Introductions To Statistical Thought

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µ(∅) = 0 ∅ # -

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µ({1}) = µ({2}) = · · · = µ({6}) = 1/6 ( %

# & & &

µ({1, 2}) = 1/3
µ({2, 4, 6}) = 1/2
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& # /# % & / + µ(i) = 1/6 &

& & /% # P % µ $

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(6, 6) (6, 5) (6, 4) (6, 3) (6, 2) (6, 1)
(5, 6) (5, 5) (5, 4) (5, 3) (5, 2) (5, 1)
(4, 6) (4, 5) (4, 4) (4, 3) (4, 2) (4, 1)
(3, 6) (3, 5) (3, 4) (3, 3) (3, 2) (3, 1)
(2, 6) (2, 5) (2, 4) (2, 3) (2, 2) (2, 1)
(1, 6) (1, 5) (1, 4) (1, 3) (1, 2) (1, 1)
1* * " ! 6 0 *
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! P(d1 , d2 ) = 1/36 (d1 , d2 )
+ ,,
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+ P(4, 3) + P(3, 4) + P(2, 5) + P(1, 6) = 8/36 = 2/9.
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Z 60
P[Y < 60] = p(t) dt.
* /% # & %

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p(y) ≥ 0 % y
R p(y) dy = 1
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∞
(

−∞
/

(a, b)
(
/ % / & P[Y ∈ (−∞, ∞)] = R
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a
&
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p(y) dy = 1
- % (

−∞

&
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a] = 0 a∈R
Z a+
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→0 →0 a

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P[Y ∈ (a, b)] = P[Y ∈ [a, b)] = P[Y ∈ (a, b]] = P[Y ∈ [a, b]].
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temperature
0.20
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discoveries
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# - Z = g(X) # / & g # p (

& / /# %& g &- /

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X

&
X = h(Z)

p Z

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pX g
!%! %%& % !! $ #%&% %' '! %! !% ! '$
Z = g(X)
$ "
Z −1
d g (t)
−1
pZ (t) = pX (g (t))
2% g %&

dt
$

d d
pZ (b) = P[Z ∈ (a, b]] = P[X ∈ (h(a), h(b)]]
db db
Z
d h(b)
= pX (x) dx = h0 (b)pX (h(b))
( % g / % +

db h(a)

( & -& X / # /% p (x) = 2x

( % #

& Z = 1/X
X = 1/Z 2 / dx/dz = −z ( % -
X

p (z) Z

−2
−1
d g (z) 2 1
pZ (z) = pX (g (z)) = − = 2
−1
1/ & % Z - % # ∞% .
d z z z2 z3
1

pZ (z) = 2/z 3

(1, ∞)
Z ∞
∞
2 1
dz = − 2 = 1.
(/ %& # z = g(x)+ 1 / $ & ' ( & / x - z2 -
1 z3 z 1

# / g & ( x / I
& / z

x

I
"
z

P[Z ∈ Iz ] P[X ∈ Ix ] x (I ) 0
pZ (z) ≈ = ≈ p (x) |h (z)| X
(Iz ) (Ix ) (Iz )
'
( + # * & " + %I /I
/

2% g - % / & % R
x z

- /
&

g
Z=g(X)
z
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%

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/

& / ( # &

P( ) = θ &
θ

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θ
- / /

/ + & θ

/ / θ- &

-%

+ # - P( | θ) P( | θ = 1/3) ( /

. P( | θ = 1/3) / % /

θ &
" / P( | θ) / % / (

θ

#

(
P( | θ = 1/3) = 1/3,
(
P( | θ = 1/3) = 2/3,
P( | θ = 1/5) = 4/5
/ 2 / % & / / . & /
% / / -

( / θ!! ( %

&
% θ / / Θ & θ $ θ % # &

# /& -
θ
( % # &

µθ
{µθ : θ ∈ Θ},
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& & / / N # & % % /& / & & / /

'"#!' θ( #& ∼ & / " '"#!'

& & " X / X ∼"

" ! % &'"#%

p

(N, p)
" %
.# # & # N% p & # + # % N + /

/ -θ # % - / & # /

#

#& & θ)+ / # && / / X ∼ (θ) N =/1 / & X

% ## + # / &% # /- X & / & %

N
% % % # (

* & ' /& k N .

P[X = k | θ]

'

N k N −k
P[X = k | θ] = θ (1 − θ)
k
( # / % &! &!% / / N k
/ # % & % k

N
% # /% # &k
&
% / # 2 k = 0 k = N - 0!

/ / $ & & N #
N N!
=
% N ∈ {3, 30, 300}

k
k!(N −k)!

/ p ∈ {.1, .5, .9}

; ;9

5 # ! * 6 # ,, ,/
* # * !
2 3 !
5 # !
, 2 3 ! 1 !
!"
/ 5 ! *
0 ! ! * !
! * ! 5 * ! " !
X
* ! # ,,
N6= 4
p = 2/9 X ∼ (4, 2/9)
3
N=3 N=3 N=3

p = 0.1 p = 0.5 p = 0.9
0.35
probability
probability
probability
0.6
0.6
0.15
0.0
0.0
0 1 2 3 0 1 2 3 0 1 2 3
x x x
N = 30 N = 30 N = 30
p = 0.1 p = 0.5 p = 0.9
0.15
0.20
0.20
probability
probability
probability
0.00
0.00
0.00
0 10 30 0 10 30 0 10 30
x x x
N = 300 N = 300 N = 300

p = 0.1 p = 0.5 p = 0.9
0.04
probability
probability
probability
0.06
0.06
0.00
0.00
0.00
0 200 0 200 0 200
x x x
$ & #

)
5 * ! 2 3 !
! 2 3 !

P[ ] = P[X ≥ 1]
=
X4
P[X = i] =
X 4
4
(2/9)i (7/9)4−i ≈ 0.634

i
1 + * &
i=1 i=1

P[X ≥ 1] = 1 − P[X = 0],
&
& / 4 ( $
## / # &
# ( # & * & & /

$

( /
& % X% ( ;
/
&
# %
&

1 ##
% & %
&

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•

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•

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# . # ( & # %

&/ & .# +#

&

( / # %# %

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;
% & /%
;
& &
&

5

& #

&
( % & % % / λ &# %
& #/ # & / / X (λ) 2#

%

& #&
X ∼
+ # -

& / &

- /

` & /
& /#

% & / `
1

( + #/ /- X & * & !

2

&

λ e ! k −λ
P[X = k | λ] = .

% # # % &
k!
/ # & / *+ # '

&

&
%

/ & &

λ

9; ;

5 ! . 6 "
" ! .! !
. " !
! * 1
! ! * . ' 3
! ' *! *
6 * *
* " *
* * " *
! . .
5 ! ! . ." ! ! *
! ' ! ( ! .
. ! ! ! . / / *!
'
! * 6 ! "
λ
! " . !
.! * .! * 5 λ
.! * λ # P[X 3 | λ]
=
"
λ X=3

* .! * & # "

P[X = 3 | λ] λ
13 e−1
P[X = 3 | λ = 1] = ≈ 0.06
3!
23 e−2
P[X = 3 | λ = 2] = ≈ 0.18
3!
3 −3
3e
P[X = 3 | λ = 3] = ≈ 0.22
3!
43 e−4
P[X = 3 | λ = 4] = ≈ 0.14
3!
1 " .! # * !
.! ) ! λ = 3 .!

λ=1 λ=2 λ=4
& ! , *! * 5 - ! !
P[X = 3 | λ]
# λ . -
5 !
= 3 | λ]
P[X
! , λ = 3
" ! " .
5 - ! .! * * ! ! #
! λ
λ=3
0.00 0.10 0.20
P[x=3]
0 2 4 6 8 10
lambda
$ & ! P[X = 3 | λ] %&

%λ

$ & ! / & /
%

$ $ $

,
% #/ % & / % #

/ & &

&
•

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## / -

+ + -&

+ - / +

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& % & &

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2 % # / /# /
/ % # . # + # & &

X

# /

# & + &

# &
+ &
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2 %+ # + / # - # /
/ . / / /

/ x 1 & %& /% % & & & x=%!%

0

'!%"
1 % x > 0. x 3
*+ X$ " %3! %!% /

−λ
p(x) = e
λ
'"#% !!

+ / % / %

& &
λ X ∼

(λ)
λ
10
lambda = 2
lambda = 1
lambda = 0.2
8
lambda = 0.1
6
p(x)
4
2
0
0.0 0.5 1.0 1.5 2.0
$ & 3 *+
/

"
$ & 3 / & / %

%

% $

%

$ $

$

+ / % / %
' & %x / / & λ

•

,+ ' & % λ

( / & / p(x) % # % /
•
λ# + # % ## ++ / 2 /
- x

•
( ' '

!

• & + /% ( & # 4 x

/% #
# 4 & / ( &

& 4 && %

% *+ - 4 *+ (

•
# + & ( # + /
/

# % # %

2 & - & % & # % - & & -

% /

& 4

•
& / ( / /

/ % & % % / +

x
& 3 2 & /-' % & &! !%"%

y

$ &
# /
% / % / 2

& &

•

'

2 % # / /# /
# & / / . # + # & &

Y

;

%
;

# &
&

;
# %
9
; .1(

2 /# + / /
# % & $ / % & &

% /% %# . /% & /% & # /

// / #

1 & %& /% % & & '!%"

1 ) y−µ 2
p(y) = √ e ( ). − 12 σ
/ Y "
2πσ
'"#% !% %' "%'' '! %
,
$

) , # / %

&
µ
/% % / -
/ & (µ, σ)/% 1 & / & & µ% % µ

σ Y ∼ (µ, σ)

/- σ / /% & σ # /

/% #

&
σ

$ & ) / & / %

$

%

mu = −2 ; sigma = 1
mu = 0 ; sigma = 2
1.2
mu = 0 ; sigma = 0.5
mu = 2 ; sigma = 0.3
mu = −0.5 ; sigma = 3
1.0
0.8
y
0.6
0.4
0.2
0.0
−6 −4 −2 0 2 4 6
$ & ) , # /

!

# , # /% #
% x &
& / & # (# & / & #

•
/ //

1 %& & - $ & 5 % # % #

% // 1
# & 5") 553

&
/ # - ' / , / /" /

/& ( , (5.87, .72) / & # /&

◦
# (

, # / / # / % &/

# & #& # / +#

*+ #

$ & 5 / & /

$ $ % $

( # &
/ & # ( & # %
•
• &
/ / &
$

( ' & %

& , # / %

&
• [4, 7.5]

/ , # /
•

1 & & - & & / & / / 4

## /
( %& %
/ # # % # ,
# / & # % # / % %

/ // ( /# - # #

0.6
0.4
density
0.2
0.0
4.0 4.5 5.0 5.5 6.0 6.5 7.0 7.5
temperature

& 5 /
#
,$ (5.87,

&
, - # / (
45◦ , 30◦

.72)

)
, (5.87, .72) / - / $ & 5 - / # #

# / $ & #

2 & % / + / # /

, # / - # % & / # /

# / % # , # / 2

/ & $ & 5 # & &

$ &
/& /

$

$

$

# % % /, /#/ / -& # "%'' ! ! ! %

&#%" &

/ / & && / / / 2 $ & & # !!

& / /& # - # '

/ /& # ( &
& %& & -

$//& - # # # % ## $ & / - # & / % 5 /

"# & / & & / $ (

& 4/

◦ ◦
/ / , #

, &/ # # &
- & / 4.5 = 40.1 $
/ # & & & 6.5 =/43.7 $

1

◦ ◦ ◦ ◦
! / // / +

'"3

1 #& # + / % '# / ' ( / /

( + %

& + - / %/ # / / /

/ . / /& %

( - / # &

&
/ &

/ / & &- % / / #
-4 # /

/ / - & , # &

#

&

5
(a)
0.6
0.4
density
0.2
0.0
4.0 4.5 5.0 5.5 6.0 6.5 7.0 7.5
degrees C
(b)
0.30
density
0.15
0.00
39 40 41 42 43 44 45
degrees F
(c)
0.8
density
0.4
0.0
−2 −1 0 1 2
standard units
$/ & 11 ## % % % # %, (5.87,

# ,

.72)
/ , (5.87, .72)

/

, / 1 # % % # , (0, 1) /

(42.566, 1.296)
, (42.566,
/

1.296)

(0, 1)
"

/ % $ &
/& /

$ $

$

$

$

%

$

$

, (µ, σ) / / /#
/ / & 2 # % / / & Y

Y ∼ Z = (Y − µ)/σ Z
# µ / & Z ( / &

- / % Z- / $ #

&
( # -

p Z

1 1 2
pZ (z) = pY (σz + µ)σ = √ e− 2 z
, (0, 1) / 2 - Z ∼ , (0, 1) ( , (0, 1)
2π
/ & / "%'' /
&

6 $ & " 2 # % /

% # % &/ /% #% 2
/ p - &

/ / #

/ & & /& # /

# #/ / &% / &/

# & /% &/% &

# & / / & /) / / # &

◦

"
! & 1 / # & / / &
/ " / /

&
◦ ◦

2 - / % / #

% & . % / & %

- -%

% # / & / % / . ' # %

/ & / /

/ & &

4 ! ! ! " "
! " # " . *
! ! * !
! * ! !
, + " ! * ! *
! . ! * !
! " ! " " '6 ! , +
. ! ! ! *
* * ! '

% 4 4

$ ( & ! ,,, " ) &
#

)% " * ! * 3 !
! , , , ' 5 ! *
3 * - ! ! * ! .
! ! * * 3
& ! ,,/ ! . * ,
5 ! & ! ,,/
* & ! ,0 & ! ,,/
* ! 3
5 * * ! *
5 * * ! ◦ ! ! 3
* ! ◦ ! 0 !5 3/ ' . " !
9
* " .
! *
. ( 1 * * !" !
. * & ! " 3
! ! !
! * ! ! *
.
! !
%!
% )%& ! *
6 5 ! !
'
, ◦ ! " * "
35
"

! !

'
60
50
latitude
40
30
20
−40 −30 −20 −10 0
longitude
$ & /
% *&
/ 1%
( # %/ % / # &
% # ## # ( !% % # - % %

& # - &

!% % # -
% &;
; 8;
(

# - x , . . . , x

1 n
# % x ,...,x = 1 Xx . 5

1 n i
n
""
latitude = 45 latitude = 45 latitude = 45
longitude = −40 longitude = −30 longitude = −20
20
60
20
40
10
10
20
5
5
0
0
4 6 8 4 6 8 4 6 8
temperature temperature temperature

n = 213 n = 105 n = 112

12
20
15
15
0 2 4 6 8
10
10
5
5
0
0
4 6 8 4 6 8 4 6 8

n = 37 n = 24 n = 44

15
15
20
10
10
5 10
5
0
4 6 8 4 6 8 4 6 8
$/ & , /# - "& - ' / # / - & / - " - '

n = 47 n = 35 n = 27

&
◦

"'
# # %
% ( / / x̄ $ & % / ( / x ,/. . . , x

& # / / & ##

1 n

. # % -# % & %& / % / & $ + # -

# % /% & $ " & )- #

# / # . # &- # - #

% (3.1) / & "- # # %

/
%% & / & # # /

# /

$ # + # % - / (n, p) / &
$ & ( % (30, .5) / & /

- / / - /&
( # % / (300,&.9) - % & / # - & 3 /

! !&!' #! ! !&% /

E(X)
;
; 7 8;
;9
% X /#
/% F / /% p ( -

%F !%
& !%

X X X

X
%X /
% X & &
(P
i P[X = i]
E(X) = R i
x pX (x) dx
( % / / %
% X * & / %# -
/ #

2 // & E(X)
E(X)
- ## # %

# % % # % / &
X µ X
/ &/ / / & +

"
;
2% X ∼

(n, p)

n
X
E(X) = i P[x = i]
i=0
n

X n i
= i p (1 − p)n−i
i=0
i

n
X n
= i pi (1 − p)n−i
i=1
i
n
X (n − 1)!
= np pi−1 (1 − p)n−i
i=1
(i − 1)!(n − i)!
n−1
X (n − 1)!
= np pj (1 − p)n−1−j
j=0
j!(n − 1 − j)!
( P& & % ( + % # #
= np
(/ & # · · · % & # # (n −

( #

& & & &

n−1
# E(X) $ &

j=0
1, p)

; 2% X ∼ (λ)

( / % *+ E(X)
)= λ.

;; 2%
*+ (λ)
X∼
Z ∞ Z ∞
−1
E(X) = x p(x) dx = λ xe−x/λ dx = λ.

0 0

2% X ∼ , (µ, σ) ( / % *+

)

E(X) = µ

. / # & / / / % / & -
/# / # 2 $ & - / & / # &

#& # & -

"!
& & / . & / # / / & # % #

& &#

% / -& % # % #

# / & # -

% $ / 6 # -

& /

% # % /

#

% # ## # % / %&! /

& - "%'' '! % &

;
; ; ( %&! % # y , . . . , y

1 n
X
( % /#
Var(y1 , . . . , yn ) = n−1 (yi − ȳ)2 .
%&!
Y
;
; ;99 9
; ( "%'' '! % % # Var(Y ) = E((Y − µY )2 )

y ,...,y
1 n q X
( "%'' '! % % / #
SD(y , . . . , y ) = n (y − ȳ)) . −1 2
1 n i

Y
p
( / / / % % / / σ σ ( SD(Y ) = E((Y − µY )2 ).
% % ## / & / /

2
Y
& % # / - #P /
Y Y

$

/ / 1 /

−1 2
Var(y , . . . , y ) = (n − 1) (y − ȳ)
/ % % /# # & /
1 n i

n
/ % % / #

/ % # # - & % #&

# # #&

7 $ Y " %' ! !% Var(Y ) = E(Y ) − (EY )

2 2
$

Var(Y ) = E((Y − EY )2 )
= E(Y 2 − 2Y EY + (EY )2 )
= E(Y 2 ) − 2(EY )2 + (EY )2
= E(Y 2 ) − (EY )2
"3
(/ % % / // # & - $ & '

% # $ #& . // //// ± / //

# &%

/# / * - # /

/ - SD(Y ) / && Var(Y & ) / Y & & % -

( /

2
$ & '

SD SD

# & / % / # - % - # & #/ /
& ## - & &#

" % # % %
•
# &

& / //

•

&# 5 % # %

& / //

%
( #& % &# # % / & 2% x , . . . , x

% # # & / / / & - /% /

%& & &

&% / x̄# - - & . " #

1

n

. / &5

& &

( & %/& # - . % % # & / /

/#

&
.

/%

")
;

Y ∼ (30, .5)
Var(Y ) = E(Y 2 ) − (EY )2

30
2 30
X
= y .530 − 152
y=0
y
30
X 30!
= y .530 − 152
y=1
(y − 1)!(30 − y)!
29
X 29!
= 15 (v + 1) .529 − 152
v=0
v!(29 − v)!
29 29
!
X 29! X 29!
= 15 v .529 + .529 − 152
v!(29 − v)! v!(29 − v)!
v=0 v=0
29
= 15 + 1 − 15
2
15
=
2
/ % . *+ 5 /

p

, (0, 1)
SD(Y ) = 15/2 ≈ 2.7

Y ∼
Var(Y ) = E(Y 2 )
Z ∞ 2
y y2
= √ e− 2
"
−∞ 2π

Z ∞ 2
y y2
=2 √ e− 2
Z0 ∞ 2π
1 y2
=2 √ e− 2
0 2π
/ % . *+ 5 /
=1

$ & "/ # # ( , / /% %
SD(Y ) = 1

(30, .5) & &

(0, 1)
"5
0.15
0.10
p(y)
0.05
+/− 1 SD
0.00
+/− 2 SD’s
0 5 10 15 20 25 30
y
0.0 0.1 0.2 0.3 0.4
p(y)
+/− 1 SD
+/− 2 SD’s
−3 −2 −1 0 1 2 3
$ & ," ( /%

±1
/ ±2 .
(30, .5)

#
(0, 1)
'

$ & " / & /

% 4 /

$
$

$

//

. / &# % # %

•
& #

//# +
. / &# % # %
&
•

;
; 8
; ( !% % #
/# / /

r y1 , . . . , yn

Y
% #

X
% /#

n−1 (yi − ȳ)r

E((Y − µY )r )
/ # # # /

'

4 & %& # & # / / #&

%
# # , 4 & / n − 1 /

4 %
$ %

$

%

%

% %
%

%

% %

%

% %
/ #/ % #
$
# / &
( # / ( /

•
/

% # (100, .5) / &

%& ( E[h(Y )] = R h(y)p(y) dy P h(y)p(y)

/ + / & % h(Y ) / / !%! !'

h
!% ( # # & E[h(Y )]
&

( X = h(Y ) - / p - / %

$ + # - Y /% f (y) = 1 y ∈ (0,& 1) -

/
X
R
E[X] = xp (x) dx
8
9X = h(Y ) = exp(Y Z)
X Y

1
E[h(Y )] = exp(y) dy = exp(y)|10 = e − 1.
8
9 7
0
pX (x) = pY (log(x)) dy/dx = 1/x

Z e Z e
E[X] = xpx (x) dx = 1 dx = e − 1
2% h %& % #
1 1

E[h(Y )] &

$ X = a + bY !% E[X] = a + bE[Y ]

'

$

& & /
% +

Z
EX = (a + by)fY (y) dy
Z Z
= a fY (y) dy + b yfy (y) dy
= a + bEY
( /
#%

$ X = a + bY !% Var(X) = b Var(Y )

/ % +
2
$

& &

µ = E[Y ]
Var(X) = E[(a + bY − (a + bµ))2 ]

= E[b2 (Y − µ)2 ]
= b2 Var(Y )

. % / #& & % %
- - / # $ + # - #%

% & / / &

/ / & # A / S / & -

% # / % %
%6 & . % /
( (
D Y
A= S=
R N
.& % / ) % # /" %

6 & / % / & # ( ) / " / &%

& / (

'%

'"
20
60
20
40
10
10
20
5
5
0
0
4 6 8 4 6 8 4 6 8

n = 213 n = 105 n = 112

12
20
15
15
0 2 4 6 8
10
10
5
5
0
0
4 6 8 4 6 8 4 6 8

n = 37 n = 24 n = 44

15
15
20
10
10
5 10
5
0
4 6 8 4 6 8 4 6 8
$/ & ' # & # / - &/ - " - '

n = 47 n = 35 n = 27
, - &/ - " - ' / - / / /

◦

''
$ 1
# ') !

6 & ' ! '

! ")

( 1 /6% / & # .&

% / 1 - & /
/# p & &. & -

S |A

pS | A (Y | D) = 0.80; pS | A (N | D) = 0.20;
pS | A (Y | R) = 0.35; pS | A (N | R) = 0.65.
. % / ! % #
-
%(

& &
S=N A=D
)/ # % ! ') % / # %

%& (A =( D,')S = Y ) % & -

( p (D,

/ ( & #

Y ) = .48
# & ( ( #& / %! -#' - ! - / " ) - /
A,S

p (D, N) = .12 p (R, Y ) = .14 p (R, N) = 0.26
A,S

A,S

A,S
%
# % &

% - /

& / # (A =

(

/ .

A=D

D, S = Y ) (A = D, S = N)
pA (D) = .60 = .48 + .12 = pA,S (D, Y ) + pA,S (D, N).

( /# ( -
/ / (A = R, S = Y ) .

A=R S=Y

(A = D, S = Y )
pS (Y ) = .62 = .48 + .14 = pA,S (D, Y ) + pA,S (R, Y ).

( & &
! %

$ %! ! '' ! % !" $ #!" $ ! !

! (

% #& % #& &

/

'
/# X /Y
'

fX,Y (x, y) = fX (x) · fY | X (y | x) = fY (y) · fX | Y (x | y)
X X
fX (x) = fX,Y (x, y) fY (y) = fX,Y (x, y)
.# # / / /# /
y x
/ # # / 1 / # # f

/% f / / / f f (& % +#

2 ## # /& -/ -
X

- /# /
Y |X Y X |Y

( # / # /

% / & ( 5 & % %

& /- 5 % % & & %

& -" % / 1 & / # & . &/

& && /

& (

# % %/# - U - % / & %

/ T - % & %

/ U = 0 T = 1 %& T = 0 % &

U =1
/

(1 | 1) &
& f & f / f -

f f
U |T f U |T U,T

U,T U T |U
fU , fT | U −→ fU,T −→ fU | T
(
&
fU,T (0, 0) = (.7)(.9) = .63 fU,T (0, 1) = (.7)(.1) = .07

fU,T (1, 0) = (.3)(.1) = .03 fU,T (1, 1) = (.3)(.9) = .27

fT (0) = .63 + .03 = .66 fT (1) = .07 + .27 = .34

/
fU | T (1 | 1) = fU,T (1, 1)/fT (1) = .27/.34 ≈ .80.

'!
! " T =0 T =1
3 3
" U =0
3 "
! ! " '

U =1

( . /

/ ( 6 &

2 /- % & -
) % & % / 2% /5 & # & %-

# - 1 " /

# & 3 & 1 & 3 & & % #& & %

3 . "' -

# & 3- ) &

&

( % % # # 2 % #

# # / # # -

/ / / & - /

# # / # &

&
&*+ # ! %

% - / - / #

& &

/ &

9;

# , ! . # ! *

! ! . . 2 5
2 & ! ! ! "
! * 6! 4
N
* N ∼
. ! . . (λ)
λ>0
# * ! . .
! * ! . . 6θ! ! . . * X
! . . * 5
& ! ,, .! * 5X∼
(N, θ)
* & ! ,, (N, X)
"
fN,X
!!" ! . ! & # "

fN,X (3, 2) N =3 X=2
5 # - ! ! ) 2 "
* # " . 5 . * !
. N = 3 " " "
(N = 3, X = 0) (N = 3, X = 1) (N = 3, X = 2)
'3
...
6
4
X
...
2
0
0 1 2 3 4 5 6 7
$ /& # # & % N / X -

&# % /

& &

6
(N = 3, X = 3)
fN (3) = fN,X (3, 0) + fN,X (3, 1) + fN,X (3, 2) + fN,X (3, 3)

5 4 * −λ 3
!
N fN (3) = P[N = 3] = e λ /6
−λ 3 . * ! 5 *
e λ /6
5 .
X

3 3 3 2 3 3
(1 − θ)3 θ(1 − θ)2 θ (1 − θ) θ
0 1 2 3
5 −λ 3 7!
e λ /6
5 . #)% )%
"
/
N = 3 5 f (2 | 3)
5 ) X|N
P[X = 2 | N = 3]
e−λ λ3 e−λ λ3
fN,X (3, 0) = (1 − θ)3 fN,X (3, 1) = 3θ(1 − θ)2
6 6
e−λ λ3 2 e−λ λ3 3
fN,X (3, 2) = 3θ (1 − θ) fN,X (3, 3) = θ
6 6
')
1 "

e−λ λn n x
fN,X (n, x) = fN (n)fX | N (x | n) = θ (1 − θ)n−x
n! x
" * * ! *
'
! ! fX ! & !
! " & ! ,, 3
x
fX (x)
5 " ! !
X = x fX (x) ≡ P[X = x]

∞
X X e−λ λn n x
fX (x) = fN,X (n, x) = θ (1 − θ)n−x
n n=x
n! x
∞
X e−λ(1−θ) (λ(1 − θ))n−x e−λθ (λθ)x
=
n=x
(n − x)! x!
∞
e−λθ (λθ)x X e−λ(1−θ) (λ(1 − θ))z
=
x! z=0
z!
e−λθ (λθ)x
=
x!
5 ! * P ! ! *
* 4 · · · = 1
! 5 - !
z
−θ))
* 4 (λ(1 ∗
! ∗ 6 4 ∗
(λ ) λ
1 . ! ! ! = λθ X ∼ (λ
5)
z = n−x
$ & & / / # /-
- /
/ /
& * & '

pX | Y (x | y) p (x, y)
X,Y

pX,Y (x, y) = p (x)p (y | x) = p (y)p
X (x | y)
Y |X Y X|Y
Z ∞ Z ∞
pX (x) = pX,Y (x, y) dy pY (y) = pX,Y (x, y) dx
( # % / % %/ # −∞
2 / % (X = −∞
/

&

$ X = x & Y = y -& ( %
x, Y = y)

& p (x) × p (y | x)

X = x X Y |X
'5
& # / / Y = y & & / / - %

/ # &- & &

& & &

X =x
& %& &

$ Y = y & X = x & ( #
#

0& % /# - % /
2%R A - P[(X, Y ) ∈ A] = p(x, y) dx dy -

/ /

R
&
(x, y)
% / /# - / / %
A
/ #0& / % / p% & / p # /

... A
A
. / & #& /

- /- P[X ∈ B] = p (x) dx
X Y

& /-
B⊂R
R
X
B
Z Z
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!5
(a) (b)
4
360
2
resids
340
co2
0
−2
320
−4
1960 1980 1960 1980
Time Time
(c) (d)
3
360
2
1
cycle
340
co2
0
−3 −2 −1
320
2 4 6 8 12 1960 1980
Index Time
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i=1
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(y1 , . . . , yn )
' '# '
y1 , . . . , yn ∼ f
' '# ' % # % " %'! !%'!% %' '!%& '"#!' '
+ # ( %%% , % # % - # $ %$ .
% ) $ "% - ) # $ "% / $ '
$ # %( %% # " %# # ( " .

