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    Math Cheat Sheet

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    Quito Nitura
    This document summarizes several common probability distributions including the binomial, Poisson, exponential, normal, and gamma distributions. It provides the probability mass or density functions, expected values, variances, moment generating functions, and conditions for when each distribution is appropriate to model a random variable. It also covers concepts like combining independent random variables, conditional densities, and the central limit theorem.

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    Math Cheat Sheet

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    Quito Nitura
    129 views2 pages
    This document summarizes several common probability distributions including the binomial, Poisson, exponential, normal, and gamma distributions. It provides the probability mass or density functions, expected values, variances, moment generating functions, and conditions for when each distribution is appropriate to model a random variable. It also covers concepts like combining independent random variables, conditional densities, and the central limit theorem.

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    This document summarizes several common probability distributions including the binomial, Poisson, exponential, normal, and gamma distributions. It provides the probability mass or density functions, expected values, variances, moment generating functions, and conditions for when each distribution is appropriate to model a random variable. It also covers concepts like combining independent random variables, conditional densities, and the central limit theorem.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as DOC, PDF, TXT or read online from Scribd
    Download as doc, pdf, or txt
    129 views2 pages

    Math Cheat Sheet

    Uploaded by

    Quito Nitura
    This document summarizes several common probability distributions including the binomial, Poisson, exponential, normal, and gamma distributions. It provides the probability mass or density functions, expected values, variances, moment generating functions, and conditions for when each distribution is appropriate to model a random variable. It also covers concepts like combining independent random variables, conditional densities, and the central limit theorem.

    Copyright:

    Attribution Non-Commercial (BY-NC)
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    of 2

    3.

    8 Combining Random Variables


    pdf: PX(x) = nCxpx(1-p)n-x Abbreviation: X~bin(n,p)
    Suppose that X and Y are independent random variables.  = E(X) = np Var(X) = np(1-p)
    Let W=X+Y. Then, MX(t) = (1-p+pet)n

    PW(w) = all X PX(x)PY(w-x) ,if discrete When to use: considering number of successes in n trials

    fW(w) = -fX(x)fY(w-x)dx ,if continuous Poisson Distribution

    Let W=Y/X. Then, pdf: PX(k) = P(X = k) = e-k / k! Abbreviation: X ~ poi()


     = E(X) = Var(X) =  MX(t) = e-+e^t
    fW(w) = |x|fX(x)fY(wx)dx
    When to use: considering number of outcomes in a given
    Let W=XY interval.

    fW(w) = 1/|x| * fX(w/x)fY(x)dx Note: nCkpk(1-p)n-k  e-np(np)k / k!

    Note: the limits of integration and summation are defined Exponential Distribution
    by the domain/range of x and y.
    fY(y) = e-y , y > 0 Abbreviation: Y  exp()
    3.11 Conditional Densities  = 1/ Var(Y) = 1/2
    MY(t) = /-t ,t-<0
    PY|x(y) = P(Y=y | X=x) = PX,Y(x,y) / PX(x)
    When to use: considering time in between 2 consecutive
    PY|x(y) and PX|y(x) both represent valid pdfs events

    If X and Y are independent, note that Normal Distribution


    PY|x(y) = PX(x)
    PX|y(x) = PY(y) Standard Normal Distribution:

    cdf: P(Z  t) = (t) = (1/2) * -t e-u^2/2
    3.12 Moment-Generating Functions 
    pdf: fz(z) = 1/2 e-z2/2

    The moment-generating function for X is denoted by MZ(t) = et^2 / 2

    symmetric about the y-axis

    MX(t) = E(etx) (t) is the area under f from - to t

    () = 1 and (0) = ½
    The rth moment of W about the origin, r 
    (-t) = 1 - (t)
    r = E(Wr) 
    P(aZb) = (b) - (a)

    E(Z) = 0 and 2 = 1
    MW(r)(0) = E(Wr)
    Normal Distribution
    E(Xr) is the coefficient of tr/r! in the Maclaurin series 1
    −1 x−μ 2
    ( )
    expansion of MX(t)  fX (x)= e2 σ

    2μσ
     Uniqueness Theorem – If the mgf of a variable is equal  X  N(,2)
    to the mgf of a known random variable for a given  Standardization: If XN(,2), then Z = X- / 
    interval, then the random variables have equal pdfs.  De Moivre-Laplace Theorem: Let X be a binomial random
    € variable defined on n independent trials for which
     Let W be a random variable with mgf MW(t). Let V = p=P(success). For any numbers a and b,
    aW+b. Then X −np 1 b − 2 /2
    P(a ≤
    lim ≤b)= ∫a e t
    MV(t) = ebtMW(at) n →∞ np(1−p) 2π

    Let W1, W2,...,Wn be independent random variables
    with mgf’s Mw1(t), Mw2(t),...,Mwn(t) respectively. Let
    W=W1+W2+...+Wn. Then, use only when
    € 9p 9(1 − p)
    Mw(t) = i=1n MWi(t)
    n> or n>
    1− p p
    Special Distributions
     Correction for Continuity
    Binomial Random Variable € €
    Let X be a discrete random variable with pdf p(x). To λr
    approximate the probability that X is within a given fY (y)= yr−1e−λy ,y > 0
    interval, we need to make the ff. corrections for (r−1)!
    continuity:
    j+1/2 1 λ
    P(i≤X ≤ j)≈ ∫i−1/2 f(x)dx M Y (t)= ( )r = ( )r
    t λ −t
    k+1/2 € 1−
    P(X = k)≈ ∫k−1/2 f(x)dx λ
    r
    ∞
    P(X ≥i)≈ ∫i−1/2 f(x)dx E(Y)=
    € λ
    P(X ≤ j)≈ ∫∞
    j+1/2
    f(x)dx r
    € Var(Y)=
    Central Limit Theorem λ2

    Let X1,X2,... be a sequence of iid random variables, each Abbreviation: Y  gamma(r,)
    with expectation  and variance 2. Then
    €
    X1 + X2 +...
    + Xn −nμ €  The sum of r iid exp() is gamma(r,)
    Zn =  The sum of independent gamma(r,) and gamma(s,)
    σ n
    is gamma(r+s,)
    converges to the distribution of a standard normal
     When to use: considering a set of exponential random
    random variable.
    variables; looking for the probability of the rth
    € occurrence.
    Remark: Dividing the numerator and denominator by
    n, we can deduce from the CLT that
    X −μ
    Zn =
    σ/ n
    converges to the distribution of a standard normal
    distribution.
    σ 2t2
    € μt+
     M Y (t)= e 2

     Let Y1N(1,12) and Y2N(2,22). Y=Y1+Y2. If Y1 and Y2


    are independent, YN(1+2,12+22).
    n
    1 σ2
    €  Y= ∑i Y ~ N (
    μ , )
    n i=1 n

    n n
    Y = a1Y1 + a2Y2 +...
    + anYn ~ N (∑aiμi,∑a2iσ 2i )
    €
    i=1 i=1
    ex. X~N(1,2) and Y~N(2,4)

    2X+3Y ~ N( 2(1) + 3(2), 22(2) + 32(4) )

    Gamma Distribution

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