeared .
( Ya ) ,
EE A- sixes
appear
= 2
appeared
.
r={ Cfl ) ,
Cl
, 2)
,
-
-
-
,
11,61 ,
( 21117,0421 ,
.
-
-
.
Csg
C
}
Random experiment
Cr ,
F ,
p)
A random variable
Randomabh :
X is a function from r to IR
if Ews ,
XCW ) - n } C- F .
"
it NGIR
, { w : Xlw ) -_ a
} = X In )
inverse
Er
image be .
{w/xlw1=a } e y
Plx -
-
a ) = Pfwlxlw ) -
.
n }
3h
fair
tossed
Expt :
coins
independently .
D= { HHH
,
HHT
,
HTH ,
TH H
,
TTH ,
THTITTH ,
TTT}
f- =
2h
PCHHH ) =
Izxtzxtz =
I
× : no . of heads in 3 tosses .
µ
r
H
x
HH
HHT
HTT
THT
*
T 3
2=2
,
x' (2) ={wEr/ Xlw ) =
2
}
=
{ HHT
,
HTH
,
THH }
Plx = se ) = PCX = 8. 7) = O
*
Range of x :
{ see art Xin ) Do }
* A random Variable X is called a
finite infinite
is or
countably .
fin ) PIX -
- a ) is called as discrete
=
density or
probability mass function C pmf )
for all
ffse ) =
I see O foe )=o
8 other
= I R = I values
8 8 a .
2
= I N =
I 2=3
=
8
←
graphical
f
x x
sT'- /
representation
/ / 8 pint
← tabular
-
|An/%#-↳µyg/ representation
se
-
8 pmf
Exit Bernoulli
coin
Expt Tossing
a
:
r -
- { H.TT} PCH ) =p ; PCT ) -
-
I -
Xl Heads ) =L XC tails ) = O
,
PIX -
-
o ) = I -
p PIX -
- 1) =p
,
}
f-Cn ) l -
p re = O
;
-
f
Pim
-
.
= p ;
n - I
= O
otherwise
X N Bernoulli ( p) Rx .
- fo ,
'
}
+
parameter
Ex :
Binomial Cpj
Bernoulli trials
Expt : n
independent are
performed -
trials
X : number of successes in n
Rx = fo ,
1,2 ,
-
-
.
,
n
}
flu )= PIX = a )
" " -
"
= , ,
otherwise
= O
× N Binomial ( n
,
t )
Ex : Geometric
first Success f
re ,
FS
,
FFS
Ef
,
F # FS
,
.
-
.
]
rat . terrific .
n 's
X :
The number of failures before the
first success .
Rx = { 0,1 ,
2
,
-
- .
3 discrete r . v .
se
f- he ) p a p)
o
1,2
.
se
-
-
,
-
= - . ,
= o
otherwise .
Variable .
Rx =
EM ,
Nz
,
.
.
.
,
an
,
-
. .
C variable can ) .
disown
"
"
E.
"
for
"
nil =
-
g
}
ni .
= E PEW @
:X I -
-
ni }
ni C- Rx
= I
Random
exp 't .
→ r ,
I ,
P → → * pint
Properties of pmf
foe IR
i) ffa ) > o
E
= Em ,
Nz ,
- - .
,
en
,
. -
3 Set .
iii ) Efcni ) = I
ni
pmf .
Ex : Uniform pmf
An ) =
I RE f see , Nz
-
-
,
Hs }
= o
otherwise
Ex : Geometric pmf
ffa ) = PCI -
pj se = o
, 1,2 ,
.
-
.
= O otherwise
Cd 't )
Ex : Negative Binomial
"
Atal ) fp )
'
Pd ( 0,12
-
-
n -
-
. . .
,
fin ) =
otherwise
= o
Cexpt :
performing independent Bernoulilp )
trials unit 2 no .
of successes are
observed I x : no .
of failures before
.
successes
-
a
for
.
2=2
{ HH
,
HTH
,
TH H
,
. - -
Ex :
Poisson density Cd ) Cx
> ) o
I a
fln ) =
C A see 0,1 ,2 ,
-
- .
x
!
= o otherwise
Special examples 8 r . v. s .
Ex .
.
Constant random variable
A WER
XCW ) = C
c) # c)
0
PIX -_ = I PIX =
I "
#
let A EF
WEA
XA I w )
t
-
I
'
=o Aw E A
E± Hypergeometric distribution .
of r
objects
Population .
Type I objects r
,
Type II
objects
r
r
rz
- =
,
X : number of
objects of Type
I in the
random
sample .
¥t#÷⇒
:*:
( LIL )
PK -
-
a) =
-
M -
-
0,1 ,
2
,
- -
-
in
Tn )
= o otherwise
Computations
-
with
pmf :
( 1,7 ,
p )
× : discrete r . v .
with pmf fix )
= Ew : xcw ) EHS
t
U Ew xlw )=I }
=
:
pilot
?
i= -
PHET ) =
Ew : xiwy.si?)=!IIPlHEi)
,
Cumulative distribution function .
discrete foe )
random variable x with pmf
For
every
real number TE R
,
define
:I÷I÷
Fct ) PIX Et ) '
}
=
= tens function
Ex : XN uniform ( s -
- lo
)
flu ) I 2 9
= a =
0,1 , ,
.
- -
,
10
= o otherwise
Flo )= flo ) = I
( O
FC D= floltffl ) go
=
-0 iii.
Yo
.
f function
CDF : Cumulative distribution
fin )
let x be discrete r . v . with pmf .
For TE IR we define
any
Effie
Fft ) =
)
zest
function from IR to IR
clearly f is
.
a
,
F function
.
is a non -
decreasing .
• FC -83=0 ,
fld ) = I
¢ 11
t -
s - N
too
The of F like staircase
.
graph is a
at the
with jumps occurring exactly
points which are in the of
range
X .
. .
Right continuity 8 F
Iim Fln ) =
Fla ) t AER
a) at
EI X N geometric Cp )
N
1,2
fine x o
p ( p)
,
- .
- -
)= I
-
-
,
=
o otherwise
F It ) = 0 t too
Et
a
t
F- It ) = I PCI -
p) > o
N=O
pgft ) ti
]
g-
[
I
=P
-
It ]t I
I (I p) At
Fit ) = > o
-
-
NE Rx
Events
for this
geometric
r .
v -
×< x and X 7N
pcx > n ) = I -
Plan )
I ×< a u x > near
÷!
:÷
9
I PUSH D disjoint
-
f
= -
Fla
U
= I -
-
I )
' " "
:
' is i
n . > .
,
Love :
p Cx > ntm ) x > n ) =
PCX > m )
-
E less
11 memory property
P CX 7 n
)
=
plm )
PCX >
NT
-
It T H
,
TT H TT TH TTTTH -
.
,
-
,
, ,
R random
-
eypt .
r
, I ,
P
discrete r - r .
X
f floes
p.m
.
c- D. F .
FCK )
X .
Cfda ) )
Properties of CDF .
I . of Fxfd ) I I A NER
2. him Else ) =L
ATTN
S .
lim Else ) = O
NS - N
decreasing .
Right continuity .
t EIR
lim Fxlse ) =
Fx Ca ) a
Roat
him ( Fx Cato ) -
Fxlal ) =
o
I -30
1¥
Decomposition Theorem .
of functions
be represented as sum two
a right continuous
step function with
Hxc - o ) = o .
Ex ,
:
Fx
y
"
mixed
discrete
decomposition if 9×61=0
In Lebesgue
the variable
C
identically ) ,
then random
a
mixedandomvariable .
* &
If X is
random
discrete a
variable
, .
Pki ) =
fini ) = PCX -
- Ri ) > o A nie Rx
2 .
Z Ani ) = I
Ni
PCX Ski ) E f
3 .
Fxfni ) =
=
KERI
between
that nitrite and no
point aid
to Rx
nite
belong .
Hx then X
In
Lebesgue decomposition E Oo ,
( s > o
)
Ex
PIX =
a) =
lim I Ints ) -
Fxln ) ]
8- so
=
O
False )
define false ) =
daz
T
for points)
"
( always
a
in the above
example
at 4=0
,
fxco ) does
not exist .
density function
fan :
probability
Example
.
:÷÷÷x
Esta
-
CrF. p )
✓
,
Let Faint
-
Fxlu ) - Prob Cx En )
Tir
=
I
R2
°n2
Us O
Fyfe )
{
-
osu ER
£2
( I a > R " "
o
## R
The
pdf
false ) =
Ida fan )
f .
III.
:& r
( o n , R
{
false )
LI
okas R
=
,
° otherwise
Pla Exe b) =
Fxlb ) -
Fala )
b a
=
ffxlnldn -
ffxlnldn
-
a
N
-
= ftxlnldn
a
fpdT
Let be continuous random variable with
x a
Definition : A
density function or
probability
ffa
density function ) is a non .
negative
function such that
fffnldn
a
= I
The obviously ,
R
Fxln ) = ffxfnldn
→
CDF
Satisfies all the properties 8 .
b
fxcab ) ExCa )
Pla EXES )=
ffefnlda
-
=
Examples :
3
-
- o
otherwise
is a pdf ? ?