# ( , %( ) 0# $ ' ( &1 1 2 - % ,
)
# % " # $ %$ % - % # # # %( %% "
3 4 %( % # 5 ( 6 ( 4( '
4( % ' '# ' ' 7 R # 2 R
y1 , y2 , . . . , ∼ f µ = yf (y) dy σ = (y −
2 $ # " ' * # ( / -
µ) f (y) dy f µ σ
2
# - / %$ # ( $ ' - " ( %

) $ " % % % ) %$ '
ȳn ≡ (y1 + · · · + yn )/n n µ
4 $ ( % % %#
0 %$ " % ) - ( % % %$ "

• n ȳn µ
% % % %%
•
ȳn µ n
- $ ( % # # %# " (
• n
* $ % & '& # & '& # %- % % ( % % ' " %
$ - # %$ $ %( % ( $ # " '
ȳn
! ! %' !" !%"
x1 , . . . , xn µ1 , . . . , µn
!%
E[x1 + · · · + xn ] = µ1 + · · · + µn
$ %( % % '
n=2
Z Z
E[x1 + x2 ] = (x1 + x2 )f (x1 , x2 ) dx1 dx2
ZZ ZZ
= x1 f (x1 , x2 ) dx1 dx2 + x2 f (x1 , x2 ) dx1 dx2
= µ1 + µ2
!! ! ! %' " ! $ !%

y1 , . . . , yn f µ
!%
E[ȳn ] = µ
$ * " - % " $ * $ % & ' # & ' '

! ! %'! !%'!% %' !" !%"
x1 , . . . , xn
%' " !%
µ1 , . . . , µn σ1 , . . . , σn Var[x1 + · · · + xn ] = σ12 + · · · + σn2
$ %( % % ' 3 % * $ &' )
n=2
Var(X1 + X2 ) = E((X1 + X2 )2 ) − (µ1 + µ2 )2

= E(X12 ) + 2E(X1 X2 ) + E(X22 ) − µ21 − 2µ1 µ2 − µ22

= E(X12 ) − µ21 + E(X22 ) − µ22 + 2 (E(X1 X2 ) − µ1 µ2 )
= σ12 + σ22 + 2 (E(X1 X2 ) − µ1 µ2 ) .
2
( "
X1 ⊥ X2
ZZ
E(X1 X2 ) = x1 x2 f (x1 , x2 ) dx1 dx2
Z Z
= x1 x2 f (x2 ) dx2 f (x1 ) dx1
Z
= µ2 x1 f (x1 ) dx1 = µ1 µ2 .
4 '
Var(X1 + X2 ) = σ12 + σ22
* $ &'1 ( % # # - * $ & ' # %
'
!!

y1 , . . . , yn f
2 2
σ Var(ȳn ) = σ /n
* " - % " $ * $ % & ' # &'1 '
! " # $ %& '( ) * ! +

X
,
µ σ > 0-
P[|X − µ| ≥ ] ≤ σ 2 /2 .

Z
2
σ = (x − µ)2 f (x) dx
Z µ− Z µ+ Z ∞
2 2
= (x − µ) f (x) dx + (x − µ) f (x) dx + (x − µ)2 f (x) dx
−∞ µ− µ+
Z µ− Z ∞
≥ (x − µ)2 f (x) dx + (x − µ)2 f (x) dx
−∞ µ+
Z µ− Z ∞
2 2
≥ f (x) dx + f (x) dx
−∞ µ+
= 2 P[|X − µ| ≥ ].
* $ % &'& # & '& - $ $ $ % " %%% '

* # %- % ) % %) ( % % 2 '
2
!
* " &+

y1 , . . . , yn
2
µ σ
,
> 0-
& '&2
lim P[|ȳn − µ| < ] = 1.
n→∞

5 % ( * $ & '& &
ȳn
'
lim P[|ȳn − µ| < ] = lim 1 − P[|ȳn − µ| ≥ ] ≥ lim 1 − σ 2 /n2 = 1.

n→∞ n→∞ n→∞
% " * $ &'& % # 4 7 - " 7 ( $ .

% '
! (
* " & +

y1 , . . . , yn
2
µ σ
,
> 0-
P[ lim |Ȳn − µ| < ] = 1;

n→∞

-
P[ lim Ȳn = µ] = 1.
n→∞
% # % " % % , # -

7 7 # 47 7 ' 4 4 '1 '
! ( ! +
y , . . . , yn
2 1 √
f µ σ zn = (ȳn − µ)/(σ/ n)
- , a < b -

Z b
1 2
lim P[zn ∈ [a, b]] = √ e−w /2 dw.
n→∞ a 2π
z (0, 1)
n
* 7 - " 7 ( $ % % - $ /% %$ ( % - / # -
%$ % %$ ' % % % ( $ " %$ (
- % % %$ % - % ) ) " %$ ( %
n→∞
" %$ % % # % ( (
X̄n →
2
' 0 % ) , $ & '&& ) - - ( %# %$ ( %$

µ
4 - % 5 % ) %$ $ $ # $ ( %
P[ ]
( $ " %$ ( % %# " $ ) ) # & ' *
5 7 $ * $ % ( % / % %$ ( % $ %'
5 ( ) 5 7 $ * $ % %

lim pzn = (0, 1).
n→∞
% % ) " )
n

pz n ≈ (0, 1),
- ( $ %
√
pȳn ≈ (µ, σ/ n).
, $ & '& & - %$ ( # $ " 5 % "
) )
# & ' * % %$ ( % # # 0 ( & ' ' * (
% - % % $ " & %$ ( % ) ( % ' 0 %
= 50
%$ ( - ( $ % " % %$ .
= 50 X1 , . . . , X50
( % ' ) % # √ '
Xi ∼ (.493) µ = .493 σ = .493 ∗ .507 ≈ .5
* " ) # 5 7 $ * $ ) -
= 50
√
X̄n ∼ (µ, σ/ n) ≈ (.493, .071)
* % % $ # % # ( " 0 ( &' '
% % # , $ % $ ' #
(.493, .071)
% ( % ) , $ ' * 5 7 $
θ̂ = X̄50 ∼ (.493, .071)
* $ % % , $ - # " ' % %
% ( ' 4 '& ' - # %( %% ( % " -
n
%
n = 50
( '
n
4$ )
-
X̄n ∼ (.493, .035) = 200
-
X̄n ∼ (.493, .016) = 1000.
* % # %% # $ # # # - % " 0 ( & ' '
* 5 7 $ * $ $ /% %$ % ( # % (.
" %$ %
ȳn zn
&' )
E[ȳn ] = µ E[zn ] = 0
2
0 1 2 3 4 5 6
Density
0.3 0.4 0.5 0.6 0.7
theta hat
n.sim = 50
8 10
Density
6
4
2
0
0.3 0.4 0.5 0.6 0.7
theta hat
n.sim = 200
20
Density
10
5
0
0.3 0.4 0.5 0.6 0.7
theta hat
n.sim = 1000
0 ( & ' % $ % " % %$ ( % ' 4 # ( % $ .

, $ % # 5 7 $ * $ '
2
' √ ) #
SD(ȳn ) = σ/ n SD(zn ) = 1
' % ) , $ ) $ # % ( '
ȳn zn
* % - " % # / - " $ * $ % & ' # &'1 ' %
# % / 5 7 $ * $ ' %( %
$ "$ 5 7 $ * $ % # % ( % "
ȳn
# %$ % # $ # % # " ( %
zn µ σ
" $ '
f

& ' 4 - " % $ %( " ) #

µ n ≥ 2
# % %%
A1 , . . . , An
n
[ n
X
µ( Ai ) = µ(Ai ).
i=1 i=1
' * ! ( # !! &
%$ ( # % ' 5 ( ( $ " & % ) % ) ' ' ' ) % '

( , ( & " ( $ ' - % - % ( %(
- ( , #

( - " - ( # ( , $ & & %
( %$ ( %$ %- '
'
& # $ % $ %
# ( % # ( - - #

( ( % $ " $ % ' * (
( ) $ ( % / " $ # ( ' "
% $ % ( ) % $ / # ( '
A≥2 A D
/ % $ # - "$ & $ % ' 4 % & $ $ ( %
" # / ( ) $ % / -
$ $ ( $ " & # $ , $ ( $ " $ % ' "
% $ % (
min(3, A − 1) % /
) $ # " # $ %"

D≥1 D
( % $ $ ( $ " & # $ , $ ( $ " $ % ' %
min(2, D)
$ % - % % / # # " # - $ , $ ( $ $ %%
( $ " $ % '
22
/ % - $ % % % # '

a a
% % # % $ #

% % ' d" % ( %d % - # ) % % #
# " # % - $ % % # '

% % % $ # % % # % ' 0 $ % )

" % # % % - % # $ % $ "$

# - %

- % # $ % $ " $ # '

- $ % % ) " - $ % $ #

" $ # '
•
" / % - $ % % - $ % ( ) %

$ / - # # " # % - $ %

$ ( - % -
-

4( % 6 & % - $ % ( % ) )

• C C
# ) 6 % $ ( % 1 ) 2 )
C3 C B B
# 4 ) # ( / % ( ' 1% 2
B3 B Ci B
4 6 & - %( %%"( % i " " (
/ %
' ( %" % % " ( & ' '

( %" % % " " " * $ & '& '

6 * $ & '& - % # % "( '
g
' % # $ ' ' * # " % " % $
Y Y ∈ (−1, 1) p(y) = ky 2
% ) '
k
0 # '
k
3 % # " '

7 ' 0 # # " " ' 6 '
Z = −Y Z
' % # $ '
U [0, 1] p(u) = 1
' - # % 6 % "( "
V = U2
' 0 # # " " ' 6
V V
% "( " '
U V pV (v) v
' - # % 6 % "( "
W = 2U
' 0 # # " " ' 6
W W
% "( " '
U W pW (w) w
21
' - # % 6 %
X = − log(U)
"( " ' 0 # # " " ' 6
X X
% "( " '
U X pX (x) x
' 7 , # " % $ % '
X∼ (λ) Y = cX c
# - # % " '
X
0 # # % " '
Y
$ # % ( " '
Y
2' # $ %% %( # " $ 4 & %% ' 7
X
( $ " $ ( %% %( # % $ # ' 7 "
Y =1
%( # % "$ # " %( # % $ ' 0 " "
Y =0
%% % "$ ' $ - $ ) $ #
$ %% ) " $ # - $ %%% #
$ # ' $ $ )
$ # $ %% ) " $ # - $
%%% # - $ # '
* !& # # # '

X Y
0 # '
[X|Y = 1]
1' 4( % %( # )' # % ( ' % %

% ( $ ) $ ,

% , $ ( "

% , $ ( "

# - % 4( ! % $ -
"
& ' * # $ % # # "

" .
X Y fX,Y (x, y) = 1
# $ # ! % . & ) ) & ) ) #
" XY
)& ' # ( $ % # * &

1
0 # '
fX (.5)
0 # '
fY (y)
0 # '
fY | X (y | X = .5)
# 0 # '
[Y | X = .5]
0 # '
fY (.5)
" 0 # '
fX (x)
0 # '
" fX | Y (x | Y = .5)
0 # '
[X | Y = .5]
&&' # ( " $ ! # % ( # ( # %/ ' ' ')
X Y
# % ! % % " 2 %( 2 '
p(x, y) " R x + y2 ≤ 1
0 # '
p(x, y)
# #
X Y
#

0 # $ # % % # '
" p(x) p(y)
# 0 # # # % % # '
p(x | y) p(y | x)
0 # ) ) # '
E[X] E[X | Y = .5] E[X | Y = −.5]
& ' " ! $ , $ & ' '

# ( & ' '
argmaxλ P[x = 3 | λ] = 3

& ' % #" " ( ( % # $ ' 0 # R '
p w R p(s) ds
0 # R " # " ( &' '
R p(s) ds
& ' 6 2 % ! % ! #" $ ( % % %" ! - % ' ' ' #
"
" $ % "

' ,

- ! % ( '
p(y) ≥ 0 y "
& '
1 1 2
p(y) = √ e− 2 y
2π
% #" " ( ( % # $ ' 0 # R 0 '
y −∞ p(s) ds
& ' % ( ) ( % # % % % $ ( $ '

%
y ∈ (0, 1]
p(y)
& ' 4 $ , % % # % % " " $ # % ' " $

% ( # ( % # " % (

( "
'

1&
&2 ' 6 " 6 ' ( % % $ /

X ∼
- ( % # # $
(λ) E(X) = λ
" $ # % ( '

6 " ' %
X ' ∼ (µ, σ) E(X) = µ "
"
&1 ' 6 " ' (%
* $ &X'1 ' ∼ (n, p) Var(X) = np(1 − p)
6 " 6 ' ( % % $
/ - ( %X # ∼ # (λ) $ Var(X) " = λ $ # % ( #
* $ & ' '

" , ) # ' ( % * $ & ' '
X∼ (λ) Var(X)
# " ) # ' ( % * $ & ' '
X ∼ (µ, σ) Var(X)
' ( % " ! % " ( & '& '

( % " ! % " ( & '& ' ! % '
"
& ' 7 ) # '
X1 ∼ (50, .1) X2 ∼ (50, .9) X1 ⊥ X2
Y =
' % # % ( ! - !
X1 + X2
Y (100, .5)
' 7 ) # '
X1 ∼ (50, .5) X2 ∼ (50, .5) X1 ⊥ X2
Y1 =
# ' % $
X1 + X2 Y2 = 2X1 "" Y1 Y2
% ( % " ! ! ( %- '
"" Y1 Y2
' 5 % # ( % $ % % ( ' $ %
" # % ( " % , $ ! , - .

$ # # % # % % ( ( '
' ') λ $ % # .
−λt ' %%( $ %( %%
# " ' 7 $ " , ( % $
p(t) = λe
# # # $T1 ( " % # ( % $ '
T2
% # % ! "
(T1 , T2 )
7 ) $ ( , - ( % $ % '
S =% T1 + T2 ' ' ! % ( % $
%
P[S ≤ 5]
- , $ ( %

%
E(S)
' $ ! % ( " - ( % #
% " - ' *
" % % # ( - " ( # '
% # % ( " "

1
) ( $ " $ % $ - % )

z "
) ( $ " $ % $ % % )
y "
) ( $ " $ % $ % % # ! % % #.
x
# ) "
"
# ) $ %
w " "
' " ($ % % % ) # " % $ ( % -
!
" " $
( %xxx ) - % ( $ "
p
$ ( % % %
" ( $ " " $
( %
%

' % % # ' % - % " $ - / % 1
" " $ $ ! ' * %% " %
" "
# % %% " ! % ' !-

& %

" -
%% $ '
" $ (
" " $ " "
- % % $ $
!
' "

' * $ % # ! # 4 % " % ' * $
%
" - " " $ ' %
- % % % * - " % % % % $ -

$ % '

"
2 ' %/ ! % % " - % $ ' 4 %

" $ / % ' " % $ %% % % ) $ % "
" " ( # '
" "
7 ( $ " % % % $ / % ' % # % .
( m " % , # ( #
% m % $ / % % $ - # 1 % % )
-
( %

7 ( $ " ( # % $ % " $ "
-r % ' % # % ( " " % , #
( # %
r
r≥1
1 ' 7 # % ! "( ' * - - ! % #
(x, y) ( RR fx,y
' - ! % ' * % %
Ey
- # % !
yfx,y (x, y) dxdy
) # $ # % ! )

(
R fx,y "
' 4 - % - $ # % % $
fy
%- '

yfy (y) dy "
1
' 6 * $ & ' ' & # % % '

"
& ' 6 * $ & ' ' 2 ( ( % % '
"
' % # $ ! % % $ .# ( % ' 7 #
"
% " $ # # ( ) % ! ' * ( xi yi
0 %
" i "

# # #
xi xj
# # #
xi yj
# # #
yi yj
# # # #
xi yi
' % " % $ $ - / % # - # # #
%( % ' 7 & %( " % # # %(
" % # ' % ! &
& &

"

' # %( % % % $ # # 4 ) # %.

% ( ) ! % % % '

4 ( % ' & "

( ) % & ) ' * # # % # %

% ' * % % ( ( ' $ - 4 " %
! # %
% %( 1 1 " $ ' $ "
- #

4 % ! # % % %( ! " $ '
"

0 ( % ) % %( % % ' 5 (
! % 4 '

' 0 ( % % % ) % % " - / - ( $ "

- # $ %% % %( %

# ( ( % )
% % ) / % ) " ' -"
" " "
%/ % % ( % % # ! % / ! $ ! ( ( "(
%- % '

* ( # $ ) % % # % # $ # "

"
# $ # % % ' * " - % ( % % $ # '
"
% # % % # # % " - % ( % '
%%
* ) ( # % - $ ' " # % # % ) %- ( %
" "
' " # % % ) %- ( % ' ( % %- ! % '
$
- ( % ! ( %- '
"
( % % ! ( ( $ # #

"
1
( % ! ( ( % #

( % % # %- ( "( ! - ( %
( % ) % $ # ' % %"
% # % - ( '

( $ ! %%( $ % # % ( "( # ( $ .
% ( ! / ! ## ' 7 !

# $ ! % # % % ( % # ' p

% ! # $ ! % # % %- %
! %
4( % - %( ! & ' 7 ( $ - %-
! % ' % # % ( " X
X
' &1 1 & 4 3 % &11 & # # % ( %% % ' %% 3 % .
- % % $ " % ! " ! # % % % 4 6 % '
* % ( % % ( %
% " , $ %

- % # / ( % ! (
! " ' 3 % , %

' ' ' ( " # , $ % ( " ( % ' *
% % "
) - $ % # " !

$

% # ! 4 # 4 ' * , $ "

"
% " %/ ) % % % " $
#
%( % % % ( # " % % % " ( .

% ' "( #" % # ( "
# # % / -
" " "
- % ' * " (
%
%% % 7 - % ! %/ % % ( $ .
"
( # $ ! % ' #
, $ / -% # ! "" '

# 4 % ( % # % (" #. % # ) .
! % #
# $ % ' % # %
" #

% ( # % ) - - % #

# " # ' " .

# $ ) 4 - % $
" %
# % # % " $ % % .

' * $ % % # #'
"
" "* ( # %% / % $ $ # ! "
.$ ( % # " " # '
* $ % #
$ ) - % " " ( % " $
/
"
1
% ( ' % %/ # .
# - % ! " $ % " # $ '
"
* % # / %
"
# ) "
% / # % ) # % % # ' * %%" %
"

( $ ! # # ! $ ( ' * $ (
# % !% % " # / '

% % " ( " # , $ % ! # ! 3 % ) -
" % '" 7
( $ " # % '
X
%% ( % "
X
%%( $ % 4 6) # ) - % # % (.
" " "
X
6 $ " " # % ( '

# 0 # # '
E[X] SD(X)
# # $ , $ '

" (# " $ ) , $ ! - ( % "
"" % % - 4 6) ! % %
X "
" ) ( $ " % - % ' # ! (
" ( # x = 122

' * % , % % % # $ ( " %% ( % %
5 7 $ * $ ' - %
! -
( % % ' "

- %
"

* , - - !
, - . -

-
* /
- /
"
1
6 - / / .

" -
"
- * /

6
- "/
/ - "

- ! / -
"

- - - !
"

" "
2 4 ,
- " ! -
(100, 10)

(105, 10)
, ,

,

- .

-

1 .

!

-
- ! -
"

- +

-
"
- + / - -
"
- - !
!
/ -

-
" " "
"
- -

- ! ! / !
•
-

4 ! !
•

" "
" "
5 - -

1
4 - ! - .

"
-
"
+ / ! -
"
6
"
12

! "

y1 , . . . , yn

f Y

f 1 n
(y , . . . , y )
E(Y ) Y f

! R (y1, . . . , yn) !
f
yf (y) dy
!
"
" "
!

"
!

" !
!
" Y f

!
f

" f !
f
!

f
!
! f !
!

" f #
! ! !

"
f

$$

"
!
"
& &#
% (
" "
! "

"
" y1, . . . , yn

f
f
&

!
f

f
{fθ : θ ∈ Θ}
θ
θ
" fθ
& (
"

f

! "

"
& & ( '(
&
& ( # & ! !

!
y1 , . . . , yn f

& # ( !
"

f

y

" f

!
f
y
& # & ( (

f " "
" "

! !

"

! !
"

"
!

!
"

" !"
!

! !

!

$

!
P
$ ȳ = n y i

−1
!

" !

"

!

!

y1 , . . . , yn n
& ( ( ! & # + ! !

& ( P
ȳ ≡ n−1 yi

& ( !
m

yi m
# ! yi
" m

!

#
m ∈ !
[5, 6]
"
!
"

) * ( & & ! !

p

p ∈ [0, 1]
"

" q pn q
(1 − p)n " q

"

$ "

"

$

!

"

"

"
$

!
p #q ! qp
p (y1 , . . . , yn )

! qp (y 1 . . ,yn )
, .

" "

yi " y(1) , . . . , y(n)
y(1) ≤ · · · ≤ y(n) .

q0 ≡ y(1) q1 ≡ y(n)

y(2)

" y(n−1) n − 1
[y(1) , y(n) ]
i = 1, . . . , n − 2 q i ≡ y(i+1)

n−1
!
! i
p ∈ ( n−1 i+1
, n−1 ) qp (q n−1 i , q i+1 )
n−1

p qp "

q
.5 (q ,q.5 ,q.75 )
.25
" q.1 , q.2 , . . .
q.78
# i+1

! p ∈ ( n−1i
, n−1 )

" (3.25, 7.75)

(y (1) , . . . , y (n)) "
!

y(i)
i

a b
0.8
F(y)
0.4
0.0
0 2 4 6 8 0 2 4 6 8
y y
c d
0.8
0.15
F(y)
p(y)
0.4
0.00
0.0
0 2 4 6 8 0 2 4 6 8
y y
$

$
"

!

" "

•

!

! ! !

& (
& $ (

rP
(yi − ȳ)2
s≡
n

rP
(yi − ȳ)2
s≡
n−1

n "
s
$
( # &

P
2(yi − ȳ)2
s ≡
n

P
2(yi − ȳ)2
s ≡
n−1

n "
s 2
( &
) *
&
( &
" q.75 − q.25

"

!

"
"
"
! "
"

!

!
f "
f " ! "
"

" " f

f "

"
"
!

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!

"
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" "

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VC, 0.5 OJ, 0.5
3.0
5
4
2.0
3
2
1.0
1
0.0
0
0 5 10 20 30 0 5 10 20 30
VC, 1 OJ, 1
0.0 0.5 1.0 1.5 2.0

4
3
2
1
0
0 5 10 20 30 0 5 10 20 30
VC, 2 OJ, 2
0.0 0.5 1.0 1.5 2.0
3.0
2.0
1.0
0.0
0 5 10 20 30 0 5 10 20 30
! !

" "

"

$

VC, 0.5 VC, 1 VC, 2
3.0
2.0
4
2.5
1.5
3
2.0
1.5
1.0
2
1.0
0.5
1
0.5
0.0
0.0
0
0 10 25 0 10 25 0 10 25
OJ, 0.5 OJ, 1 OJ, 2

2.0
3.0
5
2.5
4
1.5
2.0
3
1.0
1.5
2
1.0
0.5
1
0.5
0.0
0.0
0
0 10 25 0 10 25 0 10 25
! !

" "

"

VC, 0.5 VC, 1 VC, 2

3.0
2.0
4
3
1.5
1.0
2
1
0.0
0.0
0
0 10 25 0 10 25 0 10 25
OJ, 0.5 OJ, 1 OJ, 2

2.0
3.0
4
1.0
1.5
2
0.0
0.0
0
0 10 25 0 10 25 0 10 25
! !

" ! "

"

! & '

& "
" ! % " (
! % !
" !
&
% ! !

"

! ! !
!
"

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!
!

"
& ( & & (
% & !# &+
! # % !

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%

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% ! %
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% !

! % % "
" %
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% % !
% % % %

!
% ! %!
' !
x1 x20
! !
x1 , . . . , x20 f
% !
& %
f x

!
f (x) x
& % % " & f(x)

!
% ! %
n
%
% & %
h>0 x fˆ (x)
n ! ! !
1 X h x
fˆ (x) ≡ 1(x−h,x+h)(xi ) =
2nh i=1 2h
% !
fˆ
ˆ "
f (x) " (x − h, x + h)
% ! " % %
" "
x
! ! !
x
ˆ !
f (x) h
% % !

! % % % !
x g0 g0
% &
0
1X
fˆ(x) ≡ g0 (x − xi )
n

# % % % % %

g0 fˆ
%

Z ∞ Z ∞

ˆ dx = 1
X
f(x) g0 (x − xi ) dx = 1
−∞ n i −∞
% ! %

g0
% " ! ! ' % !
fˆ g0 (−h, h)

% # % &

g0 h>0
! %
g(x) = h−1 g (x/h)
0 g R g0
! ! '
h−1 g=1
& %
1X 1 X
fˆh (x) ≡ g(x − xi ) = g0 ((x − xi )/h)
n nh
!
h fˆh h
% % ! "
! " % " ! !
f

%
! %

! % % ' !
f
% ' ! ' "

!
(a) (b)
8
4
6
3
4
2
2
1
0
0
120 140 160 180 120 140 160 180
calories calories
(c) (d)
5
4
0.010
density
3
2
1
0.000
0
120 140 160 180 100 150 200
calories calories
(e) (f)
0.030
0.020
density
density
0.015
0.010
0.000
0.000
100 140 180 100 140 180
calories calories
! + !" + !# +

" "
! + !& + !
+ !

"
"

! ! %
•
% %
•

•
'
' % ! % "
• g0

(0, 1)
! ! %
•
%
!
•
%

% #
& ( % &

"

! +
"

"
!
" " ! "

" ! !

"
#
!
" "

" "

(a)
2
dose
1
0.5
5 10 15 20 25 30 35
growth
(b)
2
dose
1
0.5
5 10 15 20 25 30 35
growth
(c)
VC
method
OJ
5 10 15 20 25 30 35
growth
! !

"
" " "
! !
" " "

% & !

!
"

!

% & ! * #
& & +
! '
"

! & % !

% % %

&
%

! % !

! % !
! %
%
! % %
% !
% %

% " % " %
%
& ! ' %
! ! % %
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!

% " % " % %

"

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!
!

" !

'
% %

& "
"
% ! &
"

! " % % %

"
% !

% &

!

! ! ! !
" "

!
"
! "

" "

" "

"

"

n = 213 x , . . . , x
1 213
! ! !
"
(x , . . . , x(213) )
(1)
"

E[(z(1) , . . . , z(213) )]

! !
x i
" !
"
"

!

$

Individual quizzes
10
8
6
4
2
0
Q1 Q4 Q7 Q11 Q15 Q19 Q23
Student averages
0 2 4 6 8 10
score

"

!
" !"

"
"

! !
"

! !
# " !
" ! !

"
% &
# ' " !
% ' %

" !
%

% (


10
9
6.5
8
9
7
8
5.5
6
7
5
6
4.5
4
−3 −1 1 3 −2 0 2 −2 0 2
n = 213 n = 105 n = 112

10.5
9.5
7.5
9.0
9.5
8.5
6.5
8.0
8.5
5.5
−2 0 2 −2 0 1 2 −2 0 2
n = 37 n = 24 n = 44

7.6
8.0
8.5
7.5
7.2
7.5
7.0
6.8
6.5
6.5
−2 0 2 −2 0 2 −2 0 2
n = 47 n = 35 n = 27
" ◦
"

%

" '

" ! !

% ! "

% %
! ! % ! %
% ! &
! % & %
" !

!
1198/(1198 + 1493) = 44.5%
!
557/(557 + 1493) = 30.4%

!

! !
!
!
!
! ! !
! %
! !
! !
!
"
!

% " !
% (

! !
" ! ! !
!
' !
" !
" # '
%
% "
' !
'
% ' !

!
& !

Student admissions at UC Berkeley
Admitted Rejected
Male
Gender
Female
Admit
$
"

Student admissions at UC Berkeley
Male Female
Admitted
Admit
Rejected
Gender

"

% ! #

% ! !

!

" "
!
"
% %
%
! !
!
! ! %
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% & !
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% %

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!
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! %

% %
&
! ! & "
% " ! !
!

