Professional Documents
Culture Documents
Formulario Estocasticos 1
Formulario Estocasticos 1
Distr Acumu Conj CDF 0 ≤ 𝐹𝑥𝑦 ≤ 1 Masa Prob Conjun PMF 0 ≤ 𝑝𝑋𝑌 ≤ 1 Prob Conjun Densidad PDF 𝑓𝑋𝑌 ≥ 0 Covarianza Correlacion
𝑥 𝑦
𝐹𝑋𝑌 (𝑥, 𝑦) = 𝑃(𝑋 ≤ 𝑥, 𝑌 ≤ 𝑦) = 𝑃(𝐴 ∩ 𝐵) 𝑑 2 𝐹𝑥𝑦 𝑚𝑘𝑛 = 𝐸(𝑋𝑘 𝑌 𝑛 )
∑ ∑ 𝑝𝑥𝑦 (𝑥𝑖 , 𝑦𝑗 ) = 1 ; 𝐹𝑋𝑌 𝑓𝑥𝑦 = 𝐹𝑥𝑦 = ∫ ∫ 𝑓𝑥𝑦 (𝜀, 𝑛)𝑑𝑛 𝑑𝜀
lim 𝑥 , 𝑦 → ∞ = 1; lim 𝑥𝑜𝑦 → −∞ = 0 𝑑𝑥 𝑑𝑦 −∞ −∞
𝑛
= ∑ ∑(𝑥𝑖 )𝑘 (𝑦𝑗 ) 𝑝𝑥𝑦 (𝑥𝑖 , 𝑦𝑗 )
𝑥𝑖 𝑦𝑗
𝑃(𝑥1 ≤ 𝑋 ≤ 𝑥2 , 𝑌 ≤ 𝑦) = 𝐹𝑋𝑌 (𝑥2 , 𝑦) ∬ 𝑓𝑥𝑦 (𝑥, 𝑦)𝑑𝑥𝑑𝑦 = 1
= ∑ ∑ 𝑝𝑥𝑦 (𝑥𝑖 , 𝑦𝑗 ) 𝑥𝑖 𝑦𝑗
− 𝐹𝑋𝑌 (𝑥1, 𝑦)
Si 𝑥1 ≤ 𝑥2 y 𝑦1 ≤ 𝑦2 𝑥𝑖 ≤𝑥 𝑦𝑗 ≤𝑦
𝑑 𝑏
= ∬ 𝑥 𝑘 𝑦 𝑛 𝑓𝑥𝑦 𝑑𝑥 𝑑𝑦
𝑃(𝑎 < 𝑥 ≤ 𝑏, 𝑐 ≤ 𝑦 < 𝑑) = ∫ ∫ 𝑓𝑥𝑦 𝑑𝑥 𝑑𝑦
𝐹𝑋𝑌 (𝑥2 , 𝑦2 ) − 𝐹𝑋𝑌 (𝑥1 , 𝑦2 ) − 𝐹𝑋𝑌 (𝑥2 , 𝑦1 ) 𝑝𝑥 (𝑥𝑖 ) = 𝑃(𝑋 = 𝑥𝑖 ) = 𝑦=∞
𝑐 𝑎
𝑚10 = 𝐸(𝑥) = 𝑢𝑥 , 𝑚01 = 𝐸(𝑦)
+ 𝐹𝑋𝑌 (𝑥1 , 𝑦1 ) ≥ 0 ∑𝑦𝑗 𝑝𝑋𝑌 (𝑥𝑖 , 𝑦𝑗 ) independiente 𝑝𝑋𝑌 (𝑥𝑖 , 𝑦𝑗 ) = Marginal 𝑓𝑥(𝑥) = ∫𝑦=−∞ 𝑓𝑥𝑦 𝑑𝑦
𝑢𝑥 = ∑ 𝑥𝑖 𝑝𝑥 (𝑥𝑖 ) = ∫ 𝑥𝑓𝑥 (𝑥)𝑑𝑥
lim 𝑦 → ∞𝐹𝑋𝑌 = 𝐹𝑋 (𝑥) 𝑝𝑥 (𝑥𝑖 ) ∗ 𝑝𝑦 (𝑦𝑖 )
𝑥𝑖
Corr 𝑚11 = 𝐸(𝑥𝑦) Covar= 𝐸[𝑥𝑦] − 𝐸(𝑥)𝐸(𝑦)
𝑐𝑜𝑣(𝑥,𝑦)
Coef de corr 𝜌(𝑥, 𝑦) = entre -1 y 1
𝛿𝑥 𝛿𝑦