§ kn 'dn=i ⇒
k=4
¥2
'
fan ← pdf
fx
for YE C 0,1 )
:*
"
Fx CD =
§o4n3dn = y
Ii
.
.
EI fix Ossett
)={
Gall
-
se
)
o
otherwise
Kik
of Variable formula
Change
.
random variable Y= x ?
X
Let Fda ) be the CDF of .
=p try ex 's Fs )
Gy Cy ) =
Fx Cry ) -
Fx C- Ty )
In order to find density 8 Y , say 91g) ,
we take derivative 8 Gyles ) .
%) =
day Gyles )
=
day ffxcry ) - Fxfry ) ]
x'
@ fiery
crude ) ]
fry
=
|9lD=÷[f×CB)+f×Gry# -
is > 0
Ex :
IT Exe R
{
o
false ) =
o otherwise
9197
ztyffx Cry ) tfxc B )
)
-
.
-
R2
[ 2¥ )
o Eye
Try
= o
t
|9ly7=tpz0ESER# = o otherwise
-
uniform
I Fina
?:
ii.
-
Continuous uniform random Variable .
fatal Ia ask Eb
f
=
o
otherwise
False )=
Sfx da =
I
b- a
aancb
-0
{ On
a ca
Fala ) =
a
deneb
-
b- a -
-
I N > b
¥÷÷¥
CDF
I -
EI Let XNUCO , , )
fxloe
{
I Osn El
)=
O otherwise
{
Beso
False )= O
R OGRE I
I M > I
¥
Y= X
log
-
Let
Gylg ) be the CDF 8 Y and gls )
be the pdf 8 Y .
=p
f- ÷ logic - x ) Ey
)
=p [ toga -
x ) Z -
Xy ]
is
=p [ I -
x 3 e-
]
is
=P C x El -
e- ]
Gyly )= TY 970
-
I -
e
gcg )= day Gyles )
]
t 's
II
-
e
-
day
-
|9CD=Ae⇒y# YEO
Xining
= O
th
parameter H2o) .
tease : Let X
Nexplx )
i
f
"
false ) de
'
=
n > o
o otherwise
§#
pdf
also
fxfx ) =
O
=L -
e- Mazo
PCX nty ) I , e
-
>
-
=
=
-
Tenth in As
= e- =
e- e-
dad
An -
PCX7s )
=
PIX ? n )
plx > y )
-) Cx
#mmlaspopertg
/ ) =P > a )
PIX > sets x > y
exponential density .
random variable
continuous
having density
fan ) such that false) f o on I .
oily ) = p ( y Ey )
peek ) )
}
A
-
-
Ey is
p
= Plxsgtcy ,
,
Gly ) =
FILM )
⇒ gig )=
decreasing
Fx
'
Cutlet day 9453
gly7=fxCdcy)dqy
-
A is a function .
Gly ) = PC Y Ey )
41*3
PC Ey ) 9
}
=
pcsexzyqg
=
, ,
ftp.i-r-xcceky#9ts7=-fxfg7sDdqC94y
) )
-
.
EI Let X be a continuous random Variable
with density f .
let a
,bElR and beto .
the density of Y .
gb7= )
flaky
) 97971
) day
Cl In ) = At bn =]
94ns
Iba
a
⇒ =
= )
⇒ ÷
Y
91g )= f ( ,
seer
f
fake )
2£
OC
E =
,
O otherwise .
Y= I I
=
Ry
o aye
R
gly )
÷
f
) these
,b='z
a- o
=
( Hr )
Lj
=
2
RT
919 )= 29 O EYE I
= O otherwise
Symmetric densities :
-
Ul -
a. a ) is symmetric .
EI .
If X is a
symmetric random variable
-
R A
Fifa ) =
f fly )d3 =
f f C- g) dy
-
•
N
=
f faddy
2
= I -
False )
Fxf -
D= I -
Fxcx ) Ix EIR
Ex .
glass I - aero
'
Itn
? ?
Is gcn ) a
pdf
A
A
f tnzdn ul
"
tan it
sina.ie#-.anI
= =
is a density .
Cauchy density .
Since gcse ) -
gl -
a ) , Cauchy density is
symmetric
Ex e
-
n
42 a a see
gcse )
-
: =
MZ
C
f da
-
=
e
-
x
a
x
sik Tk
f
'
f dis
-
c =
.
dm e
e
-
N
-
N
a A
44542
f
'
dy da
J
-
a e
=
-
-
a a
IT
ik
do dr
or §
-
g
,
re
O O
& = ZIT
a = Tut
n % Fut
f e- dn=
-
a
Define
2/2
2
A Ln CD
L
-
-
QIN -
.
e
rut
random variable .
standard normal
density 4cal is
clearly symmetric .
#E
,
Pdf 41*1
- -
, It
Y I
a b
Pla Ex
Eb ) = Fx Cb ) -
Fxla )
random variable .
Pla E X Eb ) = Ex Cb ) -
# la )
! else ) die -
-
⇐r*e"%dn
Ex Ca) taek
I
R
Ean ) -
-
f 914dm
To
0
Let a >
⇒¥¥¥#=s±
-#
=
f-
IIIa )
)
Etta
, -
oIxla )
0
a
Ext -
a) =
I -
Extra )
Evaluate Ex f- ) I Ex la ) ca )
-
a
-
=
ppl -
32×23 ) =
Ex Cs ) -
Exc 3) -
=
Exes ) -
[ I -
Extra ]
= 2 DIG ) - I
= 2 ( o
-
9986 ) -
I
PC - 3 2X C 3) = o
.
9973
PC -
I exe -
tu ) = Exc ta ) -
-
Ext I )
=
Edt ) -
Exc 'T )
= o -
o 928 & )
Let be standard normal drandom variable
x a
Define Y=
puts X where r > o
find density f Y .
EM
'
9197 =
I 9C )
¥1
"
, •
ay
#
e-
-
YN NLM ,
r2 )
I
" ¥12
91g ) =
I e
-
←
⑨ eyed
Tz
Probability computation
PC as Ye b ) =p ( as lutrxeb )
=p f a -
praise
b -
µ )
=p ( Fg ex -
HI )
=oI×(b¥ ) -
Extra )
,rY
x.n.IN
8 Nyu
gpdf
P ( In
-
36 a Y s
fit 's )
=p (
M
-
3T -
M L Y -
M a tutor
-
µ )
I Y
?
M 3€ )
(
- ,
-
=p
I
(
. n
. .
a
=p -3
= Ex I s ) - F -
I
=
O .
9 a
Gamma densities .
let x N N ( 0,62 )
Y=×2
Find the density 8 Y .
n 4202 co
fin
Iz
• an
-
) e
.
915k¥ ( Ary ) -1 H -
Ry )
) so
Kok
91g ) 1-
-
b > o
=
e
TE
Nok :
g Cg ) is a Gamma density .
Gamma functions :
-
"
in
§ r¥
-
n
e
dm =
Gamma pdf :
n' the
rcn ; a
,H={f÷ ,
e- a
N
, o
Io
O
EFtahonofarandmvanm.rs .
V . S .
/ -
discrete continuous
d. f
Rx
-
p
.
-
.
Countably
finite
infinite
f
p.m
.
.
-
Ext
Ese
UGH
Pk -
as 4jovicdoendvertgheeu.mn )
*
Ex : let be a discrete uniform riv .
on
{ Hi
,
are
,
.
.
.
,
In ) I Rx
for nie Rx
PIX ni )= In
-
-
I O
-
W -
O n
EH ) -
.fm?ipcx--ni7--??gMiPlsei)--E7ni
.
uniform discrete ECX ) is
f
riv
In
.
case
f Rx .
In
general , we can understand Efx ) as
Weighted average
E Xr Bernoalilp )
mulish I ←
mttasfuasiunm
.
ECX ) -
- o .
( I -
f) t I .
p =p
X Binomial Cn p)
EI N ,
" "
PIX a) ) for 4p ) a- on in
- -
Cnn
.
-
=
-
-
,
otherwise
= o
'T
EH ) -
¥ .
j ( ! ) pig
pgn .
j.nt-ji.in?jy.=nCII
notice : )
-
ECH=np
Ex :
XN Poisson IX )
PIX -_
a) = ee a - on ,2 ,
- - .
se !
O . W .
A
j
Efx ) -
E j e
j=o I !
= d
EI XN Geometric Cp )
"
PIX -_
a) = ( I -
f) p se -
- 0,42 ,
- . .
= o
otherwise
A
texts
Ejpc
j 's
, -
pi
'
Ejci
a
I
pj
'
= Pll -
p )
-
j=o
I
§!dqpa
= -
pcl -
p ) -
b)
E and day because
Interchanging ;
pj
Io
Ek )
-
Pll -
P) Cl
dgp
-
=
Efx ) = II
p
txanph
s
÷→
{
se
fin ) -4,2 -
-
-
- ,
,
-
O otherwise .
and
Eiffel -
a.I.cat ,
= fat -
att
-
-
C ⇒ HE
-
theft -
He -
-
=
I
ECX ) =
§ se - the ) -
-
§
" .
qTn+
, ,
=
£,
It ,
exist
,
,
does not .