$

(a) (c)
1 2 3 4 5 6 40 60 80 100
duration (min) waiting (min)
(b) (d)
0.5
0.03
0.4
0.3
Density
Density
0.02
0.2
0.01
0.1
0.00
0.0
1 2 3 4 5 6 40 60 80 100
duration (min) waiting (min)

! "
"

90
80
time to next eruption
70
60
50
1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0
duration of eruption
#

" "

4.5
duration
3.5
2.5
1.5
0 50 100 150 200 250
data number
b
90
waiting time
70
50
0 50 100 150 200 250
data number

"

" "

a1
duration
3.5
1.5
0 50 100 150
data number
a2
duration
4.0
2.0
0 20 40 60 80 100 120 140
data number
b1
waiting time
80
50
0 50 100 150
data number
b2
waiting time
80
50
0 20 40 60 80 100 120 140
data number

" ! " "

! "
"
"

"

"

" "
" "

"
" "
"
"

(−17, −10) " "
!

! !
"

! !
35◦

"

! " "

" " ! (−20, −13) (−25, −16) (−30, −20)

(−34, −25) (−40, −28)

! "
"
! #
• "
!
•
#
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!

• "

" "
! "
!
"

"
"

! #
"
"
! " "
" "
!
"

! !
"

# ! X∼
(λ)

!
λ X ∼ ! (n, θ) θ

X

X ∼ (µ, σ)
!
!
µ σ ! #

!λ θ (µ, σ)

λ
θ (µ, σ)
,
!

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"
!
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!

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"
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Given : lon
−40 −35 −30 −25 −20 −15 −10
20 30 40 50 20 30 40 50
15
10
5
temp
15
10
5
20 30 40 50
lat

" "

Given : lat
20 25 30 35 40 45 50
−40 −30 −20 −10 −40 −30 −20 −10
15
10
5
temp
15
10
5
−40 −30 −20 −10
lon

" "

X

"
!
X∼ (λ)
λ #
"
! X
!

λ

Pr[X = 3 | λ]

!
λ

`(λ)

λ X=3 " "
! !

!

! θ X , . . . , Xn ∼
1
f (x | θ)
θ
Y
f (X1 , . . . , Xn | θ) = f (Xi | θ).
#
θ
f( | θ)
" !

"
θ
`(θ) `(θ | ) !

`(θ 1 )/`(θ2 ) > 1
θ1

θ2
`(θ )/`(θ ) = k θ
1 2 1
k ! θ2

X

NR, R, NR, NR, NR, R, NR, NR, NR, R

X = 3

X ∼ (10, θ) À (θ) = 10
! 3 θ 3
(1 − θ) 7
" ! ! !

"

" !

θ θ ≈ 0.3

θ

!
θ ≈ 0.3

! !

θ ≈ 0.1 θ ≈ 0.6

θ
"
θ ≈ 0.3
"

1.0
0.8
likelihood function
0.6
0.4
0.2
0.0
0.0 0.2 0.4 0.6 0.8 1.0

" `(θ) θ

$

!

" "

! !
•

" "
!

!
!

Y

Y = 10

`B (θ) = P[Y = 10 | θ]
$
= P[ " ] × P[ ]

9 2
= θ (1 − θ)7 × θ
2

9 3
= θ (1 − θ)7
2
! 9 10
! 2 / 3
`B À
!

θ
" !
!
Zk
1
Z
k

#
Zi " ! i !
!

`C (θ) = (1 − θ)θ(1 − θ)(1 − θ)(1 − θ)θ(1 − θ)(1 − θ)(1 − θ)θ = θ3 (1 − θ)7

!
!
`C
À `B
!

"
!

"

θ !
"

% & && +
!
% ! " !
! " &
! ' !

`(λ) ≡ p( | λ)
= p(y1 , . . . , y60 | λ)
60
Y
= p(yi | λ)
1
60
Y e−λ λyi
=
1
yi !
−60λ 40
∝e λ
Q " !
yi ! λ
" P "
`(λ) `(λ) y
' P i ' "
yi yi = 40

#

yi `(λ)
'
% !
!
! " !
λ

!
0.8
likelihood
0.4
0.0
0.0 0.5 1.0 1.5 2.0
" P
" `(θ) yi = 40

% & &

" ! !

# !
% ! "

!

! # ! ! "

! " " !

! ! & "

% % ! !
# ! " "
% ! ! ! !
" !
% !
" %

!
%

% ! " "
X
%
% "
X∼ (145, θ)

' !
x=8

`(θ) ∝ θ8 (1 − θ)137

" !
θ
% "
% " ! ! % %
θ
%
likelihood
0.00 0.05 0.10 0.15 0.20
$

"
% !

!
& ! ! " !

θ

`(θ)
' ! '
!

!

!

!

!

!

"

! " "

"
!
"

"
!

"
"
"

# " !

!
n P[n | ] = 2−n P[n | ] =
n
" 2
1
"
"

argmax `(θ) ≈ .055 `(.025)/`(.055) ≈ .13 ≈ 1/8

" θ = .025 θ = .055

"

"
!
" θ = .1

`(.011)/`(.055) ≈
`(.15)/`(.055) ≈ .001

" θ = .011

θ = .15
"
θ θ = .025 θ = .1

θ ≈ .055 ! θ
" θ

!!

!

" !

"
! ! #
X1, X2 ,. .. , Xn ! f

f

"

f µ σ
! µ
(µ, σ)
Q `(µ, σ)
=
f ( | µ, σ) =

f (Xi | µ, σ) f
`(µ, σ)

"
µ
X̄ X̄

!
µ δi ≡ Xi −
X̄, i = 1, . . . , n

n "
√ !
X̄ ∼ (µ, σ/ n),
# 2 !
σ
X
σ̂ 2 = s2 = δi2 /n

!

2 !

1 µ − X̄
`M (µ) ∝ exp − √ !
2 σ̂/ n

"
! $$
!

" "

#

" "

!
% & &
&

' '

X
i ! 2
X̄ = 8/145 ≈ .055 σ̂ = (8(137/145)2 +
2

137(8/145) ))/145 ≈ .052 σ̂ ≈ .23
2 !

1 µ − .055
`M (µ) ∝ exp − √
2 .23/ 145
' !

' % '
0.8
marginal
likelihood
exact
0.4
0.0
0.00 0.05 0.10 0.15 0.20

" "
% !

!

% &

#
%

%
" %

! ! ! %

% % % &

& ! & "

' % & " "
"
!
! " ! & ' &
% !
$ !

& ! ' ' (

% !
n = 60
! # ! &
"
µ
' !
` (µ)
M

! "

! %

! "
% #

% ! '
X̄

' !
`M (µ)

!
(a)
0 200 400 600 800 1000
Salary (thousands of dollars)
(b)
1.0
likelihood
0.6
0.2
340 360 380 400 420 440 460
mean salary
!
" "
"
!

% !

•
!

•
%

%
•

%
!

! % ! !
•
% %

#

Xi (µ,
σ)
(µ, σ)
% & &
%
# '

#

2
$
!

# %

! & % ! % " %
% " ! %
% " % !

" ! % %
% %
" !
(µ, σ)
%

' !
n
Y
`(µ, σ) = f (xi | µ, σ)
1
n
Y 1 1 2
= √ e− 2σ2 (xi −µ)
1
2πσ
1 Pn 2
∝ σ −n e− 2σ2 1 (xi −µ)
% ! ' !

' !

(µ, σ) ≈ (1.27, .098)
" ! %

(µ, σ)

' % !

!

" !
(µ, σ)
%
µ
! # "
µ 2

%
σ
! ! % % "
` µ σ
% % !
" !

µ
' ! !
σ = .09, .10, .11

%
"
!
" ! " ! "
µ

" ! ! ! "
&
σ
' ! !

µ
" ! ' " !
µ µ
" % "
(1.25, 1.28)
"

(a) (b)
0.12
5
4
0.11
3
0.10
σ
2
0.09
1
0.08
0
1.0 1.2 1.4 1.6 1.20 1.30
basal area ratio µ
(c)
1.0
0.8
likelihood
0.6
0.4
0.2
0.0
1.20 1.30
$$"
"$$ " ÷

%

•
'

" "

"

! "
• µ σ
" '

!
•
" !

`(µ, σ)
"

"
•
" '

&
•

" " ! "

"
% '

•
! $
"

%
' !

•

! " !
σ σ = .09, .10, .11

% &
& &
%

% %
% ! ! !
" "
% % %
%
%
(µ, σ)

' !
" ! !
µ
% % " ! ! % %
σ
! ! ! %
(µ, σ)
" ! &
'
!

%

1.3
1.2
1.1
1.0
σ
0.9
0.8
0.7
6.8 7.0 7.2 7.4 7.6

"

!

!

"
! " ! !
"
!
"

! !

% & && &
% " %

% " "

! '
" " ' ! %

&
" "
' % "

% !
" " %
t

t−1

% ! #
!
!

!
! !
% % !

& % " %
"
!
T % % !
N
i ! %
i NiO
% " % !
i
T

Ni ∼ (λ)

$$ " "

$$

$$ $$
"
! % !

θf θf
! % ! % !
! ! ! & "

"

T
θf NO ∼ (NiT , θf ) NiO Ni
% "
i %
(λ, θf )
! ' O
N1992 = 0
% ' !
`(λ, θf ) = P[N O = 0 | λ, θf ]
X∞
= P[N O = 0, N T = n | λ, θf ]
n=0
∞
X
= P[N T = n | λ] P[N O = 0 | N T , θf ]

n=0
∞
X e−λ λn
= (1 − θf )n
n=0
n!
∞
X e−λ(1−θf ) (λ(1 − θf ))n
=
n=0
eλθf n!
−λθf
=e

! ! "
log `(λ, θf ) log ` `
10

10 ! "
! % %
log10 `(λ, θf ) = −1 (λ, θf ) = (2.5, 1) (λ, θf ) =
" O %
(6, .4) (λ, θf ) N =0

λ=0 θ =0
f
% ! ! " % !

!
λ
"
& " !
λ

" % ' %

! % "
θf
%
" !

% % " !
λ
" " ! " % ' !
λ
% " ! ! %
θf
" ! " !
" %
λ θf
' !
" ! ! " ! '
λ λ
% % " !
% &
θf
% ' ! !
! !
' %
λ θ
f"
!

•
%
!

(a)
0.8
θf
0.4
0.0
0 1 2 3 4 5 6
(b)
0.8
θf
0.4
0.0
0 200 400 600 800 1000

" ! " (λ, θf )
"

#

! ! !

"

!
!

" θ
!
! " t
t ∼ (θ, σt )
!
! σt

"

θ `M (θ)

!

! "

y
" θ y !
p(y | θ)

! `(θ)
θ

θ `(θ) θ

`(θ1 ) > `(θ2 ) θ1
θ2 ! "
θ1 θ2

`(θ)
`(θ1 ) = 2`(θ2 ) θ1 θ2
" θ θ̂
!
θ y

θ
`(θ) " !

!

θ

`(θ) θ

θ̂
θ̂ ≡ argmaxθ p(y | θ) = argmaxθ `(θ).
$
" θ

`(θ)
$ y = 8 !
" "" θ̂ ≈ .05.
$

# !

`(θ)
"

"

`(θ) ∝ θ8(1 − θ)137

`(θ)
∝ 8θ7 (1 − θ)137 − 137θ8 (1 − θ)136
θ
= θ7 (1 − θ)136 [8(1 − θ) − 137θ]
!
"
0 = 8(1 − θ) − 137θ
145θ = 8
θ = 8/145 ≈ .055

θ̂ ≈ .055

`

! !

"
"

!

n − y y " θ̂ = y/n
!

" log
! argmax `(θ) = argmax log(`(θ))

"
Q
log ` `(θ) = p(y | θ) log `(θ) =
i
θ)

P
log p(x i |

log `(θ) = 8 log θ + 137 log(1 − θ)

log `(θ) 8 137
= −
θ θ 1−θ
137 8
=
1−θ θ
137θ = 8 − 8θ
8
θ= .
145

y1 , . . . , yn ∼ (θ) θ
X
θ̂ = n−1 yi =
!
"

y1 , . . . , yn ∼ (µ, σ) µ
X
µ̂ = n−1 yi =

y1 , . . . , yn ∼ (λ) λ
X
λ̂ = n−1 yi =

y1 , . . . , yn ∼ (λ) λ
X
λ̂ = n−1 yi =

! !

" "

θ̂ θ
! !

θ
θ̂ " "

!

! !
" "
θ
!
`(θ) > `(θ̂)/10
"
( )
`(θ)
.1 ≡ θ: ≥ .1
`(θ̂)
! !

" α ∈ (0, 1)
α
( )
`(θ)
α ≡ θ: ≥α
`(θ̂)
!
θ
α !
θ
! !

α!

!

#

θ
!
α
α ≈ .1

!

!
!
`(θ)
" $ " θ̂ " θ →
±∞

" θ ≈ θ̂ ⇒ `(θ) ≈ `(θ̂)
θ
θ̂ θ̂

α
α = [θl , θu ]
!

θl θu

"

!
θ̂ = 8/145

`(θ̂)
"

! !

!! θl θu

≈ .013

≈ .015

$ " θ
.1 ≈ [.023, .105]
"
"

"
θ
"
! θ

! ! !
! θ !
# n → ∞ ""
" "

θ

"

% &
% &
% % !
θ
!
! " !
%
! ' !

`(θ)

`(θ)

" !
" % ' ! !
!
≈ [.15, .95]
! !
.1

`(θ) ≈ [.05, .55]
! ' ! .1
%
[.25, .7]
! .1
' " ! %
[.38, .61]

1.0
0.8
likelihood
0.6
0.4
0.2
0.0
0.0 0.2 0.4 0.6 0.8 1.0
!

" $ θ
"
" "

!

!

" "
!
! !
!

θ̂

y1 , . . . , yn
" " θ̂

θ̂

#

θ̂
Fθ̂
! Fθ̂
θ " "
!
n = 50, 200, 1000
$ θ̂
θ̂
Fθ̂ "

"
θ̂
!
" F
! θ̂
" θ̂ θ Fθ̂
! ! !
" θ θ̂ " Fθ̂

!

!

"
!
θ θ̂

θ̂1 θ̂2
! Fθ̂1 Fθ̂2

" "
θ

y1 , . . . , yn
#
FY
θP≡ E[Y ]
θ̂1 = (1/n) yi
θ̂2

"

n = 4, 16, 64, 256

FY (0, 1) θ̂1
θ̂2
" F Y " "
# F Y
"
" "" " !θ̂1
θ̂2

θ
θ̂1 "
θ̂2 "
!

" "

! !
"
θ̂2
θ̂1

θ̂

(a) (b)
0.5
1
0.0
0
−1
−1.0
−2
mean median mean median
(c) (d)
0.2
0.4
0.0
0.0
−0.2
−0.4
mean median mean median

" " θ̂
1

θ̂2

! !

!
Fθ̂ "
!

!
#

FY

! !
" θ̂

!
!

θ̂ ∼ (µθ̂ , σθ̂ ).

µθ̂ = µY
"

σY
σθ̂ = √
n
!

" "
!

#

n = 5, 10, 25, 100 p = .1
! ! "

"
!

" "

(a) (b)
12
12
density
density
0 2 4 6 8
0 2 4 6 8
0.0 0.2 0.4 0.6 0.0 0.2 0.4 0.6
θ^ θ^
(c) (d)
12
12
density
density
0 2 4 6 8
0 2 4 6 8
0.0 0.2 0.4 0.6 0.0 0.2 0.4 0.6
θ^ θ^

" " !θ̂

(n, .1)

! !
"

!

! ! " n
" FY "
"

n = 5 " !
n
" " " n

! n
! n =
256

θ̂

" "
θ̂

!
"

#
! !

|θ̂ − θ| θ̂ ∼ (µθ̂ , σθ̂ )
$
σ θ̂
±2

Pr[|θ̂ − θ| ≤ 2σθ̂ ] ≈ .95
$

$ !

# ! !

" ! "
" Fθ̂
`(θ)
"
# √
θ̂ ∼ (θ, σθ̂ ) σθ̂ ≈ σ/ n
!

$
θ
±2σθ (θ̂ − 2σθ̂ , θ̂ + 2σθ̂ )

#

"
2
"

`(θ) ≈ exp − 21 σ̂/ θ−√Ȳ
! .1 ≈ (θ̂ −2σθ̂ , θ̂ +2σθ̂ )

n

#

θ!

p(θ)
"
p(θ)
"
θ p(θ)

θ

$
! # p(θ)

θ
" &
! % p(θ) ! #
" & &

$

!

(

! '

! !
P( ) = P(' ) = 1/2 ! )

P( ) = 1 P(' ) = 1

' ! #
! #
!
*+ * , * , *+
&

! −$1 + P[ ] × $10 !
* +

P[ ] ≥ .1 !
!

!

•

!
# " "
•

!
#
•

!
#
• !

" "
•

!

•
" "

!
• #

!

θ
" ""
!

"

!

"
!

θ

p(θ) θ! '

" p(y1 , . . . , yn | θ)

y1 , . . . , yn
θ!
"
p(y , . . . , yn , θ) !

1 "
p(θ | y1, . . . , yn ) θ y1 , . . . , yn ! #

p(θ | y1 , . . . , yn )

! p(θ)

p(θ | y1, . . . , yn )

!
* *

# !
& * *+ ++
!
( $
'

!
"
=1
"
=0 ! ' ' =1
" "
' =0
$ !#
P[' = 1 | = 1] = P[' = 0 | = 0] = .95 !
"

"
P[ = 1 | ' = 1]
# "

'
"
! '

( , ')

"
'! '

P[ = 1 ' = 1]
P[ = 1 | ' = 1] =
P[' = 1]

P[ = 1 ' = 1]
=
P[' = 1 = 1] + P[' = 1 = 0]

P[ = 1] P[' = 1 | = 1]
=
P[ = 1] P[' = 1 | = 1] + P[ = 0] P[' = 1 | = 0]
(.001)(.95)
=
(.001)(.95) + (.999)(.05)
.00095
= ≈ .019.
.00095 + .04995 $ !
'

" "
" $
!
*+ + + *
!
" " ( $$$

" + " (
* " *

$
! ' ! '

!
#
'
"

*

=0 = 1!
`(0) = .05; `(1) = .95
$

"

!

P[ = 1 | ' = 1] P[ = 1 ' = 1]
=
P[ = 0 | ' = 1] P[ = 0 ' = 1]

P[ = 1] P[' = 1 | = 1]
=
P[ = 0] P[' = 1 | = 0]

P[ = 1] P[' = 1 | = 1]
=
P[ = 0] P[' = 1 | = 0]

1 .95
=
999 .05
≈ .019
"
' ! '

!
"

!
#

!
$

"

"

! y

y1 , . . . , yn !
p(θ, y)
p(θ | y) =
p(y)
=R
p(θ, y) !*+
p(θ, y) dθ
p(θ)p(y | θ)
=R
p(θ)p(y | θ) dθ
!*+ !$
!
"

p(θ | y) θ

p(θ)`(θ)
p(θ | y) = R
p(θ)`(θ) dθ
*

p(θ)`(θ)
p(θ | y) =
c

R
c = p(θ)`(θ) dθ θ! #
(
& θ θ

θ! ' c
* R
! ! ! p(θ | y) dθ = 1 ! # c

c!
p(θ | y) ∝ p(θ)`(θ) !
* *

# ! *+ c! !* *

cR
c = [ p(θ)`(θ) dθ]−1 !
! *!

!

% ! "
(λ)

% % ! " !

%

p(λ) = 4λ2 e−2λ (3, 1/2)

!
p(y | λ) ∝ λ3 e−λ
!

!

p(λ | y) ∝ λ5 e−3λ
!
!
(6, 1/3) c
% (
c =
6
1/[5! × (1/3) ]
! "

!
$ " "
!

!
y1 , . . . , yn
Y Y e−λ λyi P
`(λ) = p(yi | λ) = ∝ e−nλ λ yi
yi !
*
!

0.5
prior
likelihood
posterior
0.4
0.3
0.2
0.1
0.0
0 1 2 3 4 5

"
! λ

"
y=3
*

$

'

*
! !

`(λ)

!
n = 1, 4, 16

n = 1, 4, 16 ȳ = 3 !
*
! # n
$
!
' n λ

λ ! '
"

"
λ
!
!# n

$
`(λ) ! ' n

!
"
!

!

!

# P
log `(λ) = c +

n
log p(λ) + 1 log p(yi | λ) ! # n → ∞
"

log p(λ) !
$

# * ȳ + n+ !

! ! !
#

p(θ | y1, . . . , y60 ) ∝ λ42 e−62λ !

*
+
" (43, 1/62) ! ! !
! !!* !

" * $$$
!

!
! " !

"
"

*
a b
0.5
0.8
0.4
0.6
likelihood
0.3
prior
0.4
0.2
0.2
0.1
0.0
0.0
0 1 2 3 4 5 0 1 2 3 4 5
λ λ
c
1.0
0.8
posterior
0.6
n=1
n=4
n = 16
0.4
0.2
0.0
0 1 2 3 4 5
$

! λ n =
1, 4, 16
*
prior
likelihood
posterior
3
density
2
1
0
0.0 0.5 1.0 1.5 2.0
+

P ! λ n = 60
yi = 40 !
* "
! & %

! !
& " % %
" "
! "
% ! % %
θ
"

!
! " % !
"
! "
! ! ! #
4.2/145 ≈ .03
" ! % " ! % !
" !
θ ≈ .03
" % %! !
% ! %
!
θ ≈ .06

!
p(θ) =
Γ(20)Γ(400) 19
θ (1 − θ)399
!*
Γ(420)

!
(20, 400)

!
`(θ) ∝ θ8 (1−θ)137

p(θ | y) ∝ θ27 (1−θ)536 (28, 537)
!
Γ(28)Γ(537) 27
p(θ | y) = θ (1 − θ)536
Γ(565)

* * " "
! ! !
a −bλ a
λ e θ (1 − θ)b

"
c
! ' ! '
"

! '
"

"

!
* $
40
prior
likelihood
30
posterior
20
10
0
0.00 0.05 0.10 0.15 0.20
*

!
*" +

"
# "
! y1 , . . . , yn , yf p(· | θ) ! y1 , . . . , yn

yf

yf ! '
!

# yf !

!

"
#
" "

" "

y !#
f "
$ + "!
"
' (0, 5)
yf Pr[y ∈ (0, 5)] = .90 !
" f "

" $ + " $ " + "

!
" "
! #

$ + " " $
! (0, 5)
$ + " "
(−1, 4.5) !

"
" &

#

yf !
"

!
$ $
θ ! # "
y1 , . . . , yn !
$
$

θ!

y1 , . . . , yn , yf ∼ ! ! ! (−2, 1) !

'

θ
$
y1 , . . . , yn ! '

yf

"
θ!
y1 , . . . , yn yf
θ!
p(yf | θ, y1, . . . , yn ) = p(yf | θ).

'

θ
y1 , . . . , yn !
*" *
#

yf

ŷf = −2

$ +
(−2, 1) !
" #
(−∞, −0.72) (−3.65, −0.36)

(−3.28, ∞) !

"

" "

yf
"
! #

yf (−2, 1) !

$
yf !

θ! '

!
y1 ,.
. . , yn θ

p(y | θ̂) !
f "
! y ,...,y
1 n
"
µ̂ = −2 σ̂ = 1

! * *
!! !
" #
λ !
" λ̂ = 2/3 ! '

! ! ŷf = 0
$ "
! ' {0, 1, 2}

( $$ "
≈ .97 {0, 1, 2, 3} ! !
0.4
probability
0.2
0.0
0 2 4 6 8 10
"

! yf ∼ (λ = 2/3)

*"

'

$ " !
yf
$
" θ ! #
θ ! $
! '

!
"
"
y1 , . . . , yn

θ

! θ

!
"
!

" " "
!
$ " "

θ! #

! '
y1 , . . . , yn , yf
"
θ

θ
"
y1 , . . . , yn , yf , θ
" "
yf y1 , . . . , yn !
Z
p(yf | y1 , . . . , yn ) = p(yf , θ | y1 , . . . , yn ) dθ

=
Z
p(θ | y1, . . . , yn )p(yf | θ, y1, . . . , yn ) dθ
!*!
Z
= p(θ | y1, . . . , yn )p(yf | θ) dθ
! *! y
"
f
"
(θ, yf ) ! '
" R

R
p(y ) p(θ, yf ) dθ = p(θ)p(yf | θ) dθ
f
p(θ) p(θ | y1 , . . . , yn ) ! '
"
y1 , . . . , yn
'
"

θ

*
! !
!

" $

! *

θ
"
! !

!

*
θ
! !
"
!

*"
! % % !
Y
!

Y ∼ (λ)
! " %
p(λ) = 4λ2 e−2λ
% %
%
y
Z
pYf (y) ≡ P[Yf = y] = pYf | Λ (y | λ)pΛ (λ) dλ
Z y −λ 3
λ e 2
= λ2 e−2λ dλ
y! Γ(3)

!*
3 Z
2
= λy+2 e−3λ dλ
y!Γ(3)
Z
23 Γ(y + 3) 3y+3
= λy+2 e−3λ dλ
y!Γ(3)3y+3 Γ(y + 3)
3 y
y+2 2 1
= ,
y 3 3

# " %

!
3
2 8
Pr[Yf = 0] = =
3 27
3
2 1 8
Pr[Yf = 1] = 3 =
3 3 27

% %

& !
y1 = 3
%

36
p(λ | y1 = 3) = λ5 e−λ/3 .
5!
% " % !
% "
y1 = 3
Z
pYf | Y1 (y | y1 = 3) = pYf | Λ (y | λ)pΛ | Y1 (λ | y1 = 3) dλ
6 y
!*
y+5 3 1
=
y 4 4
*"
!

!
6
3
Pr[Yf = 0 | y1 = 3] =
4
6
3 1
Pr[Yf = 1 | y1 = 3] = 6
4 4

% %

! !
p(λ | y1, . . . , y60 ) =

6243 42 −62λ
λ e
!*
42!
! % " %
Pr[Yf = y | y1, . . . , y60 ] =

y + 42
6 y
62 1 !*"
y 63 63
% %

! % " " %
n=1 λ
! " %
% ! " % !
n = 60
% " ! ! %
" % " "
λ
%

!

0
!

& "
• !

0

• !

*
0.5
n=0
n=1
n=60
plug−in
0.4
0.3
0.2
0.1
0.0
0 2 4 6 8 10

!
"
y

f "
n = 0, 1, 60
*

"

• 0 !
"
• !

&
• !

0

• !

" " !
• '
"" !
0

• '

• !
"
0
• % !

• !

0
"
• !

!
• '
!
0

• '

" "
• !

0

"
• !

0

"
!
" "

!
"

" $
!
*

" "

!
"

!

"
&
&
" " " !

! '
!

0

0!
(

0 0

! '

!
*

!

!
!
w = w(y1 , . . . , yn )

&
w
0
!

! w 0!
" "
! w y1 , . . . , yn

0!

"

! '
" "
!
"

!

"
! Xi

! X ,...,X ∼
1 ( n

!! !

(θ1 ) ! %

Y1 , . . . , Yn ∼ ! ! !
E[w] = 0 !
(θ2 ) ! θ1 θ2 ! w = θ̂1 − θ̂2 !

$
0

' θ̂1 θ̂2 w!
$ &
$ " !

! "
# w
$

0!
*

"

' !

X , . . . , X ∼ ! ! ! (µ , σ1 ) !
" 1 n 1

Y , . . . , Yn ∼
1
! ! ! (µ2 , σ2 ) ! 0 µ1 = µ2 ! w = µ̂1 − µ̂2 ! '
(
µ1 , µ2 , σ1 , σ2 w

$ " !

! "

! # w
$ & $

0!
"

!

!
"
"
!
" &
0!

!

0!
"
0!
$
'

! '
& " $
!

!

#
"
!
( "

! #

! YC,i
$
i

YT,i
$
i ! '

YC,1 , . . . YC,n ∼ ! ! ! fC ; E[YC,i ] = µC ; Var(YC,i ) = σC2

YT,1 , . . . YT,n ∼ ! ! ! fT ; E[YT,i] = µT ; Var(YT,i) = σT2
"
µC µT σC σT ! '

:µ = µC
0 T
: µT 6= µC
*

$ &

w = ȲT − ȲC !

n '
2

+
w ∼ (0, σw2 ) σ = (σ 2
+ σ 2
)/n ! '
0
" 2 "
w T C
0! ' σ
" 2w 2
! σT2
C σ
w
σ w
!
$ $ $ "

! 0!
0

#

! '
"
! '

!
" ( "

! #

! Y Y
$ $ T,i C,i

i i ! '
(
1 YT,i > YC,i
Xi =
0

'

X1 , . . . , Xn ∼ ! ! ! (p)

p! '

: p = .5
0
: p 6= .5

Xi !
P
w=
0 w ∼
w
(n, .5) ! '
0
! !
(n, .5)

+ +
n = 100 ! w

0! w
+ +
! '

|w − 50| !

