Probability and statistics EBook

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This is a General Statistics Curriculum E-Book, including Advanced-Placement (AP)

materials.

EBook
Contents
[hide]

• 1 Preface
o 1.1 Format
o 1.2 Learning and Instructional Usage
• 2 Chapter I: Introduction to Statistics
o 2.1 The Nature of Data and Variation
o 2.2 Uses and Abuses of Statistics
o 2.3 Design of Experiments
o 2.4 Statistics with Tools (Calculators and Computers)
• 3 Chapter II: Describing, Exploring, and Comparing Data
o 3.1 Types of Data
o 3.2 Summarizing Data with Frequency Tables
o 3.3 Pictures of Data
o 3.4 Measures of Central Tendency
o 3.5 Measures of Variation
o 3.6 Measures of Shape
o 3.7 Statistics
o 3.8 Graphs and Exploratory Data Analysis
• 4 Chapter III: Probability
o 4.1 Fundamentals
o 4.2 Rules for Computing Probabilities
o 4.3 Probabilities Through Simulations
o 4.4 Counting
• 5 Chapter IV: Probability Distributions
o 5.1 Random Variables
o 5.2 Expectation (Mean) and Variance
o 5.3 Bernoulli and Binomial Experiments
o 5.4 Multinomial Experiments
o 5.5 Geometric, Hypergeometric and Negative Binomial
o 5.6 Poisson Distribution
• 6 Chapter V: Normal Probability Distribution
o 6.1 The Standard Normal Distribution
o 6.2 Nonstandard Normal Distribution: Finding Probabilities
o 6.3 Nonstandard Normal Distribution: Finding Scores (Critical Values)
• 7 Chapter VI: Relations Between Distributions
o 7.1 The Central Limit Theorem
o 7.2 Law of Large Numbers
o 7.3 Normal Distribution as Approximation to Binomial Distribution
o 7.4 Poisson Approximation to Binomial Distribution
o 7.5 Binomial Approximation to Hypergeometric
o 7.6 Normal Approximation to Poisson
• 8 Chapter VII: Point and Interval Estimates
o 8.1 Method of Moments and Maximum Likelihood Estimation
o 8.2 Estimating a Population Mean: Large Samples
o 8.3 Estimating a Population Mean: Small Samples
o 8.4 Student's T distribution
o 8.5 Estimating a Population Proportion
o 8.6 Estimating a Population Variance
• 9 Chapter VIII: Hypothesis Testing
o 9.1 Fundamentals of Hypothesis Testing
o 9.2 Testing a Claim about a Mean: Large Samples
o 9.3 Testing a Claim about a Mean: Small Samples
o 9.4 Testing a Claim about a Proportion
o 9.5 Testing a Claim about a Standard Deviation or Variance
• 10 Chapter IX: Inferences From Two Samples
o 10.1 Inferences About Two Means: Dependent Samples
o 10.2 Inferences About Two Means: Independent Samples
o 10.3 Comparing Two Variances
o 10.4 Inferences about Two Proportions
• 11 Chapter X: Correlation and Regression
o 11.1 Correlation
o 11.2 Regression
o 11.3 Variation and Prediction Intervals
 o 11.4 Multiple Regression
• 12 Chapter XI: Analysis of Variance (ANOVA)
o 12.1 One-Way ANOVA
o 12.2 Two-Way ANOVA
• 13 Chapter XII: Non-Parametric Inference
o 13.1 Differences of Medians (Centers) of Two Paired Samples
o 13.2 Differences of Medians (Centers) of Two Independent Samples
o 13.3 Differences of Proportions of Two Samples
o 13.4 Differences of Means of Several Independent Samples
o 13.5 Differences of Variances of Independent Samples (Variance
Homogeneity)
• 14 Chapter XIII: Multinomial Experiments and Contingency Tables
o 14.1 Multinomial Experiments: Goodness-of-Fit
o 14.2 Contingency Tables: Independence and Homogeneity
• 15 Chapter XIV:Bayesian Statistics
o 15.1 Preliminaries
o 15.2 Bayesian Inference for the Normal Distribution
o 15.3 Some Other Common Distributions
o 15.4 Hypothesis Testing
o 15.5 Two Sample Problems
o 15.6 Hierarchical Models
o 15.7 The Gibbs Sampler and Other Numerical Methods

• 16 Additional EBook Chapters (under Development)

Preface
This is an Internet-based probability and statistics E-Book. This EBook, and the
materials, tools and demonstrations presented within it, may be very useful for advanced-
placement (AP) statistics educational curriculum. The E-Book is initially developed by
the UCLA Statistics Online Computational Resource (SOCR), however, all statistics
instructors, researchers and educators are encouraged to contribute to this effort and
improve the content of these learning materials.

