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Name

Statement
Alternate Statement
x
CDF
Fx (x) = P (x x) = px (s)ds
P
P
Total Probability
P (A) = P (A Bi ), (Bi = S )
P (A) = P (A|Bi )P (Bi )
(x)
Conditional Probability P (A|B) = P (A B)/P (B), (P (B) <> 0) px|xA (x) = pPx(A)
for x A
Bayes' Theorem
P (A|B)P (B)
=
P
(B|A)P
(A)
p
(x)p
(y)
=
p
x|y=y
y|x=x (y)px (x)

y
Expectation
E{g(x)} = g(x)px (x)dx
E(x|A) = A xpx|A (x)dx
variance
E((x x )2 )
nth moment: E(xn )
Covariance
cov(x, y) = E((x x )(y y ))
Correlation: E(xy)
Correlation coe
(x, y) = cov(x,y)
MGF: x (s) = E(esx )
x y
Distribution
pmf/pdf
parameter(s)
n
1p if x=0
Bernoulli(p)
px (x) = p if x=1
0<p<1
n
nx x
Binomial(n,p)
px (x) = Cx (1 p)
p f or x = 0, 1, 2, ..., n 0 < p < 1, n a positive integer
Geometric(p)
px (x) = (1 p)x1 pfor x = 1, 2, 3, ...
0<p<1
x1
xk k
Pascal(k,p)
px (x) = Ck1 (1 p)
p for x = k, k + 1, ... 0 < p < 1, k a positive integer
1
Discrete Uniform(k,l)
px (x) = kl+1
k, l integers, k < l
for x = k, k + 1, ..., l
1
Uniform(a,b)
px (x) = ba
a, b a < b
for x [a, b]
Exponential()
px (x) = ex for x > 0
, > 0
(x)2

1
Gaussian
px (x) = 2
,
e 22
2
x
e
Poisson()
px (x) = x! for x = 0, 1, 2, ...
>0
Here's another table giving their vital statistics.
Distribution
mean variance
MGF
Bernoulli(p)
p
p(1 p)
1 p + pes
Binomial(n,p)
np
np(1 p) (1 p + pes )n
pes
1
1
Geometric(p)
p
p2
1(1p)es
k(1p)
pes
k
k
Pascal(k,p)
( 1(1p)e
s)
p
p2
(lk+1)2
esk es(l+1)
Discrete Uniform(k,l) k+l
2
12
(lk+1)(1es )
(ba)2
a+b
ebs eas
Uniform(a,b)
2
12
s(ba)
1
1

Exponential()

2
s
2 2
Gaussian

2
es+s /2
s
Poisson

e(e 1)

= E(( x )( y
Vector-valued random variables (or random vectors): C
xy

)') (covariance matrix) where and are the mean vectors of the two random

.
vectors. C
x = C
xx


1 (

x
)
1

e( x ) C
(The |C
Multivariate Gaussian:p
x | is
x ( x ) = (2)n |C

|
x
the determinant of the covariant matrix.)

If we use a linear transformation on a vector of random variables


x,
y =

A x ,then C
=
AC
A
.
y
x
or P (|x x | k) k12
The Chebyshev inequality: P (|x x | c) var(x)
c2

Applied to the Sample Mean: P (|sn | k n ) k12 .


The Law of Large Numbers: if x has nite variance, then for any constant
c > 0, lim P (|n x | c) = 0 where n is the sample mean of n samples.
n

The Central Limit Theorem: Let Wn = ni=1 xi where xi are iid, with E(x) =
, and var(x) = x2 . Then the CDF of FWn approaches a Gaussian distribution
2
with meannx and
Pn variance nx . Another version, with the same hypotheses, has:
1
Let un = n( n i=1 xi x )/ . Then the pdf of un approaches the pdf of a N(0,1)
Gaussian variable.
Here's a table for the right half of the CDF of the N(0,1) random variable:
P

(z)

(z)

(z)

(z)

0.00000

0.50000

1.00000

0.84134

2.00000

0.97725

3.00000

0.99865

0.10000

0.53983

1.10000

0.86433

2.10000

0.98214

3.10000

0.99903

0.20000

0.57926

1.20000

0.88493

2.20000

0.98610

3.20000

0.99931

0.30000

0.61791

1.30000

0.90320

2.30000

0.98928

3.30000

0.99952

0.40000

0.65542

1.40000

0.91924

2.40000

0.99180

3.40000

0.99966

0.50000

0.69146

1.50000

0.93319

2.50000

0.99379

3.50000

0.99977

0.60000

0.72575

1.60000

0.94520

2.60000

0.99534

3.60000

0.99984

0.70000

0.75804

1.70000

0.95543

2.70000

0.99653

3.70000

0.99989

0.80000

0.78814

1.80000

0.96407

2.80000

0.99744

3.80000

0.99993

0.90000

0.81594

1.90000

0.97128

2.90000

0.99813

3.90000

0.99995

(If you need a value for a z between two of the values above, simply interpolate
or use the nearest value.)
Estimators (in all cases, observable is y, estimated value is x): x
M L (y) =
arg maxx py|x=x (y) (for random variables: for a parameter , M L = argmax py (y, )).
x
M AP (y) = arg maxx px|y=y (x) (or, you can use argmaxx pxy (x, y). x
M M SE (y) =
E(x|y = y). x
LM M SE (y) = ay + b where a = yx , and b = x y a. For
the LMMSE, the mean-square error is E((M L = argmax py (y, )). x
M AP (y) =
arg maxx px|y=y (x) (or, you can use argmaxx pxy (x, y). x
M M SE (y) = E(x|y = y).
x
LM M SE (y) = ay + b where a = yx , and b = x y a. For the LMMSE, the
mean-square error is E((
xLM M SE x)2 ) = x2 (1 ).
Stochastic Process formulas: Autocorrelation: Rx (t, ) = E(x(t)x(t+ ). Crosscorrelation: Rxy (t, ) = E(x(t)y(t + )). Autocovariance: Cx (t, ) = E((x(t)
x (t))(x(t + ) x (t + ))). Cross-covariance: Cxy (t, ) = E((x(t) x (t))(y(t +
) y (t + ))).

For WSS processes: E(x(t)) = x and Rx (t, ) = Rx ( ) (and so Cx (t, ) =

Cx ( ).)

All formulas that follow assume WSS:

Rx (0) 0, Rx ( ) = Rx ( ), |Rx ( )| Rx (0) for all .


Cx ( ) = Rx ( ) 2x .
Rx (0) is the average power of the process.
T
x(t)dt = x . (limit is with probability 1).
Ergodicity: limT 2T1 T

A WSS process has |Cx ( )|d < if and only if it is ergodic.
The Power Spectral Density Sx (f ) of a process is the Fourier Transform of
Rx ( ).
Filter theory: If a LTI lter has impulse response h(t) (with Fourier transform
H(f )) then we have for the output y(t) of the lter given an input x(t)which is a
WSS process, that y(t) is WSS and:
Ry ( ) = h( ) Rx ( ) h( ).
Sy (f ) = |H(f )|2 Sx (f )