Uniform

0 if x < a or x > b
𝑓𝑎,𝑏 (𝑥) = {
1⁄(𝑏 − 𝑎) if a ≤ x ≤ b
0 if x < a
𝐹𝑎,𝑏 (𝑥) = {(𝑥 − 𝑎)⁄(𝑏 − 𝑎) if a ≤ x ≤ b
1 if x > b
Gaussian
1 2 ⁄2𝜎2
𝜑𝜇,𝜎2 (𝑥) = 𝑒 −(𝑥−𝜇)
√2𝜋𝜎 2
𝑥
Φ𝜇,𝜎2 (𝑥) = ∫ 𝜑𝜇,𝜎2 (𝑥′)𝑑𝑥 ′
−∞

X~𝒩(𝜇, 𝜎 2 ) → 𝑋 = 𝜇 + 𝜎𝑍 with 𝑍~𝒩(0,1)

2 ⁄2
X~𝒩(𝜇, 𝜎 2 ) → 𝐸(𝑒 𝑋 ) = 𝐸(𝑒 𝜇+𝜎𝑍 ) = 𝑒 𝜇 𝐸(𝑒 𝜎𝑍 ) = 𝑒 𝜇+𝜎
+∞ 2 ⁄2
𝜎𝑍 )
1 𝜎𝑍 −𝑧 2 /2
𝑒𝜎 +∞
2 /2 2 ⁄2
𝐸(𝑒 = ∫ 𝑒 𝑒 𝑑𝑧 = ∫ 𝑒 −(𝑧−𝜎) 𝑑𝑧 = 𝑒 𝜎
√2𝜋 −∞ √2𝜋 −∞

Log-Normal

X~ℒ𝒩, Y = log 𝑋 ~𝒩(𝜇, 𝜎 2 )

1 1 log 𝑥 − 𝜇 1 (𝑙𝑜𝑔𝑥 − 𝜇)2
𝑓𝑋 (𝑥) = 𝜑𝜇,𝜎2 (log 𝑥) = 𝜑 ( )= exp [− ]
𝑥 𝑥 𝜎 𝑥√2𝜋𝜎 2 2𝜎 2
log 𝑥 − 𝜇
𝐹𝑋 (𝑥) = Φ𝜇,𝜎2 (log 𝑥) = Φ ( )
𝜎
2 ⁄2
𝐸(𝑋) = 𝐸(𝑒 𝑌 ) = 𝐸(𝑒 𝜇+𝜎𝑍 ) = 𝑒 𝜇+𝜎
2
𝐸(𝑋 2 ) = 𝐸(𝑒 2𝑌 ) = 𝐸(𝑒 2𝜇+2𝜎𝑍 ) = 𝑒 2𝜇+2𝜎
2 2 2 2
𝑉𝑎𝑟(𝑋) = 𝐸(𝑋 2 ) − 𝐸(𝑋)2 = 𝑒 2𝜇+2𝜎 − 𝑒 2𝜇+𝜎 = 𝑒 2𝜇+𝜎 (𝑒 𝜎 − 1)

Chi-Square

𝑍1 , … , 𝑍𝑘 ~𝒩(0,1)

𝑍12 + ⋯ + 𝑍𝑘2 ~𝜒 2 (𝑘)

Student t

𝑍~𝒩(0,1)
 𝑍
𝑋=
√𝜒⁄𝑘

(𝑡) Γ((𝑘 + 1)⁄2)

𝑓𝑘 (𝑥) = (1 + 𝑥 2 ⁄𝑘 )−(𝑘+1)⁄2 , 𝑥 ∈ ℝ
√𝑘𝜋Γ(𝑘⁄2)
∞
Γ(𝜆) = ∫ 𝑥 𝜆−1 𝑒 −𝑥 𝑑𝑥 , 𝜆 > 0
0

Fisher F
𝜒1 ⁄𝑘1
𝐹=
𝜒2 ⁄𝑘2
Cauchy

(𝐶) 1 𝜆
𝑓𝑚,𝜆 (𝑥) =
𝜋 𝜆 + (𝑥 − 𝑚)2
2

𝑥
(𝐶) 1 𝑥
(𝐶) 1
𝐹𝑚,𝜆 (𝑥) = ∫ 𝑓𝑚,𝜆 (𝑦) 𝑑𝑦 =
∫ 𝑑𝑦
−∞ 𝜋 −∞ 1 + [(𝑦 − 𝑚)⁄𝜆]2 𝜆
1 (𝑥−𝑚)⁄𝜆 1 1 𝑥−𝑚 1 𝑥−𝑚 1
= ∫ 2
𝑑𝑧 = [tan−1 − 𝑡𝑎𝑛−1 (−∞)] = 𝑡𝑎𝑛−1 +
𝜋 −∞ 1+𝑧 𝜋 𝜆 𝜋 𝜆 2

