Calculus Review

UAE University

Based on Texas A&M
University Review
In This Review
Differentiation
Differentiation formulas
Examples
Trig. functions
Integration
Indefinite integrals
Definite integrals
Trig. Functions


Also In This Review
Calculus in statistics
Continuous distributions
Expected value and mean
Variance
Median


About Notation
As is common in statistics, we will use log to
mean log
e
instead of log
10
as is commonly
used in mathematics.
Differentiation
The derivative provides us information about
the rate of change of a function.

The derivative of a function is also a function.

Example:
The derivative of the rate function is the
acceleration function.
Ways to Write the Derivative
Given the function f(x), we can write its
derivative in the following ways:

- f`(x)

- f(x)

The derivative of x is commonly written dx.
dx
d
Differentiation Formulas
The following are common differentiation
formulas:

- The derivative of a constant is 0.



- The derivative of a sum is the sum of the
derivatives.

0 = c
du
d
) ( ' ) ( ' )) ( ) ( ( u g u f u g u f
du
d
+ = +
Examples

- The derivative of a constant is 0.



- The derivative of a sum is the sum of the
derivatives.

= 7
du
d
= + ) 4 (t
dt
d
More Formulas
- The derivative of u to a constant power:



- The derivative of e:



- The derivative of log:

du e e
du
d
u u
=
du
u
u
du
d 1
) log( =
du u n u
du
d
n n 1
*

=
More Examples
- The derivative of u to a constant power:



- The derivative of e:



- The derivative of log:

=
y
e
dy
d
4
= ) log( 3 x
dx
d
=
3
3x
dx
d
Product and Quotient
The product rule and quotient rules are
commonly used in differentiation.

- Product rule:



- Quotient rule:

) ( ' ) ( ) ( ' ) ( )) ( * ) ( ( u f u g u g u f u g u f
du
d
+ =
2
)) ( (
) ( ' ) ( ) ( ' ) (
) (
) (
u g
u g u f u f u g
u g
u f
du
d
=
|
|
.
|

\
|




Using the Product Rule find the derivative




The first times the derivative
of the second plus the second
times the derivative of the first
and then simplify


sin y x x =
cos sin 1
cos sin
x x x
x x x
= +
= +
1
2
Product and Quotient
Product and Quotient Examples
- Product rule:




- Quotient rule:

= )) log( 3 ( z z
dz
d
=
|
.
|

\
|
u
e
u
du
d
3
7
Chain Rule
The chain rule allows you to combine any of the
differentiation rules we have already covered.

- First, do the derivative of the outside and
then do the derivative of the inside.
du u g u g f u g f
du
d
* ) ( ' * )) ( ( ' )) ( ( =
1
3
2
(9 2 9 )
3
( ) t

+
Derivative of the outside
times derivative of the inside.
Derivative of
the outside
Derivative of
the inside
outside
2
3
(9 2) y t = +
Chain Rule
1
3
2
(9 2 9 )
3
( ) t

+
Derivative of the outside
times derivative of the inside.
Derivative of
the outside
Derivative of
the inside
inside
2
3
(9 2) y t = +
Chain Rule
1
3
1
3
1
3
2
(9 2) (9)
3
6 (9 2)
6
(9 2)
t
t
t

+
+
+
Derivative of the outside
times derivative of the inside

then simplify
2
3
(9 2) y t = +
Chain Rule
4
3 2 9 y x =
1
4
3
4
3
4
3(2 9 )
3
' (2 9 ) ( 9)
4
27
4(2 9 )
y x
y x
x

=
=

Derivative of the outside

times derivative of the inside

then simplify
Chain Rule
Another Example
( )
2
cos 3
d
x
dx
( )
2
cos 3
d
x
dx
(

( ) ( )
2 cos 3 cos 3
d
x x
dx
(

( ) ( ) ( )
2cos 3 sin 3 3
d
x x x
dx

( ) ( )
2cos 3 sin 3 3 x x
( ) ( )
6cos 3 sin 3 x x
The chain rule can be used
more than once.
(Thats what makes the
chain in the chain rule!)

Chain Rule
Chain Rule Examples
= ) log(
v
e
dv
d
= ) log(
2 v
e v
dv
d
=
v
ve
e
dv
d
Try These
11 ) ( + = z z f
y y y g 2 4 ) (
3
+ =
x
e x h
3
) ( =
x
x
x p
) log(
) (
2
=
3
) ( ) ( z e z q
z
=
y
ye y s
2
4 ) ( =
Solutions
1 ) ( ' = z f
2 12 ) ( '
2
+ = y y g
x
e x h
3
3 ) ( ' =
2
2
) log( 2
) ( '
x
x
x p

=
) 1 ( ) ( 3 ) ( '
2
=
z z
e z e z q
y y
e ye y s
2 2
4 8 ) ( ' + =
Derivatives of Trig. Functions
du u u
du
d
) cos( ) sin( =
du u u
du
d
) ( csc ) cot(
2
=
du u u
du
d
) sin( ) cos( =
du u u u
du
d
) tan( ) sec( ) sec( =
du u u
du
d
) ( sec ) tan(
2
=
du u u u
du
d
) cot( ) csc( ) csc( =
More About Trig. Functions
The chain rule also applies to the trig. functions.

