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Sea g : R2 ! R, entonces: 8
>
< fX,Y (x, y) = fX (x) fY (y)
>
8 1 1
X X X?Y , >
>
>
>
> : F X,Y (x, y) = F X (x)FY (y)
>
>
> g(x, y) fX,Y (x, y) , Disc.
⇥ ⇤ >
< x= 1 y= 1
E g(X, Y) = >
> X?Y ) Cov(X, Y) = 0
>
>
>
"
>
>
: g(x, y) fX,Y (x, y) dydx , Cont. Cov(X, Y)
R2 ⇢X,Y = p
V[X]V[Y]
Cov(X, Y) = E[XY] E[X]E[Y]
⇢X,Y 1
Cov(X, X) = V[X]
Condicional: Y/X = x
E[aX ± bY] = aE[X] ± bE[Y]
fX,Y (x, y)
fY/X=x (y) = V[aX ± bY] = a2 V[X] + b2 V[Y]
f (x)
8 X 1 ±2abCov(X, Y)
>
> X
>
>
> yr fY/X=x (y) , Disc.
>
>
< y= 1 E[Y] = E[E [Y/X = x]]
r
E [Y /X = x] = >
> Z 1
>
>
>
>
>
: yr fY/X=x (y) dy , Cont. E[XY/X = x] = X E [Y/X = x]
1
V [Y/X = x] = E[Y 2 /X = x] (E [Y/X = x])2 V[Y] = VEntre + VDentro
= V[E [Y/X = x]] +
Análogo para el caso X/Y = y +E[V [Y/X = x]]
! ⇣ ⌘
2
µx Y/X = x ⇠ N µY/X=x , Y/X=x
Notación: ~µ =
µy xy
! µY/X=x = µy + 2
(x µx )
2
E[X] = µx x xy x
⌃ = 2 2 2 2
E[Y] = µy yx y Y/X=x = y (1 ⇢)
!
V[X] = 2 X ⇣ ⌘
x ⇠ N2 ~µ, ⌃ 2
2 Y X/Y = y ⇠ N µX/Y=y , X/Y=y
V[Y] = y ⇣ ⌘
Cov(X, Y) = xy
X ⇠ N µ x , 2x µX/Y=y = µ x +
xy
(y µy )
⇣ ⌘ 2
y
Correl(X, Y) = ⇢ Y ⇠ N µy , 2y 2 2 2
X/Y=y = x (1 ⇢)
xy = 0 , X?Y
⇣ ⌘
~ ⇠ N p ~µ, ⌃ p⇥p
X ~ = ~µ
E[X]
X~ = (X1 , . . . , X p )t 0 1 ~ = ⌃
BBB µ1 CCC V[X]
E[Xi ] = µi 0 2 1
B C ···
2 ~µ = BBBBB ... CCCCC BBBB 1 12 1p CCC
CCC
V[Xi ] = i @ A BBB ..
.
.. .. CCC
B . .
Cov(Xi , X j ) = ij
µp
⇣ ⌘ ⌃ p⇥p = BBBBB .21 .. .. ..
CCC
CCC
BBB .. . . .
Correl(Xi , Y j ) = ⇢i j Xi ⇠ N µi , 2i B@ CCA
2
p1 p2 ··· p
X 2 R p , Y 2 R p , A = Aq⇥p y B = Bq⇥p
Sea A = Am⇥p y b = ~bm⇥1 :
~
W AX ± BY
=
~ = AX
Y ~ +b
~
E[W] AE[X] ± BE[Y]
=
~ = A~µ + b
E[Y]
~ = A⌃At Cov(X, Y) E[XY t ] E[X]E[Y]t
=
V[Y]
~
V[W] AV[X]At + BV[Y]Bt ± 2ACov(X, Y)Bt
=
⇣ ⌘ ⇣ ⌘
~ ⇠ Nm E[Y],
Y ~ V[Y]
~ ~ ⇠ Nq E[W],~ V[W]
~
W