# A 8 discrete r r .
a
.
Expectation
Let 2=91×3 be a function of the
function
) alla ) PIX )
£
a
El 2) El 41×1
-
-
=
=
Ex , X a discrete r . r .
with
pmf
×-2-#÷
PKII.is/Yslysfys/y#
Efx ) EH 4
,
It 11
2
o
properties 8 expectation .
#
ret
bear
Let x and Y . v. s .
with finite
expectations .
EH )= 2
-
CECX
)
DECK t 7) =
Efx ) t Ely )
PIX 391 ) I Efx ) 3 ELY )
4) If = then .
moreover
,
Efx ) = ECY ) if d
only if Pk=Y)=l .
5) I ECX ) I E ECIXI )
Exercise :
Hypergeometric
Population Cr )
I I
I
Type I Type
or r
, r -
the
population .
sample
Define : Xi : ith indicator random variable
ith
indicating whether athe object in the
I
sample is of Type
.
Sn =
A tha + - r
.
f- An i Efxi ) =
In .
Eon ) = n
Ir .
Moments :
for a fixed r E { 1,2 ,
- - -
,
}
-
) ur PK a)
§
' -
Efx
-
q X .
'
air
@ PIX )
{
a
)
-
EIX
- -
-
a =
Central moments 8 X .
take
In
particular
a=µ=E
for 18--2
ECX -
pet = ECX -
ECHR = variance I X .
EH -
-
µf=r2 ← notation
82 Varix )
Interpretations #
8 .
around a
2
= Efx -
a)
2
Efx rt
Interned in
minimizing a) w
- .
.
a.
constant
( Approximating by
r v a
a . .
EH -
at ) .
)
'
ECXZ
'
Ek zaxta
al =
-
= Efx
'
) -
za EH ) t
AZ
diff .
w . rt -
a
-
2 Efx ) t 29=0
ECH=
⇒ a
µ
=
Another f variance
interpretation .
a number a .GR .
CXat -
-
= [ Cx µ )
-
t c µ
-
a) 32 when
µ=Ek )
=
( x putt
-
I in -
at
+ 2K -
µ ) ( µ -
a
)
2 2
ECX -
a) = ECX -
gift Effi a)
-
+
2ECµ -
a) C
fad
)2= ECK
°
* a)
2
Varix )
- a
Yu -
Let be random
x a non -
negative
variable with finite expectation .
if et
4=0 x
Y -
- t it x > t
4=0 if x at
Y -
- t it x > t
Ect ) =
o .
PLY = o ) + Pk > t ) . t
Note X > Y
/plx7HEEC#
270
⇒ -
ca
t
#
@FtHuI.T
X be a rev with mean &
gu
.
Consider ( X a) -
'
p
E
E¥M . .
from #
function Cma F)
Moment generating
Mxltl =
Elek ) for a given
random variable X .
In case
8 a discrete r .
v . X with
p.m
-
f .
PIX =
ni ) = fini ) for Nif Rx
,
MxlH= Ecetx )
qetni pcx ni )
-
-
=
Ni
EI Xv Bernoulli I p)
pg
I et
I
et
.
MxHI=
.
,
-
+ p
MxlH= etfs + Ci -
p)
Ex : XN
Binomial Cn ,
f )
Et et
' ' " a
MxlH=
-
p em
" a
n -
Eoc : ) Ktp )
q
"
=
Gtpet ,
Ex :
X N Poisson IX )
die
Zeta
-
Mxltl = e
x=o It
A
Ceta
se
i
2
-
= e
se = o a !
= e
-
d get
-
consider XN Bernoulli f p)
Mxltl = (I -
p ) + pet
adz Matt ) = bet
XN Binomial Cn ,
b)
h
Mxltl =
-
p ) Cl
+ pet )
d
Malti
d't
,
Ecetx ) )
= Ell ttxt
t÷'t ,
t÷x?t - . .
E(t¥
Ectx )
ECI ) )
t t
=
t
-
- .
?t EW )
tf
'
Milt ) = LA t
t EIHT t EH )
.
T - -
.
It It, EW )
'
Mxlt ) EH It Efx ) t
33.4-2
=
of - -
- -
Idf Malt ) I = EH )
t > O
!
d2
Mdt ) = Ekg
at ⇒
1) Mxlt
Malti is always defined
) =/
-
o
,
-
for t = o .
axtb
for some a
,b C- IR a to
,
.
b
#)
Elek
t
Maxtb CH = )
EC eat ebt )
'
= .
= ebt Efeatx )
=ebtM×Cat )
-
Expectation of continuous rn
a
.
C pdf ) false ) .
Then expectation f x is
defined as
,
false ) du if it exists
Efx ) =
f se .
-0
a
I
nefxlxldn f se
du
f
.
=
ELM =
b -
a
a
-
a
Tin
÷:{:
"
{
vca.si ; fin -
-
u E. ⇒ : =
¥
XN Gamma Cd A)
E
.
de in
fxla ) I N 0
-
>
n
= e
rid )
0
otherwise
I
§nf¥
' in
EH ) -
-
nd e
'
du
II ! II ;rY÷
"
a- e- an
?
-
-
-
-
,
xd run )
|EH⇒
=
L,
- -
TIL ) Anti
X
-
SXN Gamma ( X ) d
E±
I
, ; > o
T "
fan )= de
-
noo
=
0 otherwise
;
-
-
ECX ) -
-
L
x
fxfn ) =
1- -
acres
Tofte )
Eun ) =
I
.IT#da--%7EadncauTydensiq=Inhjm
da
. !
have finite mean .
= ,
Moments 8 a Cts .
r - ✓ '
with raw
f am
.
Efxm ) fxln ) du
.
c) =
moment .
→
•
4 Ek -
at =
f almfxlnildn
@ -
:
with central
→ moment .
M 1,2 ,
µj=
= -
- - .
a
variance f X = oh = Efx -
f @a) fxlnldn -
TN
where EG )
µ
-
-
EI xn gamma C a
,
x )
§
' t "
am nd
Efxm )
g÷,
-
= e du
tu
amtd
§
- '
da
X÷
-
=
e
Xd
rhythm
=
-
r Gtm )
-
|EHM= dHtDnHtm
-
'
variance
f x = r2= EW ) -
LEK) )
-
nets -
E .
→
/r
EE In particular ,
if xnexpld )
Efxm ) =
MI
dm
Cx )
¥
var =
EI Easy exercise .
X NU la ,
lb]
' '
EIN ) & Ia da
b÷a
a
beta
=
= .
'
'
varix ) -
atazbtb -
Gatsby =
" I,
'
ECT )
( EH ) )
Advantage of symmetry of a r .
v .
x .
Let x be a
symmetric v.v .
⇒ x and -
x have same density .
'm
xm and have density
Ex) same
.
for m odd .
ECXM ) = El -
Xm ) = Efxm )
⇒
-
⇒ Efxm ) =o
In
particular ,
mean 8 all symmetric
densities is zero .
( Ex .
N 10,62 ) ) .
functions CMGF )
Moment
generating .
EI X NN C µ ,
o
'
)
be -
M2 IF acne ,
fan )
g¥
- -
= e
tack put }
Ira Mpf
-
-
-
-
acnco
-
,
a
¥2
2
Cn -
a)
tr I
-
Mx Its = f e
FEIT
e da
g n
µ
-
=
""'t
-
¥2
Jae frat da
e
math
It Er )
A
'
÷
-
=
eats ,
dy
→
Notice: to -
II .
=
- It"
" → %? et hay
"
mxiH-ett.IT
-
e
,
I #r*e¥
"
= eat
'
dy
L Nlr
't
,
r2 )
\
y
It
'
/ ett
'
Mx it , =
-
× N N ( fu ,
oh )
E = mean of X =
dat Malti /
t -
- O
=§)
Iot
eat
-
'
E- O
④ etat Er 't
'
-
'
=
u + rat ) )
to
I
=µ) -
Evil =
Cat Mtk ) )
to
to 't
ett Katy
' -
eat
'
get
-
fda
+
=
µ day
to
Atµ
2
EW ) =
varix ) Efx
'
) -
LEAD
? Ttu
' '
gu
= -
fvarlxl-e.PT/
-
Exo Let * N
Nco ,
' )
My #
=et% - acts @
Define X =
fatty r > o
ut
= ett .
eMtYz
"kr2E2
= efutt
⇒ An NLM ,
In
general ,
if X NN ( mean
,
variance )
)tt @
asiana )t4z
et
mean
Mx ft ) =
Ex : X N N ( µ ,
or
)
Define : Y a
XII
r
if IX
-
=
+
-
n
b a
Maxtb It ) =
My CH = et4z
Example: xn gamma Cd ,
X)
§
" X "
Mxltl etn
f÷
-
= a e dm
,
f÷ ,
"
§
-
=
a e da
=
Ad rld )
-
atf
-
ND -
( gift )
Malti . -
acted
MxlH= I exp Id
) =
gamma Cl ,d ) .
