Probability

Introductory Probability as taught in Sheldon Ross' book

Axioms of Probability

• \(\displaystyle 0 \leq P(E) \leq 1\)
• \(\displaystyle P(S) = 1\) where \(\displaystyle S\) is your sample space
• For mutually exclusive events \(\displaystyle E_1, E_2, ...\), \(\displaystyle P\left(\bigcup_i^\infty E_i\right) = \sum_i^\infty P(E_i)\)

Monotonicity

• For all events \(\displaystyle A\), \(\displaystyle B\), \(\displaystyle A \subset B \implies P(A) \leq P(B)\)

Proof

Expectation and Variance

Some definitions and properties.

Total Expection

Dr. Xu refers to this as the smooth property. \(\displaystyle E(X) = E(E(X|Y))\)

Proof

Total Variance

This one is not used as often on tests as total expectation \(\displaystyle Var(Y) = E(Var(Y|X)) + Var(E(Y | X)\)

Proof

Delta Method

See Wikipedia

Relationships between distributions

This is important for tests.
See Relationships among probability distributions.

Poisson Distributions

Sum of poission is poisson sum of lambda.

Normal Distributions

• If \(\displaystyle X_1 \sim N(\mu_1, \sigma_1^2)\) and \(\displaystyle X_2 \sim N(\mu_2, \sigma_2^2)\) then \(\displaystyle \lambda_1 X_1 + \lambda_2 X_2 \sim N(\lambda_1 \mu_1 + \lambda_2 X_2, \lambda_1^2 \sigma_1^2 + \lambda_2^2 + \sigma_2^2)\) for any \(\displaystyle \lambda_1, \lambda_2 \in \mathbb{R}\)

Gamma Distributions

Note exponential distributions are also Gamma distrubitions

• If \(\displaystyle X \sim \Gamma(k, \theta)\) then \(\displaystyle \lambda X \sim \Gamma(k, c\theta)\).
  
• If \(\displaystyle X_1 \sim \Gamma(k_1, \theta)\) and \(\displaystyle X_2 \sim \Gamma(k_2, \theta)\) then \(\displaystyle X_2 + X_2 \sim \Gamma(k_1 + k_2, \theta)\).
• If \(\displaystyle X_1 \sim \Gamma(\alpha, \theta)\) and \(\displaystyle X_2 \sim \Gamma(\beta, \theta)\), then \(\displaystyle \frac{X_1}{X_1 + X_2} \sim B(\alpha, \beta)\).

T-distribution

Ratio of normal and squared-root of Chi-sq distribution yields T-distribution.

Chi-Sq Distribution

The ratio of two normalized Chi-sq is an F-distributions

F Distribution

Too many. See the Wikipedia Page. Most important are Chi-sq and T distribution