There are 4 novel features of this specific Statistics EBook – it is community-built,

completely open-access (in terms of use and contributions), blends concepts with
technology and is multi-lingual.

Format

Follow the instructions in this page to expand, revise or improve the materials in this E-
Book.

Learning and Instructional Usage

This section describes the means of traversing, searching, discovering and utilizing the
SOCR Statistics EBook resources in formal curricula or informal learning setting.

Chapter I: Introduction to Statistics

The Nature of Data and Variation

Although natural phenomena in real life are unpredictable, the designs of experiments are
bound to generate data that varies because of intrinsic (internal to the system) or extrinsic
(due to the ambient environment) effects. How many natural processes or phenomena in
real life can we describe that have an exact mathematical closed-form description and are
completely deterministic? How do we model the rest of the processes that are
unpredictable and have random characteristics?

Uses and Abuses of Statistics

Statistics is the science of variation, randomness and chance. As such, statistics is

different from other sciences, where the processes being studied obey exact deterministic
mathematical laws. Statistics provides quantitative inference represented as long-time
probability values, confidence or prediction intervals, odds, chances, etc., which may
ultimately be subjected to varying interpretations. The phrase Uses and Abuses of
Statistics refers to the notion that in some cases statistical results may be used as evidence
to seemingly opposite theses. However, most of the time, common principles of logic
allow us to disambiguate the obtained statistical inference.

Design of Experiments

Design of experiments is the blueprint for planning a study or experiment, performing the
data collection protocol and controlling the study parameters for accuracy and
consistency. Data, or information, is typically collected in regard to a specific process or
phenomenon being studied to investigate the effects of some controlled variables
(independent variables or predictors) on other observed measurements (responses or
dependent variables). Both types of variables are associated with specific observational
units (living beings, components, objects, materials, etc.)

Statistics with Tools (Calculators and Computers)

All methods for data analysis, understanding or visualizing are based on models that
often have compact analytical representations (e.g., formulas, symbolic equations, etc.)
Models are used to study processes theoretically. Empirical validations of the utility of
models are achieved by inputting data and executing tests of the models. This validation
step may be done manually, by computing the model prediction or model inference from
recorded measurements. This process may be possible by hand, but only for small
numbers of observations (<10). In practice, we write (or use existent) algorithms and
computer programs that automate these calculations for better efficiency, accuracy and
consistency in applying models to larger datasets.

Chapter II: Describing, Exploring, and Comparing

Data
Types of Data

There are two important concepts in any data analysis - Population and Sample. Each of
these may generate data of two major types - Quantitative or Qualitative measurements.

Summarizing Data with Frequency Tables

There are two important ways to describe a data set (sample from a population) - Graphs
or Tables.

Pictures of Data

There are many different ways to display and graphically visualize data. These graphical
techniques facilitate the understanding of the dataset and enable the selection of an
appropriate statistical methodology for the analysis of the data.

Measures of Central Tendency

There are three main features of populations (or sample data) that are always critical in
understanding and interpreting their distributions - Center, Spread and Shape. The main
measures of centrality are Mean, Median and Mode(s).

Measures of Variation

There are many measures of (population or sample) spread, e.g., the range, the variance,
the standard deviation, mean absolute deviation, etc. These are used to assess the
dispersion or variation in the population.

Measures of Shape

The shape of a distribution can usually be determined by looking at a histogram of a

(representative) sample from that population; Frequency Plots, Dot Plots or Stem and
Leaf Displays may be helpful.

Statistics

Variables can be summarized using statistics - functions of data samples.