X -
t
Quartiles .
"
quartile
P ( X E 9.) =
La .
A is called and
point MEIR as
median if
quartile or
)
PIX E m =
Iz
A called 3rd
point 93EUR ,
is as
quartile • if
PLXE 93 ) =
Z
Mode :
× a v.v .
with density Hln )
M fxla )
=
argmnax
Let Binomial C 3 I )
E
XN , .
" 3- "
33=0
(I)
on
Axl a) (L) ft )
a- ,
=
otherwise
Hl÷i¥¥#7
-
mean =
Zz
mode = I 2
,
Ill
mean .
' "
".
"
i
Ex . X N NC µ ,
or )
mean
1×7=14
median Cx ) = te
P CX Em ) = 0.5
⇒ pl XII ⇐ MII ) =
as
( MIIIE) -5
o
⇒ =
⇒
MII o
-
-
⇒ M -
µ = O
M gu
⇒ =
mode Cx ) -
-
tu
EI XN
Uniform ( a. b)
)
atzb
Mean IX =
median I x )= .
Fcm ) -0.5
MEL =
I ⇒
/m=7
)
Ex : AN exp Cd .
Fcm ) -
.
Iz
im
I
-
e =
Lz
-
E± A
point is chosen randomly between
principle ) .
Let x be a random variable
defined in such a
way
that X
X takes value -
S if the points
belongs to C- to ,
-57 and X takes value
#
^
- '
5 ynnt belongs to L
-
I
.
-
, .
CDF 8 X .
I p )
CR , ,
be discrete
let
r
Xi ,
Xz - - .
,
Xr
,
I
Define dimensional
)
r
is an
-
1¥
;
IE
vector
Ilm
.
Huh
for an w fr
err
Xzlw )= Kz Xrlw ) -
ar
Kfw ) se
-
Suppose
- - .
;
=
, ,
f! )
-
-
Eir
( !! )
be rector
Definition : Let =
a
Car ,F P ) For Rr
, .
every
the set { wer ) ECIW ) =
E } EF .
Then X : R →
IRR is called as an
r -
dimensional random vector .
X. Cw ) discrete random
µµ )
let X=
-
be a
,
-
Vector .
Xrcw )
{z ) finite
: PIE = I ¥ o
} is
or
countably infinite .
is defined as :
f- C
Ry . . .
,
Ur ) = Prob = Ri ,Xz=N2 ,
- -
,Xr=xr)
)
where and
E-
Her ) E-
1¥
.
In the vector notation
f II ) = PCI -
-
I ) t
If Rr
'
PCE E
A) =
2 fire )
IEA
Definition 1
IE Rt
ffzi
i FCI ) t vector
) z o
the r .
.
Range 8
fte ) }
←
finite
) E I
or
is
ii :
to
infinite denote the
countably . We
set 9,1373
elements f This as
,
.
- -
) I
iii
) ?
-
-
s¥i7
In
E#
'
14 48 " 2
Tim
€16416
PCI I )
( I: )
-
-
Is
=P ( X
,
=
Hi ; Xz
-
- ku
)
= fine ,
Nz )
= fine )
table
Very easy
to verify that this
Prob (X )
3×2 t
Tf ft
=
,
the t
Prob I x
, = I ) = Pub ( Xi ' I
;Xz= I
)
T Prob ( X ,
= I ;Xz= 2)
+ Prob C X ,
-
-
I ; XE 3)
t Prob CX , =L 5×2=6 ) =
42
Pnb ( X, =L ) =
I fcl ,
Rz ) =
Yz
M2
flesh ) Yz
Prob Cx )
=
Enz
-
, -
z =
false feel )
)
§
, = Nz
,
,
If
of
pm .f
A X
marginal .
Independent
Problx,=rDfrqeR×€
r.rs
i
-
Let be discrete
,xr
r
a ,
. - .
,
x ,
fi ,
fr -
- .
Variables Xi - - -
Xr are called as
, ,
flank . .
.
Rr ) = floe ) ,
.
fake ) .
- .
.fr/ser )
, ,
Nothin :
f Hi
,
Nz ,
- -
, ng )
a Prob ( X ,
-_ se , g A -
- Nz ; . .
.
€
Define A ,
Er sit .
A ,
-
( x xD ,
-_
11
fish ,
Aifw
: Xilw ) = a ,
}
.
. .
,ar
;Xr=Rr)*
,
torrents
-
-
Prob I A ) . Prob f An ) .
.
pwbfa ,
=
Prob IX. = 'Re ) .
. -
Prob I X
#
Rr )
= film ) # , oh ) . . .
-
frfner )
the '
14
-
Let and be two
Ex
:
X
, Xe independent
random variables each with
geometric
distribution with
parameter p .
(
Xp
Prob min I
,
Xz ) 37 )
Prob I X, 3 Z
j
X 232 ) independence
=
2
844×2
=
Prob ( Xi 37 ) . Prob ( X , > z )
? t
-
-
-
f p)
.
(I -
f)
't
=
(I p ,
-
Minix , ,xz ) N
geometric (
I -
Ci -
pp )
Discrete .
two independent
s
Let xey be r r
. .
.
values taken by X .
{ Xt Y = a } t z
11
U { X -
- ni
,
4=7 -
ni } ←
quote
his
, union is
disjoint .
PCXTY -
- z
) =p ( ?
EX -
Ni ,
't 2- -
ri
})
4=7 )
?
= PIERI ,
-
ri
PIX ni ) P 14=2 ni )
?
-
-
= -
-
fxtyCH-ffxlalfylz.se#
discrete
Expectation
-
.
)
be
( ¥;
let
a
given
Larandom
I =
f
vector with
joint p.m
.
.
( sur )
fxy Us
- - .
-
. .
.
,
× ,
be function of
Let him
,
- - -
per ) a
A Rz - -
Rr .
, , ,
Echlxn ,
- - -
,xr ) ) =
[ hlay . -
-
Mr )fx ,
,×z ,
. .
.
,xd% - -
-
Mr )
Mn - -
,Nr
,
)f×
@ ,×zfh,k )
?
the
Ecxitxz ) =
Ey ,
r =2 htt , ,K ) = di
,
fxyxz
C seism
)
§ §
Ela ) =
see
?
m
)?fx,,xzlmie
/Ek,)=Emfx,Ca
In general ,
take HIM , - - -
per )
-
-
Ri
for # er .
' Eking -
t
m
and Y
Let X be
independent
discrete random variables .
with
joint
pmf f*,y
His ) .
fx Ca 'D
§
§
as
) y ,
ECXY = ,
fxln ) fylg ,
§ §
My
.
=
Ea
infxln )
Eg
yfyly )
|ECXY)=EIx7E
-
4211¥ kid
ECIYCX ) 4am ) ) ? § 4. In )
=
,
ft , Gettin ) )fy/y )
=
NE 54219
=
Else HM ,
Ethel 'll )
x dy are
independent discrete r.rs . with
Joint Pmt fx ,
Ca , , ,
M G. f .
.
8 ×+ y
Efetcxtyyy
)
Mxty It ) =
= Efetxtty ,
=
Efetx ) .
Et et 's
)
Mxtyft ) =
Mxlt ) Mylt )
x.
gxz ,
-
-
-
,
Xn are
mutually independent
discrete r .
v . s .
ME.a.CH
=
II ,
Malti
( p) for i
EI Let Xin Bernoulli -44 .
-
,n
ya Exi
i =
s
My It ) =
MEECH
n
= IT
Malt )
i Is
pet )
n
f I p t
-
= IT
i = '
's
=
(I -
p + pet )
Binomial l n
, p) = sum of in independent
Bernoulli It )
IMP observation
-
Q :
Is the Converse the ? ?
NI .
range Rex ={ ( o
, l ) C 0 -17 ,
11,0 ) ,
C -
1,01 }
, ,
, ,
with each outcome equally likely .
for His ) t
Rex
p Cse
, y ) =
tf y ,,
-
- o otherwise
Efx
) =
o
Ef 'D = o
Now
,
XY = O ⇒ Efxy ) = o
Observe that
'
PIX = o
) = 12
PM = o
) = 42
-
= o =
=
Yz .
Y 2
114
-
Remember :
-
Ecxty ) =
Efx ) t ECT )
E fax ) = a Efx )
EH )
Efxtc ) =
t c
Sum of variances :
'
varcxty ) =
E ( Xt 't -
Efxty ) )
2
= Elxty -
EH ) -
Ely ) )
CK
Z
= E -
EH ) ) L t Y -
Ely ) ))
?
= ECX -
ECXDZ t ELY -
Ely ) )
+
2E(X-ELxDCY-t
= Cov CX , -1 )
Note :
covcx ,y)=E( x - EG ) ) (Y - EH ) )
= E ( XY -
XECY ) -
YEH )
+ ECXIECY ) )
=
ECXY ) - Ek ) ECT ) -
ECXIECY)
TECH EC 'D
|covCx,y)=EECx)E
Corday : If Xd Y are
independent ,
then
an LX
, -17=0 .
,y)=o
&
Y are
independent
⇒
WH x .
If Xd Y are independent r .
v. s .
