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0.5
0.4
0.3
0.2
0.1
0
-4 -3 -2 -1 0 1 2 3 4
January 1, 2017 1 / 24
Expected value
January 1, 2017 2 / 24
Variance and standard deviation
Standard deviation: measure of spread, scale
For any random variable X with mean µ
Var(X ) = E ((X − µ)2 ), σ= Var(X )
X continuous with range [a, b] and pdf f (x):
Z b
Var(X ) = (x − µ)2 f (x) dx.
a
January 1, 2017 3 / 24
Properties
1. E (X + Y ) = E (X ) + E (Y ).
2. E (aX + b) = aE (X ) + b.
3. If X and Y are independent then
Var(X + Y ) = Var(X ) + Var(Y ).
4. Var(aX + b) = a2 Var(X ).
5. Var(X ) = E (X 2 ) − E (X )2 .
January 1, 2017 4 / 24
Board question
January 1, 2017 5 / 24
Quantiles
Quantiles give a measure of location.
φ(z)
z
q0.6 = 0.253
Φ(z)
1
F (q0.6 ) = 0.6
z
q0.6 = 0.253
Each of the curves is the density for a given random variable. The
median of the black plot is always at q. Which density has the
greatest median?
q q
January 1, 2017 7 / 24
Law of Large Numbers (LoLN)
n→∞
January 1, 2017 8 / 24
Concept Question: Desperation
each time.
January 1, 2017 9 / 24
Histograms
Density: area of bar is the fraction of all data points that lie in the
frequency density
4 0.8
3 0.6
2 0.4
1 0.2
x x
0.25 0.75 1.25 1.75 2.25 0.25 0.75 1.25 1.75 2.25
January 1, 2017 10 / 24
Board question
1. Make both a frequency and density histogram from the data below.
Use bins of width 0.5 starting at 0. The bins should be right closed.
January 1, 2017 11 / 24
Solution
3.0
0.4
Frequency
Density
2.0
0.2
1.0
0.0
0.0
0 1 2 3 4 0 1 2 3 4
0.4
8
Frequency
Density
6
0.2
4
2
0.0
0
0 1 2 3 4 0 1 2 3 4
January 1, 2017 12 / 24
LoLN and histograms
0.4
0.3
0.2
0.1
0
-4 -3 -2 -1 0 1 2 3 4
January 1, 2017 14 / 24
Concept Question: Standard Normal
within 1 · σ ≈ 68%
within 3 · σ ≈ 99%
68%
95%
99%
z
−3σ −2σ −σ σ 2σ 3σ
2. P(Z > 2)
(a) 0.025 (b) 0.16 (c) 0.68 (d) 0.84 (e) 0.95
January 1, 2017 15 / 24
Central Limit Theorem
Setting: X1 , X2 , . . . i.i.d. with mean µ and standard dev. σ.
For each n:
1
Xn = (X1 + X2 + . . . + Xn ) average
n
Sn = X1 + X2 + . . . + Xn sum.
Conclusion: For large n:
σ2
� �
X n ≈ N µ,
n
Sn ≈ N nµ, nσ 2
Standardized Sn or X n ≈ N(0, 1)
Sn − nµ X n − µ
0.4 0.4
0.35 0.35
0.3 0.3
0.25 0.25
0.2 0.2
0.15 0.15
0.1 0.1
0.05 0.05
0 0
-3 -2 -1 0 1 2 3 -3 -2 -1 0 1 2 3
January 1, 2017 17 / 24
CLT: pictures 2
The standardized average of n i.i.d. exponential random
variables with n = 1, 2, 8, 64.
1 0.7
0.6
0.8
0.5
0.6 0.4
0.4 0.3
0.2
0.2
0.1
0 0
-3 -2 -1 0 1 2 3 -3 -2 -1 0 1 2 3
0.5 0.5
0.4 0.4
0.3 0.3
0.2 0.2
0.1 0.1
0 0
-3 -2 -1 0 1 2 3 -3 -2 -1 0 1 2 3
January 1, 2017 18 / 24
CLT: pictures 3
The standardized average of n i.i.d. Bernoulli(0.5)
random variables with n = 1, 2, 12, 64.
0.4 0.4
0.35 0.35
0.3 0.3
0.25 0.25
0.2 0.2
0.15 0.15
0.1 0.1
0.05 0.05
0 0
-3 -2 -1 0 1 2 3 -3 -2 -1 0 1 2 3
0.4 0.4
0.35 0.35
0.3 0.3
0.25 0.25
0.2 0.2
0.15 0.15
0.1 0.1
0.05 0.05
0 0
-3 -2 -1 0 1 2 3 -4 -3 -2 -1 0 1 2 3 4
January 1, 2017 19 / 24
CLT: pictures 4
The (non-standardized) average of n Bernoulli(0.5)
random variables, with n = 4, 12, 64. (Spikier.)
1.4 3
1.2 2.5
1
2
0.8
1.5
0.6
1
0.4
0.2 0.5
0 0
-1 -0.5 0 0.5 1 1.5 2 -0.2 0 0.2 0.4 0.6 0.8 1 1.2 1.4
7
6
5
4
3
2
1
0
-0.2 0 0.2 0.4 0.6 0.8 1 1.2 1.4
January 1, 2017 20 / 24
Table Question: Sampling from the standard normal
distribution
January 1, 2017 21 / 24
Board Question: CLT
3. What is the probability that less than 20% of those polled prefer
Ruthi?
January 1, 2017 22 / 24
Bonus problem
January 1, 2017 23 / 24
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