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Probability Cheat Sheet

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187 views8 pages

Probability Cheat Sheet

Uploaded by

waghnimish
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Probability Cheatsheet v1.1.1 CCompiied ty Willams Chen (np: //asetun con) with eontibutiong 1eep: //sthub con/enchen/probabi sey chastahest Counting Maliplication Rule bars roy we have = compound caperiner Naive Definition of Probability =f the lisihood of each Probability and Thinking Conditionally Independence Pace) PAB) = PA) at giver © uk PIA“ BIC) = PLAI net dace not imply Independence, abd independence doce Simpson’s Paradox PUA IB.) < PAL BSC) and PA | B.C) < PA yet ell P(A B) > PLA |B) Bayes’ Rule and Law of Total Probability P(A) = PAB.) PB.) + PLAIB.) PCB.) + PLAID} PB P{AIC) = P(AIRs, C)PURIC) + «PAIR, CPUC) P(AIC) = P(A By ©) + PLAN BIC) + P(A BalC) al Probabity with B and B® (apecal case of « parttioning nd with extra conditioning (just aC) P(A) = PAB) PUB) + PLAIB) PO) P(A) = PAN) + PANS” PAC) = PAIS, C)PUBIC) + PI Plc) = PAP BIC) + PAN B"C) caipy ~ ADB) _ POBIA)PIA} (Al) = Fon IR) PIANBIC) _ POBIA.cyP(AIC) rane) = me = eae FURST) ~ POA) PLAS) POAIB.G) _ POBIA,C) PLAC) PIASIB, G) ~ PURIAS G) PASC) Random Variables and their Distributions PMF, CDF, and Independence Probability Mase Function (PMF) (Discrete Only) gives the Pele) = PC Cumulative Distribution Function (CDF) sive the probabitty Fxlzo) = POX S20) Expected Value, Indicator Rando probability of the event Variance Expectation and Continuous RY Continuous Ran: the PDP. ee below) ala i the itera [a How do I nd the expected value of a CRV? Whore in discrete Soa Jouoe Law of the Unconscious Statistician (LotUS) Be Bx) teeP(X =2) Bix) = [7 *f(eree otUS states that you can find the expected value of a funetion of @ ‘Pondove warble gX) this mays 292) PX [sono ‘amie, if Xs the sumer of ‘you seein an hour then o(X) = 2X could be the number f bike thee you seein ass hour. Both are random vartablee What's the point? You don't ned to know the PDE/PMF of st) Universality of Uniform When you plug any random vacable into Ss own CDF, you get « Unie se Varah” When ou p's Union in a fbetion then we get a unify steer roator vaeiable Similar, since FLX) ~ U then X ~ BAG). The ey point i that Jorany continuous random earible X, we can traferm H nfo ® ‘Snorm random torible and beck by sing te ODE. Moment Generating Functions (MGFs) The dratve ofthe Nomen gnciatng funtion catated Wi mene Hh = BUX) = MYO) eo ene -8( eX) mare M(t) = Bie ager Bo) = BPN) «BY = a, My (0) = BION) = BEEN) =o Ala) Uniqueness ofthe MCP. if ev the MCP wrguly dfs Yi ehey are dtsbuted the same (het ODEs/PDFs ave equal tant Sou eve fo radon vate that ave the same MG Yteintepentens then, eV DY Mutiniving MGPe. 16% aod Mey 79) = Ble) = BEI) BLE) M(t) My) GPs of those two random variables mene Joint PDFs and CDFs Toint Distributions eviews Joint Probability of events A and: PLAN B) Bath the Joint POE apd Jint PDE mut be nonnegative nd Siimintegrate to LOS, 35, PX BY We) (Jy facta) = 1), ik Ue univasiate cause, you sum integrate Mx(t)- My(e) Moca Conditional Distributions eviews By Bayes Rule, P(A|B) = SUMAYELAY sian conditions poly to condiNional dstibutions of random viable or dccatereniom variable Pee 7a PY =¥1K =) a0) eo Independence of Puna) Para) Smile conditions opel independent two vend dlasebution function ie “geitioa, ov that th tS Multivariate Lot Review: Hla(%)) = 5 BUG) = f, ateife For dlacaterasdom va aX.) For continuous random BiviX.¥)) Covariance an ‘Covariance and ¢ Cow, ¥) = BI ov X.%) eoneeX,¥) Independent, then they vat Covariance and Invariance - Corelation, Covatlanes, and Valance vari $9 = comtX HEY Fe) ComiX $8. 