'
Varcax ) = Efax - Efax ) )
= Efax - at 72
lvarlaxj-a.ua#7-varCc
'
= of Efx -
ECM )
ECc c) Z=
'
2
-
Eat ) = Efc -
Eko ) = O
let Xi
,
xz
,
-
-
,
Xn be independent
random variables with variances
92,65
'
- - -
rn
, , .
var ( X , t Xzt - - -
t An )
= var CX , ) tvarcxz ) t -
-
f- Varlxn )
= of trzt - -
-
t Tf
let Xi xz - - -
, Xn be iid with
, ,
= =
=
In Efx , )t . -
. -
its Efxn )
In pet t
tape
.
-
.
= .
|ECE)- -
varix ) -
-
Var
( ×t--n )
=
vartan I t - .
t
var
IF )
-
-
ha [ E. varcxii
)
=
not
an
µartx7=II -
Correlation Coefficient
correlation coefficient
=
ex , Y ) C tho)
is defined as :
ecxiy
corCx=
e
en , a
-
- -
-
TETANY ,
= Corexit )
SDLX ) -
. SDLY )
Aly are
independent ⇒ ex , = o
Schwartz
theorem :
inequality .
?
)
?
[ Ely
'
ECXY ) ) E Efx )
P ( X
-
-
ay
)= I for some at IR .
Proof :
ply - 07=1 or PK -
-
ay ) =/
,
equality holds .
In order to
prove inequality ,
)
MECH
' ? '
Of Efx -
XY ) = X Ely ) -
+ ECT )
Since the above is
expression
a
A and Ely
?
)
quadratic in ? ⑥
,
) )
'
2h 2E C
XY O
Ely -
=
1×1
⇒ a =
ECYZ )
The minimum value at the
point
ECXY ) is given by
⇒ ,
f ) "
E "
E 'M -2
t ECM ) 30
"
CELXY) )
⇒ EM
-
+
> o
Et
€sEH
-
⇒ a
Importance of Schwartz
inequality .
X - EH ) and Y - ECY )
"
L x -
Efx
④ ) )C y -
Ely )) )
?
E ECX - EG ) )2 ELY - EH ) )
2
⇒ @
Cx
, > ) ) E varix ) nearly )
⇒ ?
e = @cx, ⇐ I
,
Var vary )
⇒ lexyl E I
or -
I sexy El
/eHi)=Ii⇐plx=a' -
Reed :
If X is a non -
negative v.v .
HEEtfs
pix >
Chebyshev inequality ,
p ( Ix - >
put
t ) ⇐
If
-
Let Xi Xz -
- -
Xn be i. i .
d . or . u -
s
, , ,
.
Let
µ
- EH , ) got = varix ,
)
E
( SI ) =
Efx
n
) = la
) I
( SI) (
var x
= var =
Chebyshev inequality ⇒
PCIE -
at ⇐
rarefies =
PCIE -
at > as
) ←
if
In particular ,
-
WLLN
Weak law
of large
numbers
-
Continuous r.ir s
X and Y are
.
.
on the same
probability space .
Rectangle R -
-
{@,y) Iaea Eb
,
f )
•
caged
* .
PLAY ) ER
)
=p I acxEb
,
c
a YE d)
= Fcb ,
d) -
Fla ,
d ) - Fcb ,c )
+
Fla ,
Marginal distributions
marginal
Fxla ) =
PCX Ese
) =
floe ,
a
)
CDF 8
= him
year
fluid &
Fy (g) =
PIYEY ) =
FCA 's ) marginal
as F
him
= Fla
,
'D 8 Y
naw
.
If there exists a
nonnegative f?
fin , y) over R2 s .
t .
Flu ,y)=
!↳ flu ,v)dvdu ,
obviously ,
•
A
f) fin ,
y ) dndy =L
a -
o
center at lo , d radius
circle with o
)
R .
If
fer dey ) E circle
fin ,y)= C ,
otherwise
=o
.
Find C .
E circle
His )
flu ,y ) =
¥2 of tg2sR
otherwise
a 0
dad ,
PCH ) C- A) =
Sf flap )
A
=
Areaoftt
IT R2
Else ) =
Flat ) =
lying,
Floe ,y )
A
false ) =
fffcx
-
a
,y ) dy
A
false) =
ffxyla
-
a
, g) dy Marginal
pdf 8 X
dy
grantype
=
rain
.
.
Renner
fxln )= 2Th -
?
ITR
otherwise .
= o
Marginal
fylg )= ffxyloe ,y)dn
-
pdf 8
o
y .
)=2R
fyyly TRI
- Reyer
otherwise .
- o
X and called
independence : Y are
if and only if
independent r.rs .
C
joint pdf is the product of marginal
pdfs )
independent
.
Easy way
to generate examples :
r . v. s .
with pdfs Acd ) & fab )
resp .
fxyla , y) = Aloofly )
fxycn y ) ,
70 try
SS Aca )fzly7dndy
{
Syfxycnildudy
=
finds Sfz dy
= S
Ex :
x n Nco ,
i )
y or NCO ,
I )
Asseco
Mz
-
data ) =
tf e
- 542 cyan
Ugly )
a
LE
-
= e
fxyln g) , = 4×67919 )
449912
It
-
=
e -
Dogged
Find C ? ?
53/2
'
Cn -
ng t
-
floe y ) =
Ce
co
,
→ easy
= o otherwise .
Marginal 8 X .
flu g) dy
false ) =
-
f ,
+54/2
•
Cathy
f dy
-
= e
c
- a
44735/43/2
•
fly
-
of
-
=
e dy
-
348
a
-@4512
f
.
dy
= c e- e
a
-
→
§
3h48 e-
2
der
= c e-
-
a
3h48
false ) = Fut c e- ⇒ C=T÷
Distributions of sums
&
quotients .
fix ,y )
Let x dy beats .
r .
v. s .
with
joint pdf
Define 2=91×51 )
Az -
-
{ can ) I olla , y ) E 't
)
Fzcz ) =
P ( 2 Ez )
= Plex ,Y ) E Az )
fine y ) da
dy
Saf
= ,
¥¥k⇒
Fztr )= f) fin ,
g) du dy
Az
"
If Axis ) dy ) da
Substitute y
-
. u -
n in the inner integral
Fdr ) -
Iff ! fin ,
u -
a) du
)dn
Fztg )
Ituano
=
!
Thus given by
the pdf f xty is
fftyf =
§ ,
fix ,
2- -
An ) doe
- NECA
If xd Y are
independent
A
fxtyl A =
f fan ) fylz -
a) da
-
&
→ LELA
- .
fxty (8) =
f!f×la7fylZ -
a) da ocotea
elsewhere
= O
EI A Ynexpld ) are
independent .
tu
fxln )= Ae
-
x o
>
TO O . W '
fyly ) deity
920=0
.
O .
W -
0=0
2-
fxty (3) =
I false )fy Ca -
a) dr 2-70
O .
w .
for 2-7,0
2-
he
Mt - n )
fxty CES du
-
f
-
= Ae de
O 2-
= Me
- dit
/ dm
ez
=
d2 At -
At
d2ze
-
O W
0
.
= .
EI X. Y are iid No ,
i )
fxty =
??
f false ) fy Ct -
a) da
O
false ) fyf 2- - n ) takes only Values
Zero or L
I
o En El
and o E Z -
as .
If o Ets I ,
then the
integrand
has value I on the set Osu Et .
If ie Z I 2
,
then the integrand
has value I or
the set
2- -
I E RE I
fxty ( 2) =
2- Z i CZ S2 .
Thus
,
Anca
.
{ .
÷¥¥
÷ .
O -272
to
EI let xrrldi X ) and Your Had )
,
be independent r . r .
s .
Then
Xty n r ( data
,
A)
ah
'
Me
-
Xd
film )
' '
= e a > o
f ( di )
ah
AY
'
ugh
-
fy (g)
-
=
e y > o
f C Az )
for 370 2-
,
L2
jet
iz
I
Li
fftyl # Je
-
Egg
se
, & '
-
O
I z -
a) doe
⇒ xty N RCL , tar X )
,
Ex : let x. Y be independent r . v - s .
with X NN ( Me ,
-92 )
You N ( M2 ,
Y are
=
Mxlt ) Mylt )
Mitt rith µzttoEtYz
=
e .
Hitter)tt@Ttr2)tYz
= e
Ecce IX. y ) )
dy
If
du
=
91ns ) face ,
g)
If x &
Y are
indef .
El 41K ,
'll ) =
If ya , y )f×fyfyly7dndg
If xey are
indep .
and Play ) -4,1*14214)
-
El 41×1417=1 f y ,
ex , Udy ) film ) fylyldndy
fdiklfxlnldufq.ly#1y7dy--Efd.CxDEf9dY77
iid for i
I Xi Nexplx ) are -43 on
-
- -
.
.
E.
