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600: Lecture 27
Lectures 15-27 Review
Scott Sheffield
MIT
Outline
Sn np
lim P{a b} (b) (a).
n npq
DeMoivre-Laplace Limit Theorem
Sn np
lim P{a b} (b) (a).
n npq
I Suppose X is a random
( variable with probability density
1
x [, ]
function f (x) =
0 x 6 [, ].
Properties of uniform random variables
I Suppose X is a random
( variable with probability density
1
x [, ]
function f (x) =
0 x 6 [, ].
+
I Then E [X ] = 2 .
Properties of uniform random variables
I Suppose X is a random
( variable with probability density
1
x [, ]
function f (x) =
0 x 6 [, ].
+
I Then E [X ] = 2 .
I And Var[X ] = Var[( )Y + ] = Var[( )Y ] =
( )2 Var[Y ] = ( )2 /12.
Distribution of function of random variable
I Cov(X , Y ) = Cov(Y , X )
Basic covariance facts
I Cov(X , Y ) = Cov(Y , X )
I Cov(X , X ) = Var(X )
Basic covariance facts
I Cov(X , Y ) = Cov(Y , X )
I Cov(X , X ) = Var(X )
I Cov(aX , Y ) = aCov(X , Y ).
Basic covariance facts
I Cov(X , Y ) = Cov(Y , X )
I Cov(X , X ) = Var(X )
I Cov(aX , Y ) = aCov(X , Y ).
I Cov(X1 + X2 , Y ) = Cov(X1 , Y ) + Cov(X2 , Y ).
Basic covariance facts
I Cov(X , Y ) = Cov(Y , X )
I Cov(X , X ) = Var(X )
I Cov(aX , Y ) = aCov(X , Y ).
I Cov(X1 + X2 , Y ) = Cov(X1 , Y ) + Cov(X2 , Y ).
I General statement of bilinearity of covariance:
Xm n
X m X
X n
Cov( ai Xi , bj Yj ) = ai bj Cov(Xi , Yj ).
i=1 j=1 i=1 j=1
Basic covariance facts
I Cov(X , Y ) = Cov(Y , X )
I Cov(X , X ) = Var(X )
I Cov(aX , Y ) = aCov(X , Y ).
I Cov(X1 + X2 , Y ) = Cov(X1 , Y ) + Cov(X2 , Y ).
I General statement of bilinearity of covariance:
Xm n
X m X
X n
Cov( ai Xi , bj Yj ) = ai bj Cov(Xi , Yj ).
i=1 j=1 i=1 j=1
I Special case:
Xn n
X X
Var( Xi ) = Var(Xi ) + 2 Cov(Xi , Xj ).
i=1 i=1 (i,j):i<j
Defining correlation
Cov(X , Y )
(X , Y ) := p .
Var(X )Var(Y )
Defining correlation
Cov(X , Y )
(X , Y ) := p .
Var(X )Var(Y )
I Correlation doesnt care what units you use for X and Y . If
a > 0 and c > 0 then (aX + b, cY + d) = (X , Y ).
Defining correlation
Cov(X , Y )
(X , Y ) := p .
Var(X )Var(Y )
I Correlation doesnt care what units you use for X and Y . If
a > 0 and c > 0 then (aX + b, cY + d) = (X , Y ).
I Satisfies 1 (X , Y ) 1.
Defining correlation
Cov(X , Y )
(X , Y ) := p .
Var(X )Var(Y )
I Correlation doesnt care what units you use for X and Y . If
a > 0 and c > 0 then (aX + b, cY + d) = (X , Y ).
I Satisfies 1 (X , Y ) 1.
I If a and b are positive constants and a > 0 then
(aX + b, X ) = 1.
Defining correlation
Cov(X , Y )
(X , Y ) := p .
Var(X )Var(Y )
I Correlation doesnt care what units you use for X and Y . If
a > 0 and c > 0 then (aX + b, cY + d) = (X , Y ).
I Satisfies 1 (X , Y ) 1.
I If a and b are positive constants and a > 0 then
(aX + b, X ) = 1.
I If a and b are positive constants and a < 0 then
(aX + b, X ) = 1.
Conditional probability distributions
I Definition:
Var(X |Y ) = E (X E [X |Y ])2 |Y = E X 2 E [X |Y ]2 |Y .
Conditional variance
I Definition:
Var(X |Y ) = E (X E [X |Y ])2 |Y = E X 2 E [X |Y ]2 |Y .
I Definition:
Var(X |Y ) = E (X E [X |Y ])2 |Y = E X 2 E [X |Y ]2 |Y .
I Definition:
Var(X |Y ) = E (X E [X |Y ])2 |Y = E X 2 E [X |Y ]2 |Y .
I Definition:
Var(X |Y ) = E (X E [X |Y ])2 |Y = E X 2 E [X |Y ]2 |Y .
I Definition:
Var(X |Y ) = E (X E [X |Y ])2 |Y = E X 2 E [X |Y ]2 |Y .
I Definition:
Var(X |Y ) = E (X E [X |Y ])2 |Y = E X 2 E [X |Y ]2 |Y .