EC112 Essential Statistics – Formula Sheet

1. Sample Statistics
For a sample x1 , . . . , xn :
Pn
• sample mean: x̄ = n1 i=1 xi
Pn Pn
• corrected sum of squares: Sxx = i=1 (xi − x̄)2 = i=1 x2i − nx̄2
1
• sample variance: s2 = n−1 Sxx

Frequency table : value x1

x2 . . . xk
frequency f1
f2 . . . fk
Pk
• total number of observation: n = i=1 fi
Pk
• sample mean: x̄ = i=1 fni xi
Pk
• corrected sum of squares: Sxx = i=1 fi x2i − nx̄2

2. Probability
Consider events A and B:
• A and B are mutually exclusive if P (A ∩ B) = 0
• A and B are exhaustive if P (A ∪ B) = 1
• A and B are independent if P (A ∩ B) = P (A)P (B)
Additive law: P (A ∪ B) = P (A) + P (B) − P (A ∩ B)
P (A∩B)
Conditional probability: P (A|B) = P (B)
Total probability: P (A) = P (A|B)P (B) + P (A|B c )P (B c )
More generally, if B1 , . . . , Bn are mutually exclusive and exhaustive events:
P (A) = P (A|B1 )P (B1 ) + P (A|B2 )P (B2 ) + . . . + P (A|Bn )P (Bn )
P (A|B)P (B)
Bayes’ formula: P (B|A) = P (A)

3. Discrete random variables

Consider a discrete random variable R taking values x1 , . . . , xk with probability function:
value x1 x2 . . . xk
probability p1 p2 . . . pk
Pk
• Mean: µ = E(R) = i=1 pi xi
Pk
• Variance: σ 2 = Var(R) = E[(R − µ)2 ] = E(R2 ) − µ2 = i=1 pi x2i − µ2
• Distribution function: Fr = p1 + p2 + . . . + pr
Examples:
Name Probability function Mean Variance
Binomial pr = n Cr pr (1 − p)n−r for r = 0, 1, . . . , n np np(1 − p)
r
Poisson pr = λ exp(−λ)
r! for r = 0, 1, 2, . . . λ λ

4. Continuous random variables

Examples:
Name Mean Variance
1 1
Exponential parameter λ λ λ2
Normal N (µ, σ 2 ) µ σ2

Chi-squared k degrees of freedom k 2k

1
5. Estimators and standard errors
Parameter Estimator Standard Error
√
population mean µ (known variance) x̄ σ/√ n
population mean µ (unknown variance) x̄ s/
q n 2
σx σy2
diff. of popn. means µx − µy (known variances) x̄ − ȳ +
q n2x ny
sx s2y
diff. of popn. means µx − µy (unknown variances) x̄ − ȳ n + n
qx y

diff. of popn. means µx − µy (equal unknown vars.) x̄ − ȳ s n1x + n1y

p
population proportion p p̂ qp̂(1 − p̂)/n
p̂x (1−p̂x ) p̂y (1−p̂y )
diff. of popn. proportions px − py p̂x − p̂y nx + ny

6. Correlation
For a sample of pairs (x1 , y1 ), . . . , (xn , yn ):
Pn
• corrected sum of squares for x: Sxx = i=1 x2i − nx̄2
Pn
• corrected sum of squares for y: Syy = i=1 yi2 − nȳ 2
Pn Pn
• corrected sum of cross products: Sxy = i=1 (xi − x̄)(yi − ȳ) = i=1 xi yi − nx̄ȳ

Quantity Population Sample

Covariance γ = E[(X − E(X))(Y − E(Y ))] = E(XY ) − E(X)E(Y ) c = Sxy /(n
p − 1)
Correlation ρ = γ/σx σy r = Sxy / Sxx Syy

7. Regression
Simple regression model: Yi = α + βxi + εi where εi ∼ N (0, σ 2 )

Parameter Estimator Standard Error

√
β β̂ = Sxy /Sxx s/q Sxx
1 2
α α̂ = ȳ − β̂ x̄ s + x̄
q n Sxx
(x∗ −x̄)2
Y∗ α̂ + β̂x∗ s 1 + n1 + Sxx

Analysis of variance table:

Source dof Sum of squares Mean square

2
Regression 1 Sxy /Sxx s2r = Sxy
2
/Sxx
2
Residual n−2 Syy − Sxy /Sxx s2 = (Syy − Sxy2
/Sxx )/(n − 2)
Total n−1 Syy