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p = 0.1
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30
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30
10
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p = 0.1
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probability
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200
200
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0.20
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N=3
p = 0.9
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probability
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mu = 2 ; sigma = 1
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39
40
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42
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latitude = 45
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4 6 8
4 6 8
temperature
n = 213
temperature
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temperature
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latitude = 35
longitude = 40
latitude = 35
longitude = 30
latitude = 35
longitude = 20
15
10
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0
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0 2 4 6 8
15
20
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4 6 8
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n = 37
temperature
n = 24
temperature
n = 44
latitude = 25
longitude = 40
latitude = 25
longitude = 30
latitude = 25
longitude = 20
10
5
0
5 10
10
20
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4 6 8
15
4 6 8
4 6 8
4 6 8
4 6 8
temperature
n = 47
temperature
n = 35
temperature
n = 27
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latitude = 45
longitude = 30
20
latitude = 45
longitude = 20
0
4 6 8
4 6 8
temperature
n = 213
temperature
n = 105
temperature
n = 112
latitude = 35
longitude = 40
latitude = 35
longitude = 30
latitude = 35
longitude = 20
15
10
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latitude = 45
longitude = 40

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4 6 8
temperature
n = 37
temperature
n = 24
temperature
n = 44
latitude = 25
longitude = 40
latitude = 25
longitude = 30
latitude = 25
longitude = 20

10
5
4 6 8
4 6 8
4 6 8
temperature
n = 47
temperature
n = 35
temperature
n = 27

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pS | A (Y | D) = 0.80;
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pS | A (N | D) = 0.20;
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fU | T (1 | 1) = fU,T (1, 1)/fT (1) = .27/.34 .80.

fT (0) = .63 + .03 = .66

fU , fT | U fU,T fU | T
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fU,T (1, 0) = (.3)(.1) = .03

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(b)
0
2
4
320
co2
340
resids
360
(a)
1980
1960
1980
Time
Time
(c)
(d)
320
2 4 6 8
$ &

340
co2
3 2 1
cycle
360
1960

12
Index

1960
%
1980
Time

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Density
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(a)

140
160
180
120
140
160
calories
calories
(c)
(d)
180
0.010
0.000
density
120
120 140 160 180
100
calories
(e)
(f)
200
0.000
0.010
0.015
density
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0.030
calories
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density
100
140
calories

150
180
100
140
180
calories

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0.5
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(a)
10
15
20
25
30
35
25
30
35
25
30
35
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1
0.5
dose
(b)
10
15
20
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OJ
method
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15
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10
Individual quizzes
Q1 Q4 Q7
Q11
Q15
Q19
Q23
Student averages
10
score

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latitude = 45
longitude = 30
latitude = 45
longitude = 20
9
7
4.5
5.5
6.5
10
latitude = 45
longitude = 40
3 1
n = 105
n = 112
latitude = 35
longitude = 40
latitude = 35
longitude = 30
latitude = 35
longitude = 20
5.5
8.5
8.0
6.5
8.5
9.5
9.0
7.5
9.5
10.5
n = 213
0 1 2
n = 24
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latitude = 25
longitude = 40
latitude = 25
longitude = 30
latitude = 25
longitude = 20
7.2
2
n = 47
"
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6.8
6.5
6.5
7.0
7.5
7.5
8.5
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Student admissions at UC Berkeley

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Female
Gender
Male
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Student admissions at UC Berkeley

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Male
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(a)
(c)
40
60
80
duration (min)
waiting (min)
(b)
(d)
100
0.01
0.02
Density
0.3
0.2
0.0
0.00
0.1
Density
0.4
0.03
0.5
duration (min)
40
60
80
100
waiting (min)

! "
"

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

duration of eruption

"

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

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

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30
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40
25
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50
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15
30
10
40
50
10
15
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15
20
35
20
30
40
50
lat

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

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0.6

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0.3

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0.8
0.6
0.4
0.2
0.0
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0.0
0.2
0.4
0.6
0.8
1.0

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#

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0.8
!
0.0
likelihood

0.0
0.5
1.0
1.5
2.0

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

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

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%
%
%

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(1.25, 1.28)

(b)
0.10
0.08
0.09
0.11
0.12
(a)
1.0
1.2
1.4
1.6
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1.20
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0.6
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0.2
0.4
0.6
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prior
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(50, 5)

' # # ) $

# $
# * *
x1 , . . . , x10
#

(
# * * (
=
y ,...,y
=
* # " #
" # 1# #10
#
xi
yi
# *
#
x1 , . . . , x10
f
#
y1 , . . . , y10
f
*
#
$ +

E[xi ]
E[yi ]
# ' #

0

:
=
:
6=
$

* " # ) * #
$
' '
w = |
x y|
w
0
*

* *
$

!

x
,
n

y ,
n
$ #
0
0,
2
2

+
n
$

#
# #
w
SD
# $ #
'# ' # $

t/ 3.2
t
# ' t # # ' # # $ ' #
0

0

* # # * *
#

&
(

% &

&
(

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

!
0
(

*

0.00
0.15

!
#
" "
!
t
t! '

* $ '

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

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& & % & & (

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

& ) # ' * '#

* $
*
& # ' *

*

* $

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

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

w
%
( & &
'
# #

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

!

" $ $ $

!! " !! " ! ( #
'

# $ ' # * $

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

* * # #

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

!! " & !! " ! ( #

" *
& # ' "

! * "

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

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

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

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

& (
* $ " * # *

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

$ # $ * $ #

0
'
' 0 ' $
" ' $ 0 ' #
# ' # ' $ *
0 0 * # #
" # $ # ' *
* * # # ' # )
# *
# #
$
* # # #
# 0 # * * * 0 # # $ '

$ * #

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

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

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

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

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

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

VIV
200
200
400
400
OMO
10 11
10
12
NYA
WEA
14
16
100
100
200
200
300
300
15
20
25
30
50
100 150
LIN
10
14
18

100
200
50
60
70
80
w.tot

! " " (

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

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

g(x)

!! !

& ( # !
$

`()

p .1

(

" # ! ( & ( # ! " *

" # ( & ( # " * *
!

!

X

x1 , . . . , xn
()
`()

P

x1 , . . . , xn
`()

y , . . . , yn
xi
xi

1

()

= y

"
#

" ) ( &%( % " & "

% & "
% *

Yij

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

Yij

()

X1 , . . . , Xn

(, 1)
d d
f (x1 , . . . , xn |)
d dx
d
f (x1 , . . . , xn |)
d

d
f (x1 , . . . , xn |)
dx

=0
=0
=0

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

P

n = 10

yi
(, 1)

y1, . . . ,
y10

y , . . . , y10
1

`()

Yi

(, 1)

`()

= y

Yi
()

3.1

y1 , . . . , y10
y1 , . . .P
, yn
(, )
2
1
2
=n
(yi )
% " ) " & & "

!
i

(, )
y1 , . . . , y10

(, )

`()

y1 , . . . , yn
yi

`()

P[

] = .8

].

T exp()

t1 , . . . , tn

n = 10

`()

P

] = .2.

