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Distributions

Unifrom Distribution

notation U [a, b]

cdf

x a

b a

for x [a, b]

pdf

1

b a

for x [a, b]

expectation

1

2

(a +b)

variance

1

12

(b a)

2

mgf

e

tb

e

ta

t (b a)

story: all intervals of the same length on the

distributions support are equally probable.

Gamma Distribution

notation Gamma (k, )

pdf

k

x

k1

e

x

(k)

Ix>0

(k) =

_

0

x

k1

e

x

dx

expectation k

variance k

2

mgf (1 t)

k

for t <

1

ind. sum

n

i=1

Xi Gamma

_

n

i=1

ki,

_

story: the sum of k independent

exponentially distributed random variables,

each of which has a mean of (which is

equivalent to a rate parameter of

1

).

Geometric Distribution

notation G(p)

cdf 1 (1 p)

k

for k N

pmf (1 p)

k1

p for k N

expectation

1

p

variance

1 p

p

2

mgf

pe

t

1 (1 p) e

t

story: the number X of Bernoulli trials

needed to get one success. Memoryless.

Poisson Distribution

notation Poisson()

cdf e

i=0

i

i!

pmf

k

k!

e

for k N

expectation

variance

mgf exp

_

_

e

t

1

__

ind. sum

n

i=1

Xi Poisson

_

n

i=1

i

_

story: the probability of a number of events

occurring in a xed period of time if these

events occur with a known average rate and

independently of the time since the last event.

Normal Distribution

notation N

_

,

2

_

pdf

1

2

2

e

(x)

2

/(2

2

)

expectation

variance

2

mgf exp

_

t +

1

2

2

t

2

_

ind. sum

n

i=1

Xi N

_

n

i=1

i,

n

i=1

2

i

_

story: describes data that cluster around the

mean.

Standard Normal Distribution

notation N (0, 1)

cdf (x) =

1

2

_

x

e

t

2

/2

dt

pdf

1

2

e

x

2

/2

expectation

1

variance

1

2

mgf exp

_

t

2

2

_

story: normal distribution with = 0 and

= 1.

Exponential Distribution

notation exp ()

cdf 1 e

x

for x 0

pdf e

x

for x 0

expectation

1

variance

1

2

mgf

t

ind. sum

k

i=1

Xi Gamma (k, )

minimum exp

_

k

i=1

i

_

story: the amount of time until some specic

event occurs, starting from now, being

memoryless.

Binomial Distribution

notation Bin(n, p)

cdf

k

i=0

_

n

i

_

p

i

(1 p)

ni

pmf

_

n

i

_

p

i

(1 p)

ni

expectation np

variance np (1 p)

mgf

_

1 p +pe

t

_

n

story: the discrete probability distribution of

the number of successes in a sequence of n

independent yes/no experiments, each of

which yields success with probability p.

Basics

Comulative Distribution Function

F

X

(x) = P(X x)

Probability Density Function

F

X

(x) =

_

f

X

(t) dt

_

f

X

(t) dt = 1

f

X

(x) =

d

dx

F

X

(x)

Quantile Function

The function X

p [0, 1], F

X

_

X

(p)

_

p F

X

(X

(p))

F

X

= F

X

E(X

) = E(X)

Expectation

E(X) =

_

1

0

X

(p)dp

E(X) =

_

0

F

X

(t) dt +

_

0

(1 F

X

(t)) dt

E(X) =

_

xf

X

xdx

E(g (X)) =

_

g (x) f

X

xdx

E(aX +b) = aE(X) +b

Variance

Var (X) = E

_

X

2

_

(E(X))

2

Var (X) = E

_

(X E(X))

2

_

Var (aX +b) = a

2

Var (X)

Standard Deviation

(X) =

_

Var (X)

Covariance

Cov (X, Y ) = E(XY ) E(X) E(Y )

Cov (X, Y ) = E((X E(x)) (Y E(Y )))

Var (X +Y ) = Var (X) + Var (Y ) + 2Cov (X, Y )

Correlation Coecient

X,Y

=

Cov (X, Y )

X

,

Y

Moment Generating Function

M

X

(t) = E

_

e

tX

_

E(X

n

) = M

(n)

X

(0)

M

aX+b

(t) = e

tb

M

aX

(t)

Joint Distribution

P

X,Y

(B) = P((X, Y ) B)

F

X,Y

(x, y) = P(X x, Y y)

Joint Density

P

X,Y

(B) =

__

B

f

X,Y

(s, t) dsdt

F

X,Y

(x, y) =

_

x

_

y

f

X,Y

(s, t) dtds

_

f

X,Y

(s, t) dsdt = 1

Marginal Distributions

P

X

(B) = P

X,Y

(B R)

P

Y

(B) = P

X,Y

(R Y )

F

X

(a) =

_

a

f

X,Y

(s, t) dtds

F

Y

(b) =

_

b

f

X,Y

(s, t) dsdt

Marginal Densities

f

X

(s) =

_

f

X,Y

(s, t)dt

f

Y

(t) =

_

f

X,Y

(s, t)ds

Joint Expectation

E((X, Y )) =

__

R

2

(x, y) f

X,Y

(x, y) dxdy

Independent r.v.