4) Gore(2X,3¥) = ComiX) Continuous Transformations Why do we need the Jacobian? We need the Jacobian to teteale One Variable Transformations Lats say that we have a random ‘We cal hie function Y~ 9(X). Note that Ysa eae elf go ferential and one-tasone every | To fod Jy(p) a «function of y, lag in Fete) re(2) Fx(2) moo e| mior= moon) ‘| ays se dotw Convolutions Definition Ifyou want to nd the PDF ofa um of two independent Fairdom variable, sou te the eouvoblion of thes india ‘daeibutione evwt = [7 senna Lat X,¥ ~ id N(O,1), Tat Casa constant Integrate a teovto= fo Order Statistics Metis oust a east acs bt ‘ect haea istebution. For any vaie of Xo Xuyay XO peep? (2) and PDF f(z), the CDF and PDF of Xjy are ae Prrgy(2) = PX) se-D (rete = Pay" Jao) ey a= oN Fe) Lnlversaty af the Uniorn We can so eas he diteation FOX) ~ Yop Beta Dinrbution a Order Sateen of Union - The mate {tive Ulome h deate.bpy sa) Se ate Sana ssw Spr walt toe ae gy = Beta 1), The ditebtion ofthe the 5 onder sti HED Waltons w Batagin 540) Tae Conditional Expectation and Variance Conditional Expectation Conditioning on an Event.» Wr can fd the expected val of Y tata of Bia and B(YIX = 2) Note that conditioning in an event Expectation aod Song the sonttional expecation. Tae expected Sahota ice roll given thats pomele Jat do-+ 45294. The ‘Sie cna fine that you a ut eth cn {CSraming thatthe wating time i = Bxpots)) given that you have Srcndy wate minutes 10'morc minute bythe memesylest BE veo) worn) EePty = ax =) Conditional Vari vast) MVN, LLN, € Law of Large Nu Let ue have Xi Mas i peed nm, Ba BOO Central Limit Th Approximation us fanetn Lid. odo BI) ey and Vari) When we ut contra i Yom ehyte +x aha Asymptotic Distri We use 4 to donate re the sate reute an’ Markov Chain Definition trbich cement of the Chain ithe not of ran seit ina ‘Transition Matrix Element uy i aguare transition matt Q is the probability that Ube hain oot from stat toate J, or tore formal Peas =I =H) Reps take the (5) element of a = Pain Xs i dite according to roweector PME 5 (og bs = Pie =) then the PMP ot Nye FO" Chain Properties iEendueble chain vad have al of ie eater secures, Achaia ie ride any of estates are perdi, and aperiodie i ome of Ae'tates aro periodic. Iman lvedcible chan, al sates have the same period igrbore the Marky ehnin would be sationeey with rrpoct to cae Reversitility Condition Implies Stationarity - If you have a PMP Pina Marlov chain wish transition mates thon toy oyu fn Stationary Distribution Let us aay that the vector = (ps.Pa, Pat) S¢ a pombe and val PPM of whee the Rfarow Chale iat ta cota te We wil eal this ctor the stationary ett Phen Unigie, ant»; the longron probability of chan being at atte ‘smberofstepe to ream back to starting fom is ive forthe ratlonsry istibation, you ean solve for T)GA} =o. The weationary dtibtion i wxform if the colamne Sg num ob Random Walk on Undirected Network you have a certain amber of nods wih edges between hem, and a ‘chun can pick any edge randomly and move to anther node, then tht 2'Datdomm walk on an undirected network The stationary Normal Let ue aay that X la datibuted A/G, 02). We kom the following intribation, we change to another normal dneibation. Uf we add ¢ torn normaly distrosted reodom variable, thn fe mean inconeee. tahny hy - i we rip t normaly dieribated reo warble very niall distributed random variate 3 = Ng e*), we ean frtorm it the standard 0,1) by the flowing tanstornction =x) fertral mit theorem, the sampling average fom a population i also on) CDF = 10 too fies to write thie one out, 40 we enprote ita the fisetion #2) Exponential yution et teeny that X fa datibuted Kxpo(A). We now the flowing Story You've slitting on an open meadow right befor the brea of ‘Your wasting time ie metmoryesenesn, which meane Vat the time util the ext shooting star comes dove not depend oe how long you've ‘ited ales Example The wating tiene until the next shooting war ls deed Bipot rhe ae 5 the ate putamen how may | ¥ = Bapotd) 9X AY ~ Bxpost) Mamorylatsness The Exponential Distribution i the sole ‘ostimuoue tetoryles dacibuton: ‘This meane that f alwaye “ae Gamma Distribu Let urea that X i Beta Distributio Conjugate Prior oft posterior dation Beciietbated: Tee Relationship with Gs Reasoning OY Represen x? Distribution et we tay that Xie di Example The sun of Bod)

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