Distrib Especiales PMF Condicional 0 ≤ 𝑝𝑌⁄𝑋 (𝑌𝑗⁄𝑋𝑖 ) ≤ 1 PDF Condicional 𝑓𝑌⁄𝑋 ≥ 0 Medias y Varianzas condicionales
𝑛! 𝑥 𝑥
𝑝𝑥𝑦 (𝑥𝑖 ,𝑦𝑗 ) 𝑓𝑥𝑦 (𝑥, 𝑦)
𝜌𝑥𝑛 = 𝜌 1𝜌 𝑘 𝑝𝑌⁄𝑋 (𝑦𝑗 ⁄𝑥𝑖 ) = 𝑓𝑌⁄𝑋 (𝑦⁄𝑥 ) = 𝑢𝑦⁄𝑥𝑖 = 𝐸(𝑦⁄𝑥𝑖 ) = ∑ 𝑦𝑗 𝜌𝑦⁄𝑥 (𝑦𝑗 ⁄𝑥𝑖 )
𝑥1 ! 𝑥2 ! 𝑥𝑘 ! 1 𝑘 𝑝𝑥 (𝑥𝑖 )
𝑓𝑥 (𝑥)
1 1 𝑝𝑌⁄𝑋 (𝑦𝑗 ⁄𝑥𝑖 ) = 𝑝𝑦 (𝑦𝑗 ) independientes ∞ 𝑦𝑗
𝑓𝑥𝑦 (𝑥, 𝑦) = 𝑒 −2𝑞(𝑥,𝑦) +∫−∞ 𝑓𝑌⁄𝑋 𝑑𝑦 = 1 𝑓𝑌⁄𝑋 (𝑦⁄𝑥 ) = 𝑓𝑦 (𝑦) 𝑣𝑎𝑟 = 𝐸(𝑦 2 ⁄𝑥𝑖 ) − [𝐸(𝑦⁄𝑥𝑖 )]2
2𝜋𝛿𝑥𝛿𝑦√(1 − 𝑝2)
𝑞(𝑥, 𝑦)
1 𝑥 − 𝑢𝑥 2 𝑥 − 𝑢𝑥 𝑦 − 𝑢𝑦
= [( ) − 2𝑝 ( )( )
1 − 𝑝2 𝛿𝑥 𝛿𝑥 𝛿𝑦
2
𝑦 − 𝑢𝑦
+ (( )) ]
𝛿𝑦
𝜕𝑞 𝜕𝑥
𝑜
𝜕𝑞
𝑜
𝜕𝑥 FUNCION GENERADORA DE MOMENTO
𝑓𝑧𝑤(𝑧, 𝑤) = 𝑓𝑥𝑦[𝑞(𝑧, 𝑤), 𝑟(𝑧, 𝑤)] |𝜕𝑧 𝜕𝑧 𝜕𝑤 𝜕𝑤 |
𝜕𝑟 𝜕𝑦 𝜕𝑟 𝜕𝑦 ∑∀𝑖 𝑝𝑥 (𝑥𝑖)𝑒 𝑡𝑥𝑖
𝑜 𝑜 𝑀𝑥 (𝑡) = 𝐸(𝑒 𝑡𝑥 ) = { ∞ ; 𝑀𝑘 (𝑡) = 𝐸(𝑥𝑘 ) = 𝑀𝑘𝑥 (0)
𝜕𝑧 𝜕𝑧 𝜕𝑤 𝜕𝑤 ∫−∞ 𝑒 𝑡𝑥 𝑓𝑥(𝑥)𝑑𝑥
𝑥 = 𝑞(𝑧, 𝑤), 𝑦 = 𝑟(𝑧, 𝑤)
𝑡2 𝑡𝑘
𝑀𝑥 (𝑡) = 1 + 𝑡𝐸(𝑥) + 𝐸(𝑥 2 ) + 𝐸(𝑥 𝑘 ) ; 𝑀𝑦 (𝑡) = 𝑒 𝑢𝑡 𝑀𝑥 (𝜎𝑡)
2! 𝑘!
MOMENTOS DE FUNCIONES
FUCION CARACTERISTICA
𝑒 −𝜆𝑡 (𝜆𝑡)𝑛
𝑃[𝑥(𝑡)] =
𝑛!
𝑒 −𝜆𝑠 (𝜆𝑠)𝑛
𝑃[𝑥(𝑠)] =
𝑛!
𝑒 −𝜆𝑠 (𝜆𝑠)𝑛
𝑃[𝑥(𝑡 + 𝑠) − 𝑥(𝑡)] =
𝑛!
𝑥(𝑡 + 𝑠) − 𝑥(𝑡) = 𝑛𝑢𝑚𝑒𝑟𝑜 𝑒𝑛𝑡𝑒𝑟𝑜
𝑠 = 𝑑𝑒𝑓𝑖𝑛𝑒 𝑙𝑎 𝑚𝑒𝑑𝑖𝑎
𝜆
𝑃(𝐵1 𝑎𝑛𝑡𝑒𝑠 𝐵2) =
𝜆+𝜇
𝜇
𝑃(𝐵2 𝑎𝑛𝑡𝑒𝑠 𝐵1) =
𝜆+𝜇
𝜎 2 (𝑡) = 𝑘𝑥 (𝑡, 𝑡)