- First, do the derivative of the trig. function
and then do the derivative of the inside.

Example:
) cos( 2 2 * ) cos( ) sin(
2 2 2
x x x x x
dx
d
= =
Higher Order Derivatives
Second derivative:
d
2
y/dx
2
= d(dy/dx)/dx
Note positions of the twos; dimensionally
consistent
Practical:
Take derivative
Take derivative again
d
2
(x
3
)/dx
2
= d(3x
2
)/dx = 6x
Partial Derivatives
Functions of more than one variable
Example: h(x,y) = x
4
+ y
3
+ xy

1
4
7
1
0
1
3
1
6
1
9
S1
S7
S13
S19
-1.5
-1
-0.5
0
0.5
1
1.5
2
2.5
3
X
Y
2.5-3
2-2.5
1.5-2
1-1.5
0.5-1
0-0.5
-0.5-0
-1--0.5
-1.5--1
Partial Derivatives
Partial derivative of h with respect to x at a
y location y
0

Notation h/x|
y=y0

Treat ys as constants
If these constants stand alone, they drop
out of the result
If they are in multiplicative terms involving
x, they are retained as constants
Partial Derivatives
Example
h(x,y) = x
4
+ y
3
+ xy
h/x = 4x
3
+ y
h/x|
y=y
0
= 4x
3
+ y
0


1
4
7
1
0
1
3
1
6
1
9
S1
S7
S13
S19
-1.5
-1
-0.5
0
0.5
1
1.5
2
2.5
3
X
Y
2.5-3
2-2.5
1.5-2
1-1.5
0.5-1
0-0.5
-0.5-0
-1--0.5
-1.5--1
Partial Derivatives
Example
h(x,y) = x
4
+ y
3
+ xy
h/y = 3y
2
+ x
h/y|
x=x
0
= 3y
2
+ x
0


1
4
7
1
0
1
3
1
6
1
9
S1
S7
S13
S19
-1.5
-1
-0.5
0
0.5
1
1.5
2
2.5
3
X
Y
2.5-3
2-2.5
1.5-2
1-1.5
0.5-1
0-0.5
-0.5-0
-1--0.5
-1.5--1
Gradients
grad C





y
h
x
h
h
c
c
+
c
c
= V j i
Integration
The integral provides us with information about
the area under a function.

The indefinite integral of a function is a function,
but the definite integral may be a number.

Example:
The integral of the rate function is the
distance function.
Integrating over a specified time tells us
how far we have gone.
Ways to Write the Integral
The two forms of integration, indefinite and
definite, can be distinguished by the presence
of limits on the integral.

- indefinite


- definite
}
b
a
dx x f ) (
}
dx x f ) (
Integration Formulas
The following are common integration formulas.
*Note these are the opposite of the derivative formulas, hence the
integral is also called the antiderivative.

When doing the indefinite integral, you must
add a constant to your function.

Integration Formulas
- The integral of a sum is the sum of the
integrals.




- The integral of u
-1
:


} } }
+ =
|
.
|

\
|
+ du
u
du u du
u
u
n n
1 1
c u du
u
+ =
|
.
|

\
|
}
) log(
1
Examples
- The integral of a sum is the sum of the
integrals.




- The integral of u
-1
:


( ) = +
}
dx x 4
=
|
.
|

\
|
}
dt
t 2
1
More Formulas
- The integral of u to a constant power:

for

- The integral of e:



- The integral of the derivative:

c u
n
du u
n n
+
+
=
+
}
1
1
1
c e du e
u u
+ =
}
1 = n
c u f du u f + =
}
) ( ) ( '
More Examples
- The integral of u to a constant power:



- The integral of e:

=
}
dy y
3
=
}
dv e
v 2
Definite Integrals
We will use the formulas already given for the
indefinite integral, but we will take one
additional step.

Evaluate the integral at the upper bound and
subtract the value of the integral at the lower
bound.
}
= + + =
b
a
a f b f c a f c b f dx x f ) ( ) ( ) ) ( ( ) ( ) ( '
Definite Integral Examples
}
=
1
0
2xdx
}

=
1
1
dt e
t
Try These
}
= + dy y y ) 3 6 (
5
=
|
.
|

\
|

}
dx e
x
x 2
1
=
}
4
0
2
dx x
Solutions
c y y dy y y + + = +
}
2 6 5
2
3
) 3 6 (
c e x dx e
x
x x
+ =
|
.
|

\
|

}
2 2
2
1
) log(
1
3
64
4
0
2
=
}
dx x
Integrals of Trig. Functions
c u du u + =
}
) cos( ) sin(
c u du u + =
}
) cot( ) ( csc
2
c u du u + =
}
) sin( ) cos(
c u du u u + =
}
) sec( ) tan( ) sec(
c u du u + =
}
) tan( ) ( sec
2
c u du u u + =
}
) csc( ) cot( ) csc(
Definite Trig. Integral
dx x
}
2 /
0
) cos(
t
| |
2 /
0
) sin(
t
x =
( ) ) 0 sin( 2 / sin = t
0 1 =
1 =
Definite Trig. Integral
dx x x
}
2 /
0
) cos(
t
Hint: Use integration by parts to solve
the above integral
Calculus in Statistics
There are many calculus applications in
statistics including:
- continuous density functions
- finding the expected value (mean) of a
distribution
- finding the variance (standard deviation) of a
distribution
- finding the median of a distribution
Probability Function
The probability function of a variable tells us the
probability of a certain event.

