Variance: Var(X) = E[(X )2 ] = E[X 2 2X + 2 ] = E[X 2 ] 2 E[X] + 2 = E[X 2 ] 22 + 2 = E[X 2 ] 2 = E[X 2 ] (E[X])2 . for cont.

cont., Var(X) = (x )2 f (x) dx , where = x f (x) dx Covariance: [ ] Cov(X, Y ) = E [(X E[X])(Y E[Y ]) , ] Cov(X, Y ) = E XY E[X]] E[Y ] [ = E [(X E[X])(Y E[Y ]) ] = E XY E[X] E[Y ] where M is the transpose of M . Also Cov(X, a) = 0 Cov(X, X) = Var(X) Cov(X, Y ) = Cov(Y, X) Cov(aX, bY ) = ab Cov(X, Y ) Cov(X + a, Y + b) = Cov(X, Y ) Cov(aX + bY, cW + dV ) = ac Cov(X, W ) + ad Cov(X, V ) + bc Cov(Y, W ) + bd Cov(Y, V ) (n ) and = i=1 ai Xi n Var 2 Var(X ) + 2 i i=1 ai i,j : i<j ai aj Cov(Xi , Xj ). Independent vars have a covariance of zero, because for them E(X Y ) = E(X) E(Y ). Correlation: X,Y = corr(X, Y ) =
E[(XX )(Y Y )] X Y cov(X,Y ) X Y

1 i xi1 = 1 + 2x + 3x2 + 4x3 + = (1x)2 if |x| < 1 (this is the derivative of (*). Difing a power series gives deriv. of its sum within rad. of convergence.) xi x2 x i=0 i! = 1 + x + 2 + = e i=1

Binomial Prob. of number of successes in a Bernoulli sequence of n trials. Multinomial Extension of binomial; x n! px1 px2 pkk 2 x !x !x !x ! 1
1 2 3 k

Weibull A family of distributions based on x, , and , often describing time to failure T (location shift assumed zero here). Reliabilty at time t is P (T > t) = t fT (x)dx = 1 FT (t). Failure rate is change in prob. that subject will last an additional time t after t, given by Z(t) = t1 . If = 1, Z(t) = (memoryless). If > 1, Z(t) increases over time (wear). If < 1, Z(t) decreases over time (infant mortality). Normal distribution: properties If X1 , X2 , ..., Xn iid. N (0, 1) then X1 + X2 + 2 + Xn N (0, If X1 N (1 , 1 ), ..., Xn n). 2 2 N (n , n ) then n Xi N (1 + + n , 1 + i 2 + n ). If X1 , X2 , ..., Xn iid. N (, 2 ) then n 2 Xi N (n, n 2 ) and X = N (, ).
i n n

Geometric Prob. that the kth trial is the rst success in a Bernoulli process. Neg. Binomial Prob. that it takes x Bernoulli trials to get the rth success. Hypergeometric Drawing animals out of a hat without placing them back; order does not matter. Prob. of drawing( a certain combination of ) animals )(
#ofrabbits #ofothers

( ) is #ofrabbitsdrawn #ofothersdrawn , where #ofanimalsinhat total#drawn (n) n! = k!(nk)! . k

Continuity correction When approximating discrete binomial or Poisson distributions using a continuous normal distribution, the following correction improves the approximation: P (a X b) P (a 1 2 Y b + 1 ) where Y is the normally distributed 2 variable. Change of variable, single variable If X is a cont. rnd. variable, and Y = h(X) where h is monotone, then fY (y) = fX (h1 (y))
d 1 h (y) dy

Poisson Prob. of a number of events occuring independently in a period of time at known avg. rate = expected number of events in period. Exponential Prob. of waiting time x between independent, continuous events occuring at avg. rate . Gamma Used to model insurance claims and rainfall. Mother of all exponential distributions. Chi-Square If Z1 , ..., Zk are indep., std. normal rnd. variables, the sum of their squares k 2 2 is distributed as Q = i=1 Zi (k). Its a special case of where = k/2 and 1 = 2. Normal Bell curve around a single mean . Called standard normal if = 0 and 2 = 1; this can be achieved by scaling X as follows: Z(X) = X . Thus, if P (X k) = p, then k = + zp where zp is the value from the table that has p below it (pth percentile). Tables are for standard normal. 68% of all observations; 2 95%; 3 99.7%. P (X < x) 1 (1 p)k
( k+1 ,) k ! ex xa ba
(x)2 2 2

Markovs and Chebyshevs rules E(|X|) Markov: P (|X| a) (ex: no more than a 1 of the population can have more than 5 times 5 the average income) 1 Chebyshev: P (|X | k) k2 (no more 1 than k2 of the values can be more than k away from the mean) Sums/Series: n n(n+1) i=1 i = 2 n 1xn+1 i i=0 x = 1x (ifx = 1, S = n + 1) n x(1xn ) i i=1 x = 1x n 2 = n(n+1)(2n+1) i=1 i 6 ( n(n+1) )2 n 3 i=1 i = 2 () xi = 1 + x + x2 + = i=0i x i=1 x = 1x Taylor series: f (x) = f (a) + f (a)(x a) + 1 f (a)(x a)3 + 3! Maclaurin series: a = 0.
1 1x

Change of variables, joint distributions For a joint probability fX,Y on DXY and mapping T (x, y) = (u(x, y), v(x, y)), rst write U, V in terms of X, Y and vice versa. U and V are jointly cont. rnd. variables with probability fU,V = fX,Y (x(u, v), y(u, v)) |J(u, v)| if u, v) DU,V , where J(u, v) = (
x y u v

x y v u

Moments E(X k ) is called kth moment. tx tx x e px (x) = e fx (x)dx is ment generating function. If mx (t) mx (0) = 1; mx (0) = E(X); mx (0) = MGFs are unique to a distribution.

mx (t) = called moexists at t, E(X 2 ) etc.

If Y = a + bX, then mY (t) = E(etY ) = E(eat+btX ) = eat E(ebtX ) = eat mX (bt). If X, Y indep. and Z = X + Y , then mZ (t) = E(etZ ) = E(etX+tY ) = E(etX )E(etY ) = mX (t)mY (t) (etc. for more vars) cX (t) = E(eisX ) = E(cos(sX) + i sin(sX)) is called characteristic function. Similar to MGF, cX (0) = iE(x); cX (0) = i2 E(X 2 ) etc. For X, Y (indep.): cX+Y (s) = cX (s)cY (s). Chrct. (t) (1 p + peit )n
p 1(1p) eit

1 f 2

(a)(x a)2 +

Distribution Binomial(n, p) Geometric(n, p, k) Neg. binomial(r, p) Poisson() Exp() Uniform(a, b) Normal(, 2 ) Chi-squared(k) (k, ) Weibull(r, p)

P (X = x) (n) k nk p q k (1 p)k1 p (x1) r p (1 p)xr r1

k e , k! ex 1 ba 1 e 2 2 1 k/21 ex/2 k/2 (k/2) x 2 exp (x/) xk1 (k) k x1 ex

np
1 p r p

Var npq
1p p2 r(1p) p2

MGF Mx (t) (1 p + pet )n

p 1(1p)et

1 a+b 2

2 (ba)2 12

e(e 1) (1 t1 )1
etb eta t(ba)
1 2 2

e(e 1) (1 it1 )1
eitb eita it(ba)
1 2 2

it

see tables
1 (k/2) (k,x/) (k) 1 e(x )

k k (std.)

2 2k k2

et+ 2 (1

eit 2 (1

2t)k/2

2it)k/2

(1 t)k

(1 it)k