Statistical Foundation Review Characteristics of random variable: ·Expectation:E(X)=∫xfx)dx. Variance:Var(X)=E[X-E(X)]2. Covariance:Cov(X,Y)=E[(X-E(X)(Y-E(Y))]. .Corelation:p=Corr(Yvr Cov(X,Y) .Conditional expectation:E(YX=x)=E(Y)=yf(ylx)dy. .Conditional variance:Var(YIX=x)=Var(Yx)=[y-E(Yx)]2f(ylx)dy. 6
• Characteristics of random variable: ∞− = �� �� :Expectation• +∞ 𝑥𝑓 𝑥 𝑑𝑥. • Variance: 𝑉𝑎𝑟 𝑋 = 𝐸 𝑋 − 𝐸 𝑋 2 . • Covariance: 𝐶𝑜𝑣 𝑋, 𝑌 = 𝐸[ 𝑋 − 𝐸 𝑋 𝑌 − 𝐸 𝑌 ]. • Correlation: 𝜌 = 𝐶𝑜𝑟𝑟 𝑋, 𝑌 = 𝐶𝑜𝑣 𝑋,𝑌 𝑉𝑎𝑟 𝑋 𝑉𝑎𝑟 𝑌 • Conditional expectation: 𝐸 𝑌 𝑋 = 𝑥 = 𝐸 𝑌 𝑥 = ∞− +∞ 𝑦𝑓 𝑦|𝑥 𝑑𝑦. • Conditional variance: 𝑉𝑎𝑟 𝑌 𝑋 = 𝑥 = 𝑉𝑎𝑟 𝑌 𝑥 = ∞− +∞ [𝑦 − 𝐸 𝑌|𝑥 ] 2𝑓 𝑦|𝑥 𝑑𝑦. 6 Statistical Foundation Review
Statistical Foundation Review The concept of independence Mutually independent: f(x,y)=fx(x)f,(y) ·Mean-independent: E(Yx)=E(Y) Linearly independent: Cov(X,Y)=0 Mutually independent Mean-independent Linearly independent
• The concept of independence : • Mutually independent: 𝑓 𝑥, 𝑦 = 𝑓𝑥 𝑥 𝑓𝑦 (𝑦) • Mean-independent: 𝐸 𝑌 𝑥 = 𝐸(𝑌) • Linearly independent: 𝐶𝑜𝑣 𝑋, 𝑌 = 0 • Mutually independent > Mean-independent > Linearly independent. 7 Statistical Foundation Review
Statistical Foundation Review Typical statistical distribution: Normal distribution(Gaussian distribution): f闭=2 xp.-N(4o) Chi-square distribution: Z~N(0,1) ∑r 。t-distribution: ZN(0,1),Y~X2(k) Z ~t(k) .F-distribution:Y().Y2( Y.IkF(k1.k2) 8
• Typical statistical distribution: • Normal distribution (Gaussian distribution): 𝑓 𝑥 = 1 2𝜋𝜎2 exp{ − 𝑥−𝜇 2 2𝜎 2 }, 𝑋~𝑁(𝜇, 𝜎) • Chi-square distribution: 𝑍~𝑁 0,1 𝐼=1 𝐾 𝑍𝑖 2 ~χ 2(𝑘) • t-distribution: 𝑍~𝑁 0,1 , 𝑌~χ 2(𝑘) 𝑍 𝑌/𝑘 ~𝑡(𝑘) • F-distribution: 𝑌1~χ 2(𝑘1 ), 𝑌2~χ 2(𝑘2 ), 𝑌1 /𝑘1 𝑌2 /𝑘2 ~F(𝑘1 ,𝑘2 ) 8 Statistical Foundation Review
Statistical Foundation Review Typical statistical distribution: 0.451 04 0. N(0,1) 0.3 0.25 0.2 0.15 0.1 0.05 (32-一 -4 -3-2-10 图2.3N(0,1)与t(3)的概率密度
• Typical statistical distribution: 9 Statistical Foundation Review
Statistical Foundation Review Typical statistical distribution: 0.25m 0.2i 1x2) 0.154 x(6) 0.1 0.05 1012141618 20 图2.4X2分布的概率密度 10
• Typical statistical distribution: 10 Statistical Foundation Review