Xi n
gamma ( nad )
①
Xin gamma ( hi ,
d ) are independent
for 5=1,3 - - -
in
3 . Xin normal I Mi ,
oil ) are
independent
fr I -
1,2 , .
r.sn?!XinaormalfE..Mi??ri2
)
Distribution on
- quotients
Let Xd Y be two IT r . r . s with
Az -
{ His ) I Hu Ez
}
If seco ,
then The E Z ⇐ 9322
{
}
lay ) ) a > o
y Eat
u ,
Fxlx CH =
ff fin ,y)dadg
Az
! Ife!Hn,y7dy ) da
*
f://Imiddyf.dk
Substitute I
-
- nu ( dy I ndu ) in the
inner integral
kyxth-%ff-affa.nu) ) do da
§ If !n ).nu)
fin ,
du da
+
!
I do
finds) -
fylxtn ) -
flat→
fin ,
are )dn
For Xd Y ,
non
-
Fy I I
In false ) fy ( ) da
z = nu
,×
022-6
EE Let xd Y
be
independent v.v .
and ride d )
with densities run , ,x ) ,
resp .
22 -
I
rlditdz )
fyy× (E)
2-
Prove : =
tighter
-
447422 ) ft
Oct ca
= 0 elsewhere
'
al in
-
' '
Xd
Record f.
-
:
Cal = e a > o
DH
Ah $4
'
o
-
y >
fyly )
-
=
e
-
ride )
fylxlzt.mg?jtYq,zh-.Jahtaz-ie-seicztifn=pditd2zdz-
I
rfditdz )
-
Hd ⇐ti ) gditdz
, )rHz )
Ex Let be
: Xd Y independent
N I 0,02 ) r . v. s .
'
x2
, y N
rft , Ira )
fy4×2
1-)
OCHO
C z ) =
ttfztl ft
= o otherwise
Homework ,
x & y are
independent Nco ,o2 ) .
v.v -
S .
discrete vector
Let 4,7 ) be r .
a .
Conditional
probability
plY=y)X= Pk )
) a y y
-
-
=
-
a
-
,
-
PIX = a
)
= fley )
fxcn )
v. s .
with joint pdf fin ,y ) .
Then
the given X
conditional density 8 Y ,
ffylx Lyla ) dy
a
Also ,
observe
If x dy are independent ,
fylxlyln ) = fylg )
Eixample
?Mt5)/z
:
( n
e-
1¥
ffln,y)=fxla)fyl×(Yl#)
An ,y7=
-
Den ,ycD
X n N to, %)
Cn ?Mty%
IIe
-
fishy )
fylxfylx ) =
¥
=
,
ITI ,g E
CY 725/2
¥
- -
=
e
,
Thus fylx I Ma ) is NCE ,
i )
Prob ( OEYEZIX
-
)
o =
Iole ) -
Elo )
where Else ) is CDF 8 NIV ) .
v.v -
Y NU lo ,x ]
find joint density 8 X. Y and
marginal density 8 Y .
{
ocsecl
fxln ) =
I
o elsewhere
{ Odyssean
fylxlylse ) =
Ya
elsewhere
o
{
he
O
oeyc④ elsewhere
A
&
=
f Indu
y
fyl 's) = -
logy ocyc I
=
0 elsewhere
= fxla ) fyixfyln )
-
)fykGlnTdn
Ikk
Bivariate Normal density .
Mpf f ( ITT
"
Haier ) =
asf 'Xn÷ ) -1
I
'
51 )
-
N CR , CD
LA
- A < Nz
The range
Probability computation :
8 parameters
P
( as Exists , ,
are EXzEbz ) →
Cpe ,
co
! Ian ,
. ;D .
.am/-:Y:::..
-
I sect
The
marginal densities
A
fxfui ) =
f fees ,
see
) does
→
e-
" C
' '
I
frat
-
•
-
ACK ,
c
floe da
falser ) =
J ,
,
Nz ) ,
1K£42
-
"
e-
NER IN
- z
'
°
VarCXdeq2@DWCxyXr7-afffei-peDCnz-Mz7fheynDdse.d
's
→ -
←
Efx ,
-
(guy
Xz Ms )
-
Then f= Corld
51.62
and tone
converse is NIT .
x ,
d Xz are
independent .
C =
jointof
product marginals )
fx = flair )
, 1×2
fxzfnz)
=q¥fzJ9p ftp.T.gy-fai-liuitekk#
u3Y
-
ffxzlx false
,
, ) =ffa
faces )
Frits In -
fµaskk#
-
ca ai ,
-
-
))
Thus conditional densities
,
Xzlx ,
and X , 142 are
both
normal densities .
xzlxi-n.vn/Mztef4q)Hi-MD,94I-5DXilxz--aaNNlMt9(9/r)Cdz
929-59
-
th ) , )
Ex :
with parameters
0 2
Mz
= 1100 92 O 02
µ,
.
.
= = ,
, ,
q2 = 525 ,
l = o -
)
Mi
= 1100+0-9 ( F÷Lz
)
( N ,
- O .
2)
= 145.8N ,
+1070 -
84
Piz 7108014--1 )
varcxzfa , -4 ) = 0241-57=5254 -
o .
8D
= 99.75
Note that Y= Xzlk ,
= I is a
Normal and
density with mean
My
variance t
} given by
1216.64
My =
say = 99.75
P 1×271080/14=1 ) =
ply 31080
)
=p z
'D
108%41
⇒
1216.64
( 231080
-
=p
=p (23-13.6)
= I -
OI f- 13.6 )
=
Tell 3.61
I I
of variables formula
Change
.
let Xi xz - -
X be random variables
, , , ,
with
joint pdf fish ,
- -
→
rn )
it
Define Yi
Eaijxj
- - r
n
= , ,
j= ,
A- .
Cai; )
!÷::]
=/ agin
: i unclean ,
t.at?xnl
If IAI to B= At .
(I;)
-
Bff! )
×i= &
.bijYj
I =L . - -
in
,
)
1- they
fly ,
,
.
-
,
Yn = .
. -
gun )
Idetl A) I
non -
line as transformation case .
Yi = 9 ,
CA ,
- - .
, Xn ) i -
-
I
,
- - -
,
n
!
scan
8¥
.
- -
. -
en )
=/
,
, ,
÷ .
. . . .
floes
1-
fly ,
.
- -
syn ) = ,
- -
-
,
an
)
1J (see ; -
in ) I
a
Examine :
,
. - -
,
.
Yi = X
,
t - - -
a Xi I
-
-
1,2 ,
- -
,
n
Y , = X I
÷:*
:÷÷ .
:÷D
⇒ Joint density 8 Yi 's is same as
discrete cts
joint r . v. s .
joint
I
distribution
joint pmf
marginals joint pdf
conditionals marginals
independence
conditional
independence
moments -
-
( Bivariate
( mean
,
Variance
,
median
) normal )
mgfs
Conditional expect 'm & Variance .
Covariance d correlation
transformation,
a.)
distributions of sums
"
-
" "
.
as
.si
:
:#
-
A ,
- - -
,
Xn ↳ X, f- - - -
t Xn
↳ A Ka
Rn Rn
Yi -
-
Bi Hi ,
-
- -
,
xn ) ;
i -
1,2 ,
- -
.
,
n
) >
t
D standard
Sampling's
normal .
:
Nlo , , )
1¥
-
freedom .
Chi -
squared :
I )
Let x. .
- -
, xn be iid Nco ,
)
,
×i+---n unicorn )
"
=
4t-; Yarn
/
In "I I
Alon)
-
particular
II
In won )
nrftz I
)
for its
⇒ ,
From the
additivity property 8
r ( di
,
P) ,
we know then
,
II. t Int
'
- -
-
t
II Nrc ? 's ) .
if ? , t ) is I density with n
degrees of freedom .
independent
'
n r -
v .
s .
( n : dot C
degrees of freedom ) )
Yi
Ym
Them : Let
,
Yz - -
be
, ,
with dots ki
,
- -
-
, km respectively .
Then Y, th t t
Ym that
-
~
-
-
- - -
ekm
-
Iki
ratio of i densities 'd
:}
?!
III
I
In
as
FCK he )
Let Y, ~
,
Yzlkz
Yz N ¥ K2
with C kp.kz
) dots .
Flbkz )
Pastime h I =
: =
,
.
FCI kz )
soluaveofstdrnormal
ofstd normals
=
,
( of
)
Sam squares
.
divided by dof
t -
distribution .
Let X be std .
normal v.v .
and Y
a
.
they are
independent of each other .
XNN ( 0,1 )
and xd Y are indep .
you 2x n
En
t -
distribution with n dot .
× ~
tn
dearly ,
tf = FCI ,n )
it . w . Desire pdf of tn .
Central limit theorem :
pi
and variance r ?
Sn
Notice E Csn )
ripe
: -
Varon ) =
not
fin ) if Xi 's
fqln ) Efsn ( y) y
-
=
,
are
y
a
discrete
fatal =
ffsn .
Cy ) fix -
g) dy if
are
xi 's
cts .
not : si -
sn-a.es#,=snr-nfInNl
0,1 )
Central Limit Theorem C CLT )
'
'
be
txn
Then
-
Assed A
that )
Note
pfsnr-nfy-f.se/=Fsnahe
=
CDF f Sf
CLT status
In )= Else ) anew
nlim Fs
-
,
;
Fs : Ca ) n ,
•
I
as
- →
Else ,
Observe
risner oIf÷÷)
:
EGILL )
-
*
) a -
-
rlsz e
III )
Generally for n 325
,
these approximation
are
really very good .