Pr[

P[

`()

ti

ti

P[H] = 1/4

P[H] = 2/3

P[

] = .01
P[

P[

P[

P[

P[

(700, 50)

(600, 50)

P[

P[

!

!

"
"

] .5

0

P[

!

!
!

!

! ' * '

"( +

b

(, 1)

y
(m, )

(, y )

y1 , . . . , yn

(0, 1)

n

(m, )

y ,...,y

1
n

(, y )

% ! "&

=2

0, 1, . . . , 9

(3.28, )

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

k = 1, 2, 3, 4

(, .72) (3.65, 0.36)

% ! "&
=1

X = 122

"( ##

=
"( ##

=

X = 122

nA = 100

nB = 400

nC = 100

.1

.1

.2

!

!

w = 100

xi

* ' *

"
! &"
# &"

x1 , . . . , x15

xi
(w )
&#
&
" " !

!

*

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

"
! &"

! '

# &"
! *
*

# *

# *
*

*

! *

! *

& (

Y =

X
! (

) "

(

X =

Y =

X=

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

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

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

X =

X=

& ( ! ( (

) "

Y =

Y

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

eruptions

$ # $ ' *

$ # #
$ # # * #

# # * # $
# # * # '# # #
# * # # $ # $
# * # # #
#$ $ #
#
* # *
X =
Y =
*
#
X
Y

* # # * *
# ! % ! & ' % ! '

! & ' ( &
$ *

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

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

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

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

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

100
200
Draft number
300
100
200
300
Day of year

! & ""

" ( # " (

* # # * *

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

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

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

# # #$ * # *

! * *

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

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

* * # #

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

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

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

i yi

(xi , yi )

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

xi

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

yi

i g

g

yi g(xi )
r
i
i

ri

!

y

y
x

x
x

y

y

x

ri

x

!

i

g(xi )

i

i = ri =

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

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

# & ' # ) * '

) ! & "
# $ #

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

# * # '
# #
#
(B , )
B1 , . . . , B20
#

(M , )
M1 , . . . , M17

#
(P , ),
P1 , . . . , P17
*
"
" # " #
Bi Mi
P
#
$
' $i
B 150;
M 160;
P 120;
30.

Beef
Meat
Poultry

100
120
140
160
180
calories

'
#
B1 , . . . , B20
(, )
#

M1 , . . . , M17
( + M , )

#
P1 , . . . , P17
( + P , )
# # $ '
# $ # $
# # # *
' *
* # #
* * $ #
* * * #

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

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

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

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

% & " '

# $ +

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

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

+ M

!

P B

M B

+ P

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

)
)

ctrl
trt1
trt2

3.5
4.0
4.5
5.0
5.5
6.0
weight

!

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

! & $
" # )

WC,1 , . . . , WC,10
(, )

WT1 ,1 , . . . , WT1 ,10
( + 1 , )

WT2 ,1 , . . . , WT2 ,10
( + 2 , ).

'

#
# # # # #

Y
Y

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

#
* # # $ #
Y

' #

X
#

#

#
*
Yi
Xi

" # * *
i
$ '
Y
# #
# &
&&
&&
& "
!
*( +
*( *

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

%

$ # '

* # $ # ) ' +
$ #
# #$
!

# *
(Y1 , . . . , Y54 )
i

* '

X1,i
#

$
X2,i
(
1
X1,i =
0
" #
i
*
#
(
" # $
i
1
X2,i =
*
0
#
# ' * # '
X1,i
X2,i
" # * *
#
* * * $
i
X
X
$ 1,i
2,i
# '
k
k1
* ' # *

i = 1, . . . , 54
*
Yi = + M X1,i + P X2,i + i
#
(0, ).
1 , . . . , 54
$

* $ ' # !

Y = (Y1 , . . . , Y54 )t ,
B = (, M , P )t ,
E = (1 , . . . , 54 )t ,
$ ' ' ' #
1
1

1

X=

1

0 0
0 0

0 0
1 0

1 0
0 1

1 0 1

#
54 3
# # $ #
*
Y = XB + E

!

Yi =

X1,i =
1
0
X2,i =
1
0

Y = (Y1 , . . . , Y30 )t
B = (, 1 , 2 )t
E = (1 , . . . , 30 )t

1
1

1

X=

1

0 0
0 0

0 0
1 0

1 0
0 1

0 1

Yi = + 1 X1,i + 2 X2,i + i

Y = XB + E.

XB
+ M X1,i
!

Yi
+ P X2,i

+ 1 X1,i + 2 X2,i
!

E
i

i

+ M X1,i + P X2,i

+ 1 X1,i + 2 X2,i

(, M , P )

(, 1 , 2 )

!
!

X

X

* $
* # ' +* #

$
$ $
#$
* # # # '

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

*
% &
*
( +
# )&

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

%

(

+
+
(*

+
+(
'

# + #$

#

$ $
#
#
' # $ #

* #$ $
$
$

'

= 0 + 1
+

* # # # $ * #

*
(0 , 1 )

Y = ( 1 , . . . , 30 )t
B = (0 , 1 )t
E = (1 , . . . , 30 )t
#
#

1
1
1

2
X =

1
30
Y = XB + E.
# # # $

0.25
0.30
0.35
0.40
consumption
0.45
0.50
0.55

30
40
50
60
70
temperature

Yi = 0 + 1 X1,i + + p Xp,i + i

Y = XB + E.

Yi (i , )
P

i = 1, . . . , n
i = 0 + j j Xj,i

p+2
(0 , . . . , p , )
`(0 , . . . , p , ) =
n
Y
i=1
n
Y
i=1

i

y ( +
0
i
j j,i
1
1
=
e 2
2
i=1
P
n
2
1 P
= 2 2 2 e 22 i (yi (0 + j Xj,i ))
(0, )
1 yi i 2
1
e 2 ( )
2

p(yi | 0 , . . . , p , )
n
Y

p+2

log
X
1 X
yi (0 +
j Xi,j )
log `(0 , . . . , p , ) = C n log 2
2 i
j

X

1 X
j Xi,j ) Xi,p = 0
0 +
2 i
j
X
X
2
n
1
+ 3
yi (0 +
j Xi,j ) = 0

i
j

yi
(0 , . . . , p ,
)

p+1

2
p+1
p+1

= (Xt X)1 Xt Y,
B

!2

X

1 X
0 +
j Xi,j ) = 0
y
2 i
j
X
X

1
j Xi,j ) Xi,1 = 0
0 +
2 i
j

i {1, . . . , n}

yi = 0 + x1i 1 + + xpi p .

ri = yi yi
= yi 0 + x1i 1 + + xpi p

i

X
2
1 X
n
+ 3
yi (0 +
j Xi,j )
i
j
X
1
n
ri2
= + 3
i
0=
2 =

1X 2
ri
n
P
ri2
n

12

# #

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

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

#
#
# # #

# # #
$

$ #
$

#
X

# # * # ! % ! $ "

* # ' # $ *

' % * % & #

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

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

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

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

+ %
& ) & "
" & % ! " ( &

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

%
! % ! $ "
# & ! (

( (
% *

& *+ & & &

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

& & *
&

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

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

*
& ) & # ! % ! $ "
# & & # ! % ! $ "
# & ! (
# " & " #
Yi = 0 + 1 X1,i + 2 X2,i + i
*
#
# ' $ # #
X1
X2

Yi = 0 + i
Yi = 0 + 1 + i
Yi = 0 + 2 + i
#
#
$ #

& ) & #
#
0 =
=
% $ "
# & &
# ) * # #
1 = ! !
=
% $ "
# & ! (
# ) *
2 = ! !
=
# $ #

! & ) & "

0 = 156.850
1 = 1.856
2 = 38.085
# % ! "

#
0 ! 1 $

$
0 (0 , 0 )
1 (1 , 1 )
2 (2 , )
2
" " !

