Formulae

Distribution Probability function Mean Variance MGF

Bernoulli p(x; p) = px (1 − p)1−x p p(1 − p) pet + (1 − p)
x = 0, 1  
Binomial b(x; n, p) = nx px (1 − p)n−x np np(1 − p) [pet + (1 − p)]n
x = 0, 1, ..., n
(M )(N −M ) nM

N −n
  
Hypergeometric h(x; n, M, N ) = x Nn−x N −1
nM 1− M
does not exist
(n) N N N
x = 0, 1, ..., min(n, M ) in closed form
pr
 
x+r−1 r r(1−p) r(1−p)
Negative binomial nb(x; r, p) = r−1 p (1 − p)x p p2 [1−et (1−p)]r
x = 0, 1, 2, ...
1−p 1−p p
Geometric g(x; p) = p(1 − p)x p p2 1−et (1−p)
x = 0, 1, 2, ...
x e−λ
Poisson p(x; λ) = λ x! λ λ exp [λ (et − 1)]
x = 0, 1, 2, ...
t2
h i
−x2
Standard normal f (x) = √12π exp 2
0 1 e2
-∞ < x < ∞
−(x−µ)2 σ 2 t2
h i
Non-standard normalf (x; µ, σ) = σ√12π exp 2σ 2
µ σ2 eµt+ 2

-∞ < x < ∞
1 A+B (B−A)2 eBt −eAt
Continuous uniform f (x; A, B) = B−A 2 12 (B−A)t
A≤x≤B
α−1 e−x
Standard gamma f (x; α) = x Γ(α) α α (1 − t)−α
x>0
α−1 e−x/β
Non-standard gamma f (x; α, β) = x β α Γ(α) αβ αβ 2 (1 − βt)−α
x>0
Exponential f (x; λ) = λe−λx 1/λ 1/λ2 (1 − t/λ)−1
x≥0
ν/2−1 e−x/2
Chi-squared f (x; ν) = x2ν/2 Γ(ν/2) ν 2ν (1 − 2t)−ν/2
x≥0

Target parameter, θ Point estimator, θb E(θ)

b Standard error, σθb
√
µ X µ σ/
q
n
X pq
p pb = n p
rn
σ12 σ22
µ1 − µ2 X1 − X2 µ1 − µ2 +
qn 1
p1 q1
n2
p q
p1 − p2 pb1 − pb2 p1 − p2 n1
+ n2 22

Z = θbσ−θ θb ± zα/2 σθb

θ
b

1
One Sample Case
Test Statistics
ˆ Z= X−µ
√0
σ/ n

ˆ Z= X−µ
√0
S/ n

ˆ T = X−µ
√0
S/ n

ˆ Z = √ pb−p0
p0 (1−p0 )/n

(n−1)S 2
ˆ χ2 = σ2

Confidence Intervals
ˆ θb ± zα/2 σθb
q
ˆ x ± tn−1,α/2 s 1 + 1
n
 
(n−1)S 2 2
ˆ , (n−1)S
χ2α/2,n−1 χ21−α/2,n−1

Sample Size for required α and Width

ˆ n = (2zα/2 wσ )2

Sample Size for required α, β and µ′ for one- and two-sided tests
Mean µ
σ(zα +zβ ) 2
h i
ˆ n= µ0 −µ ′

h σ(z i2
α/2 +zβ )
ˆ n= µ0 −µ′

Proportion p
 √ √ 2
zα p0 (1−p0 )+zβ p′ (1−p′))
ˆ n= p′ −p0

 √ √ 2
zα/2 p0 (1−p0 )+zβ p′ (1−p′))
ˆ n= p′ −p0

Type II error (Upper-tailed. lower-tailed, two-tailed tests)

Mean µ (σ known)
′
 
ˆ β(µ′ ) = Φ zα + µ0 −µ
√
σ/ n

′
 
ˆ β(µ′ ) = 1 − Φ −zα + µ0 −µ
√
σ/ n

′ ′
   
ˆ β(µ′ ) = Φ zα/2 + µ0 −µ
√
σ/ n
− Φ −zα/2 + µ0 −µ
√
σ/ n

Proportion p (large samples)

 √ 
p0 −p′ +zα p0 (1−p0 )/n
ˆ β(p ) = Φ
′ √′ ′ p (1−p )/n
 √ 
p0 −p′ −zα p0 (1−p0 )/n
ˆ β(p ) = 1 − Φ
′ √
p′ (1−p′ )/n
 √   √ 
p0 −p′ +zα/2 p0 (1−p0 )/n p0 −p′ −zα/2 p0 (1−p0 )/n
ˆ β(p ) = Φ
′ √ −Φ √
p′ (1−p′ )/n p′ (1−p′ )/n