Exponential
0 if 𝑥 < 0
𝑓𝑟 (𝑥) = { −𝑟𝑥
𝑟𝑒 if 𝑥 ≥ 0
0 𝑖𝑓 𝑥 < 0
𝐹𝑟 (𝑥) = {
1 − 𝑒 −𝑟𝑥 𝑖𝑓 𝑥 ≥ 0
+∞
1
𝐸(𝑋) = ∫ 𝑥 𝑓𝑟 (𝑥)𝑑𝑥 = 𝑟 ∫ 𝑥𝑒 −𝑟𝑥 𝑑𝑥 = =𝜆
0 𝑟
+∞
2
𝐸(𝑋 2 ) = ∫ 𝑥 2 𝑓𝑟 (𝑥)𝑑𝑥 = 𝑟 ∫ 𝑥 2 𝑒 −𝑟𝑥 𝑑𝑥 = = 2𝜆2
0 𝑟2
1
𝑉𝑎𝑟(𝑋) = 𝜆2 =
𝑟2
Pareto

𝑥 −(1+𝛼)
𝑓𝛼 (𝑥) = {(1 + ) if 𝑥 ≥ 0
𝛼
0 otherwise
 In financial application, 𝜉 = 1/𝛼 is the shape parameter
−(1+1⁄𝜉 )
𝑓𝜉 (𝑥) = {(1 + 𝜉𝑥) if 𝑥 ≥ 0
0 otherwise
𝑥 −1⁄𝜉
𝐹𝜉 (𝑥) = ∫ 𝑓𝜉 (𝑦)𝑑𝑦 = {1 − (1 + 𝜉𝑥) if 𝑥 ≥ 0
−∞ 0 otherwise
PDF, CDF for location, scale, shape:
−(1+1⁄𝜉 )
1 𝜉
𝑓𝑚,𝜆,𝜉 (𝑥) = {𝜆 (1 + 𝜆 (𝑥 − 𝑚)) if 𝑥 ≥ 𝑚

0 otherwise
−1⁄𝜉
𝜉
𝐹𝑚,𝜆,𝜉 (𝑥) = {1 − (1 + 𝜆 (𝑥 − 𝑚)) if 𝑥 ≥ 𝑚

0 otherwise
Quantiles and Percentile

𝑝 ∈ [0,1]: p-quantile or 100pth percentile is 𝜋𝑝 = 𝜋𝑝 (𝐹) satisfying 𝐹(𝜋𝑝 ) = 𝑝

If cdf F is invertible 𝜋𝑝 = 𝐹 −1 (𝑝)

Effect of Affine Transformations

Meaning: find the effect on quantiles when location is shiffted and scale is
changed.
(𝑋)
X has 𝐹𝑋 and 𝜋𝑝

m is a location parameter and λ is scale parameter.

𝑍 = (𝑋 − 𝑚)⁄𝜆 ⟺ 𝑋 = 𝜆𝑍 + 𝑚

𝜋 (𝑋) − 𝑚
𝐹𝑋 (𝜋 (𝑋) ) = 𝑃(𝑋 ≤ 𝜋 (𝑋) ) = 𝑃(𝜆𝑍 + 𝑚 ≤ 𝜋 (𝑋) ) = 𝑃 (𝑍 ≤ )
𝜆
𝜋 (𝑋) − 𝑚
= 𝐹𝑍 ( )
𝜆

𝜋 (𝑋) − 𝑚
= 𝜋 (𝑍)
𝜆
Q-Q Plots
 (1) (2)
Q-Q plot of 𝐹 (2) against 𝐹 (1) is a plot of a curve formed by (𝜋𝑝 , 𝜋𝑝 )

Q-Q plot is diagonal if the two distributions are equal

On the right of Q-Q plot: both extends to +∞, p increases toward 1

(1) (2)
below the diagonal: 𝜋𝑝 grows faster than 𝜋𝑝 → tail of 𝐹 (1) is
heavier/thicker than tail of 𝐹 (2)
(1) (2)
above the diagonal: 𝜋𝑝 grows slower than 𝜋𝑝 → tail of 𝐹 (1) is thinner
than tail of 𝐹 (2)

On the left of Q-Q plot: both extends to −∞, p decreases toward 1

(1) (2)
below the diagonal: 𝜋𝑝 grows slower than 𝜋𝑝 → tail of 𝐹 (1) is
thinner/lighter than tail of 𝐹 (2)
(1) (2)
above the diagonal: 𝜋𝑝 grows faster than 𝜋𝑝 → tail of 𝐹 (1) is
heavier/thicker than tail of 𝐹 (2)

Empirical cumulative distribution function

A sample 𝑥1 , … , 𝑥𝑛 from an unknown cdf F.

The empirical cdf 𝐹̂𝑛 is a piecewise constant function.

1
𝐹̂𝑛 (𝑥) = #{𝑖; 1 < 𝑖 ≤ 𝑛, 𝑥𝑖 ≤ 𝑥 }
𝑛
Its graph is obtained by ordering the observations and then plotting the flat
plateaus in between the ordered observations.

Order Statistics: min{𝑥1 , … , 𝑥𝑛 } = 𝑥(1),𝑛 ≤ ⋯ ≤ 𝑥(𝑛),𝑛 = max{𝑥1 , … , 𝑥𝑛 }

When xi = xj, a tie occurs. If a distribution is continuous, a tie cannot occur.

𝑘−1 𝑘
x(k),n is k-th order statistic. 𝑥(𝑘),𝑛 = 𝜋̂𝑝 = 𝜋(𝐹̂𝑛 ) for 𝑛 < 𝑝 ≤ 𝑛