$ #
$
0
* #

* #

#
* 1# +

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

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

& !! % '

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

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

& !! % '

$ ' # & " %(

likelihood
likelihood
140 150 160 170
20
0 10
M
likelihood
60
40
20

(, M , P )

" % % & !

# $
23.46
#
$ ' $ #

*
*

Y

Y

# ) " +

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

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

# ' #

= 0 + 1
*
+
% # ! $ #& # '' ' #& # $!
#
' &#
$ ' # '' ' $ % !$ $
P
1/2
( r' i2
/(n
1))
$ # & $ & ' $
#
np
! n#$% $ '
400
3.0
4.5
16

22
25
100

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

50

250
) "

& # ) "

# # # ' *

# #
#
0 37.3

#

$

' $
1 5.34
# * # $ #

* $ $ * # $

* # *

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

= 0 + 1 +
" # +
"
#

0 30.1
1 0.069
* # # # # # *
# ) #
* $ * *
* #
* $ # #
* #

#

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

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

*

#

= 0 + 1
*

+ 2

2
#
*
+
# # $ * "

#
#
2.6
0 37.2 1 3.88 2 0.03
'# # # # $ # #
# $ * $ #

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

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

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

%

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

#$
# #
) "

#$

#$

1

(.05, 0)

1

1 1

2

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(.1, .04)

1 6 2

X
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0.10
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Y |X

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#

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37

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

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

X
X

E[Y | X] = P[Y = 1 | X] =
e0 +1 x
1 + e0 +1 x

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

1

# !

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

xi

,- .0

i = E[Yi | xi ]

i
i log
.
1 i

i =

ei
.
1 + ei
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23 21,. 2

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E(Y | x)

0 + 1 x

1
x 0

,

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0 -1

x +

0

1

4

E(Y | x)

1 > 0

1 < 0

Y |x

p(Y1 , . . . , Yn | x1 , . . . , xn , 0 , 1 ) =
=
Y
i
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i

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0.35
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0.50
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20
10
20
30
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25
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10
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15
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20
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25
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10
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fitted from both
10
15
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actual mpg
10
20
30
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10

20
30

f

(0 , 1 )
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xf

(f , )

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C T 1 T 2
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1

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f
(x)
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(x)
=
X X
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b=x

A

P[X A] =
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f (x) dx

f
fX
R

R
f =
fX
P[X A] =

fX
f

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X

-

(# ('

P[X A] =

A
f (x) dx

X
fX

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1
d g (t)

pZ (t) = pX (g (t))
dt
pX !
g

Z = g(X) ! $

A P[Z g(A)] = P[X

!
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pX (x) dx

dx
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P[Z g(A)] = g(A) &

&
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n
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(X1 , X2 )
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pX~
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X 1 X2
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A

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pX~ (x1 , x2 ) dx1 dx2
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1
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2
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.
0.47 ,

pX~ (x1 , . . . , xn ) = pX1 (x1 ) pXn (xn )

(x , . . . , x )
1
n

(X , . . . , X )

1 n
(X , X )

i j

~ = (X1 , X2 , X3 )
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X 1 X2 X1 X3
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ij
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ii

12 12 1n
12 2 2n

2

~
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Y = X 1 + X2 ! $
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k n

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n X
n
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=
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k=1 `=1
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k=1
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n
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k=1 `=k+1

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R R

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A P[Y~ g(A)] = P[X

A X
!

~y = g(~x)

P[Y~ g(A)] =
g(A)
pX~ (g 1 (~y )) |J|1 dy1 dyn
R
R
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P[Y~ g(A)] = g(A) &
1
n

&

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1
1
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pY~ (~y)

X1 X2

X1
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~ =
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Y
=
X
X
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1
1
2

Y~ = (Y1 , Y2 )

|Y1| 1
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Y2

n n

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R
Y

2

~
X
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Y 2 = X2

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

X2 = Y 2

pY~ (y1 , y2) = e(y1 +y2 ) 21 ey2 /2 =

1 y1 3y2 /2
e e
pX~ (x1 , x2 ) = ex1 12 ex2 /2
P[|X1 X2 | 1] = P[|Y1 | 1] =
ZZ
pY~ (y1 , y2 ) dy1 dy2
Z
Z
1 1 y1 3y2 /2
e
e
e
dy2 dy1 +
e
dy2 dy1
2 0
1
y1
0
Z
Z
1 1 y1 3y2 /2
1 0 y1 3y2 /2
dy1 +
e
e
e
e
dy1
=
y1
0
3 1
3 0
Z
Z
1 0 y1 /2
1 1 y1
=
e
dy1 +
e dy1
3 1
3 0
0
1
2
1
= ey1 /2 1 ey1 0
3
3
1

2
1/2
1e
+ 1 e1
=
3
3
- .
0.47 ,
1
=
2
y1
3y2 /2
/

X2
Y2
X1

Y1

(X1 , X2 )
(Y1 , Y2 )

~
~
X
Y
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! "#

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Y
Y
Y p

Y

Y

FY
(P

c
Y
y= P[Y = y]
FY (c) P[Y c] = R c

Y
.
p(y) dy
.

Y
bR
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
lim0 FY (y )

(

FY (y) FY (y )
Y
pY (y) =

FY0 (y)
Y

.

FY (y)

Y
Y

F
Y
.
,

.
,

/

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

0.8
Bin (10, .7)
pdf
y

3
y

/-

&

Y

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

e pY (y)
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.
t=0 ,

M (t)
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t
MY (t)

>0

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MY
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#
(n)
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0
/

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n=1

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d
d

ety pY (y) dy
MY (t) =
0
0
dt
dt
Z

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

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

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

f

MY (t)

' %
X

Y

MY !
X (t) = MY (t)

# MX
# M

t
FX = FY ! ! X
Y

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Y1 , . . .

MY1 , . . . !
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#

t
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n

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.

,

CY (t) = E[eitY ]

i = 1

,

/

' %

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#

X
a, b

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

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

= ebt E eatX
= ebt MX (at)
' %
X +Y ! $

X
Y
Z=
!

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~

,

.

.

,

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)
.
.