P(X x, Y y) = P(X x) P(Y y)

F

X,Y

(x, y) = F

X

(x) F

Y

(y)

f

X,Y

(s, t) = f

X

(s) f

Y

(t)

E(XY ) = E(X) E(Y )

Var (X +Y ) = Var (X) + Var (Y )

Independent events:

P(A B) = P(A) P(B)

Conditional Probability

P(A | B) =

P(A B)

P(B)

bayes P(A | B) =

P(B | A) P(A)

P(B)

Conditional Density

f

X|Y =y

(x) =

f

X,Y

(x, y)

f

Y

(y)

f

X|Y =n

(x) =

f

X

(x) P(Y = n | X = x)

P(Y = n)

F

X|Y =y

=

_

x

f

X|Y =y

(t) dt

Conditional Expectation

E(X | Y = y) =

_

xf

X|Y =y

(x) dx

E(E(X | Y )) = E(X)

P(Y = n) = E(I

Y =n

) = E(E(I

Y =n

| X))

Sequences and Limits

limsup An = {An i.o.} =

_

m=1

_

n=m

An

liminf An = {An eventually} =

_

m=1

_

n=m

An

liminf An limsup An

(limsup An)

c

= liminf A

c

n

(liminf An)

c

= limsup A

c

n

P(limsup An) = lim

n

P

_

_

n=m

An

_

P(liminf An) = lim

n

P

_

_

n=m

An

_

Borel-Cantelli Lemma

n=1

P(An) < P(limsup An) = 0

And if An are independent:

n=1

P(An) = P(limsup An) = 1

Convergence

Convergence in Probability

notation Xn

p

X

meaning lim

n

P(|Xn X| > ) = 0

Convergence in Distribution

notation Xn

D

X

meaning lim

n

Fn (x) = F (x)

Almost Sure Convergence

notation Xn

a.s.

X

meaning P

_

lim

n

Xn = X

_

= 1

Criteria for a.s. Convergence

Nn > N : P(|Xn X| < ) > 1

P(limsup (|Xn X| > )) = 0

n=1

P(|Xn X| > ) < (by B.C.)

Convergence in L

p

notation Xn

Lp

X

meaning lim

n

E(|Xn X|

p

) = 0

Relationships

Lq

q>p1

Lp

a.s.

p

D

If Xn

D

c then Xn

p

c

If Xn

p

X then there exists a subsequence

n

k

s.t. Xn

k

a.s.

X

Laws of Large Numbers

If Xi are i.i.d. r.v.,

weak law Xn

p

E(X1)

strong law Xn

a.s.

E(X1)

Central Limit Theorem

Sn n

n

D

N (0, 1)

If tn t, then

P

_

Sn n

n

tn

_

(t)

Inequalities

Markovs inequality

P(|X| t)

E(|X|)

t

Chebyshevs inequality

P(|X E(X)| )

Var (X)

2

Chernos inequality

Let X Bin(n, p); then:

P(X E(X) > t (X)) < e

t

2

/2

Simpler result; for every X:

P(X a) M

X

(t) e

ta

Jensens inequality

for a convex function, (E(X)) E((X))

Miscellaneous

E(Y ) <

n=0

P(Y > n) < (Y 0)

E(X) =

n=0

P(X > n) (X N)

X U (0, 1) ln X exp (1)

Convolution

For ind. X, Y , Z = X +Y :

f

Z

(z) =

_

f

X

(s) f

Y

(z s) ds

Kolmogorovs 0-1 Law

If A is in the tail -algebra F

t

, then P(A) = 0

or P(A) = 1

Ugly Stu

cdf of Gamma distribution:

_

t

0

k

x

k1

e

k

(k 1)!

dx

This cheatsheet was made by Peleg Michaeli in

January 2010, using L

A

T

E

X.

version: 1.01

comments: peleg.michaeli@math.tau.ac.il

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