Example :
for i 32
nexpli )
-
n
Let Xi
-
-
.
, ,
Sn = X , t - - -
f- Xn
Prob I Sn En ) E OI
( r ) - Nemea
distribution with
installed follows exponential
AS
soon as the bulb runs out
mean = to
days .
,
installed exp ( to )
X Sgoz
,t
- -
-
-1×50
of interest Elsa )
The
probability .
µ
Plsso £365
) I E ( 36535g )
Tarif
= OI ( - 1.91
)
= O . 028
-
€:
)
t
Pkn ) E
(
III
're #
a
let fsn be
pdf f Sn then
,
YENI
tsn a
¥9 ( ) area
-
OI : CDF f Non )
'
y : Te pdt if nco ,
, )
Ex ,
Xin eypli ) for i=b2 is
- -
iid
Sn X t Xzt it Xn
-
-
= ,
false ) ¥4177 )
aereo
I
-
then a is a
possible value
f Sn .
is Value
•
If a a
possible f X
,
then
Ae is an
integer .
'
If value of Xi ,
'
• a EIR
is a
possible
then the set
{ n -
at se is possible value
9×3
has god I
Ruling out v. v. s .
PIX ,
-_
1) =P IX. =3
)=I
Example :
-
p)
, , ,
Xi ,
Xz
,
- - -
,
Xn are iid Bernoulli I p) .
Sn =
A t -
-
t Xn N Binomial f n
,
P )
n
pj
pay
-
tsnln ) -
-
(a) -
=¥ .sk:1#.D
÷:::::I÷i→f:÷
Prob Isner )
i¥ = E
( "Yz¥-) ers
EI Sn N Bin C p) n= 25 p o 6
-
n
.
-
.
,
,
pfsn 713 ) =
i -
Pkn El
a
El "%j%)
-
=
statistics
Eskn
Statistical inference C and testing
of hypotheses )
Let Xr be random
Xi , ,
-
- -
, xn
a
. .
.
is the C- D.F .
of Xi 's .
( Xi
,
.
- -
,
xn a random sample means
Xi Xr -
- -
Xn are i. i . d . random
, , ,
.
)
that
Nole the
joint p
. d. f .
f Xi , - -
Hn
the is given by
flag .
-
.
,
sent II folk )
Ex : metal
X be random for
)
a
Let Xi -
-
-
, ,o
,
statical
sample from Bernoulli I p)
properties
do observe ??
What we
:*
X
,
= I
,
Xz =L ,
43=0
,
Xy =L ,
As =
0,4=0 ,
.
is
÷÷:÷::÷÷÷:÷
Feats available from repetitions of the
random experiment .
' '
evidence f date ? ?
asf ,
was
I =
Ini
n
note :
/I=Eff
I is a random Variable and
i
Eni
is a realization 85 .
would
random expt .
,
one get
different values 8 I -
Effi .
.
.
.
In this particulars case
,
X. N Binomial ( n P)
+ Xzt . .
.
+ Xn ,
"
an then notice
,
ECI ) =p =
E(×it)=n1 n
Vance ) =
roof ¥ + . -
ne
ftp.npltb )
rare )
Hi -
b )
=
→
Few definitions .
A
,
Xz
,
- -
.
,
Xn a random sample
from fol .
distributions
Det . I family of
F =
{ fol .
) I to is pdt 8 x
and at
}
e.g .
An
Let Xi - . .
. be a random
, ,
.tt 'D
}
"
{ (2)
B new
⇐ Beaten I
vector
Here g= Cn ,p ) : parameter
⑦ = IN x [ on ] :
parameter
bn
space
N=£÷i±" }
vector tarmacs
A
ftp.E?aEEnEt
space
in the
Note :
Any vector demoted as A
"
"
is valid
parameter space a
guess
for parameters .
paramd-ricest-imationi.IN this
problem
we want to identify the parameter
values of the distribution from
Examples :
Data in 2 -
D plane represented by *
.
÷÷#
A
.la?........Y# -
Date I D
represented by *
-
estimation
Ex Non
parametric
i
. -
Doth 2 - D .
:÷÷
Aqa
← *
&
*
* *
-
/
.
-
want to learn
→
Point estimation in
parametric setup .
brood estimator
s
) properties of an .
Methods of estimation
4)
( MOM / MLE )
confused
)
to be
Definition : Statistic
-
( Not
with statistics
let Xi Xn be random
EIS a
- -
:
-
,
,
sample from N Iµ or )
④ let be known
µ .
2
is statistic
I Hi a)-
a .
i= I
27 µ is unknown .
a
'
statistic
E Hi µ )
- is NIT a .
E- I
n
2
is statistic
However EX F) a
.
-
.
,
E- I
Assume M
or unknown
3)
.
{
2
( Xi -
F) Not a
is
[ = a
-
statistic
J2
Let a Xz - - -
,
X ,
du fol )
, ,
Here D= Cµ
,
r2 ] :
parameter vector
gf 14,02 ) =
µ
C mean )
oh ( variance )
g ( 14,02 ) =
,
Xn a
glad ) = I
×
glad ) = I
I
glad ) = A
Definition
Estimator : Let Xi - - .
Xn be a random
, ,
-
from fol )
sample
.
Node :
Tlxnyxrg - -
,
Xn ) being a
EI .
Recall the example of collecting
data tossing
'
by times
'
a coin n
Let Xi . - -
,
Xn be a random sample
,
from Bernoulifp ) .
Here parameter a =p .
Xml I
910 ) =p TCA is
.
-
. =
an
,
,
estimator of p .
B
Definition ( Estimate ) .
,
Xn ) evaluated
at the
given date points * ,
=
ni Xz -
- see
, ,
-
-
-
Xn= an is called as an
estimate .
Examples of estimators .
Let Xi Xz -
-
-
Xn be a
random
, , ,
Elxi ) µ for
=
it ,2 ,
- - -
in .
varia .
)= r2
Then µ
can be estimated by
i
) TCH ,
-
- -
,
xn ) =
X ,
si
) TCA ,
-
- - .
, xp = 5%-7×92
12
n
iii ) tch
,
.
- -
,Xn7= Eaixi
F- I
where
II ai = I C ai E foil )
iv ) TCM ,
.
-
.
in )= I
E 02 can be estimated by
silk xn )
in ! ki IT
- - -
-
, =
,
1h
sick ,
- - -
,xn7=
I E. IT
Hi -
Propertiesofeslimators
Unbiased estimator : Let TCA
,
- -
-
,
xn )
be an estimator of 910 ) .
which
satisfies
ECTCX , ,
-
. -
xn ) ) =
910 ) to c- ⑦
then TCA
,
- -
.
,
Xn ) is said to be
E Let Xs Xz -
-
.
,
Xn be a
, ,
on
ore varcxi )
We want to estimate µ .
Let fo =
N ( µ ,
or )
D
TCA ) X : unbiased
- -
.
xn =
, , ,
ECtHr ,
- - -
,
xn ) ) =
Efx ,
) =
µ
I
2) TCH
,
- -
-
,
xn ) =
E ( TH ,
-
-
-
,
xn ) ) =
ECE )
=
Efx
xn
)
put +
µ
- - -
= MI
n
unbiased
fu
:
=
3) TCA ,
- - -
, xn ) = 3×1 : biased
estimator
ECTCX ,
,
.
- -
,
# = 3M 4Th unless
unless µ=0 Tho
Definition : Mean
Squared Error C Mst )
of
let GIO ) be a function parameters
which is estimated estimator
by an
TIX
,
-
- -
,
Xn ) .
Then the MSE of the
MSE ( TIX ,
-
- -
,
xn ) )
CITTA
?
= E
, )-
glo
-
.
,xn - ) )
MSEITCXI ,
- -
-
,
Xn ) )
=
Var
( Tca ,
- -
.
,Xn ) ) .
?
+ ias C Tex
@ ,
.
- -
, xn ) )
Estimation -
:
- Estimator I statistic
- unbiased ness
Methods of estimation .
e) Method of moments .
{ X
,
from
=
Ri
,
the
Xz = K2
,
distribution
-
- -
,
Xn
foe ,
-
-
Rn
}
}
Given
)
we want to estimate the parameters Q .
Oi
,
-
- -
,
On where D= for , . - .
,
On ) is
the vector
parameter
Ego :
Compute
1) Theoretical moments from the pdf fol ) .
k unknown parameters
4) Solve for k parameters .
Example :
Let Xi Xr -
- -
Xn be a random
, , ,
Gamma Cd a)
sample from ,
.
a & X .
SI : 1) Theoretical moments .
12,4 )
£
Gamma
mean
f =
frogs
moments date
a)
Empirical the .
÷
sample mean = F= I Xi
sample variance =
in II. IT
*
-
MIM estimators ⇒
I =I ; ¥ =
hi Hi - IT
Let 3
64L
Example : o O 01 2.89 4. 41,0
. .