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

,

U =X +Y

V =X Y

X = UV
.
,
.
,
.
,
.
,
.
,
.
,

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 )

,

p(x)
p(y)

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

E[X] E[X | Y = .5]
E[X | Y = .5]

Y = U/V

X Y

(X, Y )

P[Y > 1]
P[X > 1]
P[Y > 1/2]
X
Y
(X, Y )

//

.
P[X > 1/2]
,
.

P[XY > 1]
,

.
P[XY > 1/2]
,

t=0

-

Y

MY (0)

n=2

X Y

-

N

(0, 1)
(N, )

{
(N, ) : (0, 1)}

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

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

! ' $ ""
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($ " "% ("$ % ( ! # "% ! & "" ("$
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%
"" ' $ ("$ # ( ! $ ( "
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& $
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X =x

#
%( ! $ # "" " ! ! %
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" ("$
'
' %
X (n, )

p(x | )

n x
pX (x) =
(1 )nx
x
x = 0, 1, . . . , n !
%" & " %& % %% ! $ # % ""

$ . ! "$% . $ #
'

, #
,! % # 1000110 100 "
#

$

$

S = {0, 1}n
x {0, 1, . . . , n}
# $
$ #
!
'
Sx
S
x 1
n x 0
#
'

%$
"%

""
#
(
#
&

s Sx
Pr(s) = x (1 )nx
s
Sx
% " ' # % %
# #
! $

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

=(
Sx ) x (1 )nx

n x
(1 )nx
=
x

# "
& % $ # # ( & ' #
n=1
#
! # (
! % $ # %& % '

%
% '
% #
%
'
X
()
X
()
pX (x) = x (1 )1x
x {0, 1}
%& # # ( " $& % "" ! % $ "" %" '
$

!
'
X1
(n1 , ) X2
(n2 , )
X 1 X2
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$ # X3% =
X1 + X2
X3

$ . # % %
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X3
(n1 + n2 , )
n1 + n2
"" # ( # &
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#
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X X2
X
,
$ & % $
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$ % ! # & & % $ '
n=1
' %

!

X (n, ) ! $

n
MX (t) = et + (1 )
%
'
()
#
MY (t) = E[etY ] = et + (1 ).
Pn
# %
"
X =
i=1 Yi
"% ' '
#
%
Yi
' '! '
%
()
! "
' % "

X1 (n1 , ) X2 (n1 , )

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

%"
X1 X2 !
%

%
MX3 (t) = MX1 (t)MX2 (t)

n
n
= et + (1 ) 1 et + (1 ) 2

n1 +n2
= et + (1 )
$ "
%
# "
# % $ " ""
'
# ! # % & ' '

& #
!% $ '
(n1 + n2 , )

# % & ' '
# % &

#

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

X (n, ) ! $

! E[X] = n !
! Var(X) = n(1 ) !
p
! SD(X) = n(1 ) !
%
# % %
( %" % '

#
E[X]
X
(n,
)
X =
!

Pn
% & $$ "" ! ! ' # %
# %
% ! #
X
()
Xi
X

%i=1
i # % & i '
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Var(X) = n Var(Xi )
Var(Xi ) = E(Xi2 ) E(Xi )2 = 2 = (1 ).

'
Var(X) = n(1 )
"" & & ! " '
# % $ " %
SD(X)
& # $ " $ % % # & " !% $ '
%& &
&

$ # ""

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

& & &

&

&

"! #

&

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&

&

&

&

&

&

&
&

& & &

&

&
&

&
&

&

&

&
&

&

&

$ !
!

$ $

&

$

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

x n
p
# % ! "% % # & " % " " %& " ! '
# # %" & # % & '

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

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

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

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

n=5, p=.5
0.05
0.0
n=20, p=.05
n=20, p=.5
p(x)
0.2
0.0
0.1
0.05 0.10 0.15
0.3
p(x)
0.15
p(x)
0.4
0.2
p(x)
0.6
0.25
0.8
n=5, p=.05
10
12
n=80, p=.05
n=80, p=.5
p(x)
0.02
0.05
14
0.06
0.15
p(x)

30
35
$ % '
40
x
& " &
45
50

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

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

(r, )
N
(r, )

% & $# % # # " $ & % %"
# #
r
! !
, ( & " ! % $ '.
& " & " % N#+
# ' # % ! $
& % $
" # ! " " % $ "

' #

' # $ & % "$ %
$" # % ! &
r=1
! #N( & % ! % $ # %&
! # ( %
r=1 N
% %

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

% " $

pN (k) = P(N = k)
$ # %
%"
= P(r 1
k+r1
!
# %" $
k + r
)

k+r1 r
(1 )k
=
r1
%
k = 0, 1, . . .
'

'''
!
'''

N1
(r1 , )
Nt
(rt , )
N1
Nt
! ! # # % '
# & $ %"

" # P
# ( P $ '
# $& % "$ %
%
(N + r )
ri
N
#
#1 $ & % "$ %
% #
# $ i i ' ' '
r1
N1 + + Nt

P
# $ & % "$ %
# $ ' ( ! #
r1 + + rt P
N
Ni
% #
# $ $ % ! # % % #
'

' %
r(1 )/ !
2

!
ri

(r, )

$ %( # % $ " %
E[Y ] = r(1 )/
'
r=1
(r, )

# # % $ " %
Var(Y ) =
r>1
""

""

# % % $ & !
E[N] =
=
n=0
X
n=1
# % & ' ! ' ' %
r=1
n P[N = n]
n(1 )n
= (1 )
n(1 )n1
n=1
= (1 )
n=1
d
(1 )n
d
d X
= (1 )
(1 )n
d n=1
d 1
d
1
= (1 ) 2
1
=
= (1 )
% %
# %& ! %(( # # #
%! %

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

2
E(N ) =

% '
n2 P[N = n]
n=0
= (1 )
= (1 )
=
n=1
X
n=1
(n(n 1) + n) (1 )n1
n(1 )n1 + (1 )2
X
d2
1
+ (1 )2
(1 )n
2
n=1
X
n=1
n(n 1)(1 )n2
2 X
1
2d
=
(1 )n
+ (1 ) 2
n=1
1
d2 1
+ (1 )2 2
1
(1 )2
=
+2
3
2 3 22
=
2
=
# % %
Var(N) = E[N 2 ] (E[N])2 =
1
.
2
#
$ % % # # ( & " ! % $ %

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

" # "#

0.020
0.00
0.04
0.08
r = 1, = 0.1
0
20
40
probability
probability
probability
r = 5, = 0.1
60 100
350
0.010
20
N
r = 30, = 0.1
200
N
' % $
0.000
0.05
0.02 0.06 0.10 0.14
0.0
4
6
0.05
0.15
r = 1, = 0.5
14
probability
0.02 0.06 0.10
0.4
probability
0.2
45
r = 5, = 0.5
0
N
r = 30, = 0.5
30
probability
0.25
0.2
0.4
0.6
0.8
1.0
2.0
r = 1, = 0.8
0.0
N
12
r = 5, = 0.8
6
N
r = 30, = 0.8
& " & (
0.03
15
0.01

0.006
probability

0.002
probability
probability
-

&
" # "#

&

" # "#

&

# " ' # $

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

-

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

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

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

! % ! % "
& # # #
{a,
c}

! ' # % "" ! # %
'
a
c

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

k
" $& # # % $" ( %
# %
# $& %
y1 , . . . , yk
yi
'
& # $&
$ % ! !
# $&
% %"
i
y1 + + yk = n
!

