城险究鳞清粮南王季大門厦 Important Probability Distributions Professor Yongmiao Hong Cornell University June25,2019
Important Probability Distributions Professor Yongmiao Hong Cornell University June 25, 2019
CONTENTS 4.1 Introduction 4.2 Discrete Probability Distributions 4.3 Continuous Probability Distributions 4.4 Conclusion Important Probability Distributions Introduction to Statistics and Econometrics June25,2019 2/135
Important Probability Distributions Introduction to Statistics and Econometrics June 25, 2019 2/135 4.1 Introduction 4.2 Discrete Probability Distributions 4.3 Continuous Probability Distributions 4.4 Conclusion CONTENTS
Important Probability Distributions Introduction Introduction .A probability space (S,B,P)completely characterizes a random experiment. It is usually assumed that there exists a unique true but unknown probability distribution for the random exper- iment of interest. One often considers a class of probability distributions, say PMF/PDF f(x,0),indexed by parameter 0,where the functional form f(,)is known Important Probability Distributions Introduction to Statistics and Econometrics June25,2019 3/135
Important Probability Distributions Important Probability Distributions Introduction to Statistics and Econometrics June 25, 2019 3/135 Introduction Introduction
Important Probability Distributions Introduction Introduction Different values of 0 yield different distributions.The collection of these distributions constitute a family of probability distributions. This family of probability distributions is called a class of parametric probability distribution models. One main objective of statistics and econometrics is to use observed economic data to estimate the unknown true parameter value,say 00,under the assumption that there exists some parameter value 0o such that f(x,0o) coincides with the true probability distribution fx(x)of the random experiment,namely f(x,00)=fx(x). Important Probability Distributions Introduction to Statistics and Econometrics June25,2019 4/135
Important Probability Distributions Important Probability Distributions Introduction to Statistics and Econometrics June 25, 2019 4/135 Introduction Introduction
Important Probability Distributions Introduction Introduction This chapter introduces a variety of important distribu- tion models,and discuss their properties and applica- tions in economics and finance. We emphasize that it is important to t understand the meanings and roles that parameters play in each para- metric distribution. Important Probability Distributions Introduction to Statistics and Econometrics June25,2019 5/135
Important Probability Distributions Important Probability Distributions Introduction to Statistics and Econometrics June 25, 2019 5/135 Introduction Introduction