'
$ &
! ! ! ! 0

&
! w

!
* +
0.08
0.04
0.00
30 40 50 60 70
! (100, .5)

' w

! ' µ0
"
0!
σ0 w
!

0

* " $
!

" $
(

!
"
√!
µ0 = n/2 σ0 = n/2 0! n = 100 !

!
"

w

(µ0 , σ0 ) µ σ0
0 0
! t ≡ |w − µ0 |/σ0

0
$ "
0!

' !

! " #

$ % & # $ ' # ' $
= 0.5
( # ) * # +
#
* *
0.08
0.04
0.00
30 40 50 60 70
w

! (100, .5)
(50, 5)

' # # ) $

# $ # * *
x1 , . . . , x10
( # # * * (
= y ,...,y =
" # 1# #10 * # " # #
xi yi
# *
#
x1 , . . . , x10 ∼ f
#
y1 , . . . , y10 ∼ f
* # $ +
µ
≡ E[xi ] µ ≡ E[yi ]
# ' #

0 : µ
= µ

: µ
6= µ
$

* " # ) * #
$ ' '
w = |x̄ − ȳ| w 0
*
* * !
$

σ
x̄ ∼ µ
, √
n

σ
ȳ ∼ µ , √
n
$ #

0
r !
2 2
σ
+ σ
w∼ 0, ,
n
$ # # #
w SD
# $ #
'# ' # $
t/σ ≈ 3.2 t
# ' t # # ' # # $ ' #
0
0
* # # * * #

&
(

% &

&
(

% &
& &
% ! " # " & $
" & ! % & % ' % & % ' & (
" ' % " ' ' % ' & '
' '
' ' ) *+ ' ) & *
## '# '

t

(
w
0 !
*

0.15
0.00
−6 −4 −2 0 2 4 6

! #

t! '

" "
t !

* $ '

* # ' * *
#$ '
* ) & &%(
' # ' # '
# # ' * # '
# $ ' # ' $ '
' #
# ' # * * ' *
# " $ # # * #
' # ' *

# ## # '

& ) & & % & & (

!"! ! ! ##$ % &% $ '
*

& ) # ' * '# *

* $
& # ' *
*

* $
& # # * # '

* ## * * #
% & & * * *

' * ## # * $

( # * # #
* * $
! * * #

w
%
( & &
' # #

n = 147 w = 87
* * # *
# #
w 0

!
" $ $ $

!! " !! " ! ( # '

# $ ' # * $

* ' ## $
* $ $ * # * #
# # $ 0
# $ # # 0# $

* * # #

W
* # * $ #
* $ # $ * $ #
" ' #
% % " !! " & !! " ! ( #

!! " & !! " ! ( #

" *
& # ' "
! * "
# & " # & % % "
" ( # &

"
&
$ $ * '#

# #
w=9
0 * # * $ *
# ! " *
$ " ( ) ! $ ! ( # ' "

% % " ! ! " & !! " ! ( # $ ! ( #
! ! " & !! " ! ( # $ ! ( #
& # ' "
! * "
# & " # & % % "
" ( # &

& (

* $ " * # *

'# ' # '#
' # # # *
w
'# ' # *
w
$ # $ * ' #
0

$ # $ * $ #

'
0
' 0 ' $
" ' $ 0 ' #
# ' # ' $ *
0 0 * # #
" # $ # ' *
* * # # ' # )
# *
# #
$
* # # #
# 0 # * * * 0 # # $ '
$ * #
* # # * *
$ ! ( # " ( ! ( & ! ! " ! ( #

$ ! ( # " & $ $ ! ( # "
# ! ) '
! * $ ! ( # "
$ !! % !! " ! ( # $ ! ( # "
! " " ( !! " & $ ! ! %
!! " & $ !! %
" $ " $ ! ( # " ' "
" " ' ' ' $ ! ( # " '
$ & ) ! " ' "
# ! " ! " ' ' # ) *+ ' ) & *
# ! "

* # # * *
! " & # ' $ ! ( # "

" ' $ ! ( # " ' "
! * $ ! ( # "
$ !! % !! " ! ( # $ ! ( # "

OMO VIV
400
400
200
200
0
0
5 6 7 8 9 10 11 8 10 12 14 16
w w
NYA WEA
300
300
200
200
100
100
0
0 1 2 3 4 5 15 20 25 30
w w
LIN
100 150
50
0
8 10 14 18

0

200
100
0
50 60 70 80
w.tot

! " " ( !! " & $ !! %

!! " & $ !! %
" ' $ " $ ! ( # " ' "

! " ! " ( ! "
" ! # # " ' ' " (
" " ! ' ! ' '
$ & ) ! " ! ' " !
# ! " ! " ! ' ' # ) *+ ' ) & *
# ! " !

g(x)

!! !

(

& ( # ! $

" # ! ( & ( # ! " *

" # ( & ( # " * *
! !

`(θ)

p

p ≈ .1

p

X

p

x1 , . . . , xn ∼ (λ) `(λ) x1 , . . . , xn

P

`(λ) xi

xi

1 y , . . . , yn (λ) λ̂ = ȳ

#

"
" ) ( &%( % " & "
% & "
% *

Yij

i j i = 1875, . . . , 1894 j = 1, . . . , 14

Yij

(λ)

λ

λ̂

θ

X1 , . . . , Xn ∼ (µ, 1) µ̂

d d
dµ dx
f (x1 , . . . , xn |µ) =0
d
dµ
f (x1 , . . . , xn |µ) =0
d
dx
f (x1 , . . . , xn |µ) =0

y1 , . . . , yn ∼ (µ, 1) `(µ) y1 , . . . , yn

P

`(µ) yi

yi

n = 10 µ

(µ, 1)

µ

y1, . . . ,
y10 ∼

(µ, σ)

σ

`(µ) y1 , . . . , y10 σ

y , . . . , y10 ∼ (µ, σ) µ σ
1

`(σ) y1 , . . . , y10 µ

y1 , . . . , yn (µ, 1) µ̂ = ȳ

y1 , . . .P
, yn (µ, σ) µ
2 −1 2
σ̂ = n (yi − µ)
% " ) " & & "

!

Yi

i Yi ∼ (λ) `(λ)

λ ≈ 3.1

P[ ] = .8

P[ | ] = .2.

Pr[ | ].

T

T ∼ exp(λ) λ

n t1 , . . . , tn

λ

n = 10

`(λ) λ̂

λ

P

`(λ) ti

ti

P[H] = 1/4 P[H] = 2/3

(700, 50)

(600, 50)

P[ ] = .01

P[ ] P[ ]

P[ ]

P[ ] P[ ]

P[ ] P[ ]

!

!

"

!

!

!
"

!

P[ ] ≈ .5

0

! ' * '
"( +

w

w

t

t

b

y∼ (θ, 1) θ θ∼ (0, 1)

y

θ

y ∼
(θ, σy ) θ θ ∼
(m, σ)

y

θ

y ,...,y n (θ, σy )
1 n

θ θ∼ (m, σ)

y1 , . . . , yn

θ

(−∞, −.72) (−3.65, −0.36) (−3.28, ∞)

Pr[yf = k | y1, . . . yn ]

k = 1, 2, 3, 4

0, 1, . . . , 9

% ! "&
=1
% ! "&
=2

"( ##
"( ##
= =

X = 122

X = 122

nA = 100 .1

nB = 400

.1

nC = 100 .2

!

!

!

x1 , . . . , x15

xi ∼ (λw ) λw M

M

λw = 100 λw xi

&# * ' *
&
" " ! " *
! &"
# &"

! '

! * *
&# * ' *
&
" " ! "
! &"

# &"
! * * # *

# *
*

*

! *

! *

Y

X

& (

X =

Y =

X
Y
X Y

! (

Y X

X Y

X Y

) "

(

Y =

X=

X Y

# ! ) '
% & (
# ! & ( % " ' & ( ) ) & ' " ) & '
) ) & & ! ' ' # )
% ! (
# ! ! (
& # ' ! ( ! & ' & # & ( & '

! ! & ' ' # )

% ) "
" # ) ) " ) " ' # ) * ' & $ '
& ! % & ' (
" "" ! '
)
% (
# ! ( ' # ) ' %

& ( ! ( (

X Y
) "

Y = X = X

Y Y

X= Y

X

X Y

(a) (b)
0.8
150
0.6
Acceleration
100
ozone
0.4
50
0.2
0.0
0
0 100 300 60 70 80 90
Distance temperature
(c) (d)
90
1
Manual Transmission
80
waiting
70
60
50
0
2 3 4 5 1.5 2.5 3.5 4.5
Weight eruptions

X Y

$ # $ ' *
$ # #
$ # # * #
# # * # $
# # * # '# # #
# * # # $ # $
# * # # #
* # *
#$ $ # #
X = Y =
* #
X Y
* # # * *
# ! % ! & ' % ! '

! & ' ( &
$ * # $ +

X Y
# ' # ) # ) ' # " #
Y X
# $ $ *
X
' * * # # #
Y

E[Y | X] = g(X)
*
g
' $ + #
g
' * # $
*

# *
*
g
# #$ $ * $ ' * #
* # ' $ # # # * #
* # $

300
Draft number
200
100
0
0 100 200 300
Day of year

300
Draft number
200
100
0
0 100 200 300
Day of year

! & ""
" ( # " (

* # # * *
% ! &
% !
# ! ' ' ! & ' ( &
& " ! & "" '
& " " ( # " ( ' '
! & "" $ * # # "( # " (
•
* " ! & ""
' * $ "( # " ( '
' * $ *
# * # '

# # #$ * # *

! * *

' # ) ' # *
# # ' ## #
× ×
' * # # ' '

# # * # # ) # ) # # ) #

* * # #

' ! & "" ' # *
# # # ) $ #
* # # $
# ! ! & ' ! ( % % & '

! & " &&% $ "
& " ! & "" ! &

(xi , yi ) i = 1, . . . , n

i yi xi

yi = g(xi ) + i .

25
total new seedlings
20
15
10
5
0
0 10 20 30 40 50 60
quadrat index

yi g(xi )

i g

g

ĝ g

ri ≡

!
yi − ĝ(xi ) r
i i
i ri

î = ri = i

g

x

y

!

x

y x

y

y x x

y x y

x

x y y x

x y y x

x y

x y

g

ĝ

g

# $ # $ #
$ # ' ' $ *
# * # * # #

* # # *
" # ) ! % ! $ " ! & " ! % ! $ "

# & ' # ) * '

) ! & "
# $ #

* # $
$ $ #
# ' # ) # *
$
# # # '

# * # '
# #
#
B1 , . . . , B20 ∼ (µB , σ)
#
M1 , . . . , M17 ∼ (µM , σ)
#
P1 , . . . , P17 ∼ (µP , σ),
* " " # " #
Bi Mi P
$ # ' $i
µB ≈ 150; µM ≈ 160; µP ≈ 120; σ ≈ 30.

Poultry
Meat
Beef
100 120 140 160 180
calories

'
#
B1 , . . . , B20 ∼ (µ, σ)
#
M1 , . . . , M17 ∼ (µ + δM , σ)
#
P1 , . . . , P17 ∼ (µ + δP , σ)
# # $ '
# $ # $
# # # *
' *
* # #
* * $ #
* * * #
* # # * *
# ! ) '*
# ! % & " ! % ! $ " ! % ! $ "
&& ' '

) ' ' ' ' ) ! & " '
&&
# ! % & " ! % ! $ " ! % ! $ "
& ' '

) ' ' ' ' ) ! & " '
&
# ! % & " ! % ! $ " ! % ! $ "
! ( ' '

) ' ' ' ' ) ! & " '
! (
! % !$ " # ! % ! $ "
'
•
' # # $
! % ! $ " ! & " # ! % ! $ "
# & * '

% & " ' # $ +

•
! #* # ' #* #
' * $ $ # ) #* # * $
#

Beef
50 100 150 200 250
calories
Meat
50 100 150 200 250
calories
Poultry
50 100 150 200 250
calories

µB µ

µM µ + δM

µP µ + δP

µM − µB δM

µP − µB δP

σ σ

!

& $ $ ! ( #
* % * )
( )
*( )

trt2
trt1
ctrl
3.5 4.0 4.5 5.0 5.5 6.0
weight
!

" # ) ! & $ ! $ ! ( # ' # ) * '
& $

µ δ1

δ2

σ

WC,1 , . . . , WC,10 ∼ (µ, σ)

WT1 ,1 , . . . , WT1 ,10 ∼ (µ + δ1 , σ)

WT2 ,1 , . . . , WT2 ,10 ∼ (µ + δ2 , σ).

'

# # # # # #

Y Y
$ # # * #
Y
# # ) # # ) +
Y
# * # # $ #
Y
# * # # $ #
Y
' #

#
X
# * #
Yi Xi
" # * *
i
$ '
Y
# #

# & & " ! % (
!
&& *( + %
&& *( * %

& *% % (
& * (
! ( * %
! ( *

$ # '

* # $ # ) ' +
$ #
# #$
!
# *
(Y1 , . . . , Y54 ) i

* ' # $

X1,i X2,i
( " #
1 i
X1,i = *
0
#
( " # $
1 i
X2,i = *
0
# # ' * # '
X1,i X2,i
" # * * # * * * $
i X X
$ 1,i 2,i # '
k k−1
* ' # *

Yi = µ + δM X1,i + δP X2,i + i
*
i = 1, . . . , 54
#
1 , . . . , 54 ∼ (0, σ).
$

* $ ' # !
Y = (Y1 , . . . , Y54 )t ,
B = (µ, δM , δP )t ,
E = (1 , . . . , 54 )t ,
$ ' ' ' #
 
1 0 0
1 0 0 
 
 
 
 
1 0 0
 
1 1 0 


X= 
 
1 1 0
 
1 0 1 
 
 
 
1 0 1

#

X 54 × 3
# # $ #
*

Y = XB + E

!

Yi = i ,
(
1 i
X1,i =

0
(
1 i
X2,i =

0
Y = (Y1 , . . . , Y30 )t
B = (µ, δ1 , δ2 )t
E = (1 , . . . , 30 )t

 
1 0 0
1 0 0 
 
 
 
 
1 0 0
 
1 1 0 
X=




 
1 1 0
 
1 0 1 
 


 
1 0 1

Yi = µ + δ1 X1,i + δ2 X2,i + i

Y = XB + E.

Yi

XB µ + δM X1,i + δP X2,i µ + δ1 X1,i + δ2 X2,i
! !

E i

i

= +

µ + δM X1,i + δP X2,i (µ, δM , δP )

µ + δ1 X1,i + δ2 X2,i (µ, δ1 , δ2 )

!
!

X

X Y

X

* $
* # ' +* #

$
$ $
#$
* # # # '
' ! + #
' ### #
#* # #
# " ) ( &%( & " ) & &

*
% & # )& ) ! & & # $ & # &

* ( + ( %* +

% ( + +
(* + +(
'
# + #$

#

$ $ #
#
' # $ #
* #$ $
$
$

'

= β0 + β1 +
* # # # $ * #

*
(β0 , β1 )

Y = ( 1 , . . . , 30 )t
B = (β0 , β1 )t
E = (1 , . . . , 30 )t
#
 
1
1 
1
 2 
X =  
 

1 30
#

Y = XB + E.
# # # $

0.55
0.50
0.45
consumption
0.40
0.35
0.30
0.25
30 40 50 60 70
temperature

◦

Y = XB + E.

n

p

Yi = β0 + β1 X1,i + · · · + βp Xp,i + i

Yi ∼ (µi , σ)

P
i = 1, . . . , n µi = β0 + j βj Xj,i i (0, σ)

p+2 (β0 , . . . , βp , σ)
n
Y
`(β0 , . . . , βp , σ) = p(yi | β0 , . . . , βp , σ)
i=1
n
Y 1 1 yi −µi 2
= √ e− 2 ( σ )
i=1
2πσ
«2
n
„ P
0 y −(β + β X )
Y 1 −1 i j j,i
= √ e 2 σ
i=1
2πσ
− n 1 P P 2
= 2πσ 2 2 e− 2σ2 i (yi −(β0 + βj Xj,i ))

p+2

log

!2
1 X X
log `(β0 , . . . , βp , σ) = C − n log σ − 2 yi − (β0 + βj Xi,j )
2σ i j

C
1 X X
y i − ( β̂0 + β̂ j X i,j ) =0
σ̂ 2 i j
1 X X
y i − ( β̂0 + β̂j X i,j ) Xi,1 = 0
σ̂ 2 i j

1 X X
y i − ( β̂0 + β̂ j X i,j ) Xi,p = 0
σ̂ 2 i j
n 1 X X 2
− + 3 yi − (β̂0 + β̂j Xi,j ) = 0
σ̂ σ̂ i j

(β̂0 , . . . , β̂p , σ̂)

p+1

σ2 p+1 p+1 β

B̂ = (Xt X)−1 Xt Y,

i ∈ {1, . . . , n}
ŷi = β̂0 + x1i β̂1 + · · · + xpi β̂p .

ŷi
ri = yi − ŷi
= yi − β̂0 + x1i β̂1 + · · · + xpi β̂p

i

σ̂
n 1 X X 2
0=− + 3 yi − (β0 + βj Xi,j )
σ σ i j
n 1 X
=− + 3 ri2
σ σ i

1X 2
σ̂ 2 = ri
n

12

P
ri2
σ̂ =
n

β

βi

# #

+ # # * #
# # $ $ # #
* # # #
! % ! $ " ! % ! $ " ! & " ! % !$ "

# &

# #

•
# # $ " # +
•
# # # # #

# # #
$

$ #
•
$ #
• X

# # * # ! % ! $ "

•
* # ' # $ *
' % * % & #

•

! % ! $ " ! % ! $ " ! & " ! % !$ "

# &

* # ' *
! % ! $ " & "

# & ' % ! % ! $ "
!
$ * $ * *
! % ! $ " " " ( " #
* *
"( ! % ! $ "

! ( ! % ! $ " ! & " ! % !$ "
# &

& " %( "

* &%
* + *( % ( + %
& ) & "

!
" & % ! " ( &
& ) & # * + ( % + * & *+ & & &
! % !$ "
# & & * ( + % ( * *
! % ! $ "
# & ! ( ( ( % * % & + & & &

$ ) ! % & " & & & * & & * & * *
& " %( " % % & ! % + ! * % & $ && " ! &&% !

( # & ! ( &% ( + + ' % ( " &% " ! ( &% + +
" " ) *+ ! % * ' # " ( & ( + & +
# ! & ) & "

*
& ) & # ! % ! $ "
# & & # ! % ! $ "
# & ! (
# " & " #
Yi = β0 + β1 X1,i + β2 X2,i + i
* # # ' $ # #
X1 X2

#
Yi = β0 + i
#
Yi = β0 + β1 + i
$ #
Yi = β0 + β2 + i

& ) & # #

β0 = =
% $ "
# & & # ) * # #
β1 = ! ! =
% $ "
# & ! ( # ) *
β2 = ! ! =
# $ #
! & ) & "

β̂0 = 156.850
β̂1 = 1.856
β̂2 = −38.085
# % ! "

β̂0 β̂1
# ! $

β̂2

$
β̂0 ∼ (β0 , σβ0 )

β̂1 ∼ (β1 , σβ1 )
β̂2 ∼ (β2 , σβ2 )
" " !
$ # $
β0
* #
* #
β

# * 1# +
β

2 ' #
# ' ' * #
' # $ # ' # $ *
$ * # # * *
) * + ( ' * ( + ' ( (

" ) % + ' '
# ! ) '
" & ! * & " * ' * # & " * ' & $ %
# ! ' % ! ' * '" * ' # & '
& # & "" ! ( ' & !! % '
" & ! & " ' # & " ' & $ %

# ! ' % ! ' '" ' # & '
& # & "" ! % & '
& !! % '
" & ! & " ' # & " ' & $ %

# ! ' % ! ' '" ' # & '
& # & "" ! % & '
& !! % '
$ ' # & " %(

σ

likelihood
likelihood
140 150 160 170 −20 0 10
µ δM
likelihood
−60 −40 −20
δP

(µ, δM , δP )

" % % & !

# $
σ̂ ≈ 23.46
$ ' $ #
#

*
*

Y

Y

# ) " +
$ * #
' $ % ) "
# # # & # ) "
# * # $ # +

# #
# # $ + #
$ $

# # $ #
'
* # # $
# " ) " ') * '
$ # ' ' '

# ' #
*
= β0 + β1 +
% # ! $ #& # '' ' #& # $!
P ' &#
$ ' # '' ' $ % !$ $
σ̂ ≡#
( r' i2 $ # & $ & ' $
/(n − p − 1)) 1/2
#
! n#$% $ ' np

100 400 3.0 4.5 16 22
25
mpg
10
400
disp
100
250
hp
50
4.5
drat
3.0
4
wt
2
22
qsec
16
10 25 50 250 2 4
# "

) " & # ) "

# # # ' *

# # #
β̂ ≈ 37.3
# $
0 ' $
β̂1 ≈ −5.34
# * # $ #

* $ $ * # $

* # *

$ $ # ) * #
# *
# ) '
# $ ' $ *
* #

= γ0 + γ1 +
" # +
γ
" #
γ̂0 ≈ 30.1 γ̂1 ≈ −0.069
* # # # # # *
# ) #
* $ * *
* #
* $ # # * #
' ' # '
#

# #
X
# * ' #
# # $ # * ' # # # #
# $ * ' * # # $ '
' # '
# ' *
# # # *
# '
# #
' #
#
$ $ *
# $ # * $ # $ *
# # '
# $ + * # $
+ # # $ # $
' # # $ * *
# $ # # $
"( # # $ *
σ̂ σ̂ ≈ 3.046
* # $ * * # *
σ̂ ≈ 3.863
* " * * # $ *

* $ # $ * # $
$ * # * #
#
# $ #$ # # ' % ) "
* * #

• #

*
= δ0 + δ1 1 + δ2 2 +
# # $ * "

# #
δ̂0 ≈ 37.2 δ̂1 ≈ −3.88 δ̂2 ≈ −0.03 σ̂ ≈ 2.6
'# # # # $ # #
# $ * $ #
* # # *
# ! ) " ' ) " # $ ' & $ ' # $

# $ * # $ ' % ) "
& ) ! & # $ *
# * # # *
# & )
# ! &% # $ * ' & " % # $ * ' ) '
&% " ( & " ! * ' & " %
# & %
# ! &% # $ ' & " % # $ '
&% " ( & " ! ' & " % '
%

(a) (b)
30
30
mpg
mpg
20
20
10
10
2 3 4 5 50 150 250
weight horsepower
(c) (d)
0 2 4 6
6
resid
resid
2
−2
−4
−6
10 15 20 25 30 10 15 20 25
fitted values from fit1 fitted values from fit2
(e)
6
4
2
resid
0
−4
10 15 20 25 30
fitted values from fit3
) "

#$

#$ #

#$

# #

= β0 + β1 +

= γ0 + γ1 +

= δ0 + δ1 1 + δ2 +

β1 δ1 γ1 δ2 β

1

β1

δ1

β1

δ1 β1 ≈ δ1

γ1 (−.1, −.04) δ2

(−.05, 0) γ1 6≈ δ2

X Y

# ! ) '
" & ! ( ' * ' & +
# ! ' % ! ' % % ' * ' # & '
& # & "" ! & * ' '
" & ! * ' ' & +
# ! ' % ! ' +( ' * * ' # & '
& # & "" ! $ * ' '
" & ! ( ' * ' & +
# ! ' % ! ' ( ( ' + ' # & '
& # & "" ! % & * ' '
" & ! * ' ' & +
# ! ' % ! ' * ' ' # & '
& # & "" ! % & ' '

−8 −6 −4 −2 −0.10 −0.04 0.00
β1 γ1
−8 −6 −4 −2 −0.10 −0.04 0.00
δ1 δ2

) "
β1 γ1 δ1 δ2

Y |X

E[Y | X]

X Y |X

E[Y | X] Y

θ X

Y

#
) * #
2
*
## ' $ $ $
) '# $ #
# 2 * $ #
* # * * " # $ #
* * $ $
$ #
' $ # # #
#
X Y
# *
' #
Y X
$ '

$ $ * # $ #
# # ' *
* # " ! $ "## * #
"

$
* # $
# * #
# ' $ *

* # $ + $ $

* # + # # *
* # *
# ' # * # " ) & ) &
" ) " $ ! " " ( & "" ! " * % ! ) "
# '
#

# ' '

$ # # # #
# '
* * # # ' #

* # +
# #
* $ ' # $ # $ #

$ # * $ + * # # $

* $ # # *
' $ # *

# # # $ '
#
Y = X =
# #
# $ ' # # + * #
# $ # # #
$ #
37◦

E[Y | X] = P[Y = 1 | X] X

E[Y | X] = P[Y = 1 | X] X

eβ0 +β1 x
E[Y | X] = P[Y = 1 | X] =
1 + eβ0 +β1 x

(a)
pine cones present
0.8
0.4
0.0
5 10 15 20 25
DBH
(b)
damage present
0.8
0.4
0.0
55 60 65 70 75 80
temperature

β0 β1
β0 β1

β

# !

# ! ! "

# ! " # "
" ! " ! #
# $ % &" "

&! " & ' &! "
!
(
" # # )
*
) # # )
*

# ! ! " # ! " # #
# "
" " # $ ! #
# #
"
$

& & &
!
(
" # # )
*
) # # )
*

+

,- ./ 0.
12 12// . -3 4

i

(a)
pine cones present
0.8
0.4
0.0
5 10 15 20 25
DBH
(b)
damage present
0.8
0.4
0.0
55 60 65 70 75 80
temperature

xi θi = E[Yi | xi ]

θi
φi ≡ log .
1 − θi
,- .0

φi θi
eφi
θi = .
1 + eφi

φi = β0 + β1 xi .
23 21,. 2 ,.3 21 - 2,
,

φ E(Y | x) E(Y | x)
,.3 21 12.
0 -1
β0 + β1 x β1 > 0 x → +∞

θ→1 x → −∞ θ → 0 β1 < 0 β0

β1

4

Y |x

Y
p(Y1 , . . . , Yn | x1 , . . . , xn , β0 , β1 ) = p(Yi | xi , β0 , β1 )
i
Y
= θiyi (1 − θi )1−yi
i
Y Y
= θi (1 − θi )
i:yi =1 i:yi =0
Y eβ0 +β1 xi Y 1
=
i:y =1
1 + eβ0 +β1 xi i:y =0 1 + eβ0 +β1 xi
i i

(β0 , β1 )
4

β0 β1

0.50
0.45
0.40
0.35
β1
0.30
0.25
0.20
0.15
−11 −10 −9 −8 −7 −6 −5 −4
β0
4

n

! " # # #
#
# "

! ' #

" &
" &" ' #
' # ' #
!
(' #
!
(' #
# # )
* ! "

# #
) # #
# ! *

! ! #
# " " ! #
# "" !

•

# &&&
&&&

• (β , β )

0 1

& & &

•
#
! "

•

#

*

β0 β1 β0 ≈ −9

β1

β0 ≈ −6 β

+

1

β0

β1

β0 β1

(β0 , β1 )

β1

β1 β0

! " & # ! " &

! "
! " # # #
#
! "
!
"
&&&
! " (
" & !

# % &! ' '$ !
&% ' # #! ! & ! &
# * * *
! "
# & '

# &#
&$ % ! # &# # #
# % * * *
&&&
" &&&
• !

!! ! ! "#
$
###

# # # &%
# & #
&! # # #

# #!
& ' & ' #
! &
# # !

#

&! ! ' &
' #
&! # ' #

!! !!

"# #
.3 /
0 2

$
# # #

& & &

•

& & &

•

& & &

•
!

y
"

• (β̂0 , β̂1 ) ≈ (−7.5, 0.36)

#

β1

±2

Y

Y

Y ∼ (λ)

Y X λ

X

log λ = β0 + β1 x
+

!
" ! !

#$%&' '()'(*+ !", -,.

!"
/ 0/ 1,
/ 2" -,3 , -,4 0
! 1!5

/,
" / 6!"7 8 !" ! 5 , 27
6/7 ! " ! ! " "!, 9 /
!0 / " ! ! !" ! : 5
" ! ! # /; ! ,+ ! !
!0 8 !" <(λ) 0!, Y 0
!0 8 !" 0
! 1 i ! / j , = ij
> !
7 ! ! λ
0/ 1 ! ! ! !;,

&

&
&

#

! & , 0
•

" / !
0 !/
! 7 ! !
0/ ; !" ,
9 7
!" ! 7
7 ! , !! ! # 8 !"+7
1 !0 ! / , !/ 0 5

!,
! & ! " ! ! , 7
• ! !" ! !
0 7
!
0 , ; 0 !; !