# % " #
%
#
p (p1 , . . . , pk )
k
n

$ & % %" ' %
$ "
' %$ "%
Y
(n, p)
Y (Y , . . . , Yk )
( % " # ' $
( % 1
E[Y ] = = (1 , . . . , k ) (E[Y1 ], . . . , E[Yk ]) = (np1 , . . . , npk ).

#
# %! % ! & (% " % # ' $
i
Y
Y
#
$
$ & % & i $&
$ %% ! %" ! % $ i
i
n

% '.
'.
Yi
(n, pi ).
,
,
"# $ # #
% "" & " # % ! ! ' % ""
Yi
#
#
& $
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Y1 = n
Y = = Y = 0
Yi
# % & 2 # # k ! " !%
$
(
Y2 , . . . , Yk

# # % & %( ! # % '
Y1
' %

(n, p)

fY (y1 , . . . , yk ) =

n
y1 yk

n
py1 pykk
y1 yk 1
& $ " & "

n
y1 yk
n!
=Q
yi !

%& % %% ! $ # %

# % # " % !
abkdbg f

# $& ! ( ! $ " %" '
$# $
""
# #
%" & $ " & "
n
$ $& $#
a} |b {z
}b k
k}
|a {z
| {z
y1 y2
yk
# % " # %$ "% $

' ' ' # # & % " '
a
yk k

fY (y1 , . . . , yk ) = (
$ &
% $ # $
pyi i
'
( %
pyi i
$ #
y1
Y
n
pyi i .
y1 yk
-

' %

(n, p)
pi = pi /(1 p1 )
%
% / '

(Y2 , . . . , Yk | Y1 = y1 )

(n y1 , (p2 , . . . , pk ))
i = 2, . . . , k !
$ % #
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!
'
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! % & "
m
# % $ "
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k
m

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

#

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

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

!
`1
$ % ( # % " '
`2
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# " $& % ( # % # ! & '

#
y
Y
! % $ # %
%& % %

' #
&
e y
y!
# & ! %( ! #
%
%
pY (y) =
y = 0, 1, . . .
% '
E[Y ] = .

() ! $
()

t
MY (t) = e(e 1)

tY
MY (t) = E[e ] =
ty
e pY (y) =
y=0
X
y=0
e
e (et )y
= et
y!
e
=e
() ! $
ety
e y
y!
y=0
X et
(et 1)

y=0
(et )y
y!

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

2
E[Y ] =
y=0
y2
e y
y!
e y X e y
=
y(y 1)
y
+
y!
y!
y=0
y=0
=
=
y=2
X
z=0
2
y(y 1)
e z+2
+
z!
= +

e y
+
y!
Var(Y ) = E[Y 2 ] (E[Y ])2 =
'
% ! % "

d2

E[Y ] = 2 MY (t)
t=0
dt
d2 (et 1)
= 2e

dt
t=0
d t (et 1)
= e e

t=0
hdt
i
t
t
= et e(e 1) + 2 e2t e(e 1)
2
t=0
=+

Var(Y ) = E[Y 2 ] (E[Y ])2 =
'

%

YiP
(i )
iP
= 1, . . . , n

%
Yi
n
n
Y
=
Y
() !
!
1 i
1 i ! $
%
# % & ' ! ' # (

!
# #
MY (t) =
# & #
$

MYi (t) =
()
ei (e 1) = e(e 1)
! % $ '
# $ & % ( $ %%

i = 1, . . . , n Yi
! &

' $
#
% ! ! #
%
Di Y i
(P
i)
!
!
'
# $ & D%i
( % Yi
'
Y =
Y
D = Di
P
# " # $
$i #

# %
' #
Y
()
=
i
% & ' $ % $ # ( % # % %% " #
! ! !
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# ( #
! % $ ' # %
$

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

Y
!
%! & " ! % $$ #
%& % #
Y1
Y
2
!

!
'
Y1
Y
((1 ))
Y1 Y2
$ %()
' % #
' # 2 #
& %
= 1, 4, 16, 64
& " % " %& " ' #

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

# %" & # % & ' #
Y
P
#

# % # () ' & $ %
Y
Y =
(1)
% #
% ' i=1
#Yi # %"Yi &
# % & "" $ #
""
Y

% & " %& " # "% '

%
# %" $ # ! % $

$

$# %%! ! % '

%" , "$ & $ " $ %

% ! $% '
0.04
pY(y)
0.08
0.0
0.1
0.2
0.3
0
2
=1
y
4
= 16
10 15 20 25
pY(y)
0.02
0.04
0.00
0.05
0.10
0.15
0.20
0
2
6
=4
4
y
= 64
50 60 70 80
= 1, 4, 16, 64
0.00
pY(y)

% &
' % $
0.00

pY(y)

* (* *(
'+ * * + ( ' ' (
* ()' '
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(* '
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20

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& * *(
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&&

&

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"

E[X1 ] = E[X2 ] = 0 1 = 2 = 1

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%
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%
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Y = AX

pY~ (~y ) = pX~ (A1 ~y )|A1 |

1
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n
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%
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= W1 + W2
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W

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W
V1
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= MW (t)/MW1 (t)
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%
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X1 , . . . , Xn

2
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X)
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2

V =
2
n
X
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i=1

2
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i=1 (Xi
n
X
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V =
i=1

2

n
n
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i=1
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p+1
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p
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0.4
0.2
0.0
0.1
density
0.3
df = 1
df = 4
df = 16
df = 64
Normal
t

"
# # # # !
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n(X )/

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t p
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p+1
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T
k
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k
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F

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P7
x
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x= e
P7
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Y
Pr[X .5|Y .25] =
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" $ # ! #!
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X , . . . , X (0, 1) " X (X + + X )/100 " Y (X +

1
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1
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Pr[.2 Xi .2]
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Pr[.2 Y .2]
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2]
Pr[2 X
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Pr[2 Xi 2]
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Pr[2 Y 2]
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20]
Pr[20 X
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Pr[20 Xi 20]
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Pr[20 Y 20]
X (100, ) " P100 f (x|) =
=0
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f (x) =
R1
f (x, y) dx
R01
f (x, y) dy
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f (x, y) dy
0
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f (x, y)
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X , . . . , X ! ! (r, )
1
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f (x1 , . . . , xn ) =
"
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P
Q
[r /(r 1)!]( xi )r1 e xi
Q
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k=2
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Y
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%
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Y (1, n) ! n

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Y! =y 6 {1, 2, . . . , n} n p(y)

y 6 {1, 2, . . . , n}
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1
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X1
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x2
1
lim ptp (x) = e 2
p
2

# # !
p (x)
t
p
tp # ! " ! $ " $
x

%
% % %
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# # #

"
! $ ! #! $
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k
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# # $
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$
# ! ! " $ !
Y1 , . . . , YT
#

"
Yt
" $ #
"
!
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)" .
". . %& & )"
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)" "%&# %
". . " . %& &#
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20 40 60 80
1960 1970 1980 1990
DAX
UK Lung Disease
1992
1994
1996
1998
1500
Time
monthly deaths
Time
2000
1974
1976
Time
Canadian Lynx
Presidents
approval
7000
Time
1820
1860
1900
1945
1955
1975
1965
1975
1980
1985
250
Sun Spots
60
200
UK drivers
1970
1980
Time
number of sunspots
Time
deaths
1978
30
320
36.4
CO2 (ppm)
Mauna Loa
trappings
Closing Price
Temperature
Beaver

1750
1850
Time
1950
Time
" % %
! # $ !

