Prob and Stats Formula Sheet
Uploaded by
samProb and Stats Formula Sheet
Uploaded by
samProbability Distributions
Name
Probability
distribution
1
Discrete uniform
Mean
Variance
ba
2
(b a 1) 2 1
12
np
np(1-p)
Binomial
n
n x
p (1 p ) n x
x
Geometric
(1 p ) x 1 p
1
p
Negative binomial
x 1
x r
1 p
pr
r
r
p
1 p
p2
r (1 p )
p2
Poisson
e x
x!
1
ba
ba
2
(b a ) 2
12
Continuous uniform
Normal
1 x
1
e 2
2
f ( x ) e x
Exponential
1/
1/2
Probability of a union: P( A B) P ( A) P( B) P( A B)
Multiplication rule: P ( A B) P ( B | A) P( A) P ( A | B) P( B)
Total probability rule: P ( B) P( B A) P( B A' ) P( B | A) P( A) P( B | A' ) P( A' )
Bayes theorem: P( A | B )
P( B | A) P( A)
P( B)
for
P( B) 0
Mean and variance of a discrete random variable X:
E ( X ) xf ( x)
x
V ( X ) ( x ) 2 f ( x) x 2 f ( x) 2
x
Mean and variance of a continuous random variable X:
E( X )
xf ( x )dx
V (X )
(x )
f ( x ) dx
E[( X X )(Y Y )] E[ XY ] X Y
f ( x ) dx 2
Standardizing a normal random variable: Z
Covariance: XY
Correlation: XY
XY
XY
Multinomial Distribution
P ( X 1 x1 , X 2 x2 ,..., X k x k )
n!
p1x1 p 2x2 p kxk , E ( X i ) npi and
x1! x2 ! xk !
V ( X i ) npi (1 pi )
Linear functions of random variables
E (Y ) c1 E ( X 1 ) c 2 E ( X 2 ) c p E ( X p )
V (Y ) c12V ( X 1 ) c22V ( X 2 ) c 2pV ( X p ) 2 ci c j cov( X i , X j )
i j
Sample variance: S
n
i 1
( xi x ) 2
n 1
i 1
xi2
i 1
n 1
Central limit theorem: Z
Mean squared error:
) V (
) (bias ) 2
MSE (
Confidence intervals (CI), prediction interval and tolerance interval
CI on with known
n for specified error on with known
2
z / 2
x z / 2
x z / 2
n
CI on with unknown
x t / 2,n 1
s
n
x t / 2,n 1
Tolerance interval
( x ks, x ks)
1
1
X n 1 x t / 2,n 1 s 1
n
n
Test statistics
Tests on with known
X 0
Z0
n
CI on
( n 1) s 2
( n 1) s 2
2
2 / 2,n 1
12 / 2,n 1
Prediction interval
x t / 2 ,n 1 s 1
Tests on with unknown
T0
X 0
S
Type I error
= P(reject H0 when H0 is true)
Tests on
(n 1) S 2
X 02
02
Type II error
= P(fail to reject H0 when H0 is false)
The power of statistical test is the probability of rejecting H0 when H1 is true.
The P-value is the smallest level of significance that would lead to rejection of H0 with the given data.
Equations related to the tests on with known
n
n
z / 2 z
z / 2
z / 2
and n