Example:
The probability of getting a jack when
drawing from a normal deck of cards is
4/52 = 1/13.
Continuous Density Function
The probability density function (pdf) of a
variable tells us the probability of a certain
event when a continuum of events is possible.

Example:
The probability of getting the exact value
of from the set of all real numbers.

The pdf of x is usually noted by the lowercase f,
i.e. f(x).
Cumulative Density Function
The cumulative density function (cdf) of a
variable tells us the probability for all events in a
range.

The cdf of x is usually noted by the capital F, i.e.
F(x).

Example:
For a standard normal distribution,
F(-0.22)=P(z-0.22)=0.4129.
Notes About the pdf
The pdf of a variable is said to have a value of 0
for any specific event.

Example:
From our example earlier, we can never
get the exact value of .

For all x, f(x)0.

The integral of the pdf over all events is 1.
Notes About the cdf
The cdf has values between 0 and 1. The limit
as x approaches - is 0 and the limit as x
approaches is 1.

The cdf is an increasing function. The cdf can
be flat for a range of values, so some people
prefer to think of it as non-decreasing.
Calculus and pdf & cdf
The cdf measures the area under the pdf.

When given the pdf, we can do an indefinite
integral to find the cdf. If given the cdf, we can
differentiate to find the pdf.

We will also use calculus to find information
about the pdf such as the mean, median, and
variance.
Try This
Show that the pdf f(x)=1/6 integrates to 1 when
x=(0,6). Find F(x).
Answer
Show that the pdf f(x)=1/6 integrates to 1 when
x=(0,6). Find F(x).
x x F
x dx dx x f
6
1
) (
1 0 *
6
1
6 *
6
1
6
1
6
1
) (
6
0
6
0
6
0
=
= = = =
} }
Try This One Too
Given the cdf F(t)=1-e
-t
when t=(0,), find the
pdf and show that it integrates to 1.
Another Answer
Given the cdf F(t)=1-e
-t
when t=(0,), find the
pdf and show that it integrates to 1.
1 ) 1 ( 0 ) ( ) (
) (
0
0 0 0
= = = = =
=

} }
e e e dt e dt t f
e t f
t t
t
Expected Value
The expected value is the mean of a
distribution.

Example:
The expected value for the standard
normal is 0.

The expected value is commonly written as
E(X).
To find the expected value, we use the following
formula.



The expected value of f(x)=1/6 where x=(0,6) is
Expected Value Formula
}
= dx x f x ) ( * E(X)
3 0 3
12
1
6
1
* ) ( * E(X)
6
0
2
6
0
6
0
= = = = =
} }
x dx x dx x f x
Median
The median of a distribution is the number in
the middle. 50% of the area under the
distribution is above the value and 50% is below
it.

The median, like the expected value (mean), is
a measure of the center of a distribution.

The median of the distribution function f(x) is
commonly written . X
~
To find the median, we use the following
formula. In this formula, M is the median.



To find the median of f(x)=1/6 where x=(0,6), we
solve the equation above for M.



So M= =3.
Median Formula
}

=
M
dx x f 5 . 0 ) (
6 6
1
6
1
) ( 5 . 0
0
0 0
M
x dx dx x f
M
M M
= = = =
} }
X
~
The variance of a distribution function tells us
about how spread out the possible events are.
A large variance means the events are more
spread out.

The standard deviation is the square root of the
variance.

The variance is often written as V(X) or Var(X).



Variance
To find the variance, we use the following
formula.



E(X), the expected value, is the same as before
and E(X
2
) is computed similarly.
Variance Formula
2 2
E(X)) ( ) E(X Var(X) =
}
= dx x f x ) ( * ) E(X
2 2
To find the variance of f(x)=1/6 where x=(0,6),
first find E(X
2
).



Now use the variance formula.
Variance Example
12 0 12
18
1
6
1
* ) ( * ) E(X
6
0
3
6
0
2
6
0
2 2
= = = = =
} }
x dx x dx x f x
3 ) 3 ( 12 E(X)) ( ) E(X Var(X)
2 2 2
= = =
Try This
Find the expected value, median, and variance
for the distribution f(y)=2y for y in (0,1).
Answer
Find the expected value, median, and variance
for the distribution f(y)=2y for y in (0,1).
1/18 Var(X)
0.5 X
~
2/3 E(X)
=
=
=