! $ $ $ #

$

$ # $ $ ! 2
% % !

# ! $ ! ! !

! #
% %

%

# $

! ! "

$ ! ! # ! "

" # $ ! ! ! !

# #
! ! " "

"

Y
Y
$ $ " $t t+1 " #
Yt+1
Yt
" $

$ " ! $ !
# #$ ! $

#
! $ " # $ #

$ ! $ " # "

! !

"

#

""
"
"
$

"
$
"
$
"
"
#

$ " #
! !
Cor(Y , Y ), Cor(Yt , Yt+1 ), . . . , Cor(Yt , Yt+5 )

# $ # t t
" " "
"

$ $ " "
" $ #
"

%& #' %& '

% '
% ( '

%& "'

%& '

% '
% ( '

30 50 70
yt+1
37.0
Presidents
36.4
yt+1
Beaver
36.4 37.0
30
yt
"
Yt+1

60
yt
Yt
#
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"

&
&
"
& % & '
& %( '

% '

% ( '

$
! $

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

! ! $ !

lag = 1
37.2
36.4
36.8
37.2
36.4
lag = 2
lag = 3
37.2
36.4
36.8
Yt+k
36.8
36.8
37.2
36.4
36.8
37.2
lag = 4
lag = 5
37.0
36.6
Yt+k
37.0
37.4
Yt
37.4
Yt
36.6
36.4
36.8
37.2
36.4
Yt
0, . . . , 5
37.2
Yt
36.4
Yt+k
36.4
"
36.8
Yt
37.2
36.4
Yt+k
36.8
Yt+k
36.8
36.4
Yt+k
37.2
lag = 0
Yt+k

36.8
37.2
Yt
Yt
#

k =

$

$ $
$ $ ! $

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

" $ # " #
$ #
{Yt }
$
#

Yt+1
Yt

" "

$

Yt1
Yt1
Yt+1
Yt
$ $ "
" "
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&

&
% ' % & ' % & '

% & '
% '

% ( '
$

Yt+1

# #
Y
t
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Yt
$
$ #

" #

Y
Yt1
Y
$! t+1
$
t # $ "
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!
Yt1

!
Yt+1
Yt1
! $

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" " #

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Cor(Y , Yt+k | Yt+1, . . . , Yt+k1 )
# ! " " t
$

Yt
36.4
36.6
36.8
37.0
37.4
36.4 36.8 37.2
36.4
36.8
37.2
Yt+1
36.4
36.8
37.2
36.4 36.8 37.2
37.2
36.4 36.8 37.2
Yt1
"

$ #
Yt+1
# $ #
Yt1

Yt
#

! $
"
Yt+1 Yt1 | Yt
" ! # # !
Y = 0 + 1 Yt + t+1
! " $ ! $ t+1
" # $
# ! " "
&

!

" $ $

" " "
" ! !
"
Y = 0 + 0.8258Yt + t+1
! $ # " " t+1
"

0 = 36.86
t

" $ #
$

Yt+1 (36.86 + .8258Yt, .012)
! $ # "

$ $ !
$ ! " ! $ !

$!
Yt =

!
$ $

$ ! ! !

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

# $ "

g(t) =

.5yt6 + yt5 + + yt+5 + .5yt+6

12
"
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t

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g
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&
g(t)

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# # ! ! #
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g
+
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&

&

& &

&

&

(
$ $ # ! $ $ "

Yt
t
# $ #

Y = Yt+1 /Yt
$
$ t $
! "
Yt
Y
" # $ $"
" t !
Y

! $ $ "t
! #
" ! # $
Yt Yt1
! $
$ $$ "

"
Yt
Yt1

"
Yt
Yt1
#

#
Yt = 0 + 1 Yt1
(0 , 1 ) = (0, 1)
( , 1 )
# " 0

$ $

! # "
Yt Yt1

#
" !
Yt Yt1

(b)
resids
340
320
co2
360
(a)

1980
1960
1980
Time
Time
(c)
(d)
340
co2
320
3 2 1
cycle
360
1960
2 4 6 8
12
1960
Index
"

1980
Time
2

!

Yt (Yt1 , )

! # "
1995
1992
1995
(c)
(d)
4000
200
6000
"
$ $ " ! #
#

"
Yt
Yt1
Theoretical Quantiles
DAXt1
1998
Time
Sample Quantiles
Time
5000
2000
1998
2000
DAXt
1992
200
5000
DAXt DAXt1
(b)
2000
DAX
(a)
Yt Yt1
" $ #
Yt
Yt Yt1
"

% ' &
% & '

%& '
%& '

% & '

% '
"

%& '
%& '

$ ! ! # $ $ # ! "

% ' & %' % ' & % ' $ $ $

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

! # $ "
! #
! # $
Y Yt1
" t

"
Yt
Yt1

! #
Yt Yt1
Yt Yt1
"
# " !
Y

! t# #
Yt (, )
" ! # "
Y
"
! ! "
Y (1.0007, 0.01)
" $ #
"

% ' & % & '

%& ' %& '
% & '

% '

! #

!

Yt Yt1

Y (1.0007, 0.01)
Yt

500
Yt
1500
(d)
0.98
1.04
0.92
1.00
(c)
Sample Quantiles
Time
" ! #

Yt
#
"
Yt1
Theoretical Quantiles
ratet1
"

500
Time
1.00
0.92
0.05
1500
0.92
ratet
0.05
1.00
ratet ratet1
(b)
0.92
rate
(a)
Yt

Yt Yt1

! " ! $ "

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

%

%
!"
#$ % & '
( ) & *
+,-+./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
!
?%&
B
DN
M
A $# K L & *

!
< #$ %
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 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
1
g(t) =
,2
.5ytk + ytk+1 + + yt+k1 + .5yt+k

2k
5,3 0

k 6= 6
9 13 ./0 g ./ 718.,/
8 0 0/82.05

0 ,40 ,2
.-720
50
.
,/81./5 8 0
/0 05512 120 5,3 0 ,
+./05

&

&

,7+4 8 0 ,++, ./- +./05 ,2 ./58014

&

&

,2

/,8

.5 1 -,,4
.-720 1/4 8 0 1 ,3 1/ ./- 80 8 57--058 8 18
3 ,40+ ,2 8 0 4181 78 8 18 4,05/ 8 5 7120 Y.8t8 Y0t1
,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
9