Graphs and Exploratory Data Analysis

Graphical visualization and interrogation of data are critical components of any reliable
method for statistical modeling, analysis and interpretation of data.

Chapter III: Probability

Probability is important in many studies and disciplines because measurements,
observations and findings are often influenced by variation. In addition, probability
theory provides the theoretical groundwork for statistical inference.

Fundamentals

Some fundamental concepts of probability theory include random events, sampling, types
of probabilities, event manipulations and axioms of probability.

Rules for Computing Probabilities

There are many important rules for computing probabilities of composite events. These
include conditional probability, statistical independence, multiplication and addition
rules, the law of total probability and the Bayesian rule.

Probabilities Through Simulations

Many experimental setting require probability computations of complex events. Such

calculations may be carried out exactly, using theoretical models, or approximately, using
estimation or simulations.

Counting

There are many useful counting principles (including permutations and combinations) to
compute the number of ways that certain arrangements of objects can be formed. This
allows counting-based estimation of probabilities of complex events.

Chapter IV: Probability Distributions

There are two basic types of processes that we observe in nature - Discrete and
Continuous. We begin by discussing several important discrete random processes,
emphasizing the different distributions, expectations, variances and applications. In the
next chapter, we will discuss their continuous counterparts. The complete list of all
SOCR Distributions is available here.

Random Variables
To simplify the calculations of probabilities, we will define the concept of a random
variable which will allow us to study uniformly various processes with the same
mathematical and computational techniques.

Expectation (Mean) and Variance

The expectation and the variance for any discrete random variable or process are
important measures of Centrality and Dispersion. This section also presents the
definitions of some common population- or sample-based moments.

Bernoulli and Binomial Experiments

The Bernoulli and Binomial processes provide the simplest models for discrete random
experiments.

Multinomial Experiments

Multinomial processes extend the Binomial experiments for the situation of multiple
possible outcomes.

Geometric, Hypergeometric and Negative Binomial

The Geometric, Hypergeometric and Negative Binomial distributions provide

computational models for calculating probabilities for a large number of experiment and
random variables. This section presents the theoretical foundations and the applications
of each of these discrete distributions.

Poisson Distribution

The Poisson distribution models many different discrete processes where the probability
of the observed phenomenon is constant in time or space. Poisson distribution may be
used as an approximation to the Binomial distribution.

Chapter V: Normal Probability Distribution

The Normal Distribution is perhaps the most important model for studying quantitative
phenomena in the natural and behavioral sciences - this is due to the Central Limit
Theorem. Many numerical measurements (e.g., weight, time, etc.) can be well
approximated by the normal distribution.

The Standard Normal Distribution

The Standard Normal Distribution is the simplest version (zero-mean, unit-standard-

deviation) of the (General) Normal Distribution. Yet, it is perhaps the most frequently
used version because many tables and computational resources are explicitly available for
calculating probabilities.

Nonstandard Normal Distribution: Finding Probabilities

In practice, the mechanisms underlying natural phenomena may be unknown, yet the use
of the normal model can be theoretically justified in many situations to compute critical
and probability values for various processes.

Nonstandard Normal Distribution: Finding Scores (Critical Values)

In addition to being able to compute probability (p) values, we often need to estimate the
critical values of the Normal Distribution for a given p-value.

Chapter VI: Relations Between Distributions

In this chapter, we will explore the relations between different distributions. This
knowledge will help us to compute difficult probabilities using reasonable
approximations and identify appropriate probability models, graphical and statistical
analysis tools for data interpretation. The complete list of all SOCR Distributions is
available here and the SOCR Distributome applet provides an interactive graphical
interface for exploring the relations between different distributions.

The Central Limit Theorem

The exploration of the relation between different distributions begins with the study of
the sampling distribution of the sample average. This will demonstrate the universally
important role of normal distribution.

Law of Large Numbers

Suppose the relative frequency of occurrence of one event whose probability to be

observed at each experiment is p. If we repeat the same experiment over and over, the
ratio of the observed frequency of that event to the total number of repetitions converges
towards p as the number of experiments increases. Why is that and why is this important?