.
, , ,
Sole :
I 65
Je =
r
=
21,1
§
'
f- ,
Cai - E ) = 1.713 =
4×2
a
¥ £
- .
= 1.713
Ty
1.713
⇒ ! .
65
In =
?÷}
I 1.038
=) ¥ = =
£=l
⇒I=÷,s=o
¥ =
I .
65 ⇒ 2=1.65 . X = 1.6.55×0-96
let 1.7 -2-1,0-8
Example : o -3
,
- o .
I
, ,
)
'
Estimate r2 method
µ
&
using 8
moments .
sin :
µ
-
- I
,
oh -
In En Ki I -
I
.
-
- O .
12 IT
72=1-58
,
let ) be
1,0 , 0,1 91,1 a
Example :
, 1,1 , ,
MOM to estimate p .
Sod :
ph=o .
7
let Xi Xz -
-
, Xn be a random
,
,
) .
Then the
joint
density of Xi ,
- .
-
,
Xn is given by
Fx
,
. . . ,×n( e
's
- - -
an ) =
II to
Cni )
110 ) =
It ,
focni ) =
II ,
fld
Ini )
a
avg
max log ( Ilo ) )
ot④
Examples :
random
Let Xi ,
- - -
,
Xn
be a
sample
from N Iµ , 1) .
elm ) = IT fudai )
I 7
where folni ) a
N
44,1 )
Ichimy
2
-
2¥
-
= e
Acri LA
-
n '
h Cri -
at
MM) IT
¥
-
=
e
,
it
'
k FE Cni -
yup
e-
=
¥,n ,
CHIMI
'
↳ film ) ) =
-
F- log I -
I E. -
These maximizing by ( elm ) is
to minimizing sum 8
equivalent
as shown below
squares
.
= argyuin
E CAsup
-
'
cost function =
II. I Xi -
in )
did In Hi -
at = -
2
Eich .
-
su )
-
- o
⇒ Elli
I Is
=
nfu
/i=Ef
Let Xi Xz - - -
Xn be a random
, , ,
from or )
sample Nyu ,
unknown
Assumption :
µ
:
f : known
Xi )
Recall :
~ Nco ,
i
for 521,2 ,
-
-
-
,
n .
and Xi N
if
N ( nil ,
not )
Exi
I =
n
NCM , In )
in ,
#
µ
¥÷t÷
E
µ§#fIt3rrn
'
Ss .
d .
rule 8 normal density
PC µ 3£
I E
µ -13£ ) Er o 997
-
-
s
÷÷:÷÷÷÷ .
to the
right
8 Za .
Let 2N
N Coa )
P ( 27 ,
Za ) =L
In NIM ,
Mn )
I fi to )
-
2 =
N N ,
I
⇒
pdf 8 Nco , I )
*#÷¥#¥
Prob -42 Prob =
212
If is clear that
p( 27 Zi -
an ) = I -212
⇒ PLZ s z ) .
as lgdsyaemmtotss
8 Non
, .az
)
⇒ P ( 2 E -
Zaw ) =
42
Thus
,
p f Zag , E 2 E 2h12 ) = I -
d
E II E 2-42 ) I a
Pf 2-42
-
=
-
own
⇒
I +242 Ern
)
E
PCI -2
I
Zak E fl
-
Ern
- -
Take 2=0 -
f- o 05
.
I 65
2-42
-
It
P
( I -
1.65
Irn E
fu
's
1.65%1=0.9
100cL d) % -
confidence interval on
µ
when oh is known for NLM , f)
L I 2-42 Ern
-
b I -12-42
=
Ern
Example : Let 0.3 -1.8 I .
9 0.01 - 0 .
3
, , , ,
,
o .
I be a random sample
confidence
from N (µ ,
I
) .
Find 90%
interval on
µ .
Sod : I -
2 = o . 9
2=0 .
I
0.05
42 =
Zak = I .
65
h= 6
I = o .
035
L =
I -
Zak I
rn
= o -
035 -
1.65×1 =
- 0.64
Tr
It
U =
24 , Ira = 0-71
C I
f- o 64 U 71 )
.
.
-
.
,
E for the compute 99%
sample ,
CT on
fu
. .
Solna i
-
I -
D= o .
99
2=0 .
01
£ =
o .
005
2-42=2-58 ¢P(2EZ%J=
0.995
L =
I -
242 I
rn
= 0.035 -
2-58×1 =
-1.04
if
1.09
0.035+2-58×12
=
U =
CI =
f- 404
,
1.09 ]
the
Length 8 CI
L =
I -
74 , Tog
U =
It Zak Trn
U -
L = 2 2-42 I
rn
-
Let Xi Xz -
- -
,
Xin
be a
, ,
Assumption ,
µ
& oh unknown .
Xi
fr
N 10,1 ) I -_
1,2 in
-
-
~ ,
2
(Xi -
a)
ref 's , 's ) -
-
I ,
=
for 5=1,2 , in
-
-
i-rz-nrln.tn/=xn
E )2gu
Hi -
Consider
?
fi In
2
i # -
M) =
[ ki E)
-
tix -
gu ) )
,
,
'
Ki E) 't CI µ ,
-
-
=
.
+
I
t.EE al
'
E.
'
ME
E. Ki Hi Is
- -
E. Hi - sup =
§ ,
Hi -
Fit n CI -
sup
=E* try
2
Ifi
m2 CI µ )
-
J2
I
I
Edna I
In ,
I.
2
Thus Hi E)
In
-
~ ,
pdf 8 In -
i
-
I
o
n -
I
,
I -
212 In -1,42
Percent points
PL In .
,
7 Int %) ,
=
42
P ( In -
,
7 In .
i
,
i -
Ha )
=
I -
H2
⇒ PC In E In .in -
ah
) =
42
.
,
Thus ,
Pl In ,** ,
←
Int E In ,% ) =
I -
d
FCK , , .
%
'
Eiht
's In .mn/--hn
r2sE7e×i-× 1=1-2
piEcxi 1%-1,42
⇐
2%-1,1-212
, ,
, ,
O .
I be a random sample
from NIM ,r4 .
Construct 907 confidence
interval for r ?
Sod : I -
2=0.9 Here n
-
-
6
A I 1=5
O
⇒ n
-
.
-
-
2/2=0.05
¥¥
Is
I
$5,0 .
$5,0 .gs .
05
Plots 3 Is , .os ) -
-
o .
OS
T
11.07
$5,095 = 1. IS
?kiF)
2
↳ 0.635
-
, =
-
II. OF
u -iE = am
I -
15
-
Confidence interval on
µ
when
Let Xi Xz .
- -
Xn be a random
, , ,
Sample from N ( µ ,
62 ) .
'
Assumption Both do are unknown
µ
: .
E.
2
Ki E)
'
Recall :
s =
-
m -
I
is an estimator 8 r ?
Titus
Cs 'm
"siId
estimator fry ,
in
In the statistic II the
④rn
II ta =N
Tse
. . I
IFT independence g
:*
=
" " " " " "
÷
.
I
"
, "
*¥i¥÷
42 I
tnt
-
,Hz .
The statement
probability :
Pf tny.az - E
SEI E the ,% ) =/ -
d
Ittnt .us/rn)-- It
P
( E -
ta .
san % SHE ,
100ft 2) To -
on
Iu
when T is unknown
[ = I -
think Son
o =
It tn yah -
Shh
[ HUD
EI Let 3 -1.8 I 9 O
01 o 3 O I
-
o
.
. . - -
, , , , ,
construct go % C .
T .
on
µ .
I =
fixings
'
II. IT s
Hi
-
-
=
n
-
I
O .
118
=
tnt ,
212 '
I -
D= 0.9
4=0 .
I
,
⇒ 42 = 0-05
£5,0 .
05
= 2-01
06
11815¥
Oi O
2.01 x -
.
=
L = o .
035 -
U = o -
035
2-01×0.118/58
f- =
0.131
-
Testing of hypothesis
Ho :
Null hypothesis .
Hs Alternative hypothesis
.
Let Xi Xz -
-
.
, Xn be a random
, ,
Ho µ to
-
}
-
two .
sided test .
Hi :
put No
spy }
Ho left failed
:
µ= 140 .
one sided
.
test .
Hi :
fu
No
}
Ho
fu right tailed
-
:
-
sided test
Hin .
µ > µ , me - -
I -
µ N lost )
N
⇒
If its true µ
is luo
=
I No N 10,1 )
-
TE
±¥÷
:
" "
of
gu )
Test on mean ( normal population
when 82 is known -
Ho :
µ= No
It ,
:
Mt No
Under the assumption that Ho is
true ,
II
Arn
so
~ Nfo ,
, )
Trn
less than 2212
Zqz
-
Or .
If E F- NO then
-
Zaz E 242 ,
we
accept Fn
fail to
reject Ho .
-
Example
:
Let 03 -
1.8 I -9 -
O -
3 O -
01 o .
I be
, , , , ,
Sod :
Ho :
fu
- I
It ,
:
petal
The level of Significance 2=0.1
0.035 - I
-
I - 2.4
yrs