1 0 1 +175.9+0 1/1+ 5.5 , 8 0

7/- .50150 4181

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
9
1 0 1 +175.9+0 1/1+ 5.5 , 8 0

42.
025 4018 5

,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()
/,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()
/,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, /,
y
1/4 8 020 ,20 .8 57 05 8, /, P 0 4,/ 8 /004 8, /, 8 0

`()
i
./4.
.471+ 5 0 51 8 18 P .5 1 57 Y.0/8
5818.58. ,2
Yi
Yi
0 8.,/ 0 13 ./05 8 0 -0/021+ ,/ 0 8 , 57 .0/ 0 ,2 ./

8 0 ,/80 8 , 1 1213 082. 13 .+ 0 .401 , 57 .0/ .5 ,23 1+. 04 ./
0 /.8.,/

9 1 1213 0802
7/ /, / 08
15
08
90 1 13 .+ , 2,919.+.8 40/5.8.05 ./40 04
08{p( | )}
9 0 1 513 +0 2,3
,2 5,3 0
(y1 , . . . , yn )
p( | )
9 y0 1=5818.58.
57 8 18 8 0 ,./8 4.582.978.,/ 1 8,25
T (y)
Y
p(yi | ) = g(T (y), )h(y).

5,3 0 7/ 8.,/5 1/4
,2
0
0/

.5 1++04 1

.401 .5 8 18 ,/ 0 8 0 4181 1
0 900/ ,9502
04
.5 1 ,/581/8
h(y)
Q
8 18 4,05 /,8 40 0/4 , 5,

`()
p(y | ) = g(T, )h(y) g(T, )
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,/
T (y)
y
P
1/4 ,/0/8.1+ 0 13 +05 0 1/ 81 0
T (y) =
yi
,2 1 3 ,20 4081.+04 +,, 18 57 .0/ 8 ./ , -0/0218./8 200 02/
()
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 )3
(1, 0, 0)
(0, 1, 0) (1 )2
(0, 0, 1)
(1, 1, 0)
(1, 0, 1) 2 (1 )
(0, 1, 1)
78
1/
(1, 1, 1)
1+5, 9 0 -0/021804 9 1 8 , 580 2, 04720
0/02180 P
.8 2,919.+.8.05
y = 0, 1, 2, 3
3 205 0 8.i
0+
1
9
yi = 0
yi = 1
yi = 3
19.+.8

8
(1, 0, 0) (0, 1, 0)

19.+.8yi =2
4
-0/02180
(0, 0, 0)
-0/02180

(1)3 3(1)2 32 (1
-0/02180
-0/02180
(1, 1, 0) (1, 0, 1)
(1, 1, 1)
,2
,2
(0, 0, 1)
(0, 1, 1)
01 .8 2,9
01 .8 2,9
.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,

+012/ 19,78 0 ,/+ /004 /, 8 0 ,78 ,3 0 , 8 0 258 580 0 50 ,/4

580 .5 .220+0
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, )
57 .0/8 5818.58.
(
.
,2
1
yi <
i = 1, . . . , n
n
p(y | ) =
,8 02 .50
5 , 5 8 18
5818.58.
0
1
= n 1(0,) (y(n) )
8 0 3 1 .373 , 8 0
5
y(n)
yi
.5 1 ,/0 4.3 0/5.,/1+ 57 .0/8
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
(n)
IF x
I
I I I I
,3 08.3 05 57 .0/8
. . 4 13
0/
x(n)
5818.58. 5 120 .- 02 4.3 0/5.,/1+ 08
(, )
5,
p(yi | , ) =
1
y 1 eyi / =
() i
1
()
y1 , . . . , yn
n Y
P
1
yi
e yi /
.5 1 8 , 4.3 0/5.,/1+ 57 .0/8 5818.58.

.5 1 57 .0/8 5818.58.
7 .0/8 5818.58. 5 120 /,8 7/. 70

T = T (y)
1/4 . .5 1 7/ 8.,/ 8 0/
.5 1+5, 57 .0/8 , ./ 8 0 ,.55,/
f
f (T )
P
,/0/8.1+ 1/4 02/,7++. 0 13 +05 020 P
15 57 .0/8
yi
y =
/n
.5 1+5, 57 .0/8 78 8 0 +1 , 7/. 70/055 .5 0
0/ 3 ,20 50
020 0 yi,+0

4181 508
.5 1/ 4.3 0/5.,/1+
57 .0/8 5818.58. 90 1750
Q P
T (y) = ( yi , yi )
T (y) = (y)
020
n
Y
p(yi | ) = g(T (y), )h(y)
1/4
+5, 8 0
5818.58. +5, .
g(T (y), ) = p(y | )

h(y) = 1
.5 1/,8 02 4.3 0/5.,/1+
57 .0/8
n
(y(1) , . . . , y(n) )
T (y) =
.5 1/
T

.5 1 8 , 4.3 0/5.,/1+
57 .0/8 ,/0 4.3 0/5.,/1+ 5818.58. 8 0/
2 = (y1 , T )
57 .0/8 5818.58. 78 .8 .5 ./87.8.
0+ T+012
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
y
(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 y .8 ,78 +,5./- 57 .0/
.5 1++04 . ,2
57 .0/8 5818.58.
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
()
yi
78 57 ,50
872/ ,78 8, 90
(y1 , . . . , yn )
0} |1 1 {z
1},
|0 0 {z

. 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
./
f
/.80 3 01/
1/4 Y1 , Y 2 ,,2
01 f
+08
0
.5 1
n
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

n
1
Tn = n
yi
C 0 50 70/ 0 ,

" $ $ . ,2 0
02
.5 51.4 8, 9 0
058.3 18,25
T1 , T2 , . . .
1/4 ,2 0
02

" # $ $
>0
lim P[|Tn | < ] = 1.
,2 0 13 +0 8 0 1 , 12-0 739025 0,203 51 5 8 0 50 70/ 0

Pn
, 513 +0 3 01/5
.5 ,/5.580/8 ,2 .3 .+12+ +08
1
{T
=
n
y
}
n
1 i
P
.5 ,/5.580/8 ,2Sn =

1
2 90 8 0 513 +0
12.1/ 0 0/
N
{Sn }
2
(yi Tn )
i
,20 -0/021++ 3 + 0 5 120 ,/5.580/8

# #
$ $ "
B $
Y1 , Y2 ,
pY (y | )
n
$
$
$
" $# "
$# " "
(y1 , . . . , yn )
g
$ $ " #$% " #$# "
# " # $ $ " $# $ "
{g(n )}
"

g()
"" 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 }
, 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
71/8.8

E[]
#

08
90 1/ 058.3 18,2 , 1 1213 0802 0
= (y1, . . . , yn )
.5 1++04 8 0 # , / 058.3 18,2 ,50 9.15 .5 .5 1++04