2
Two Sample Case
Test Statistics
ˆ Z = X−Y
q −∆0
σ2 σ2
1 + 2
m n

ˆ Z=q
X−Y −∆0
S2 S2
1 + 2
m n

2
s2 2

1 + s2
m n
ˆ T = q −(µ1 −µ2 )
X−Y
, ν =  s2  2  s2 2
S2 S2 1 2
1+ 2 /(m−1)+ /(n−1)
m n m n

X−Y −(µ1 −µ2 ) (m−1)S12 +(n−1)S22

ˆ T = √1 1
, Sp2 = m+n−2
Sp m
+n

ˆ T = D−µ √D
SD / n

ˆ Z = q pb1 −pb2 , pb = mp
b1 +npb2
m+n
1 1
p
bbq( m +n )
S12 σ22
ˆ F = S22 σ12

Confidence Interval
 
S12 S2
ˆ S22
· 1
, 1 · Fα/2,n−1,m−1
Fα/2,m−1,n−1 S 2 2

Type II error (Upper-tailed. lower-tailed, two-tailed tests):

Difference in means µ1 − µ2
∆′ −∆0
 
ˆ β(∆′ ) = Φ zα − σ

∆′ −∆0
 
ˆ β(∆′ ) = 1 − Φ −zα − σ
q
∆′ −∆0 ∆′ −∆0 σ12 σ22
   
ˆ β(∆′ ) = Φ zα/2 − σ
− Φ −zα/2 − σ
where σ = σX−Y = m
+ n

Difference in proportions p1 − p2
 q 
1 1
zα pq ( m +n )−(p1 −p2 )
ˆ β(p1 , p2 ) = Φ  σ


 q 
1 1
−zα pq ( m +n )−(p1 −p2 )
ˆ β(p1 , p2 ) = 1 − Φ  σ


 q   q 
1 1 1 1
zα/2 pq ( m +n )−(p1 −p2 ) −zα/2 pq ( m +n )−(p1 −p2 )
ˆ β(p1 , p2 ) = Φ  σ
 − Φ
σ


q
where p = mpm+n
1 +np2
, q = mqm+n
1 +nq2
, σ = p1mq1 + p2 q2
n
Sample Size for required α and Width:
2
4zα/2 (σ12 +σ22 )
ˆ n= w2

Sample Size for required α, β and ∆′ for one-sided tests:

Difference in means µ1 − µ2
2
(σ12 +σ22 )(zα +zβ )
ˆ m=n= (∆′ −∆0 )2

Difference in proportions p1 − p2
 √ √
2
zα (p1 +p2 )(q1 +q2 )/2+zβ p1 q1 +p2 q2
ˆ n= d2
where d = p1 − p2

3
One factor ANOVA (equal sample sizes)

ˆ SST = Xij2 − CM = − X .. )2
P P P P
i j i j (Xij
P 2
Xi.
ˆ SST r = − CM = − X .. )2
P P
j (X i.
i
J i

X..2
ˆ CM = IJ

ˆ SSE = SST − SST r = (J − 1) Si2 = − X i. )2

P P P
i i j (Xij

ˆ F = M ST r
M SE

Two factor ANOVA (one observation per cell)

P 2
Xi.
ˆ SSA = i
J
− CM
P 2
X.j
ˆ SSB = j
I
− CM

ˆ SSE = SST − SSA − SSB

ˆ F = M SA
M SE
,F = M SB
M SE

Linear regression and correlation

ˆ Y = β0 + β1 x + ε
P
(xi −x)(yi −y) Sxy
ˆ βb1 = P 2
(xi −x)
= Sxx

ˆ Sxx = xi )2 /n =
P 2
−( (xi − x)2
P P
x i
P P
yi −β xi
ˆ βb0 =
b1
n
= y − βb1 x

ˆ SSE =
P 2
− βb0 yi − βb1
P P
y i xi yi

ˆ SST = (yi − y)2 = yi )2 /n = Syy

P 2
−(
P P
y i
 2
Sxy
ˆ r =1−
2 SSE
SST
= √ √
Sxx Syy

ˆ T =
b1√−β1
β
s/ Sxx
√
ˆ βb1 ± tα/2,n−2 s/ Sxx
r
(x∗ −x)2
ˆ βb0 + βb 1x
∗
± tα/2,n−2 s 1
n
+ Sxx
r
(x∗ −x)2
ˆ βb0 + βb 1x
∗
± tα/2,n−2 s 1 + 1
n
+ Sxx

Sxy
ˆ r= √ √
Sxx Syy
√
ˆ T = R
√ n−2
1−R2
 
1+R 1+ρ0
0.5 ln( 1−R )−0.5 ln 1−ρ0
ˆ Z= √
1/ n−3

4
Categorical data analysis
(ni −npi0 )2
ˆ χ2 =
Pk
i=1 npi0

eij )2
(nij −b
ˆ χ2 =
PI PJ
i=1 j=1 eij
b

Distribution-free procedures

ˆ n(n + 1)/2 − c

ˆ m(m + n + 1) − c