Normal Distribution as Approximation to Binomial Distribution

Normal Distribution provides a valuable approximation to Binomial when the sample

sizes are large and the probability of successes and failures are not close to zero.

Poisson Approximation to Binomial Distribution

Poisson provides an approximation to Binomial Distribution when the sample sizes are
large and the probability of successes or failures is close to zero.
Binomial Approximation to Hypergeometric

Binomial Distribution is much simpler to compute, compared to Hypergeometric, and can

be used as an approximation when the population sizes are large (relative to the sample
size) and the probability of successes is not close to zero.

Normal Approximation to Poisson

The Poisson can be approximated fairly well by Normal Distribution when λ is large.

Chapter VII: Point and Interval Estimates

Estimation of population parameters is critical in many applications. Estimation is most
frequently carried in terms of point-estimates or interval (range) estimates for population
parameters that are of interest.

Method of Moments and Maximum Likelihood Estimation

There are many ways to obtain point (value) estimates of various population parameters
of interest, using observed data from the specific process we study. The method of
moments and the maximum likelihood estimation are among the most popular ones
frequently used in practice.

Estimating a Population Mean: Large Samples

This section discusses how to find point and interval estimates when the sample-sizes are
large.

Estimating a Population Mean: Small Samples

Next, we discuss point and interval estimates when the sample-sizes are small. Naturally,
the point estimates are less precise and the interval estimates produce wider intervals,
compared to the case of large-samples.

Student's T distribution

The Student's T-Distribution arises in the problem of estimating the mean of a normally
distributed population when the sample size is small and the population variance is
unknown.

Estimating a Population Proportion

Normal Distribution is appropriate model for proportions, when the sample size is large
enough. In this section, we demonstrate how to obtain point and interval estimates for
population proportion.
Estimating a Population Variance

In many processes and experiments, controlling the amount of variance is of critical

importance. Thus the ability to assess variation, using point and interval estimates,
facilitates our ability to make inference, revise manufacturing protocols, improve clinical
trials, etc.

Chapter VIII: Hypothesis Testing

Hypothesis Testing is a statistical technique for decision making regarding populations
or processes based on experimental data. It quantitatively answers the possibility that
chance alone might be responsible for the observed discrepancy between a theoretical
model and the empirical observations.

Fundamentals of Hypothesis Testing

In this section, we define the core terminology necessary to discuss Hypothesis Testing
(Null and Alternative Hypotheses, Type I and II errors, Sensitivity, Specificity, Statistical
Power, etc.)

Testing a Claim about a Mean: Large Samples

As we already saw how to construct point and interval estimates for the population mean
in the large sample case, we now show how to do hypothesis testing in the same situation.

Testing a Claim about a Mean: Small Samples

We continue with the discussion on inference for the population mean for small samples.

Testing a Claim about a Proportion

When the sample size is large, the sampling distribution of the sample proportion is
approximately Normal, by CLT. This helps us formulate hypothesis testing protocols and
compute the appropriate statistics and p-values to assess significance.

Testing a Claim about a Standard Deviation or Variance

The significance testing for the variation or the standard deviation of a process, a natural
phenomenon or an experiment is of paramount importance in many fields. This chapter
provides the details for formulating testable hypotheses, computation, and inference on
assessing variation.

Chapter IX: Inferences From Two Samples

In this chapter, we continue our pursuit and study of significance testing in the case of
having two populations. This expands the possible applications of one-sample hypothesis
testing we saw in the previous chapter.

Inferences About Two Means: Dependent Samples

We need to clearly identify whether samples we compare are Dependent or Independent

in all study designs. In this section, we discuss one specific dependent-samples case -
Paired Samples.

Inferences About Two Means: Independent Samples

Independent Samples designs refer to experiments or observations where all

measurements are individually independent from each other within their groups and the
groups are independent. In this section, we discuss inference based on independent
samples.

Comparing Two Variances

In this section, we compare variances (or standard deviations) of two populations using
randomly sampled data.

Inferences about Two Proportions

This section presents the significance testing and inference on equality of proportions
from two independent populations.