020 120 5,3 0 0 13 +05

. . 4
1/4 ,/5.402
B 08
y1 , . . . , yn
(, )
= y
15 1/ 058.3 180 , 0 1750
.5 1/ 7/9.1504 058.3 180 ,

B
08
E[
y ] = y
y1 , . . . , yn
2 = n1
15 1/ 058.3 180 ,
E[n1
. . 4
(, )
1/4 ,/5.402
(yi y)2
X
X
(yi y)2 ] = n1 E[ (yi + y)2 ]
n X
X
= n1 E[ (yi )2 ] + 2E[ (yi )( y)]
o
X
+ E[ ( y)2 ]

= n1 n 2 2 2 + 2
= 2 n1 2
n1 2
=
n
020 ,20 2 .5 1
5818.58. .1/5 20 02
2
y)
9.1504 058.3 18,2 , 2 8 5 9.15 .5 2 ,3 0
/n P

8, 750 8 0 7/9.1504 058.3
18,2
2
1
= (n1)
(yi
. . 4
1/4 ,/5.402
B 08
x1 , . . . , xn
(0, )
= x(n)
15 1/ 058.3 180 , .5 8 0 3 + 0 500 0 8.,/ 78

x(n) <
8 020 ,20
8 020 ,20
.5 1 9.1504 058.3 18,2 ,

E[x(n) ] <
x(n)

!

(= * = 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
1 , Y2 , . . .
2,3 1 4.582.978.,/ .8 3 01/
1/4 Y020
120 1 0 ./581/ 05 , 8 0
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
=0
=1
,7+4 1
0 7504 1/
1+705 ,
1/4 1/4 1/ 4.582.978.,/ ,2 .
/, , 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 ,
j
ij
8 0 8 50 70/ 0 ,2 8 0 8 50 70/ 0 , 21/4,3
Y12.19+05
0 20 ./80205804
i

020
/4
./ 8 i 0 50 70/
0 , 3 01/5
Yi1 , Yi2, . . .
Yin = (Yi1 + +
Yin )/n

0 20 1+5, ./80205804 ./ 8 0 50 70/ 0
020

Zi1 , Zi2 , . . .
Z = n(Y )

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0 8 0
5
1/4
5
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Yin
Zin

!

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0 573 5, .0+45 8 0
0
8,2 2./8 ,78
. ,7 20 /,8 5720 18 .8 .5 020 ,20

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8 0 50 70/ 0 ,
5
0
Zin
2057+85 ,2 8 0 5 120
Yin

1/4 ,2 8 0

5 120
Zin

20 ./80205804 ./ 8 0 ,++, ./- 7058.,/5

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02 50 70/ 0 ,
5 ,2 i 5 ,/
02-0 .5

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0
8 0 ,/
02-0
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0 8 0 513 0 +.3 .8
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19,78 8 0 4.582.978.,/
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4.582.978.,/ , ,2 40 0/4 ,/
Yn
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n
5 8 020 1 +.3 .8./- 4.582.978.,/ 15

n
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203 1/5 02 7058.,/5 1/4 ,2 8 0 50 70/ 05 , 5 0 60/821+
Y

5
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Zi

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02
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Yi

Yi
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./ 201505 .8 ,78 +.3 .8 1/4 4,05 /,8 ,/
02-0
{Y i }
1, 2, 3, . . .
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02-0 4, 8 0 1
0 8 0 513 0 +.3 .8
50 70/ 05 , 5

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Yi

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,

50 70/ 05 ,/
02-0 8, 4. 020/8 +.3 .85
{Y i }

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02-0/ 0 0 2,919.+.8 , ,/
02-0/ 0
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02-0 +. 0

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0/ 3 ,20
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8 51 5
P[ lim Yn = ] = 1.
, 8 0 2,919.+.8 , -088./8 18 ,/
02-0 8, 5,3 08 ./-
50 70/ 05 57 15
,2
1, 1, 1, . . . 1, 1, 1, . . .

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0 1//,8 51 ./ -0/021+ 8 40 0/45

18 .5 8 0 4.582.978.,/ ,
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)
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
Zin (0, 1)
in
1 2, .3 180+ 78 , +12-0
5 ,7+4 90 9 0 ,20 Y20+
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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.,/
Yin
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
.01)
82 8 15 1(.39,
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)
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5 120 ./ .-720 5 8 0 513 +0 5. 0 ./ 201505
2,3
8, Yin 8 0 5 2,3 9 ,8 4.582.978.,/5 -08 +,502 8,
10
n = 270
Y
8 0.2 0n =0 804
1+70 , 18 5in8 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
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18 5 6,2,++12 18
8 0 40/5.8.05 -08 3 ,20
n
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,80 8 18 8 0 40/5.8 , 8 0
5 402.
04 2,3 8 0
4.582.978.,/ .5
Yin
+,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
Yin
(.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
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(.39, .01)
12 2,3 ,23 1+ 8, 9 0-./ .8 , 0
/0045 1 +12-02 8, 3 1 0 8 0
(.39, .01)
1 -,,4 1 2, .3 18.,/n
60/821+ .3 .8 0,203 ,2 . 0 8, 90
.-720 .5 ,2 8 0
5 8 5 8 0 513 0 15 .-720 0 0 8 8 18 01
Zin
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0 3 01/ 1/4
12.1/ 0
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02-./- 8,
(0, 1)
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0.2
0.4
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0.6
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0.8
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15
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25
30
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0.0
0.4
0.8
0.0
0.8
25
20
15
10
5
0
10
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25
30
n = 270
30
n = 90
0.4
0.0
0.4
0.8
0.0
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(0, 1)
(.39, .01)

Y1 , . . . , Yn

(, )

Y1 , . . . , Yn
(, )

Y1 , . . . , Yn

(, )

0.8
0.6
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0.0
0.2
0.4
0.6
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1.0
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0.6
0.4
0.2
0.0
0.0
0.2
0.4
0.6
0.8
1.0
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1.0
n = 90

Zin
(0, 1)
(.39, .01)

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Intro To Statistical Thought

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Intro To Statistical Thought

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3' '  %                            "3"

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 +  / / /  (  % & #&   {1, 2, $3, 4,% 5, 6} 

({1, 2}) = 1/3

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89  # &

P[Y < 60] =

P[Y = a] = lim P[Y [a, a + ]] = lim

. # - d/da P[X (a, b]] = f (a) 

0.0 0.4 0.8

$ & " /  

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 % 4   &  !!"   

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         2 3 !       1 !

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0.00 0.10 0.20

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$/ &  , /# - "& - ' /    # / - & / - " - '

Var(Y ) = E(Y 2 ) (EY )2

0.0 0.1 0.2 0.3 0.4

pX (x) = pY (log(x)) dy/dx = 1/x

Var(X) = E[(a + bY (a + b))2 ]

# &     # / - &/ - " - '

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

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

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

fX,Y (x, y) = fX (x) fY | X (y | x) = fY (y) fX | Y (x | y)

fU,T (0, 1) = (.7)(.1) = .07

fT (1) = .07 + .27 = .34

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

fT (0) = .63 + .03 = .66

fU,T (0, 0) = (.7)(.9) = .63

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