Beruflich Dokumente
Kultur Dokumente
Maria Molina-Domene
LSE
October, 2014
Maria Molina
(LSE)
Stats - Revision
October, 2014
1 / 32
REVIEW LECTURE 1
Maria Molina
(LSE)
Stats - Revision
October, 2014
2 / 32
Maria Molina
(LSE)
Stats - Revision
October, 2014
3 / 32
Random Variables
Experiment: toss a coin 10,000 times
Outcomes: 5023 of the tosses come up heads
Probability: P(heads) = 0.5 for that coin
Event
Outcomes
A
Heads
=
= 0.5
P (A) =
Total
Sample
Outcomes
Space
Random variables are the numeric values assigned to these
"randomoutcomes".
Ex:rolling two coins S = {(1, 1), (0, 0), . . . , (0, 1), (0, 1)}
Maria Molina
(LSE)
Stats - Revision
October, 2014
4 / 32
(LSE)
Stats - Revision
October, 2014
5 / 32
Maria Molina
(LSE)
Stats - Revision
October, 2014
6 / 32
Maria Molina
(LSE)
Stats - Revision
October, 2014
7 / 32
2x ] = E (X 2 )
E (X )2 = 2x
Maria Molina
(LSE)
Stats - Revision
October, 2014
8 / 32
(LSE)
Stats - Revision
October, 2014
9 / 32
sd (Y ) = j a j sd (X )
sd (Y ) = 1.10
Maria Molina
(LSE)
0.30 = $0.33
Stats - Revision
October, 2014
10 / 32
(LSE)
Stats - Revision
October, 2014
11 / 32
(LSE)
Stats - Revision
October, 2014
12 / 32
y = 11
x )(yi
y )] :
(2.1 3.1 )(8 11 )+(2.5 3.1 )(12 11 )+(4 3.1 )(14 11 )+(3.6 3.1 )(10 11 )
4 1
4.6
=
1.53
3
(LSE)
Stats - Revision
October, 2014
13 / 32
E (X )E (X ) = var (X )
Assume that X and Y are r.v.s and a,b, c and d are constants:
cov (a, X ) = E (aX ) E (a)E (X ) = 0
cov (aX , bY ) = abcov (X , Y )
Regarding linear transformations of the r.v.s the covariance becomes:
cov (aX , bY + c ) = abcov (X , Y ) + acov (X , c ) = abcov (X , Y )
And the correlation is:
corr (aX + c, bY + d ) = corr (X , Y ) if a b > 0
corr (aX + c, bY + d ) = -corr (X , Y ) if a b < 0
Maria Molina
(LSE)
Stats - Revision
October, 2014
14 / 32
cov (X , Y ) = cov (X , a + bX )
= E [(X x )(Y y )]
= E [(X X )(a + bX (a + bx )]
= E [(X x )b (X x )]
= bE [(X x )2 ]
= bvar (X )
Maria Molina
(LSE)
Stats - Revision
October, 2014
15 / 32
var (X )var (Y )
XY
X Y
The advantage with respect to covariance is that is solves the unitsissues of the
covariance (i.e. the units of
(LSE)
Stats - Revision
October, 2014
16 / 32
REVIEW LECTURE 2
Maria Molina
(LSE)
Stats - Revision
October, 2014
17 / 32
Independence r.v.
Summarizing some basics of independence:
If X and Y are independent, then cov (X , Y ) = 0
If cov (X , Y ) = 0 then corr (X , Y ) = 0 ( X and Y are uncorrelated)
Knowing only that cov (X , Y ) = 0 the independence of X and Y
should not be inferred. Indeed two r.v. can be dependent even when
their correlation is 0 if they have a non-linear relationship (see plots
in slide 25 ).
If the conditional mean of Y does not depend on X , then X and Y
are uncorrelated:
if E (Y jX ) = y ,then cov (X , Y ) = 0 and corr (X , Y ) = 0
It is not necessarily true that if X and Y are uncorrelated, then the
conditional mean of Y given X does not depend on X .
Ex: let Y and X be two independently distributed standard normal
r.v.s.
Y = X2 + Z
E (Y jX ) = X 2 depends on X but corr (X , Y ) = 0
Maria Molina
(LSE)
Stats - Revision
October, 2014
18 / 32
Pr (X =x ,Y =y )
Pr (X =x )
Maria Molina
(LSE)
Pr (X =x ) Pr (Y =y )
Pr (X =x )
Stats - Revision
= Pr(Y )
October, 2014
19 / 32
Pr (X jY I ) Pr (Y I )
kxi =1 Pr (X jY I ) Pr (Y I )
(LSE)
Stats - Revision
October, 2014
20 / 32
Conditional expectations
(LSE)
Stats - Revision
October, 2014
21 / 32
Conditional expectations
E (Y ) is the simple weighted average of E (Y jX = xi ) where the
weights are the probability that X takes on the values x1 , x2 , .., xn
E (Y ) = E (Y jX = x1 ) Pr(x1 ) + E (Y jX = x2 ) Pr(x2 )+
... + E (Y jX = xl ) Pr(xl )
E (Y ) = lxi =1 E (Y jX = xi ) Pr(X = xi )
In other words the conditional expectation of Y given X (law of
iterated expectations) is given by:
E (Y ) = E [E (Y jX )]
This holds also for expectations that are conditioned on multiple r.v.
Maria Molina
(LSE)
Stats - Revision
October, 2014
22 / 32
Conditional variance
E (Y jX = x )]2 Pr(Y = yi jX = x ))
Maria Molina
(LSE)
Stats - Revision
October, 2014
23 / 32
(LSE)
Stats - Revision
October, 2014
24 / 32
30
.2
40
.4
50
.6
60
.8
70
30
40
50
60
reading score
Fitted values
70
80
-1
-.5
writing score
0
X
Fitted values
.5
30
40
5000
50
10000
60
15000
70
30
40
50
writing score
Fitted values
Maria Molina
60
math score
(LSE)
70
3
Repair Record 1978
Fitted values
Price
Stats - Revision
October, 2014
25 / 32
1
2
3
Pr(X )
1
0.1
0.2
0.1
0.4
2
0.2
0.3
0.1
0.6
Pr(Y )
0.3
0.5
0.2
1
Maria Molina
(LSE)
Stats - Revision
October, 2014
26 / 32
0.4 + 2
0.6 = 1.6
E (Y ) = 1
0.5 + 2
0.3 + 3
Maria Molina
(LSE)
0.2 = 1.7
Stats - Revision
October, 2014
27 / 32
1
2
3
Pr(X )
X
1
0.1
0.2
0.1
0.4
2
0.2
0.3
0.1
0.6
Pr(Y )
0.3
0.5
0.2
1
(LSE)
Stats - Revision
0.25 = 2
October, 2014
28 / 32
X
1
2
Y
3
Sum
E (Y jX )
1
0.25
0.5
0.25
1
2
2
0.33
0.5
0.17
1
1.84
(LSE)
Stats - Revision
October, 2014
29 / 32
2
3
(LSE)
Stats - Revision
October, 2014
30 / 32
(Y n Y m )
SE
Second step:
1. Identify a critical value tcrit () for a t-test of signicance level : if the
observed t-statistic is bigger than 1.65, 2, ...H0 is rejected.
2. Set the p-value: if this probability is less than the signicance level
() 0.05, 0.10,... H0 is rejected.
3. Having decided the signicance level for CI, H0 is rejected if the
value hypothesised by H0 is not within the condence interval.
Maria Molina
(LSE)
Stats - Revision
October, 2014
31 / 32
Maria Molina
(LSE)
Stats - Revision
October, 2014
32 / 32