Chapter X: Correlation and Regression

Many scientific applications involve the analysis of relationships between two or more
variables involved in a process of interest. We begin with the simplest of all situations
where Bivariate Data (X and Y) are measured for a process and we are interested on
determining the association, relation or an appropriate model for these observations (e.g.,
fitting a straight line to the pairs of (X,Y) data).

Correlation

The Correlation between X and Y represents the first bivariate model of association
which may be used to make predictions.

Regression

We are now ready to discuss the modeling of linear relations between two variables using
Regression Analysis. This section demonstrates this methodology for the SOCR
California Earthquake dataset.
Variation and Prediction Intervals

In this section, we discuss point and interval estimates about the slope of linear models.

Multiple Regression

Now, we are interested in determining linear regressions and multilinear models of the
relationships between one dependent variable Y and many independent variables Xi.

Chapter XI: Analysis of Variance (ANOVA)

One-Way ANOVA

We now expand our inference methods to study and compare k independent samples. In
this case, we will be decomposing the entire variation in the data into independent
components.

Two-Way ANOVA

Now we focus on decomposing the variance of a dataset into (independent/orthogonal)

components when we have two (grouping) factors. This procedure called Two-Way
Analysis of Variance.

Chapter XII: Non-Parametric Inference

To be valid, many statistical methods impose (parametric) requirements about the format,
parameters and distributions of the data to be analyzed. For instance, the Independent T-
Test requires the distributions of the two samples to be Normal, whereas Non-Parametric
(distribution-free) statistical methods are often useful in practice, and are less-powerful.

Differences of Medians (Centers) of Two Paired Samples

The Sign Test and the Wilcoxon Signed Rank Test are the simplest non-parametric tests
which are also alternatives to the One-Sample and Paired T-Test. These tests are
applicable for paired designs where the data is not required to be normally distributed.

Differences of Medians (Centers) of Two Independent Samples

The Wilcoxon-Mann-Whitney (WMW) Test (also known as Mann-Whitney U Test,

Mann-Whitney-Wilcoxon Test, or Wilcoxon rank-sum Test) is a non-parametric test for
assessing whether two samples come from the same distribution.

Differences of Proportions of Two Samples

Depending upon whether the samples are dependent or independent, we use different
statistical tests.

Differences of Means of Several Independent Samples

We now extend the multi-sample inference which we discussed in the ANOVA section, to
the situation where the ANOVA assumptions are invalid.

Differences of Variances of Independent Samples (Variance Homogeneity)

There are several tests for variance equality in k samples. These tests are commonly
known as tests for Homogeneity of Variances.

Chapter XIII: Multinomial Experiments and

Contingency Tables
Multinomial Experiments: Goodness-of-Fit

The Chi-Square Test is used to test if a data sample comes from a population with
specific characteristics.

Contingency Tables: Independence and Homogeneity

The Chi-Square Test may also be used to test for independence (or association) between
two variables.

Chapter XIV:Bayesian Statistics

Preliminaries

This section will establish the groundwork for Bayesian Statistics. Probability, Random
Variables, Means, Variances, and the Bayes’ Theorem will all be discussed.

Bayesian Inference for the Normal Distribution

In this section, we will provide the basic framework for Bayesian statistical inference.
Generally, we take some prior beliefs about some hypothesis and then modify these prior
beliefs, based on some data that we collect, in order to arrive at posterior beliefs. Another
way to think about Bayesian Inference is that we are using new evidence or observations
to update some probability that a hypothesis is true.

Some Other Common Distributions

This section explains the binomial, poisson, and uniform distributions in terms of
Bayesian Inference.

Hypothesis Testing

This section will talk about both the classical approach to hypothesis testing and also the
Bayesian approach.

Two Sample Problems

This section discusses two sample problems, with variances unknown, both equal and
unequal. The Behrens-Fisher controversy will also be discussion

Hierarchical Models

Hierarchical linear models are statistical models of parameters that vary at more than a
single level. These models are seen as generalizations of linear models and may extend to
non-linear models. Any underlying correlations in the particular model must be
represented in analysis for correct inference to be drawn.

The Gibbs Sampler and Other Numerical Methods

Topics covered will include Monte Carlo Methods, Markov Chains, the EM Algorithm,
and the Gibbs Sampler.