0 !!!"
4 /!" 4 1 4
!"
1 , 9 ! 1 !0
0 7 ! !0 ,
! " ! ! , " !
• / 6! ; !", / 0
! ! ,

/ > ! / ! ! 7 !
•
,
/ > !
•
, ; / !
7 !
0
4 1 ,
! > ! 7

>
!
>
! 2" -,
, <! !

# , / 0
!"7 !
! ! ! ! , <! !

, ! ! !
/ ! ! # , ; ! !

!" 2" -,3 ,
,
2" -,
!! /, <!

"! / , : ! 0 ! / ,
7 -7 !
" / . ! 3 , / ,
; ! 0/
)

<! ! "! , !

! 2" -,
!" / 6 ! 0 : !
>,
2" -,
!" ! ,

#

#

# #

#

#

# #

#

(a) (b)
8
15
actual values
6
residuals
10
4
2
5
0
0
0.6 0.8 1.0 1.2 0.6 0.8 1.0 1.2
fitted values fitted values
(c) (d)
8
15
actual values
6
residuals
10
4
2
5
0
0
0.865 0.875 0.885 0.895 0.865 0.875 0.885 0.895
(e) (f)
15
3
actual values
residuals
10
1
−1
5
−3
0
0 1 2 3 4 5 0 1 2 3 4 5

# #

!" ! 2" -,
! ,

#

β
00 2 , 2/
x

12.
0 2 , 2/
x

! " )
# $ % & $' # (
-, ! ! ", = !5

! ! 0/ !" 6 0! / : !

! !/ ! , 2 6! "

! !
! 1 ! -,
7

-, 7 ! -, 7 ! >
, +!

*

/0 7

ŷi = β̂0 + β̂1 i
- .

ŷi = γ̂0 + γ̂1 i
,
- / .
,

ŷi = δ̂0 + δ̂1 i + δ̂2 i
- .
,
9 >
"! !/ ! 5
0 : ! , 2" -,
* / , 2" -,
*
/

(a) (b)
15
3
2
actual values
10
residuals
1
0
−1
5
−3
0
1 2 3 4 5 0 2 4 6 8
year fitted values
(c)
3
2
1
residuals
0
−1
−2
−3
0 2 4 6 8
fitted values
-

$

&
! & >
0! /
! " !" /
7 & >
5

: !
7
, ! ! &
! &

& , + ! -,
6 > " &
! &
, σ̂
2" -,
* !" ! ,
& &
&
&
&

>
, ! 0 !/
/
• > 0/ 7 7 !! > ,
- -
- .
y = β0 + β1 x + ,

x y

4

xf

yf xf yf

yf ∼ (µf , σ)

µf = β0 + β1 xf

µf β0 β1

(β0 , β1 )
µ̂f = β̂0 + β̂1 xf

10 20 10 20 30
30
25
20
fitted from wt
15
10
25
20
fitted from hp
15
10
30
25
20
fitted from both
15
10
30
25
actual mpg
20
15
10
10 20 30 10 20 30
- /

µ̂f µf

(β̂0 , β̂1 )

(β0 , β1 )

µ̂f ∼ (µf , σ )

σ xf

µf

x µ̂f y

f
f

µf
y f = µf +

∼ (0, σ)

yf µf
±2σ

.
σ yf

, .
f

µ (β0 , β1 )
,

σ

(β0 , β1 )

.

, - . . .
, , ,
.
,

.
, &
.
,

X Y

-
- -
.
,

-

0

w w 0
-

- -
.

,

.

,

.

, 0
.
,
.

,
. +
,
- - -

-
δP

/ - -

+

.
-
, -
. + -

,

.
-
,

-
. + -

,
. -
,

.

,

.
-
,
.
,

+
-
+ -

◦

+
- / -

β0 β1

- /
γ̂0 ≈ 30 γ̂1 ≈ −.07 σ̂ ≈ 3.9

( & & &

!( ' ' # !!

- -
.
, µC µT 1 µT 2 σ
.
, µT 1 = µC

.
, µT 1 = µT 2

.3 2// -0. 23 0

-

.
Pi = 1
.
0 , B i = 1 0 ,

p
b
39 40 41 42 43 44 45
HQ
-

i = α0 + α1 Pi + i i = β1 Pi + β2 Bi + i
.
, α0 α1 β1 β2

.
, β1 β2 α0 α1

.
HQ = 43 HQ = 44
, 2

σ̂ = 1 ,
.

α0 α1 β1 β2

'' '
%
' '

21
23 0 122 , 3

23 - 1 2

.
,

.
,

.

,

.

,

+

4
(β̂0 , β̂1 )
-
-
β0 β1

-

/

yi

z
i
i
z = β0 + β1 yi β1

' & $' ( &
.

,
' #

.
,
) ' #

+
β̂0 β̂1

.

,
SD(β̂0 ) = .13
SD(β̂1 ) = .22

# #

#

(
# #
' #

) ' #

& ' # # )

&! !

)
+ #

4

60◦ t1 , t2 , . . . , t100

. .
t1 = , t100 = ,
4
y1 , . . . , y100 z1 , . . . , z100

.
,

t1 , t2 , . . . , t100 yi zi

. % !&
,
yi = β0 + β1 ti + i

. % !&
,
- -.
yi = β0 + β1 ti + β2 t2i + i ,

. % !&
,
- .
zi = β0 + β1 ti + i ,

/

. % !&
,
- .
zi = β0 + β1 ti + β2 t2i + i ,

. % !&
,
- .
yi = β0 + β1 zi + i ,

. % !&
,
- .
yi = β0 + β1 zi + β2 zi2 + i ,

. .
, β̂0 ,
. .
, β̂2 ,
-
.

,

/

!
!

.

,

β̂0 β̂1 σ̂
. ! !
,

.

,

.

,

,
.

.

,
.

,

* )
)
#

.
,
.
,

.

,
.

,
.
,

&
# # #
&

( &
#
* )
) # #

)

yi = β0 + β1 xi + i

β1

yi

xi

w = xi + δi δi ∼ (0, .1)
i

yi = β0∗ + β1∗ wi + ∗i

(β0∗ , β1∗ )

(β0 , β1 ) wi xi

&
# # #
&#
# (
#
&

# (
#
#

(

(

&

( &

) # &

&# ) * &
)

&

&# $ '% # &! ! ' $ &
#
%

β0

β1
.

, x

.
,
β0 β1

β

.
2 21/
β1 β0

.

, (β0 , β1 ) θi = eβ0 +β1 xi /(1 +

eβ0 +β1 xi ) θi xi

.

, x β

θ

x β

◦

36

/
-

.
-
,

. $ )
,

.

,
$ )

.

,

/
X FX
d

fX (x) = FX (b)
b=x

db
X X
f

(x) ≡ F 0
(x) = d
F
db X
(b)
b=x

A

Z
P[X ∈ A] = fX (x) dx
A
∗

f fX
R ∗
R

A A
f = A
fX
Z
P[X ∈ A] = f ∗ (x) dx
A

∗
fX f

X

X
-

(# ('

f A
Z
P[X ∈ A] = f (x) dx
A

X
fX

-

pX !
" #

X#

g

Z = g(X) ! $

Z −1
−1
d g (t)
pZ (t) = pX (g (t))
dt
R
!

A P[Z ∈ g(A)] = P[X ∈

A] = A
pX (x) dx z = g(x)

Z
dx −1
P[Z ∈ g(A)] = pX (g (z)) dz
g(A) dz
R '()* !+ dz '()* !+
P[Z ∈ g(A)] = g(A) &
,

& pZ (z)
−1
pZ (z) = pX (g (z))|dx/dz|
- .

Xn

X1 n n

~ = (X1 , . . . , Xn )
X
~

X

X1 Xn ~
X
pX~ (x1 , . . . , xn ).

n
A R
Z Z
~ ∈ A] =
P[X ··· pX~ (x1 , · · · , xn ) dx1 . . . dxn
A
~
X1 ∼ (1) X2 ∼ (1/2) X1 ⊥ X2 X =

(X1 , X2 ) P[|X1 − X2 | ≤ 1]

pX~ pX~

A |X1 − X2 | ≤ 1 X 1 ⊥ X2
1
pX~ (x1 , x2 ) = pX1 (x1 )pX2 (x2 ) = e−x1 × e−x2 /2
2

A X 1 X2

ZZ
P[|X1 − X2 | ≤ 1] = pX~ (x1 , x2 ) dx1 dx2
A
Z 1 Z x1 +1 Z ∞ Z x1 +1
1 −x1 −x2 /2 1
= e e dx2 dx1 + e−x1 e−x2 /2 dx2 dx1
2 2
0 0 1 x1 −1
.
≈ 0.47 ,

(X1 , . . . , Xn )
pX~ (x1 , . . . , xn ) = pX1 (x1 ) × · · · × pXn (xn )

(x , . . . , x )
1
n

(X , . . . , X )
1 n
(X , X )

i j

~ = (X1 , X2 , X3 )
X
P[(X1 , X2 , X3 ) = (0, 0, 0)]

= P[(X1 , X2 , X3 ) = (1, 0, 1)] .
,
= P[(X1 , X2 , X3 ) = (0, 1, 1)]
= P[(X1 , X2 , X3 ) = (1, 1, 0)] = 1/4

X 1 ⊥ X2 X1 ⊥ X3 X ⊥

2
X3 X1 X2
X3

~

X
~ ≡ (E[X1 ], . . . , E[Xn ])
E[X]

~ ≡ (X1 , . . . , Xn )

X

ij Cov(Xi , Xj )

 
σ12 σ12 · · · σ1n
 σ12 σ 2 · · · σ2n 
~  2 
Cov(X) ≡ ΣX~ =  
 
2
σ1n σ2n · · · σn

σij = Cov(Xi , Xj ) σi2 = Var(Xi ) σi2

σii

-

g
~
X R
Z Z
~ =
E[g(X)] ··· g(x1 , . . . , xn )pX~ (x1 , . . . , xn ) dx1 · · · dxn

~
g(X) g

X1 X2 Y = X 1 + X2 ! $

! E[Y ] = E[X1 ] + E[X2 ]

! Var(Y ) = Var(X1 ) + Var(X2 ) + 2 Cov(X1 , X2 )
%

!

' %

~a = (a1 , . . . , an ) n
~ =
P #
Y = ~at X ai Xi ! $
P P
! E[Y ] = E[ ai Xi ] = ai E[Xi ]
P Pn−1 Pn
! Var(Y ) = a2i Var(Xi ) + 2 i=1 at ΣX~ ~a
j=i+1 ai aj Cov(Xi , Xj ) = ~
%
- . .

!

/ , ,

k≤n i = 1, . . . , k
X
Yi = ai1 X1 + · · · ain Xn = ~
aij Xj = ~ati X
j

aij ~ai = (ai1 , . . . , ain ) Y~ =
(Y1 , . . . , Yk )
Y~ = AX
~

A k ×n aij Yi

~ at X)
Cov(Yi , Yj ) = Cov(~ati X,~ ~
j
Xn X n
= Cov(aik Xk , aj` Xj )
k=1 `=1
Xn n−1 X
X n
= aik ajk σk2 + (aik aj` + ajk ai` )σk`
k=1 k=1 `=k+1
= ~ati ΣX~ ~aj

-

/

'% " ~

~

X n E[X] =

~

µ Cov(X) = Σ A k×n k
~ ~
Y = AX ! $
#
! E[Y~ ] = Aµ

! Cov(Y~ ) = AΣA0

- .
X~ = (X1 , . . . , Xn )

,
n fX~ n

~ ~ ~
Y = (Y1 , . . . , Yn ) = (g1 (X), . . . , gn (X))

gi
g:X ~ 7→ Y~

fY~ Y~

J
 ∂Y1 ∂Y1

∂X1
· · · ∂Xn
 ∂Y2 · · · ∂Y2 
 ∂X 1 ∂X n 
J= 
 
∂Yn ∂Yn
∂X1
· · · ∂Xn

|J| J
'%
fY~ (~y ) = fX~ (g −1(y))|J|−1
%

!
R R
A P[Y~ ∈ g(A)] = P[X ~ ∈ A] = ··· p ~ (~x) dx1 · · · dxn

A X
~y = g(~x)
Z Z
P[Y~ ∈ g(A)] = ··· pX~ (g −1 (~y )) |J|−1 dy1 · · · dyn
g(A)
R
P[Y~ ∈ g(A)] = ··· g(A) &
R '()*+ dy · · · dy '()* +
,

1 n &
−1
pY~ (~y) −1
pY~ (~y ) = pX~ (g (~y ))|J|

X1 ∼ (1) X2 ∼ (2)

~
X1 ⊥ X2 X = (X1 , X2 ) P[|X1 − X2 | ≤

1]
~ =
X

(X1 , X2 ) |X1 − X2 | ≤ 1

Y 1 = X 1 − X 2 Y2

Y~ = (Y1 , Y2 )

|Y1| ≤ 1 Y 1 = X1 − X2

Y2
n n

R R Y
2

X ~ Y~

Y 2 = X2
∂Y1 ∂Y1
1 −1
J = ∂X ∂Y2
1 ∂X2
∂Y2 =
∂X1 ∂X2
0 1
|J| = 1
X1 = Y 1 + Y 2

X2 = Y 2

pX~ (x1 , x2 ) = e−x1 × 12 e−x2 /2
1 −y1 −3y2 /2
pY~ (y1 , y2) = e−(y1 +y2 ) × 21 e−y2 /2 = e e

2
ZZ
P[|X1 − X2 | ≤ 1] = P[|Y1 | ≤ 1] = pY~ (y1 , y2 ) dy1 dy2
A
Z 0 Z ∞ Z Z
1 −y1 1 1 −y1 ∞ −3y2 /2
−3y2 /2
= e e dy2 dy1 + e e dy2 dy1
2 −1 −y1 2 0 0
Z Z
1 0 −y1 −3y2 /2 ∞ 1 1 −y1 −3y2 /2 ∞
= e −e −y1
dy1 + e −e 0
dy1
3 −1 3 0
Z Z
1 0 y1 /2 1 1 −y1
= e dy1 + e dy1
3 −1 3 0
2 0 1 1
= ey1 /2 −1 − e−y1 0
3 3
2 −1/2
1
= 1−e + 1 − e−1
3 3 - .
≈ 0.47 ,
/

X2 Y2
X1 Y1

(X1 , X2 )
(Y1 , Y2 )

~
X ~
Y |X1 − X2 | ≤ 1

! "#

! " #

$

$ $

$

% "#

% " #

&

/

Y p Y

Y

Y

Y

FY
(P

c
y=−∞ P[Y = y] Y .
FY (c) ≡ P[Y ≤ c] = R c
,
−∞
p(y) dy Y .

Y b∈R
Z b
P(Y ≤ b) = F (b) = p(y) dy
−∞

p(y) = F 0 (y)
Y P[Y = y] = P[Y ≤ y] − P[Y < y] =
−
FY (y) − FY (y ) , FY (y − ) F (z)

. Y
z y

lim↑0 FY (y − )
(

FY (y) − FY (y − ) Y .
pY (y) =
,
FY0 (y) Y

FY (y)

Y

Y

F
Y
.

. ,
,
/

Bin (10, .7) Bin (10, .7)
0.8
0.20
pmf
cdf
0.10
0.4
0.00
0.0
0 4 8 0 4 8
y y
Exp(1) 0.8 Exp(1)

0.8
pdf
cdf
0.4
0.4
0.0
0.0
0 1 2 3 4 5 0 1 2 3 4 5
y y

/-

&

•

Y

MY
(P

tY
ty
y e pY (y) Y .
MY (t) = E[e ] = R ty
,
e pY (y) Y

MY pY

.
t=0 ,

. Y ,

M (t)
t MY (t)

δ>0

MY (t) t ∈ (−δ, δ)

' %

#
Y MY
n (n) dn

E[Y ] = MY (0) ≡ n MY (t)
dt 0
/

!
n=1

n
Z
d d
ety pY (y) dy

MY (t) =
dt 0 dt 0
Z
d ty
= e pY (y) dy
dt 0
Z
= yety pY (y) dy

0
Z
= ypY (y) dy
= E[Y ]

Z Z
d d
f (t, y) dy = f (t, y) dy,
dt dt

f

MY (t)

' %

Y
X

MY !

# MX # M
X (t) = MY (t)

t FX = FY ! ! X Y

!
' %

Y1 , . . .

MY1 , . . . ! M(t) = limn→∞ MYn (t) !

#

t M(t)

#

F

/

!
F (y) = lim FYn (y)

n→∞

y F

!M F!

.

,

CY (t) = E[eitY ]
√

i = −1

,

/

' %
#
#

X a, b

Y = aX + b ! $ MY (t) = e MX (at) !
bt
%

!

MY (t) = E e(aX+b)t

= ebt E eatX
= ebt MX (at)
' %

X Y ! Z=
X +Y ! $
MZ (t) = MX (t)MY (t)
%

!

MZ (t) = E e(X+Y )t = E[eXt eY t ] = E[eXt ]E[eY t ] = MX (t)MY (t)
' %' !! %

! ! !
Y1 , . . . , Yn

MY ! X = Y1 + · · · + Yn ! $
MX (t) = [MY (t)]n
/

.

,
pX
~

x1 x2

pX~ (x1 , x2 ) (x1 , x2 )

x1 x2 pX~

.
,
A

.
,
.

,

N

X
P[X ≥ 1]
-

(X1 , X2 )

p(X1 ,X2 )

(X, Y ) p (x, y) ∝ ky k > 0
)
(X,Y

(x, y)
(0, 0) (−1, 1)
(1, 1)
.
, k
.
, P[Y ≤ 1/2]

.
, P[X ≤ 0]
.
, P[|X − Y | ≤ 1/2]

.

~ = (X1 , X2 , X3 )
, X

X 1 , X2 , X3

/
.

, ~ = (X1 , . . . , Xn )
X

X 1 ⊥ X2 X1 ⊥ X3

X2 ⊥ X3 X1 X2 X3

/

X

Y

(1, 0) (0, 1) (−1, 0) (0, −1)
.
, p(x, y)

X Y

p(x) p(y)

p(x | y) p(y | x)

E[X] E[X | Y = .5] E[X | Y = −.5]
.
, U =X +Y V =X −Y

U V

p(u, v)

U V

p(u) p(v)

p(u | v) p(v | u)

E[U] E[U | V = .5] E[U | V = −.5]

(U, V )

X = UV Y = U/V
.

, X Y (X, Y )

.
, (X, Y )

.
, X
.
, Y
.
, P[Y > 1]
.
, P[X > 1]
.
, P[Y > 1/2]
//

.
, P[X > 1/2]
.
, P[XY > 1]
.
, P[XY > 1/2]

t=0 Y MY (0)

n=2
-
X ⊥Y

-

N

θ

θ

(0, 1) (N, θ) θ θ

{ (N, θ) : θ ∈ (0, 1)}

- .
- .
- - .
,
- . , ,
,

( ' ( ! (&# % ( # (' ! " # $

# # # % "" %%& ! $ ! % ! " %$ &
# %" % $ " # %
% ' " & " %

, ! % " . & ! " %" $ % % . ( % "" & %
% , $ " . "" % # % , & % & . ' ! , % #

& " % $ % ,

/

' # $& % %" ! !(

n
' # % " $ # & % # %" !
θ
- ' %" % ! "" ! ! # # % ( '
θ
# %! & (% " # $& % $ $ # ""
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X
%" ' #
X
% ' # " ("$ % # %
' ' ' ' $ % ' # & " & " & % ( %" &
(n, θ) X∼ (n, θ) X
$ ! # %" % %%& ! %! %
n
! ' $ ""
n θ θ
" % $ '

($ "θ "% ("$ % ( ! # "% ! & "" ("$
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%
θ
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X θ
& $ " & % ' %$ "% %$ "% ("$
%( ! $ # "" " ! ! %
X =x
#
" ("$ ' # '
θ p(x | θ)
' %
X ∼ (n, θ)

n x
pX (x) = θ (1 − θ)n−x
x

x = 0, 1, . . . , n !
%
%" & " %& % %% ! $ # % ""

# #
! $
n
$ . ! "$% . $ # '
# $

, # $ ,! % # 1000110 · · · 100 "
S = {0, 1}n x ∈ {0, 1, . . . , n}
# $ $ # ! '
Sx
#
S x 1 n − x 0
' %$ "% "" # ( # &
s ∈ Sx Pr(s) = θx (1 − θ)n−x s Sx
% " ' # % %

pX (x) = P(X = x) = P(Sx )

=( Sx ) · θx (1 − θ)n−x

n x
= θ (1 − θ)n−x
x

# " & % $ # # ( & ' #

# n=1
! # (
! % $ # %& % '
n=1
%
X
% ' % # % '
θ
X∼ (θ) X∼ (θ) pX (x) = θx (1 −θ)1−x x ∈ {0, 1}
%& # # ( " $& % "" ! % $ "" %" '
$ ! '
X1 ∼ (n1 , θ) X2 ∼ (n2 , θ) X 1 ⊥ X2
' # # ! % $ $ # X3% =
$ . # % %
X1 + X2 X3
%" . # %"
X3 ∼ (n1 + n2 , θ) n1 + n2
"" # ( # & % " ,$ - . # %" % ,! !
# # % # % % # θ
$,& . ! . # "
, X ⊥ X2 X
$ & % $ ' # % & 1'- # %& " % , # 3 % '
$ % ! # & & % $ '
' %
X ∼ (n, θ) ! $
n
MX (t) = θet + (1 − θ)
%
% ' #
! Y ∼ (θ)
MY (t) = E[etY ] = θet + (1 − θ).

" Pn # % # % ' '! ' % ! " %"
X = i=1 Yi Yi (θ)
"% ' '
' % "

X1 ∼ (n1 , θ) X2 ∼ (n1 , θ) X1 ⊥ X2 !

X3 = X1 + X2 ! $ X3 ∼ (n1 + n2 , θ) !
%

!
MX3 (t) = MX1 (t)MX2 (t)
n n
= θet + (1 − θ) 1 θet + (1 − θ) 2
n1 +n2
= θet + (1 − θ)
# % $ " # % & '
# ! # % & ' '
%
# " %
# & # !% $ '
# % $ " "" # % & ' '
(n1 + n2 , θ)

# & # & " !%
$ "$ " ! $ ' '

# % & ' % # % $ " ! ( # (% ! ! %! ! (

'

' %
X ∼ (n, θ) ! $

! E[X] = nθ !

! Var(X) = nθ(1 − θ) !
p
! SD(X) = nθ(1 − θ) !
%
# % % ( %" % ' #

Pn ! # %
E[X]
% ! # X ∼ (n, θ) X =
% & $$ "" ! ! ' # %
X X ∼ (θ) Xi
i # % & i '
%i=1 ' $
Var(X) = n Var(Xi )
Var(Xi ) = E(Xi2 ) − E(Xi )2 = θ − θ2 = θ(1 − θ).

' # % $ " % "" & & ! " '
Var(X) = nθ(1 − θ) SD(X)
& # $ " $ % % # & " !% $ '
$ # "" %& &
&

# % % & "% $ % %
&
% &
'
# # % ! % $ $ % # % # " # % '

& & &

&

&

-

"! #

& "! #

&

&
&

&

&

&

&
&

& & & &
& &

&
&

&

&

&
&

&

&

$ !
!

$ $

&

$

$ % ' # # & " & % ( %" ("$ ! '
x n p
# % ! "% % # & " % " " %& " ! '
p n
# # %" & # % & ' ' '! ' % ' #
! % $
# # & # ! %
Y1 , . . . , Yn ∼ P
$
(p)
! # %"
& # % & ""X $ # P " % " %&Y"i '
% ! # & Y"i & % %& " #
"
n→∞
# #
n p = .5
' ! # $ ( % $ ! % # %" & # % &
p = .05
% # # ! % $ # & % & & % '
Yi
$ % ' % ! $ !

# ( ( ' ( ! (&#% ( # (' # % # !( #

$ & % %" %& % "" & & $ # $ %"

n=5, p=.05 n=5, p=.5
0.8
0.25
0.6
p(x)
p(x)
0.4
0.15
0.2
0.05
0.0
0 1 2 3 4 5 0 1 2 3 4 5
x x
n=20, p=.05 n=20, p=.5
0.05 0.10 0.15

0.3
0.2
p(x)
p(x)
0.1
0.0
0 1 2 3 4 5 6 8 10 12 14
x x
n=80, p=.05 n=80, p=.5

0.15
0.06
p(x)
p(x)
0.05
0.02
0 2 4 6 8 30 35 40 45 50
x x
$ % ' # & " &

$ " % ! $ & % $ # # ( ! ' # #

" $ & % "$ % r
# % ! & (% " ! ! # ( #
( & " ! % $
N
# %& % % '
(r, θ)
% & $# % # # " $ & % %"
N∼ (r, θ)
# #
, ( & " ! % $ '.
& " & " % N#+ r
! !
# ' # % ! $
" # ! " " % $ " & % $
' # $ & % "$ %
$" # % ! & ' #
r=1
! # ( % ! #N( & % ! % $ # %&
'
$ ' % ("$
r=1 N
% % %
θ N ∼ (θ) θ N
( ! # & "" & "" ("$ % ( ! # "% ' #
θ N θ
% " $

pN (k) = P(N = k)
$ # % %"
= P(r − 1 k+r−1
! # %" $
k + r )

k+r−1 r
= θ (1 − θ)k
r−1
% '
k = 0, 1, . . .

''' ! '''
N1 ∼ (r1 , θ) Nt ∼ (rt , θ) N1 Nt
! ! # # % ' # & $ %"
" # P # ( P $ ' # $& % "$ % %
#1 $ & % "$ % % #
(N + r ) ri N
# # $ i i ' ' '
r1 N1 + · · · + Nt
# $ ' ( ! # P
# $ & % "$ %
r1 + · · · + rt P
% #
N≡ Ni
# $ $ % ! # % % # '
r≡ ri N∼ (r, θ)
' %
Y ∼ (r, θ) E[Y ] = r(1 − θ)/θ Var(Y ) =
r(1 − θ)/θ ! 2
$ %( # % $ " % ' # # % $ " % ""

! r=1 r>1

"" # % % $ & ! # % & ' ! ' ' %
r=1
∞
X
E[N] = n P[N = n]
n=0
X∞
= n(1 − θ)n θ
n=1
∞
X
= θ(1 − θ) n(1 − θ)n−1
n=1
∞
X d
= −θ(1 − θ) (1 − θ)n
n=1
dθ
∞
d X
= −θ(1 − θ) (1 − θ)n
dθ n=1
d 1−θ
= −θ(1 − θ)
dθ θ
−1
= −θ(1 − θ) 2
θ
1−θ
=
θ
# % % # %& ! %(( # # # %! %

/

$& & ! ! %(( "" $ $ " ' , % '
∞
X
2
E(N ) = n2 P[N = n]
n=0
∞
X
= θ(1 − θ) (n(n − 1) + n) (1 − θ)n−1
n=1
X∞ ∞
X
= θ(1 − θ) n(1 − θ)n−1 + θ(1 − θ)2 n(n − 1)(1 − θ)n−2
n=1 n=1
∞
1−θ X d2
= + θ(1 − θ)2 2
(1 − θ)n
θ n=1
θ
∞
2 X
1−θ 2d
= + θ(1 − θ) 2 (1 − θ)n
θ θ n=1
1−θ d2 1 − θ
= + θ(1 − θ)2 2
θ θ θ
1−θ θ(1 − θ)2
= +2
θ θ3
2 − 3θ − 2θ2
=
θ2
# % %

1−θ
Var(N) = E[N 2 ] − (E[N])2 = .
θ2
# $ % % # # ( & " ! % $ %

!
' $ % ' ! " # (

& " ! ! ""$% # $
'
$ % ' % ! $ ! # # "" '

" # "#

probability probability probability

0.002 0.006 0.000 0.010 0.020 0.00 0.04 0.08
r = 30, θ = 0.1
r = 5, θ = 0.1
r = 1, θ = 0.1
0
20
200
20
60 100
N
N
' % $
350
40


0.01 0.03 0.05 0.02 0.06 0.10 0.14 0.0 0.2 0.4
#
r = 30, θ = 0.5
r = 5, θ = 0.5
r = 1, θ = 0.5

15
0
& " & (
2
30
N
N
8
4
45
14
6
0.02 0.06 0.10 0.05 0.15 0.25 0.2 0.4 0.6 0.8
r = 30, θ = 0.8
0.0
r = 5, θ = 0.8
r = 1, θ = 0.8
2
0
6
1.0
N
N
12
2.0

-

&
" # "#

&

" # "#

&

! & % # "& # # " ' # $

•
$ '
$ % # # " # " / !%

-

# & $ "& " ! % $ %" # & " ! % $ #
'
"" # & " ! % $ " # # $&
" ("$ # & $" & " !% $ " # #
%" #
$& %" # & % # " $& ' & & " %

!( ($ ! % ( !& " " %" # ! & % ! % &
$ $ "" %& " % & % ! %! %" % & '
% # & % ! # % $ "$ % %
% ! ' % $ % $ ! # $ % # %
& & ( % $ ! % &
# % % '

% & % # & $ %"" # $ ( %"" # % " %
# % '
# ($ & # & ( %" (% ' ( % % #

# & % " ! % " ' # % $

! % ! % " & # # #
! ' # % "" ! # %
'
{a, c}
a c
# % & " ! % ! %" ' &
$ # & " # ( # '
' !(# ($ ! $ ( $ " # % % % # % # $ "

! ! # & % # % % $ ! ! ! '

-
# $ # $& % $& # ' # % %

" $& # # % $" ( %
k
# % # $& %
& # $& '
y1 , . . . , yk yi
$ % ! ! # $& % %"
i y1 + · · · + yk = n
# % " # % ! #
p ≡ (p1 , . . . , pk ) k n
$ & % %" ' % $ " ' %$ "%
( % " # ' $
Y ∼ (n, p) Y ≡ (Y , . . . , Yk )
( % 1
k Y
E[Y ] = µ = (µ1 , . . . , µk ) ≡ (E[Y1 ], . . . , E[Yk ]) = (np1 , . . . , npk ).
# # %! % ! & (% " % # ' $
$ %% ! %" ! % $ i
# i Y Y
$ $ & % & i $&
i n
% '. '.
Yi ∼ (n, pi ). , ,
"# $ # # % "" & " # % ! ! ' % ""
Yi
# # & $ ! ! ' #
$
Y1 = n Y = ··· = Y = 0 Yi
# % & 2 # # k ! " !% (
# # % & %( ! # % '
Y2 , . . . , Yk
Y1
' %
Y ∼ (n, p)

n
fY (y1 , . . . , yk ) = py1 · · · pykk
y1 · · · yk 1
n
& $ " & "
y1 ···yk

n n!
=Q
y1 · · · yk yi !
%
# # %" & $ " & "

%& % %% ! $ # %
"" ! n
$ $& $# # % # " % !
abkdbg · · · f
# $& ! ( ! $ " %" '
$# $
|a ·{z
· · a} |b ·{z
· · }b · · · k
| ·{z
· · k}
y1 y2 yk
# % " # %$ "% $ Q ' ( % $ #
' ' ' # # & % " ' pyi i y1
a yk k
Y
$ & % $ # $ Y n
fY (y1 , . . . , yk ) = ( )× pyi i =
y1 · · · yk
pyi i .
-

' %
Y ∼ (n, p)

(Y2 , . . . , Yk | Y1 = y1 ) ∼ (n − y1 , (p∗2 , . . . , p∗k ))

p∗i = pi /(1 − p1 ) i = 2, . . . , k !
%
% / '
!
$ % #
& $" & " !% $ %
!
'
' ( % % " '

! % & "

& % ' # "$ & ! % # "$& $&
m
# % $ "
k × m

' # $ % ! ! %& ! & '
n k

# ! % $ $ ! & ! " $ # "" $ '
# % ! & $ ! $ $ "" "

% & '
•
( % & " % !& " # ! & '
•
# % $ ! %" % ## ( % '
•
# % ! (% ( % # ! & '
•
# $ % ( " !
! #
• `1
$ % ( # % " '
`2
# " $& % ( # % # ! & ' #
y Y
! % $ # %
%& % % ' #
&
λ Y ∼ (λ)
e−λ λy %
pY (y) = y = 0, 1, . . .
y!
# & ! %( ! #
% % '

E[Y ] = λ.
%

Y ∼ (λ) ! $
t
MY (t) = eλ(e −1)

!
∞ ∞
tY
X
ty
X e−λ λy
MY (t) = E[e ] = e pY (y) = ety
y=0 y=0
y!
∞ ∞
−λ X −λet
X e−λ (λet )y e e (λet )y
= = −λet
y=0
y! e y=0
y!
λ(et −1)
=e
%

Y ∼ (λ) ! $
Var(Y ) = λ
$ % $ ""
%( # # % & % ! % "
! #!
# & & % $ '

∞
2
X e−λ λy
E[Y ] = y2
y=0
y!
∞ ∞
X e−λ λy X e−λ λy
= y(y − 1) + y
y=0
y! y=0
y!
∞
X e−λ λy
= y(y − 1) +λ
y=2
y!
∞
X e−λ λz+2
= +λ
z=0
z!
2
=λ +λ
'
Var(Y ) = E[Y 2 ] − (E[Y ])2 = λ

2 d2

E[Y ] = 2 MY (t)
dt t=0
d2 λ(et −1)
= 2e
dt t=0
d t λ(et −1)
= λe e
hdt t
t=0
t
i
= λet eλ(e −1) + λ2 e2t eλ(e −1)
t=0
2
=λ+λ
'
Var(Y ) = E[Y 2 ] − (E[Y ])2 = λ
%

YiP∼ (λi )
iP
= 1, . . . , n
%
Yi
1 i ! $
n n
! Y = Y
1 i λ = λ Y ∼ (λ) !
%
# % & ' ! ' # (

!
Y Y t t
MY (t) = MYi (t) = eλi (e −1) = eλ(e −1)
# # # & # ! % $ '
(λ)
$
% # $ & % ( $ %%

i = 1, . . . , n Yi
! & ' $
# % ! ! # %
Di Y i ∼
!
! '
(λPi)
# $ & D%i
( % Yi
'
Y = Y D = ∪Di
# " # $ $i # # % P ' #
Y ∼ (λ) λ= λi
% & ' $ % $ # ( % # % %% " # ! ! !
! % $ ' # %
$
Y
# ( # !
(λ) Y ∼ (λ)
# ! ( !$ " ( # $ % % ! & " ! ( ! !

Y
! %! & " ! % $$ #
%& % #
Y1 Y θ
2 ! ! '
Y1 ∼ Y ∼ (λ(1 − θ)) Y1 ⊥ Y2
$ %(λθ)
' # 2 #
& % ' % #
& " % " %& " ' # λ= 1, 4, 16, 64 λ

$ # % & ' !
# %" & # % & ' #
# % & ' "" $
# Pλ # % #∼ (λ) ' & $ %
Y
Y Y = ∼
% #
% ' i=1 #Yi # %"Yi & (1) λ
# % & "" $ # ""
Y

% & " %& " # "% '

λ
# %" $ # ! % $

$

α $# %%! ! % '

%" , "$ & $ " $ %
% ! $% '
α

pY(y) pY(y)
0.00 0.04 0.08 0.0 0.1 0.2 0.3
0
% &
' % $
10 15 20 25
2
λ = 16
λ=1
y
4
6
pY(y) pY(y)
0.00 0.02 0.04 0.00 0.05 0.10 0.15 0.20

λ = 1, 4, 16, 64
0
50 60 70 80
2
λ = 64
λ=4
4
y
6
8

)' )' ' * (* *( '+ * * + ( ' ' ( * ()' '
' ( ()'* (* ' &()' *('
'*+' &
20 !
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#*( $ *
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&&

! % ! ! % % # $ ' "
" !

#

α

α

500
400
Number of Groups
300
200
100
0
0 2 4 6 8 10 12
Number of Particles in Interval
$ % ' $#
%%! ! % $ % &
% # % " "!

" $ "

%" ! % $
%" $ '
α

# ! % $ %& ! % $
# !% $ # ( $ " # # % ' %
1, . . . , n
' #
&
Y ∼ (1, n)
'
p(y) = 1/n
% ' # !% $ %& ! % $ $ ! & ! " %
y = 1, . . . , n
&
" ! %"" % # %
%& ## # $& % ! & !

$ "" " " ' # "
%& % '
"" $ $ " ! %
$
%" % $ $n ! ""$ %
&
"
' %
" ! &
" % '

# $ $ $ %& ! %
$ # ! % $ #
! ( % # %(" ' %
[a, b]
' "# $ # # & # $ ! # # ! %
Y ∼ (a, b)
$ %& # "" ! # # & ' #
!

p(y) = 1/(b − a)
% ' # & (% ! & & % $ % "
y ∈ [a, b]
% '

$
%( % ! & &

" %& ' #
# & '" ' ' # ! y1 , . . . , yn (a, b)
(â, b̂)
(
1
n !
a ≤ y(1) b ≥ y(n)
p(y1 , . . . , yn ) = b−a
# %
0
# # & & ! $ & ""
"
(a, b)
# $ & # ! ' #$ b−a
! '
â = y(1) b̂ = y(n)

# $
% % " % & & ' # !

"
Γ
& # & " $ ! !
R+
Z ∞
Γ(α) = tα−1 e−t dt
0

%& $ # & & $ $ ! & # &
! % % ' % $ %
$ %
# %

%
Γ(α + 1) = αΓ(α) α>0
%
( %
Γ(n) = (n − 1)! n
√
Γ(1/2) = π
%
( $ & % ! # & & ! % $ #
!
α β α, β)
1 % '
p(y) = y α−1e−y/β y≥0
Γ(α)β α
% & '
Y ∼ (α, β)
$% ' # & & ! % $ % ("$ ! $ % ("$
α
'
β
#
" $ % ' # $ %( % ! % # ( ! %
• α
#
' & & "" ! #

%& % # & &
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α
# $%
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% # ' ' ' # $ % $ %(
•
# %& #
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$ ! %
α = .5
" ' # ! % " %%
! ! % ("$ ' %
β
# % "" !

%& % ' !% " %&
$ 'β # "
%& % $ !
!
β
" # %$ # # %
p(y) y
' # ! "
%& % & ! !
y/β
# % & ' ' ' % & % "
%& % '
$ % '
% ! $ ! # ""
'

!
" !
"# $ %& " "
" " !
% %& ' "&#" (
) $ " *%+,$ - ,'. $ ," *%+

β = 0.5 β=1
3.0
1.5
α = 0.5 α = 0.5
α=1 α=1
α=2 α=2
α=4 α=4
2.0
1.0
p(y)
p(y)
1.0
0.5
0.0
0.0
0 1 2 3 4 5 0 2 4 6 8
y y
β=2 β=4
0.8
0.4
α = 0.5 α = 0.5
α=1 α=1
0.6
0.3
α=2 α=2
α=4 α=4
p(y)
p(y)
0.4
0.2
0.2
0.1
0.0
0.0
0 5 10 15 20 0 10 20 30 40
y y
$ % ' & & ! % (%$ ("$ ! '

α β

) ' )$ "&#.

&
%&
& %& & # ) "" *%+
. ". ) & .) " %&".. *%+ )" )
"#& )$, $ & * & &+ "#& "#

X∼ (α, β) Y = cX Y ∼ (α, cβ)
!! # % & ' '

1
pX (x) = xα−1 e−x/β ,
Γ(α)β α
!
Y = cX x = y/c dx/dy = 1/c
1
pY (y) = (y/c)α−1e−y/cβ
cΓ(α)β α
1
= (y)α−1e−y/cβ
Γ(α)(cβ)α
# # # & ! ' " % '
(α, cβ)
# & & ! (% % % %! ! # ( %" # % & '

Y ∼ (α, β) E[Y ] = αβ
!!

Z ∞
1
E[Y ] = yα
y α−1 e−y/β dy
0 Γ(α)β
Z
Γ(α + 1)β ∞ 1
= α+1
y α e−y/β dy
Γ(α) 0 Γ(α + 1)β
= αβ.
# " $ " "" $ ! # % !
Γ(α+1) = αΓ(α)
& & ! # %" '

# " % #
% % % ! ! !
"$ ! # # %" ( % $ $" ' % '

!

!
Y ∼ (α, β)
!
MY (t) = (1 − tβ)−α t < 1/β
!!

Z ∞
1
MY (t) = ety α
y α−1 e−y/β dy
0 Γ(α)β
β α Z ∞
( 1−tβ ) 1 1−tβ
α−1 −y β
= β
y e dy
βα 0 Γ(α)( 1−tβ )α
= (1 − tβ)−α

Y ∼ (α, β)
Var(Y ) = αβ 2

√
SD(Y ) = αβ.
!! % '

# ( ! " # $
$#
# " & &

•
# & $ "
! ( #

•
# & $ ! & "
% " ! % $ % $# $ #
!
! % $ ' # & $ " # & ! % # (
Y
$% ' #
" ! % $ # % & #
!

Y λ>0
Y
% '
pY (y) = λ−1 e−y/λ y≥0
! %
' # !
$% ! $ % ' %

Y ∼ (λ)
$ % ' % $ % ("$ ' #
" ! % $ #
"
λ

# & & ! % $ # ' # & ! & %

α=1 SD
( # % & ' ' '
#
" ! # & & $ & ! ! % &

"" ' # ("$

! %& # ("$
y=0
! # %
λ p (0 | λ)
! % ' $ "" $ ' & "" ("$ Y % ( ! % "%
("$ "% ("$ % ( ! % & "" ("$ '
λ y
λ 10 y λ
lambda = 2
lambda = 1
lambda = 0.2
8
lambda = 0.1
6
p(x)
4
2
0
0.0 0.5 1.0 1.5 2.0
$ % '
" !

/

%

6

238

%
6
8 2

% 6

8 7

239 α % 64
2358
+ ..

#
%. %&

%&8 "%

α

)

Y

:

& λ( %

0
%
λ m P[Y ≤ m] =
P[Y ≥ m] = 0.5 m
Z m
λ−1 e−y/λ dy = 0.5.
0

% 6m =
λ log 2 %
4

8 2 % 6 7 73
% λ 6 9 7

4

8 87 λ

! !

" ! !
!
(λ)
# ! # ! $ !

$
"

T
$
! " " "
" #
t T ≥t S
! ! " "
! S = T −t
S
T > t r>0
P[T ≥ t + r, T ≥ t]
P[S > r | T ≥ t] = P[T ≥ t + r | T ≥ t] =
P[T ≥ t]
P[T ≥ t + r] λ−1 e−(t+r)/λ
= = = e−r/λ .
P[T ≥ t] λ−1 e−t/λ

S
$
!
(λ)
"

#
"

t $

! # ! # ! $
" #
$$
! # "
(λ)
T
%

+ , )

/

%
% $

! ! " $
$ !

$ ! $ $ "
$ $$
$
λ

" ! # ! # $ !

T

(λT )
" # ! ! # $
I I2 I1
1
# ! # $ "
I2
$ $ # ! ! !
"

! $ ! " ! #

t0 T1
$ # ! $ "
t0 Y1 = T1 − t0 T1 Y1
! " #
!
Y1

y
$
Pr[Y > y] = Pr[ [t0 , t0 + y]] = e−λy
$ # !
"

Pr[Y1 > y] = e−λy ⇒ Pr[Y ≤ y] = 1−e−λy ⇒ pY (y) = λe−λy ⇒ Y1 ∼ (1/λ)

! $ $ ! # $
$ #
T2
" #
t0 Y2 = T2 − t0 Y2 y>0
# $
Pr[Y2 > y] = Pr[ [t0 , y]]
$ $
= Pr[ [t0 , y]] + Pr[ [t0 , y]]
= e−λy + yλe−λy
#
λ2
pY2 (y) = λe−λy − λe−λy + yλ2e−λy = ye−λy
Γ(2)
! "
Y2 ∼ (2, 1/λ)
! $ !
" #$ !n
# #
! "
Y (n, 1/λ)

% %

Y1 , . . . , Yn Yi ∼ (αi , β)
X
Y ≡ Yi ∼ (α, β)

α ≡ P
αi

!! $ "

! " ! !
Yi
β
! "
αi

% %
! !

$

β = 2
!
α = p/2
#p # ! "
2"
p Y ∼ χp
% %

P

Y1 , . . . , Yn ∼ (0, 1) X = Yi2
X ∼ χ2n
!! !
$ " "

!
α β (α, β)
# ! "
Y
Γ(α + β) α−1 #

pY (y) = y (1 − y)β−1 y ∈ [0, 1]
Γ(α)Γ(β)

! " " ! $
(α, β) Y ∼ (α, β)
! " "
% %

Y ∼ (α, β)
α
E[Y ] =
α+β
αβ
Var(Y ) =
(α + β)2 (α + β + 1)
!! $ "

"
! " $
#

! ! " # !

! $ # #
α β
" # ! "
α>1 β>1 p(y) (1, 1)
! "
(0, 1)

# $ # !

" " " " "
(0, 1) $
# (0,1) $ # #
x1 , . . . , xn ∼

x(1)

# "
x(1)
FX(1) (x) = P[X(1) ≤ x]

= 1 − P[ Xi
x]
= 1 − (1 − x)n
#
d Γ(n + 1)
pX(1) (x) = FX(1) (x) = n(1 − x)n−1 = (1 − x)n−1
dx Γ(1)Γ(n)
$ " # $
(1, n)
$ "

% % % %
%
$ ! ! #
! "
% %

X1 ∼ (α1 , β) X2 ∼ (α2 , β) X 1 ⊥ X2

X1
Y ≡ ∼ (α1 , α2 )
X1 + X2
!! $ "

! " !
X X
#
1 2 "
β

! "

! !
•

! ! ! $
•
!
•

8
(a,b) = (0.3,1.2)
(a,b) = (1,4)
6
(a,b) = (3,12)
p(y)
4
(a,b) = (10,40)
2
0
0.0 0.2 0.4 0.6 0.8 1.0
b
4
(a,b) = (0.3,0.3)
3
(a,b) = (1,1)
(a,b) = (3,3)
p(y)
(a,b) = (10,10)
1
0
0.0 0.2 0.4 0.6 0.8 1.0
c
8 10
(a,b) = (0.3,0.03)
(a,b) = (1,0.11)
p(y)
(a,b) = (3,0.33)
(a,b) = (10,1.11)
4
2
0
0.0 0.2 0.4 0.6 0.8 1.0
" ! "

! " ! "

"

•

" $
$ # ! ! " $ ! !

# ! $ !

" ! !
$ #

! ! "
! $ !
µ∈R σ>0
1 1 x−µ 2 "
p(x | µ, σ) = √ e− 2 ( σ ) .
2πσ
%
%
% % %

%
4

2

8

)

µ ≈

8.08 σ ≈ 0.94
-

8

-

◦
-
◦
7 3 ◦ ◦
44 46
−21 −19
0.4
density
0.2
0.0
4 6 8 10 12
temperature
" !

◦ !

44 −46◦
◦ " $ " " "
19 − 21

%

8◦ ◦

/

45

20

/

2 2 7
t

/ 8.5◦ 9.0◦ 2 2 7

◦

9.0

◦

t 8.5
"
Z 9.0
1 1 t−8.08 2
P [t ∈ (8.5, 9.0]] = √ e− 2 ( 0.94 ) dt ≈ 0.16.
8.5 2π 0.94
4 4

& ! &

! :

% & !

$ & $ & & ,
•

$ % $ $ * + $ * +
•
+
$ * $ *

+
$ *&+ $ *&
+

8

19/112 ≈ 0.17
2 2 7
.

,
%

◦

◦
2
2 7

7.5 8.0
Z 8.0
1 1 t−8.08 2
P [t ∈ (7.5, 8.0]] = √ e− 2 ( 0.94 ) dt ≈ 0.20.
7.5 2π 0.94
4 -

8

15/112 ≈ 0.13
2 2 7
% %

Y ∼ (µ, σ)
σ 2 t2
+µt
MY (t) = e 2 .

!!

Z
1 1 2
MY (t) = e− 2σ2 (y−µ) dy
ety √
Z 2πσ
1
e− 2σ2 (y −(2µ−2σ t)y+µ ) dy
1 2 2 2
= √
2πσ
Z
µ2 1 2 (µ−σ 2 t)2
e− 2σ2 (y−(µ−σ t)) + 2σ2 dy
1 2
− 2
= e 2σ √
2πσ
−2µσ 2 t+σ 4 t2
=e 2σ 2
σ 2 t2
+µt
=e 2 .
% %

Y ∼ (µ, σ)

E[Y ] = µ Var(Y ) = σ 2 .
!! !

σ 2 t2

E[Y ] = MY0 (0) = (tσ 2 + µ)e +µt
2 = µ.
t=0
$
σ 2 t2 σ 2 t2

2
MY00 (0) 2 +µt 2 2 +µt
= σ 2 + µ2 .

E[Y ] = =σ e 2 + (tσ + µ) e 2
t=0

Var(Y ) = E[Y 2 ] − E[Y ]2 = σ 2 .
$ ! ! "

(0, 1)
! " ! # $

# ! " ! $ !
$ ! " $ " "
%
%

X ∼ (0, 1) Y = σX + µ Y ∼ (µ, σ)

Y ∼ (µ, σ) X = (Y − µ)/σ X ∼ (0, 1)

!! " " ! "

X ∼ (0, 1) Y = σX + µ
σ 2 t2
MY (t) = eµt MX (σt) = eµt e 2
" "
Y ∼ (µ, σ) X = (Y − µ)/σ
σ 2 (t/σ)2 t2
MX (t) = e−µt/σ MY (t/σ) = e−µt/σ e 2
+µt/σ
=e2
$ " $ 2 $ $

χ
# ! ! " 2 $$ !
χ
# # ! " ! "

"
%
%

P

Y1 , . . . , Yn ∼ (0, 1) X = Yi2
X ∼ χ2n
!! $ "
n=1
Z
tY12
2 1 y2
MX (t) = E[e ] = ety √ e− 2 dy
Z 2π
1 1 2
= √ e− 2 (1−2t)y dy
2π
Z √
−1/2 1 − 2t − 1 (1−2t)y2
= (1 − 2t) √ e 2 dy
2π
= (1 − 2t)−1/2
! "
X∼ (1/2, 2) = χ2
# 1 "
n>1
MX (t) = MY12 +···+Yn2 (t) = (1 − 2t)−n/2

! "
X∼ (n/2, 2) = χ2n

~ ! ! $ ! $ $

X n µX~
!
Σ~
"
~ ! ! #
X
X
pX~ (~x) =
1 1
e− 2 (~x−µX~ ) Σ
t −1 (~
x−µX
~) "
1
(2π)n/2 |Σ| 2
# ! # ! "

|Σ| ~ ∼ (µ, Σ) "
! # " " Σ
X

# #! " ! $ $
! $ # $ $ 2 "
Σ σ
$! ! #! ! !

$ $ $ !
 2 
σ1 0 0 ···
 0 σ22 "0 · ·" ·
 "" "" 
Σ= 
 0" 0" 
"" ""
· · · σn2
$
1 1 t
e− 2 (~x−µX~ ) Σ
−1 (~
x−µX
~)
pX~ (~x) = 1
(2π)n/2 |Σ| 2
n Y n 1 Pn (xi −µi )2
1 1 − i=1 σ2
= √ e 2 i
2π i=1
σi
n ”2
1
“
Y x −µ
− 12 iσ i
= √ e i ,
i=1
2πσ i
$ # ! ! # $
n
! " # !
Xi
" $ "
i ∼ (µi , σi )
X ! ! "
· · · = σn = 1 n
σ1 =
Σ
~
~
In
µ1 = · · · = µn = 0 X ∼ (0, In ) X

! ! ! "
# !

n
!
X1 X2 X1 ⊥ X2
! "
Cov(X1 , X2 ) = 0 Cov(X1 , X2 ) = 0 X 1 ⊥ X2
# ! ! $ "
X1 X2

" " # " #$

(X1 , X2 ) ∼ (µ, Σ) Cov(X1 , X2 ) = 0 X ⊥ X2
! $ !1 "
%
%

~

Σ
!

!
! ! X = (X1 , . . . , Xn ) ∼ (µ, Σ)

 
Σ11 012 ··· 01m
 021 Σ22
 ··· 02m 
Σ =  
 
0m1 · · · 0mm−1 Σmm

Σii ni × ni 0ij ni × nj ! Pm ni = n
!
~ ! ! ! Σ

Y~i Y~1 = (X1 , . . . , Xn ) Y~2 =
1
X

~ 1
(Xn1 +1 , . . . , Xn1 +n2 ) Ym = (Xn1 +···+nm−1 +1 , . . . , Xnm ) νi ν1 =

(µ1 , . . . , µn1 ) ν2 = (µn1 +1 , . . . , µn1 +n2 ) νm = (µn1 +···+nm−1 +1 , . . . , µnm )

~

!
!

Yi
~
Yi ∼ (νi , Σii )
!! # !
~m) #!
~ → (Y~1 , . . . , Y
X

pY~1 ,...,Y~m (~y1 , . . . , ~ym)

1 1 t
e− 2 (~y−µ) Σ
−1 (~
y −µ)
= pX~ (~y1 , . . . , ~ym) = 1
(2π)n/2 |Σ| 2
1 1 Pm
yi −νi )t Σ−1
= Q m 1 e− 2 i=1 (~ ii (~
yi −νi )
(2π) n/2 |Σii | 2
i=1
m
Y 1 1 t
e− 2 (~yi −νi ) Σii (~
yi −νi )
−1
= 1
ni /2 |Σ | 2
i=1 (2π) ii
! ! ! $

$ $ " " # ! $ "
pX~

{~x : pX~ (~x) = c}
$ # !
c

xi t −1
(~x − µ) Σ (~x − µ)
$ $ #! $ "
pX~ Σ

P
(~x − µ)t Σ−1 (~x − µ) = n1 (xi − µi )2 /σi2 pX~ (~x) = c
# $ $$$ !
µ
"
σi /σj

! " " ! " #

$ ! $ #

$ ! ! # ! " $

E[X1 ] =
" $
E[X2 ] = 0 σX1 = σX2 = 1 σX1 =
"
1; σX2 = 2 σ 1 = 1/2; σX2 = 2
$ ! $ X $ $ # !
" $ ! $
! !

$ "
" $ # $ "
) ) ".

$ ' "&#.
$ ' "&#.
& & $
& & $

& . & &
&. $ $ & . $"% )"% %&
$" $ %& $ * + )" $ %& $ * +
&
&
". $"% )"% %&
$" $ %& $ * + )" $ %& $ * +
& & $
& . & &
&. $ $ & . $"% )"% %&
$" $ %& $ * + )" $ %& $ * +
&
". $"% )"% %&

(a) (b)
4
2
2
x2
x2
0
0
−4
−4
−4 −2 0 2 4 −4 −2 0 2 4
x1 x1
(c) (d)
4
4
2
2
x2
x2
0
0
−4
−4 −2 0 2 4 −4 −4 −2 0 2 4
x1 x1
(e) (f)
4
4
2
2
x2
x2
0
0
−4
−4
−4 −2 0 2 4 −4 −2 0 2 4
x1 x1
" ! " "

E[X1 ] = E[X2 ] = 0
"
σX1 = σX2 = 1 "
σX1 = 1; σX2 = 2
% "
σX1 = 1/2; σX2 = 2
% $ # "
! # ! "

$" $ %& $ * + )" $ %& $ * +

& $
&
&
. & &
&. $ $ & . $"% )"% %&
$" $ %& $ * + )" $ %& $ * +
&
". $"% )"% %&
$" $ %& $ * + )" $ %& $ * +
$ ! # #$
• X X
# $ $ 1 2 ! ! "
& & !

! # & & "

*%+
, & * + "
•
! &
ij
"

Σ Y ∼ (µY~ , ΣY~ )
1 1 t
e− 2 (~y−µY~ ) ΣY~ (~
y −µY~ )
−1
pY~ (~y ) = 1 ,
(2π)n/2 |ΣY~ | 2

X~ ∼ (0, I ) " X ~ $ $ # (0, 1) !
" $ n # $ !
(n − 1)
$ " "
~ 1/2 ~
Z = Σ X +µ pZ~ = pY~
#
~ Y~ ! #
Z
! ! ! $ !

#! # ! ! ! $ "

! " " $ # # ! # ! ~
pZ~ = pY~ X

~ |Σ|1/2 # ! # Σ " #
Z

pZ~ (~y ) = pX~ Σ−1/2 (~y − µ) |Σ|−1/2
1 t
= √ n e−1/2(Σ (~y−µ)) (Σ (~y−µ)) |Σ|−1/2
−1/2 −1/2
2π
1 1 t −1
= n/2 1/2
e− 2 (~y−µ) Σ (~y−µ)
(2π) |Σ|
= pY~ (~y )

$ ! ! ! ~

Y
! #!
# ! ! "

! !

! " " ! " #

$ ! $ #

$ ! ! # ! " $

E[X ] =
" $ 1
E[X2 ] = 0 σ1 = σ2 = 1 σ1,2 = 0
"
σ1,2 = .5 σ1,2 = −.8
" $ # $ "
) ) ".

& .
%
$ ' "&#.& .
$ ' "&#.& .
%# )
%# * +
%# * +
%# * +
& . . %$ & . & .
% %&
%# %# *% +
%# %& " %# . %$ %&
%& & .
%& & .
$ $ * + $ * +
& . * +
'. , %, . %# ,
$ , . $ , %# %& , $
&. $ $ & . $"% )"%
" "
$" $ %& $ * +

a b
4
2
2
x2
x2
0
0
−4
−4
−4 −2 0 2 4 −4 −2 0 2 4
x1 x1
c d
4
4
2
2
x2
x2
0
0
−4
−4
−4 −2 0 2 4 −4 −2 0 2 4
x1 x1
e f
4
4
2
2
x2
x2
0
0
−4
−4
−4 −2 0 2 4 −4 −2 0 2 4
x1 x1
" ! " "

E[X1 ] = E[X2 ] = 0 σ1 = σ2 = 1
"
σ1,2 = 0 "
σ1,2 = .5
% "
σ1,2 = −.8
% $ # "
! # ! "

)" $ %& $ * + %&".. * ,% +

. %$ & , % %
%# ,
". * + * +
$"% )"%
$" $ %& $ * +
)" $ %& $ * + %&".. * ,%+
$ $ $ ! ! ! !

# "

%
%

~

! ! !

X ∼ (µ, Σ) n

A
n n Y = AX
Y ∼ (Aµ, AΣAt )
!! ! " "

pY~ (~y ) = pX~ (A−1 ~y )|A−1 |

1 − 12 (A−1 y~ −µX ~) Σ
t −1 (A−1 ~ y −µX~)
= 1 e
n/2
(2π) |A||Σ| 2
1 − 12 (A−1 (~y −AµX t −1 (A−1 (~
~ )) Σ y −AµX~ ))
= 1 e
n/2
(2π) |A||Σ| 2
1 − 12 (~
y −AµX t
~ ) (A
−1 )t Σ−1 A−1 (~
y −AµX~)
= 1 e
n/2
(2π) |A||Σ| 2
1 − 21 (~y −AµX t
~ ) (AΣA )
t −1 (~
y −AµX~)
= 1 e
n/2
(2π) |AΣA | t 2
$ $ "

(Aµ, AΣAt )

! ! !

(µ,
~ ∼
X
n
Σ)

! !

A
n n
t
b n
Y = AX + b Y ∼ (Aµ + b, AΣA )
!! $ "

Pn
X1 , . . . , Xn ∼ (µ, σ) S2 ≡ i=1 (Xi −

2 2
X̄) X̄ ⊥ S
!! ! $
Y~ = (Y1 , . . . , Yn )t
Y1 = X1 − X̄
Y2 = X2 − X̄
""
"
Yn−1 = Xn−1 − X̄
Yn = X̄
# # "
" # $ # " " # $ # "
S2 (Y1 , . . . , Yn−1)t Yn
" "
(Y1 , . . . , Yn−1)t ⊥ Yn
" # "
S 2 ⊥ Yn
" Pn " # Pn−1 "
i=1 i (X − X̄) = 0 (Xn − X̄) = − (Xi − X̄)
# i=1
n−1 n−1
!2 n−1 n−1
!2
X X X X
S2 = (Xi − X̄)2 + (Xi − X̄) = Yi2 + Yi
i=1 i=1 i=1 i=1
# $ # t"
(Y1 , . . . , Yn−1 )
"
 
1 − n1 − n1 − n1 · · · − n1
 −1 1 − 1 −1 · ·" · −"n1 
 ""n "" n ""n "" "" 
~  " " " ~ ~
Y =  X ≡ AX
 1 
 −n − n1 · · · 1 − n1 − n1 
1 1 1 1
···
!
n n n n
$
A
~ 2 t " # $
Y ∼ (Aµ, σ AA ) n−1 A
" #

t Σ11 ~0
AA = ~0t 1/n
! !
Σ11 (n−1)×(n−1) ~0 (n−1)
$ # " ! " "
(Y , . . . , Y )t ⊥ Y 1 n−1 n

" ! ! #! "

t F

t
! # $ ! # !
t
"
" " "
X1 , . . . , Xn ∼ (µ, σ) µ σ
! " ! " !
µ µ̂ = X̄
√
X̄ ∼ (µ, σ/ n)
X̄ − µ
√ ∼ (0, 1)
σ/ n
$$ $ !
" $ ! √ ! # ! "
µ µ ±2σ/ n
! ! # ! $ "
!
P
σ
−1 2 1/2
σ σ̂ = n (Xi − X̄)
X̄ − µ
√ ∼ (0, 1),
σ̂/ n
! " $ $ # √
(X̄ −µ)/(σ̂/ n)
! ! " #!

" " ! " # 2
X̄ ⊥ σ̂ S =
2
P 2" ! ! "
nσ̂ = (Xi − X̄)
%

= W1 + W2 V1 ⊥ V2
V = V 1
+V
2
W
!
W1 ⊥ W2 V W

!

V1

!
W1

V2 W2

!! ! ! # $

MV2 (t) = MV (t)/MV1 (t)
= MW (t)/MW1 (t)
= MW2 (t)

T F
%
%

Pn
X1 , . . . , Xn ∼ (µ, σ) S2 = i=1 (Xi −

2
X̄)
S2
2
∼ χ2n−1 .
σ
!!

n 2
X Xi − µ
V = .
i=1
σ

V ∼ χ2
n
n 2
X (Xi − X̄) + (X̄ − µ)
V =
i=1
σ
n 2 2 n
X Xi − X̄ X̄ − µ X
= +n + 2(X̄ − µ) (Xi − X̄)
i=1
σ σ i=1
n 2 2
X Xi − X̄ X̄ − µ
= + √
i=1
σ σ/ n
S2
≡ + V2
σ2
"
S 2 /σ 2 ⊥ V2 V2 ∼ χ21
n−1 2 2
X Xi − µ Xn − µ
V = + ≡ W1 + W2
i=1
σ σ
" $ $ #
W1 ⊥ W2 W1 ∼ χ2n−1 W2 ∼ χ21
! ! " "

r √
n−1 X̄ − µ n(X̄ − µ)/σ
T ≡ √ =p .
n σ̂/ n S 2 /(n − 1)σ 2
"
! " #
T
p "
U/ V /(n − 1) U ∼ (0, 1) V ∼ χ2n−1 U ⊥V
$ # # ! " "
t n−1 T ∼ tn−1
! " "

%
%

U ∼ (0, 1) V ∼ χ2p U ⊥ V T ≡
2

p
U/ V /p ∼ χp
p − p+1
Γ( p+1
2
)p 2 2 − p+1 Γ( p+1
2
) t2 2
pT (t) = p √ t + p 2
= p √ 1+ .
Γ( 2 ) π Γ( 2 ) pπ p
!!

U
T =p Y =V
V /p
! # ! #

(U, V ) → (T, Y ) (T, Y )
! # " # !
T
1
XY 2
U= √ V =Y
p
$
dU dU
21 1

Y 12
Y√ T Y√− 2

dT
dV dY = p 2 p = √
dV

dT dY

0 1 p
#
(U, V )
1 u2 1 p
−1 − v2
pU,V (u, v) = √ e− 2 p v 2 e .
2π Γ( p2 )2 2
# #

(T, Y )
1
1 t2 y 1 p
−1 − y2 y
2
pT,Y (t, y) = √ e− p p y 2 e √
2π Γ( p2 )2 2 p

T F
! #
T
Z
pT (t) = pT,Y (t, y) dy
Z ∞
1 p+1 y t2
=√ p√ y 2
−1
e− 2 ( p +1) dy
2πΓ( 2p )2 2 p 0
p+1
1 p+1 2p 2
=√ p+1 √ Γ( )
πΓ( 2p )2 2 p 2 t2 + p
Z ∞
1 p+1 y
−1 − 2p/(t2 +p)
× p+1
2 y 2 e dy
0 p+1 2p
Γ( 2 ) t2 +p
Γ( p+1
2
)pp/2 2 − p+1
= p √ t +p 2
Γ( 2 ) π
− p+1
Γ( p+12
) t2 2
= p √ 1+ .
Γ( 2 ) pπ p
" " # # # !

t
"
(0, 1)
" ! ! ! $
t
! ! ! ! "
(0, 1)
" ! $
p→∞ tp (0, 1)
" $ $$ " $ "
" " $ # "
$ ' "&#.
& %& . $ . $ ! . $ . $ !
& $
. ". $ & .) " )" & %.) $" .
".) "
"#& $ ) ! ".)
"#& . ! !
"

0.4
df = 1
df = 4
0.3
df = 16
df = 64
density
0.2
Normal
0.1
0.0
−4 −2 0 2 4
" # # # # !

t (0, 1)

# $ " " √

n(X̄ − µ)/σ̂
! " ! " #
(0, 1)
√ $ $"
n − 1(X̄ − µ)/σ̂ tn−1
" " ! "
t
! $ #$
(0, 1) σ
! " " " !
n σ
$ "
#
T ∼ tp
"
Z − p+1
Γ( p+1
2
∞
) t2 2
E[T ] = t p √ 1+ dt
−∞ Γ( 2 ) pπ p
! −p $ "
t→∞ t
# # "
! ! "

p > 1 t
! ! " 1

! !

p > 1 E[T ] = 0
$ # # "
tp p > 2
" ! !
p > 2 Var(T ) = p/(p − 2) T k
k # # "
E[T ] < ∞ p>k

F

" ! " ! ! # $ "
" # ! " "

#

# "
" ! ! #
# # $ "

! # ! " # !

# ! $ # ! "
# ! "
! # ! "

# ! # ! $ # ! "

$ # ! # ! !
$ # ! $ $
! " # ! #

$$! # "
" ! $ # #

! " $ $ $ " " " #

#
!

(3)
"

(n, p) n = 13 p
! ! ! $
#$ # "
! # $ $$ $ #

"
$
# $ !
$ "
# ! $$ !

! "
! # $ $ "

" % " " "
$$ "
! ! $ # ! #

$$ "
" ! " # # !

(λ)
$ " ! ! !
(3, 22)
"

$ "

! " $ ! $ $ # " #

#
" ! # !
$ $ "

! # !
! # !
$ ! #

! #
! # !

# ! # !
! # !
#
! # ! $

! # ! $$

" # ! # $ # # ! "
! !

$ $
"
"
" " # $ $"
! $ # # !
" $ $ $ " " " #
"
(3) (λ) λ
! $ $ ! "

! # !
! # !
$ ! # !
! # ! $
! # $
# !
" $ $ ! $
$ $ ! $ " $ !
#
$ " $ !
$ $ !
! # $ "
! # ! $ $ "
$ $ # !

$ " ! # $ $

! $ "
! # #

$ #

$ ! #

# ! $
$$ "
" ! " ! ! # $ "
" ! " E[Y 2 ] $

! " "
! " E[Y 2 ] ! !

# $ "
" " "

% %
% % $!
! # # ! ! # ! !
" " ! $! $ $ "
$ ! # # ! ! #
!
$ ! # # ! !
$ ! # ! # # !

!
! # ! ! # !

! " # ! " #
# ! $ ! ! "

# ! " #
# ! $ ! # !
$ "
" ! !

# $ $$ $! #
$ # ! $! " $ $
# $$ $ #
! ! # ! "

! $ !

" $ $ ! !
# ! "
$ # ! # !

$
$

! # !

# ! $ #
$$
$ #! !

! !

"
" $ !

! $ # ! "

$ $ ! ! $
# $ # ! # ! $
$$ " ! #

$ ! " #
# ! $ $ # " #
$ # "
$ ! #

$ ! ! $ $

! ! # # "

# # !
# $ $ $ $ $
! "
$ $

$ $ "
$ $ $ $
$ $ ! "
$ ! $ $ # "

" $

$
# $ $

# $ # $ $

! ! $ # $ # " $ !
$ $ $ # ! $ !
# # $ # !
$ ! " # $ #
! #
#$ "
#

"
% %
%
% % %
!
!

! # ! $ "
! $ # !

"
# ! $ !

$ " #
"
"
" $ $ #
" $ $ "
X ∼ (λ) " Pr[X ≤ 7] =

" P7 −λ x
x=−∞ e λ /x!
" P7 −λ x
e λ /x!
" Px=0
7 −λ x
λ=0 e λ /x!
X
Y
#! "
Pr[X ≤ .5|Y ≤ .25] =

"
.5
"
.25
" $ # ! #! "

$ X ∼ ! (µ, σ 2 ) " Pr[X > µ + σ]
" ! "
" "

" $ # ! # ! "

X , . . . , X ∼ (0, 1) " X̄ ≡ (X + · · · + X )/100 " Y ≡ (X +
1
" $
100 1 100 1
· · · + X100 )
"
Pr[−.2 ≤ X̄ ≤ .2]
"
Pr[−.2 ≤ Xi ≤ .2]
"
Pr[−.2 ≤ Y ≤ .2]
"
Pr[−2 ≤ X̄ ≤ 2]
"
Pr[−2 ≤ Xi ≤ 2]
"
Pr[−2 ≤ Y ≤ 2]
"
Pr[−20 ≤ X̄ ≤ 20]
"
Pr[−20 ≤ Xi ≤ 20]
"
Pr[−20 ≤ Y ≤ 20]
X ∼ (100, θ) " P100 f (x|θ) =
θ=0
"
" !

" $ # ! # ! "

# X "
Y f (x, y) f (x) =
" R1
f (x, y) dx
" R01
f (x, y) dy
" R0x
0
f (x, y) dy
X , . . . , X ∼ ! ! (r, λ) ! "
1 n
f (x1 , . . . , xn ) =
" Q P
[λr /(r − 1)!]( xi )r−1 e−λ xi
" Q Q
[λnr /((r − 1)!)n ]( xi )r−1 e−λ xi
" Q P
[λnr /((r − 1)!)n ]( xi )r−1 e−λ xi
" " $ ! $

$ ! " ! "

" ! " "
" # " " " # !
k=2
! # # ! " " ! ! # #
Y1 Y
# " 2
Y1

" %

" %%

" Y ∼ (1, n) ! n

" " ! " " " "
!

Y! =y ∈6 {1, 2, . . . , n} n̂ p(y)

y 6∈ {1, 2, . . . , n}
! $ ! # ! #$
! $ $ # ! " " " !
" " " " !

T
! # ! ! #
$ " ! $
# $
$ ! " " " "
T̂
" $ ! "
Y Y ∼ (a, b)

E[Y ]
"

Var(Y )
"
$
MY (t)
"
" $ # !

# $
! $ "
(1, ∞)
$ #!
# ! $ "
(−∞, ∞)
" ! " " ! # ! " "

" " " " " #

x1 , . . . , xn ∼
$ "
(0, 1) x(n)
" $ $ " #

# % "
" ! " "

" ! " "

" ! !

n
$ $ ! $ # !
n
" ! $ "
" " " ! !
X X
!1 n " " " """ "
µ1 µn σ1 σn
# $ X "
i
# X " " " X "
1 n
$ $ # ! #

" "
! $ $ $ ! # """ "
X1 Xn
" " "
" #
x∈R
1 x2
lim ptp (x) = √ e− 2
p→∞ 2π
# # !
p (x) t p
" tp # ! " ! $ " $
x

%
% % %
"

# # #

"
! $ ! #! $
$ # # $ ! $ $ !
! " $ $ ! $ $
! ! $ ! ! #
# " ! $ #
$ $ # " $
! $ $ #
θ
$ ! " $

" !
θ θ
! # ! $ $ #! # !
#! ! " $
# $ $ $
θijk i
" $
j k i j
$ $ " # #
µ
# $ ij" !
{θijk }k µ
! ij
k
" " "

{θijk }k | µij , σk ∼ (µij , σk )
# $ $

$ "
i
# # # $

µi {µij }j µi
" $ $ $
j µi
# ! !
µ

" ! $

σi
" " "
{θijk }k | µij , σk ∼ (µij , σk )
" " "
{µij }j | µi, σj ∼ (µi , σj )
" " "
{µi }i | µ, σi ∼ (µ, σi )
" $ # ! "

%
% %
%
" $ # $ $ ! # #

% % % ! $ ! $
# !

!
! # ! # ! "

! $ " $ $ ! $ ! "
$ ! $ $ $ $
! "

" ! $ ! " # $

# ! "
% %
! # # ! !

! $ # !
$ $ "
! ! ! ! # #
#! # ! # "
! $ $ $ #

! ! !
2

! ! $ ! #$ $ "
$ $ # ! $ "
! ! " "
! "

% % ! # ! $ !
! ! "

! # #
"

% % ! #
# # ! #
# "

%
! # $
$ " !
# $ "
! ! # " $ ! # !

#
! " $ ..

% .$.

. " "
$! ! $ $
! " $

" $ $

# # $
! " # #
$

" # ! !
$ # ! ! " $ !

Y1 , . . . , YT
# "
Yt
" $ # "
!
". . . %& $" %
)" .
". . %& & )"
". . . . * + %&

)" "%&# %
". . " . %& &#
%
)" &. ") .
". . ")&$ %& & %& )&$ )" . %&#
". . % &. %& % &. )" "
". . . ". *
% %"" + %& %

Beaver Mauna Loa
Temperature
CO2 (ppm)
320
36.4
0 20 40 60 80 1960 1970 1980 1990
Time Time
DAX UK Lung Disease
monthly deaths
Closing Price
2000
1500
1992 1994 1996 1998 1974 1976 1978 1980
Time Time
Canadian Lynx Presidents

7000
trappings
approval
30
0
1820 1860 1900 1945 1955 1965 1975
Time Time
number of sunspots
UK drivers Sun Spots

200
250
deaths
60
1970 1975 1980 1985 1750 1850 1950
Time Time
" % %
! # $ !
! $ $ $ #
$

$ # $ $ ! 2
% % !

# ! $ ! ! !
! #

% %
%

# $

! ! "

$ ! ! # ! "

•
" # $ ! ! ! !

# #

! ! " " "
Y Y
$ $ " $t t+1 " #
Yt+1 Yt
" $
$ " ! $ !

# #$ ! $ #

! $ " # $ #

$ ! $ " # "

! !
" #
"" " " $

" $ " $ " " $ " #
#
! !

Cor(Y , Y ), Cor(Yt , Yt+1 ), . . . , Cor(Yt , Yt+5 )
# $ # t t " " " "
$ $ " "

" $ # "

%& #' %& '

% '
% ( '

%& "'

%& '

% '
% ( '

Beaver Presidents
30 50 70
37.0
yt+1
yt+1
36.4
36.4 37.0 30 60
yt yt
" #

Yt+1 Yt
" $ # "

&
&
"
& % & '
& %( '

% '

% ( '

$ ! $

$ ! ! " $ #
! $ ! # ! ! "
" $ # $ ! "
$ $
! ! $ !

lag = 0 lag = 1
37.2
37.2
Yt+k
Yt+k
36.8
36.8
36.4
36.4
36.4 36.8 37.2 36.4 36.8 37.2
Yt Yt
lag = 2 lag = 3
37.2
37.2
Yt+k
Yt+k
36.8
36.8
36.4
36.4
36.4 36.8 37.2 36.4 36.8 37.2
Yt Yt
lag = 4 lag = 5
37.4
37.4
37.0
37.0
Yt+k
Yt+k
36.6
36.6
36.4 36.8 37.2 36.4 36.8 37.2
Yt Yt
" #

Yt+k Yt k =
0, . . . , 5

$

$ $

$ $ ! $

$ $$ #

# $ $ " ! # $
! # " ! #
"
% %

! $ ! $ # $
$ # " $ # " #
{Yt }
$ #
Yt+1 Yt
" " $
Yt−1 Yt−1 Yt+1 Yt
$ $ " " "
" $ # "
" $ # "
&
&
% ' % & ' % & '

% & '
% '

% ( '
! " $

Yt+1
! # #
Yt−1 Y
! t " $ !
Yt+1 Yt−1 Yt
! $ $
$ # " #

Y Yt−1 Y
$! t+1
$ t # $ "

! !
#
" $ " " # " " & " " & " "
! ! " $

Cor(Y , Yt+k | Yt+1, . . . , Yt+k−1 )
# ! " " t $

Yt
36.4 36.6 36.8 37.0 37.2 37.4
36.4 36.8 37.2 36.4 36.8 37.2
37.2
36.8
36.4
Yt+1
37.2
36.8
36.4
36.4 36.8 37.2
Yt−1
" $ # # $ # #
Yt+1 Yt−1 Yt

! $ "

Yt+1 ⊥ Yt−1 | Yt
" ! # # !
Y = β0 + β1 Yt + t+1
! " $ ! $ t+1
" # $

# ! " "

&

!

" $ $

" " "
" ! ! "

Y = β0 + 0.8258Yt + t+1
! $ # " " t+1 "
t β̂0 = 36.86

" $ #
$ √
Yt+1 ∼ (36.86 + .8258Yt, .012)
! $ # "
$ $ !

$ ! " ! $ !

$!
! $ $

Yt = + + .
$ ! ! !
# ! ! !
$ $ " ! # ! ! #

# $ "
t
2 t
ĝ(t) =
.5yt−6 + yt−5 + · · · + yt+5 + .5yt+6 "
12
! ! "
g(t) t
$! ! $ ! " " $
ĝ
" # ! "
&
ĝ

" " $ ! "
# # ! ! #
! $ # ! !
# ! " " " "
2
! $ "

ĝ ĝ +
#! "
" $ # "
&

&

& &

&

&

(
$ $ # ! $ $ "

Yt t
# $ # ∗
! ∗ "
Y = Yt+1 /Yt
$ $ t $
Yt
" t !
Y
" # $ $"
! $ $ "t
Y
! # " ! # $
Yt − Yt−1
! $
$ $$ " "
Yt Yt−1
"
Yt Yt−1
# #

Yt = β0 + β1 Yt−1

$ $
(β0 , β1 ) = (0, 1) (β , β1 )
# " 0
! # "
Yt ≈ Yt−1
# " !
Yt −Yt−1

(a) (b)
4
360
2
resids
340
co2
0
−2
320
−4
1960 1980 1960 1980
Time Time
(c) (d)
3
360
2
1
cycle
340
co2
0
−3 −2 −1
320
2 4 6 8 12 1960 1980
Index Time
" !

ĝ

2

ĝ

! # "

Yt ∼ (Yt−1 , σ)
(a) (b)
DAXt − DAXt−1
5000
DAX
0
2000
−200
1992 1995 1998 1992 1995 1998
Time Time
(c) (d)
Sample Quantiles
5000
DAXt
0
2000
−200
2000 4000 6000 −3 −1 1 3
DAXt−1 Theoretical Quantiles
" $ $ " ! #

Yt
Yt − Yt−1
# "
Yt Yt−1 Yt − Yt−1
" $ # "

% ' &
% & '

%& '
%& '

% & '

% '
"

%& '
%& '

$ ! ! # $ $ # ! "

•
% ' & %' % ' & % ' $ $ $

$ ! %& ' & %& ' "
!
!
! $ ! # " ! % '
& %'
%#' & % '
!
" $ $ # !
"
" # " ! "

Yt∗
! # $ "
! # ∗ ! # $
Y ∗ − Yt−1
" t ∗ "
Yt∗ Yt−1
∗ ∗ ∗ ∗ ! #
Yt Yt−1 Yt ⊥ Yt−1
" # ∗ " !
∗
Y
! t# #
Yt ∼ (µ, σ)
" ! # ∗ "
! ! "
Y
" ∗
Y ∼ (1.0007, 0.01)
" $ # "

% ' & % & '

%& ' %& '
% & '

% '

! #

Yt ≈ Yt−1
! ∗ ∗
Y ∼ (1.0007, 0.01) Yt

(a) (b)
ratet − ratet−1
0.05
1.00
rate
−0.05
0.92
0 500 1500 0 500 1500
Time Time
(c) (d)
Sample Quantiles
1.00
1.00
ratet
0.92
0.92
0.92 0.98 1.04 −3 −1 1 3
ratet−1 Theoretical Quantiles
" " ! # ∗

Yt
Yt∗ − Yt−1
∗

#
∗ ∗"
Yt Yt−1
∗
Yt

! " ! $ "

$ # # ! " $ $
" # $ # " $ !
" $ ! !
# ! # "
! # ! $ "
$
$ # $
! $ ! ! $ $ ! $ ! $ "

%
%

!" #$ % & ' ( ) & *
+,-+./012 3 ,40+5 .3 5,/ 5 1214, 60/575 819+05 15 0 13 +05

!: ;< = $ ' *$*
!> ( ? & @ $** A = & **
B
C
D E F
B G
H I J I
! ?%& A $# K L & *
B M
DN

! < #$ % L & ? $ % K L & *
205.471+5 204
5 ,95 +,85 . 5 7120 6 6 6 5 ,
,0 .0/85 8058./- /05804 3 ,40+5 ,8 025

! &= $*& *
1 1 0 +,85 1/1+1-,75 8, .-7205 1/4 ,3 780 178, ,220

+18.,/5 1/4 ./802 208 ,2 8 0 ,8 02 41815085 ./ .-720
9 1 0 +,85 1/1+1-,75 8, .-720 ,3 780 128.1+ 178, ,220+1
8.,/5 1/4 ./802 208 ,2 8 0 ,8 02 4181 5085 ./ .-720
620180 1/4 8 1 -,,4 3 ,40+ ,2 9,4 803 02187205 , 8 0 50 ,/4
901
02 50 8 0 4181508

1 4,05 718.,/ 1
021-0 ,
02 1 012 .5/ 8 .8 ,2
0 13 +0
.5yt−k + yt−k+1 + · · · + yt+k−1 + .5yt+k

ĝ(t) =
2k
,25,3 0
k 6= 6
9 13 ./0 ĝ ./ 718.,/

50 . /0 05512 120 5,3 0 ,
8 0 0/82.05
0 ,40 ,2 .-720 ,/81./5 8 0 +./05

&

&

,7+4 8 0 ,++, ./- +./05 ,2 ./58014

&

&

,2 /,8

.-720 1/4 8 0 1 ,3 1/ ./- 80 8 57--058 8 18 .5 1 -,,4

3 ,40+ ,2 8 0 4181 78 8 18 4,05/ 8 5 7120 Y.8t≈8 Y0t−1
,9502
18.,/
8 18 8 0 5 1
0 1 -0/021++ ./ 2015./- 820/4
Yt
1 ./4 1 71/8.818.
0 1 8, 5 , 8 0 820/4
9 1 8 0 1/1+ 5.5 3 .5504 8 0 820/4
3 2,
0 8 0 1/1+ 5.5 5, .8 5 ,/5.580/8 .8 8 0 820/4

.-7205 1/4 1/4 8 0 1 ,3 1/ ./- 80 8 1/1+ 0 8 0 8.3 0

502.05 15 8 ,7- .8 15 8 0 513 0 5827 8720 8 2,7- ,78 8 0 0/8.20 8.3 0
,05 8 18 3 1 0 50/50 ./ , 1/4 .3 +03 0/8 5,3 0 1 , ./
058.
-18./- 08 02 8 0 5827 8720 , 8 0 502.05 1/-05 2,3 012+ 8, +180
6 ,,50 ,/0 ,2 3 ,20 , 8 0 ,8 02 8, 12 085 8 18 ,3 0 .8 8 0

4181 /
058.-180 08 02 .8 15 8 0 513 0 5827 8720 15 8 0
1 1 0 1 +175.9+0 1/1+ 5.5 , 8 0

7/- .50150 4181
9 15 8 0 8 200 4181 5085

1/4
.
120 8 0 8,81+ 4018 5 8 0 4018 5 , 03 1+05 1/4 8 0 4018 5 , 3 1+05
, 8 0 4018 5 , 03 1+05 1/4 3 1+05 ,++, 5.3 .+12 4.582.978.,/1+
18802/5 758. ,72 1/5 02
1 0 1 +175.9+0 1/1+ 5.5 , 8 0 205.40/85 1 2,

1+ 218./-5
1 1 0 1 +175.9+0 1/1+ 5.5 , 8 0

42.
025 4018 5
9 ,24./- 8, 6,3 7+5,2 012./- , 5018 90+85 15 ./82,47 04
,/ 1/ .4 8 18 0 0 8 8 0 /73902 , 4018 5 758.
,72 1/5 02
5 8 0 /73902 , 4018 5 20+1804 8, 8 0 /739 02 , .+,3 08025 42.

0/
50 8 0
12.19+0
./ 8 0
4181 508 758. ,72
1/5 02

! @ = A &=#$& * ;# #$*#$ *

6,/5.402 8 0 ,++, ./- 8 , 1 85

08 . . 4 ,. 6 1 802 02 .50 5 , 04 8 18
Y1 , . . . , Yn ∼ P
40 0/45 ,/+ ,/ 1/4(λ) `(λ)
/,8 ,/ 8 0 5 0 .
1+705 , 8 0 ./4.
.471+
Yi
5
Yi
08 . . 4 6 1 802 02 .50 5 , 04 8 18
Y1 , . . . , Yn ∼ P
40 0/45 ,/+ ,/ 1/4(λ) `(λ)
/,8 ,/ 8 0 5 0 .
1+705 , 8 0 ./4.
.471+
Yi
5
Yi
728 02 5./ 0 71/8. 05 , 582,/-+ 8 0 4181 57 ,28 01
1+70 ,
,8 02 15 0 85 , 120 .220+0
1/8 ,2 ./ 020/ 0 19 ,78 .8 57 05 8, /,λ
`(λ)
1/4 8 020 ,20 .8 57 05 8, /, P 0 4,/ 8 /004 8, /, 8 0
y λ
./4.
.471+ 5 0 51 8 18 P .5 1 57 Y.0/8
`(λ) i
5818.58. ,2
Yi
0 8.,/ 0 13 ./05 8 0 -0/021+ ,/ 0 8 , 57 .0/ 0 ,2 ./
Yi λ
8 0 ,/80 8 , 1 1213 082. 13 .+ 0 .401 , 57 .0/ .5 ,23 1+. 04 ./
0 /.8.,/
08 90 1 13 .+ , 2,919.+.8 40/5.8.05 ./40 04

9 1 1213 0802 08{p(· | θ)} 9 0 1 513 +0 2,3 ,2 5,3 0
p(· | θ)
7/ /, / 08 θ 9 y0 1=5818.58.
(y1 , . . . , yn )
57 8 18 8 0 ,./8 4.582.978.,/ 1 8,25
θ T (y)
15
Y
p(yi | θ) = g(T (y), θ)h(y).

,2 5,3 0 7/ 8.,/5 1/4 0/ .5 1++04 1

g h T θ
0.401 .5 8 18 ,/ 0 8 0 4181 1
0 900/ ,9502
04 .5 1 ,/581/8
h(y)
8 18 4,05 /,8 40 0/4 , 5, Q
θ `(θ) ∝ p(y | θ) = g(T, θ)h(y) ∝ g(T, θ)
020 ,20 ./ ,2402 8, /, 8 0 +. 0+. ,,4 7/ i8.,/ 1/4 3 1 0 ./ 020/ 0 19,78
0 ,/+ /004 8, /, /,8 1/ 8 ./- 0+50 19 ,78 ,2 ,72 ,.55,/
θ T (y) y
1/4 ,/0/8.1+ 0 13 +05 0 1/ 81 0 P
T (y) = yi
,2 1 3 ,20 4081.+04 +,, 18 57 .0/ 8 ./ , -0/0218./- 8 200 02/
(θ)
82.1+5 1/ 90 -0/021804 ,9
.,75+ 9 -0/0218./-
y ≡ (y1 , y2, y3 ) y y1 , y2 , y3
50 70/8.1++ 0 ,55.9+0 ,78 ,3 05 1/4 8 0.2 2,919.+.8.05 120

(0, 0, 0) (1 − θ)3
(1, 0, 0)
(0, 1, 0) θ(1 − θ)2
(0, 0, 1)
(1, 1, 0)
(1, 0, 1) θ2 (1 − θ)
(0, 1, 1)
(1, 1, 1) θ3
78 1/ 1+5, 9 0 -0/021804 9 1 8 , 580 2, 04720
y
0/02180 P .8 2,919.+.8.05
y = 0, 1, 2, 3 (1−θ)3 3θ(1−θ)2 3θ2 (1−
3 205 0 8.i
0+
θ) θ
1 P -0/02180
yi = 0 (0, 0, 0)
9 P -0/02180 ,2 01 .8 2,9
yi = 1 (1, 0, 0) (0, 1, 0) (0, 0, 1)
19.+.8
P -0/02180 ,2 01 .8 2,9
19.+.8yi =2 (1, 1, 0) (1, 0, 1) (0, 1, 1)
4 P -0/02180
yi = 3 (1, 1, 1)
8 .5 015 8, 0 8 18 8 0 8 , 580 2, 04720 -0/021805 01 , 8 0 ,55.9+0
,78 ,3 05 .8 8 0 513 0 2,919.+.8.05 15 8 0 ,9
.,75 50 70/8.1+ 2, 04720
,2 -0/0218./- 8 0 8 , 2, 047205 120 0 7.
1+0/8 78 ./ 8 0 8 , 580
y
2, 04720 ,/+ 8 0 258 580 40 0/45 ,/ , . 0 1/8 8, 750 8 0 4181 8,
θ

+012/ 19,78 0 ,/+ /004 /, 8 0 ,78 ,3 0 , 8 0 258 580 0 50 ,/4

580 .5 .220+0θ
1/8 0 0 ,/+ /004 8, /, P / ,8 02 ,245 P .5
yi yi
57 .0/8
,2 1/ 0 13 +0 , 1/,8 02 8 0 +08 . . 4 18 .5 1
y1 , . . . , yn ∼ (0, θ)
57 .0/8 5818.58.
(
1 . ,2
yi < θ i = 1, . . . , n
p(y | θ) = θn
,8 02 .50
0
1
= n 1(0,θ) (y(n) )
θ
5 , 5 8 18 8 0 3 1 .373 , 8 0 5 .5 1 ,/0 4.3 0/5.,/1+ 57 .0/8
y(n) yi
5818.58.
B
I

I I IF
I I N I
I I I IF I
T
I IF D I
IF III I IF E
F I IF
x1 , . . . , xn
I I I I I I
IF x
(n)
I I I I I
x(n)
,3 08.3 05 57 .0/8 5818.58. 5 120 .- 02 4.3 0/5.,/1+ 08
y1 , . . . , yn ∼
. . 4 13 0/
(α, β)
n Y
Y Y 1 1 α−1 P
p(yi | α, β) = y α−1 e−yi /β = yi e− yi /β
Γ(α)β α i Γ(α)β α
5, Q P .5 1 8 , 4.3 0/5.,/1+ 57 .0/8 5818.58.
T (y) = ( yi , yi )
7 .0/8 5818.58. 5 120 /,8 7/. 70 .5 1 57 .0/8 5818.58.
T = T (y)
1/4 . .5 1 7/ 8.,/ 8 0/ .5 1+5, 57 .0/8 , ./ 8 0 ,.55,/
f f (T )
,/0/8.1+ 1/4 02/,7++. 0 13 +05 020 P 15 57 .0/8 P
.5 1+5, 57 .0/8 78 8 0 +1 , 7/. 70/055 .5 0
0/ 3 ,20 50
020 0 yi,+0
yi ȳ = /n

4181 508 .5 1/ 4.3 0/5.,/1+ 57 .0/8 5818.58. 90 1750
T (y) = (y) n
Y
p(yi | θ) = g(T (y), θ)h(y)
020 1/4 +5, 8 0
g(T (y), θ) = p(y | θ) h(y) = 1 T (y) =
.5 1/,8 02 4.3 0/5.,/1+ 57 .0/8 5818.58. +5, . .5 1/
(y(1) , . . . , y(n) ) n T

57 .0/8 ,/0 4.3 0/5.,/1+ 5818.58. 8 0/ .5 1 8 , 4.3 0/5.,/1+

57 .0/8 5818.58. 78 .8 .5 ./87.8.
0+ T+0122 = (y1 , T )
8 18 8 050 57 .0/8 5818.58. 5
120 .- 02 4.3 0/5.,/1+ 8 1/ /0 05512 0 1/ 90 2047 04 8, +, 02 4.3 0/
5.,/1+ 5818.58. 5 .+0 2081././- 57 .0/ 8 18 .5 .8 ,78 +,5./- ./ ,23 1
8.,/
0 0 .401 ./ 8 0 20 04./- 121-21 .5 8 18 8 0 .- 4.3 0/5.,/1+
57 .0/8 5818.58. 5 1/ 90 821/5 ,23 04 ./8, 8 0 +, 4.3 0/5.,/1+ ,/05 978
/,8 - .5 1 7/ 8.,/ , 978 .5
ȳ (y(1) , . . . , y(n) ) (y(1) , . . . , y(n) )
/,8 1 7/ 8.,/ , 0 /.8.,/ .5 ,2 5818.58. 5 8 18 1
0 900/ 2047 04 15
37 15 ,55.9+0 ȳ .8 ,78 +,5./- 57 .0/
57 .0/8 5818.58. .5 1++04 . ,2
T (y)
0
02 ,8 02 57 .0/8 5818.58. .5 1 7/ 8.,/ ,
T2 T (y) T2 (y)
.5 9,, 4,05 /,8 40+
0 ./8, 3 08 ,45 ,2 /4./- 3 ./.3 1+ 57 .0/8
5818.58. 5 / 3 ,58 1505 8 0 7502 1/ 20 ,-/. 0 08 02 1 5818.58. .5 3 ./.3 1+
57 .0/8
,05 8 0 8 0,2 , 57 .0/ .3 + 8 18 5818.58. .1/5 /004 +,, ,/+
18 57 .0/8 5818.58. 5 1/4 /,8 18 ,8 02 15 0 85 , 8 0 4181 ,8 7.80
08 9 0 9./12 21/4,3
12.19+05 1/4 57 ,50 0 14, 8 8 0 3 ,40+
y1 , . . . , yn
. . 4 02/ 0/ ,2 058.3 18./- 0 /004 +,, ,/+ 18 P
y1 , . . . , yn ∼ (θ) θ yi
78 57 ,50 872/ ,78 8, 90
(y1 , . . . , yn )
· · · 0} |1 1 {z
|0 0 {z · · · 1},

. 0 3 1/ 5 ,++, 04 9 3 1/ 5 7 1 4181508 ,7+4 158 4,798 ,/ 8 0
15573 8.,/ 8 18 8 0 5 120 ./40 0/40/8 74-./- 2,3 8 .5 4181508 .8 +,, 5
yi
37 3 ,20 +. 0+ 8 18 8 0 5 ,3 0 ./ 58201 5 , 5818.58. .1/5 5 ,7+4 +,,
yi
18 1++ 8 0 4181 /,8 758 57 .0/8 5818.58. 5 90 1750 +,, ./- 18 1++ 8 0 4181
1/ 0+ 75 20180 1/4 2.8. 70 3 ,40+5 78 ,/ 0 1 3 ,40+ 15 9 00/ 14, 804

8 0/ ./ 020/ 0 5 ,7+4 90 91504 ,/ 57 .0/8 5818.58. 5

! 072.58. 1++ 5 01 ./- 15 0 ,++0 8 0

02 3 ,20 4181 0 5 ,7+4
90 19+0 8, +012/ 8 0 8278 0
02 3 ,20 1 72180+ .5 072.58. .5 1 87204
,23 1++ 18 +0158 ,2 1213 0802 058.3 18.,/ 9 8 0 /,8.,/ , " # $ % ,
51 08 02 1/ 058.3 18,2 .5 ,/5.580/8 0 1
0 8, 40 /0 .8 ,2 0
02 513 +0

5. 0 , 8 18 0/4 +08 . . 4 ,2 5,3 0 7/ /, / 40/5.8 1

./-
/.80 3 01/ 1/4 Y1 , Y 2 ,·,2
·· ∼
01 f +08 n
f
0 .5 1
µ σ n ∈ N Tn : R → R Tn
201+
1+704 7/ 8.,/ , ,2 0 13 +0 . 0 20 82 ./- 8, 058.3 180
(y1 ,P . . . , yn )
0 3 .- 8 81 0 −1 n
µ Tn = n 1 yi
C 0 50 70/ 0 , 058.3 18,25 .5 51.4 8, 9 0 " # $ $
T1 , T2 , . . .
" $ $ . ,2 0
02 1/4 ,2 0
02
θ θ >0
lim P[|Tn − θ| < ] = 1.

n→∞
,2 0 13 +0 8 0 1 , 12-0 739025 0,203 51 5 8 0 50 70/ 0
, 513 +0 3 01/5 −1
Pn .5 ,/5.580/8 ,2 .3 .+12+ +08
{T = n y } µ
−1
P 2 90 8 0 513 +0
12.1/ 0 0/
n 1 i .5 ,/5.580/8 ,2Sn =
N (yi − Tn ) {Sn } σ2
,20 -0/021++ 3 + 0 5 120 ,/5.580/8
i

B $ # # $ $ "
Y1 , Y2 , · · · ∼ pY (y | θ) θ̂n
$ $
$ " $# " $# " "
(y1 , . . . , yn ) g θ
$ $ " #$% " #$# "
# " # $ $ " $# $ "
{g(θ̂n )}
"
g(θ)
"" 0 2,, 20 7.205 20-7+12.8 ,/4.8.,/5 20+18./- 8, 4. 020/8.19.+.8
1/4 8 0 ./802 1/-0 , ./80-21+ 1/4 402.
18.
0 8 .5 90 ,/4 8 0 5 , 0 , 8 .5
9 ,,
6,/5.580/ .5 1 -,,4 2, 028 ,/0 5 ,7+4 90 12 , 1/ ./ ,/5.580/8
058.3 18,2 / 8 0 ,8 02 1/4 ,/5.580/ 1+,/0 4,05 /,8 -7121/800 8 18
1 50 70/ 0 , 058.3 18,25 .5 , 8.3 1+ ,2 0
0/ 50/5.9+0 ,2 0 13 +0 +08

8 0 3 01/ , 8 0 258 1+ ,
Rn (y1 , . . . , yn ) = (bn/2c)−1 (y1 + · · · + y bn/2c )
8 0 ,9502
18.,/5 .5 8 0 "" , 8 0 +12-058 ./80-02 /,8 -201802 8 1/
bwc w
0 50 70/ 0 .5 ,/5.580/8 ,2 978 .5 /,8 15 -,,4 15 8 0 50 70/ 0
w {Rn } µ
, 513 +0 3 01/5
8 5003 5 /18721+ 8, 1/8 8 0 513 +./- 4.582.978.,/ , 1/ 058.3 18,2

8, 90 0/80204 12,7/4 8 0 1213 0802 90./- 058.3 1804 .5 405.4021873 .5
1 87204 ,23 1++ 18 +0158 ,2 0/802./- ./ 8 0 50/50 , 0 0 818.,/ 9 8 0
/,8.,/ , #

G 08 90 1/ 058.3 18,2 , 1 1213 0802 0
θ̂ = θ̂(y , . . . , y )
71/8.8 .5 1++04 8 01 # , n / 058.3 18,2 ,50 9.15 .5 .5θ 1++04
E[θ̂] − θ θ̂
#

020 120 5,3 0 0 13 +05

B 08 . . 4 1/4 ,/5.402
y1 , . . . , yn ∼ (µ, σ) µ̂ = ȳ
15 1/ 058.3 180 , 0 1750 .5 1/ 7/9.1504 058.3 180 ,
µ E[ȳ] = µ ȳ µ
B 08 . . 4 1/4 ,/5.402
y1 , . . . , yn ∼ (µ, σ)
X
σ̂ 2 = n−1 (yi − ȳ)2
15 1/ 058.3 180 ,
σ2
X X
E[n−1 (yi − ȳ)2 ] = n−1 E[ (yi − µ + µ − ȳ)2 ]
n X X
= n−1 E[ (yi − µ)2 ] + 2E[ (yi − µ)(µ − ȳ)]
X o
+ E[ (µ − ȳ)2 ]

= n−1 nσ 2 − 2σ 2 + σ 2
= σ 2 − n−1 σ 2
n−1 2
= σ
n
020 ,20 2 .5 1 9.1504 058.3 18,2 , 2 8 5 9.15 .5 2 ,3 0
−σ /n P
5818.58. .1/5σ̂ 20 02 σ
8, 750 8 0 7/9.1504 058.3 18,2

2 −1
σ̃ = (n−1) (yi −
2
ȳ)
B 08 . . 4 1/4 ,/5.402
x1 , . . . , xn ∼ (0, θ) θ̂ = x(n)
15 1/ 058.3 180 , .5 8 0 3 + 0 500 0 8.,/ 78
θ θ̂ x(n) < θ
8 020 ,20 8 020 ,20 .5 1 9.1504 058.3 18,2 ,
E[x(n) ] < θ x(n) θ

! (= * = K #$ * @ = K &#&= *
7.
1+0/8 1213 0802. 18.,/5 05 0 .1++ 5 08 /
12.1/ 0 , 5

!" = K #$
!: =& ' A #? & *$* (& *#$ %
B B

!> A & #$ K $ $& *
! #$ L ; & K $ $& *
, 18.,/ 5 1+0 13 .+.05
< #$ *
7/ 8.,/1+5
=$ &
/
12.1/ 0
*' K A # #$ *
/ 201+ +. 0 4181 5085 120 /.80 08 0 , 80/ 1 01+ 8, 8 0 1

(y1 , . . . , yn )
, 12-0 739025 ,2 8 0 60/821+ .3 .8 0,203 0,203 5 1/4
. ,/ 02/ 8 0 +.3 .8 , 1 50 70/ 0 , 21/4,3
12.19+05 15
n→∞
0 , 0 .5 8 18 0/ .5 +12-0 8 ,50 8 0,203 5 .++ 80++ 75 5,3 08 ./-
n
18 +0158 1 2, .3 180+ 19,78 8 0 4.582.978.,/ , 8 0 513 +0 3 01/ 78

0 20 1 04 .8 8 0 7058.,/5 , +12-0 .5 +12-0 1/4 , +,50 .5 8 0

1 2, .3 18.,/
, 81 0 1/ 0 13 +0 0 3 .- 8 1/8 8, 1 + 8 0 1 , 12-0 739 025
,2 8 0 60/821+ .3 .8 0,203 8, 1 50 70/ 0 , 21/4,3
12.19+05
2,3 1 4.582.978.,/ .8 3 01/ 1/4 Y020 1 , Y2 , . . .
120 1 0 ./581/ 05 , 8 0
µ σ
258 50
021+ 0+03 0/85 , 57 1 50 70/ 0

···

···

· · ·

1 50 70/ 0 , 7 .05 ,/0 2, , 8 0 1221 0 ./4. 1805 8 18 8 0

···
50 70/ 0 ,/8./705 ./ /.80+ 0 ./4. 1805 8 18 8 020 120 ./ /.80+ 3 1/
57 50 70/ 05 0 /739025 020 -0/021804 9

,50 8, -0/02180 5 2,3 8 0 4.582.978.,/ 5, 7504
• Yi (0, 1)
1/4 5, ,2 8 .5 0 13 +0 1/4 ,50 120 129.8212 ,. 05
µ=0 σ=1
,7+4 1
0 7504 1/
1+705 , 1/4 1/4 1/ 4.582.978.,/ ,2 .
µ σ
/, , 8, -0/02180 21/4,3
12.19+05 ,/ 8 0 ,3 7802
• 4,05 2,7/4./- / 8 .5 150 0 20 2./8./- 01 /73902 .8 8 ,

40 .3 1+ +1 05
0 1750 8 020 120 37+8. +0 50 70/ 05 01 .8 37+8. +0 0+03 0/85 0 /004
8 , 5795 2. 85 8, 00 821 , 8 ./-5 2, 02+ 08 90 8 0 8 0+03 0/8 ,
8 0 8 50 70/ 0 ,2 8 0 8 50 70/ 0 , 21/4,3
Y12.19+05 ij j
0 20 ./80205804

./ 8 i 0 50 70/ 0 , 3 01/5
i
020 /4
Ȳi1 , Ȳi2, . . . Ȳin = (Yi1 + · · · + √ Yin )/n
0 20 1+5, ./80205804 ./ 8 0 50 70/ 0 020
Zi1 , Zi2 , . . . = n(Ȳin − µ)
,2 8 0 8 200 ./581/ 05 19,
0 8 0 5 1/4 5 1/ 9 0Zin2./804 .8
Ȳin Zin

!

• ,3 7805 1 737+18.
0 573 5, .0+45 8 0
0
8,2 2./8 ,78
. ,7 20 /,8 5720 18 .8 .5 020 ,20

.5 8 0 50 70/ 0 , Ȳin 5
,3 7805 8 0 5 7120 2,,8 , 8 0 50 ,/4
581803 0/8 2./85
• !
8 0 50 70/ 0 , 5
Zin
0 2057+85 ,2 8 0 5 120
Ȳin

···

···

· · ·

1/4 ,2 8 0 5 120
Zin

···

···

· · ·

0 20 ./80205804 ./ 8 0 ,++, ./- 7058.,/5

.++ 0
02 50 70/ 0 , 5 ,2 5 ,/
02-0 .5 .5 1 7058.,/ 19 ,78

8 0 +.3 .8 1+,/- 01 2, Ȳi, 8 0Z1221
i

8 0 ,/
02-0 4, 8 0 1++ 1
0 8 0 513 0 +.3 .8
/,8 0
02 50 70/ 0 ,/
02-05 18 21 8.,/ , 8 03 ,/
02-0 ,2

18 .5 8 0 2,919.+.8 8 18 1 21/4,3 + ,50/ 50 70/ 0 , 5 ,2 5
Ȳi Zi
,/
02-05
,2 1 04 18 .5 8 0 4.582.978.,/ , ,2 .5 .5 1 7058.,/

n
19,78 8 0 4.582.978.,/ 1+,/- ,+73 /5 , 8 Ȳ0n 1221Zn
,05 8 0 4.582.978.,/ , ,2 40 0/4 ,/
Ȳn Zn n
5 8 020 1 +.3 .8./- 4.582.978.,/ 15
n→∞
,3 0 5.3 +0 0 13 +05 1/4 8 0 82,/- 1 , 12-0 739025 0,
203 1/5 02 7058.,/5 1/4 ,2 8 0 50 70/ 05 , 5 0 60/821+
Ȳ
.3 .8 0,203 0,203 1/5 025 7058.,/ ,2 8 0 50i 70/ 05 , 5
Zi

.++ 0
02 50 70/ 0 , 5 ,/
02-0 , 7 ,50 8 0 50 70/ 0 , 5

.5 0/ ./ 201505 .8 ,78 +.3 .8 1/4 4,05 /,8 ,/
02-0
Ȳi Yi

1, 2, 3, . . . {Ȳi}
8 0 ,/
02-0 4, 8 0 1
0 8 0 513 0 +.3 .8 , 020 120 8 ,
50 70/ 05 , 5
Yi

···

···
0 ,2205 ,/4./- 50 70/ 05 ,/
02-0 8, 4. 020/8 +.3 .85
{Ȳi }
18 .5 8 0 2,919.+.8 , ,/
02-0/ 0 0 2,919.+.8 , ,/
02-0/ 0
.5 18 5 8 0 82,/- 1 , 12-0 739 025 / 128. 7+12 8 0
2,919.+.8 , 21/4,3 + -088./- 1 50 70/ 0 8 18 4,05/ 8 ,/
02-0 +. 0

.5 78 8 0 82,/- 1 , 12-0 739025 51 5 0
0/ 3 ,20
1, 2, 3, . . .
8 51 5
P[ lim Ȳn = µ] = 1.
n→∞
, 8 0 2,919.+.8 , -088./- 50 70/ 05 57 15 ,2
1, 1, 1, . . . −1, −1, −1, . . .
8 18 ,/
02-0 8, 5,3 08 ./- ,8 02 8 1/ .5
µ
18 .5 8 0 4.582.978.,/ , 0 1//,8 51 ./ -0/021+ 8 40 0/45
Zn
,/ 8 0 4.582.978.,/ , 8 0 ./4.
.471+ 5
Yi
,05 8 0 4.582.978.,/ , 40 0/4 ,/ 05 0 0 8 ./ 8 0 5 0 .1+
Zn n
150 020 ,2 1++
Yi ∼ (0, 1) i
5 8 020 1 +.3 .8./- 4.582.978.,/ 05 18 5 8 0 60/821+ .3 .8 0,
203 0-124+055 , 8 0 4.582.978.,/ , 8 0 5 15 +,/- 15
Y Var(Yi ) < ∞
8 0 +.3 .8 15 , 8 0 4.582.978.,/ , i .5
n→∞ Zn (0, 1)
0 1 , 12-0 739 025 1/4 8 0 60/821+ .3 .8 0,203 120 8 0,203 5
19,78 8 0 +.3 .8 15 0/ 0 750 8 ,50 8 0,203 5 ./ 21 8. 0 0
n → ∞
, 0 8 18 ,72 513 +0 5. 0 .5 +12-0 0/,7- 8 18 1/4
n in ≈ µ Zin ∼ (0, 1)
1 2, .3 180+ 78 , +12-0 5 ,7+4 90 9 0 ,20 Ȳ20+ ./- ,/ 8 050 8 0,203 5
1/4 , -,,4 .5 8 0 1 2, .3 18.,/ n 0 1/5 02 .5 $ " $
# $ # $# " " $
18 5 18 0 +,, 18 /0 8
Y
, .++7582180 0 i-0/02180 50 70/ 05 , 5 2,3 8 , 4.582.978.,/5 ,3
780 5 1/4 5 ,2 50
021+
1+705 , Y ij1/4
,3 120 /0 4.582.978.,/
Ȳin Zin n
.5 8 0 ,8 02 .5 1 20 0/80204 1/4 205 1+04
025.,/ , 0
(0, 1) (.39, .01)

0 0 40/5.8 5 , / ./ .-720 15 ,50/ ,2 .85 15 3 3 0

82 8 15 1(.39, .01)
3 01/ , 1/4 1
12.1/ 0 ,
.39/.40 = .975 (.39)(.01)/((.40)2(1.40)) ≈
8 15 20 0/80204 1/4 205 1+04 8, 1
0 1 3 01/ , 1/4
12.1/ 0 ,
.017 .5
8 0 513 0 15 8 0 4.582.978.,/
1/12 (0, 1)
0/5.8.05 , 8 0 5 120 ./ .-720 5 8 0 513 +0 5. 0 ./ 201505
2,3 8, Ȳin 8 0 5 2,3 9 ,8 4.582.978.,/5 -08 +,502 8,
n = 10 n = 270 Ȳin
8 0.2 0 0 804
1+70 , 18 5 8 0 1 , 12-0 739025 18 ,2 0
13 ,7/8 9 . 8 0 20 , 8 0.2 3 01/ -,05 2,3 19,78 8, 19 ,78
±.2 ±.04
18 5 6,2,++12 18 ,2 /4 /1++ 15 8 0 40/5.8.05 -08 3 ,20
n→∞
,23 1+ 18 5 8 0 60/821+ .3 .8 0,203 18 ,2

,80 8 18 8 0 40/5.8 , 8 0 5 402.
04 2,3 8 0 4.582.978.,/ .5
Ȳin
+,50 8, ,23 1+ 0
0/ ,2 8 0 53 1++058 513 +0 5. 0 .+0(0,8 1)0 40/5.8 , 8 0
5 402.
04 2,3 8 0 0 4.582.978.,/ .5 1 , 18 5 9 0 1750
Ȳin (.39, .01)
.5 5 3 3 082. 1/4 7/.3 ,41+ 1/4 8 020 ,20 +,50 8, ,23 1+ 8, 90-./
(0, 1)
.8 .+0 0 .5 12 2,3 5 3 3 082. 1/4 7/.3 ,41+ 1/4 8 020 ,20
(.39, .01)
12 2,3 ,23 1+ 8, 9 0-./ .8 , 0 /0045 1 +12-02 8, 3 1 0 8 0
(.39, .01)
60/821+ .3 .8 0,203 ,2 . 0 8, 90 1 -,,4 1 2, .3 18.,/n
.-720 .5 ,2 8 0 5 8 5 8 0 513 0 15 .-720 0 0 8 8 18 01
Zin
40/5.8 15 900/ 20 0/80204 1/4 205 1+04 8, 1
0 3 01/ 1/4
12.1/ 0
0/ 78 ,/ 8 0 513 0 5 1+0 0 1/ 500 8 18 1++ 40/5.8.05 120 ,/
02-./- 8,

(0, 1)
8
6
4
2
0
0.0 0.2 0.4 0.6 0.8 1.0
.-720 0 0 40/5.8
(.39, .01)

.-720 15 2,47 04 9
!

.-720 15 -0/021804 9 8 0 ,++, ./- ,40

!

!

!

•

n = 10 n = 30
30
30
25
25
20
20
15
15
10
10
5
5
0
0
0.0 0.4 0.8 0.0 0.4 0.8
n = 90 n = 270
30
30
25
25
20
20
15
15
10
10
5
5
0
0.0 0.4 0.8 0.0 0.4 0.8

Ȳin (0, 1) (.39, .01)

Y1 , . . . , Yn (µ, σ)

µ σ

µ σ

µ σ

Y1 , . . . , Yn (α, β)

Y1 , . . . , Yn ∼ (−θ, θ)

n = 10 n = 30
1.0
1.0
0.8
0.8
0.6
0.6
0.4
0.4
0.2
0.2
0.0
0.0
−3 −1 1 3 −3 −1 1 3
n = 90 n = 270
1.0
1.0
0.8
0.8
0.6
0.6
0.4
0.4
0.2
0.2
0.0
0.0
−3 −1 1 3 −3 −1 1 3

Zin (0, 1) (.39, .01)

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Introductions To Statistical Thought

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Copyright:

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Introductions To Statistical Thought

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