Statistics Note, UT Dallas

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approaches to statistical inference @ UTD of professor Wiorkowski:

first session
Meisam Hejazinia

1/16/2013

Each week you will have assignment, and will be


due next week. Assignments would be combination In the real world we do not have to prove axioms
of theory and application. You need to do display as true or false, and people make decision under
and look at graphs, and you can use MATLAB or uncertainty.
SAS or any other application.
Illustration will be done in the class in excel. There would be chance of saying things are
Mathematica is good, since it does symbolic manip- percentage right or false.
ulation could be done within.
Essense of working in statistics is a concept of
Text is very good, and you can use it in future as random variable, which is an unknown quantity,
well. which takes on various values (could be infinite) with
It is very non-intuitive in its derivation, but are not fixed probabilities.
insightful.
Multivariate distribution is not included, but it is Discrete x1 , x2 , , xn so that ∃x between xi , xj such
important. that p(x) = 0.
We will spend some idea about logic and idea behind
them, and use some math, but we will not put so p(x1 ), p(x2 ), , p(xn )
much time in proving theorem.
Goal here is to cover many topics with enough depth. p(xi ) ≥ 0 and
P
i p(xi ) = 1 and bionomial
Assignment means look at what you did and tell distribution or poisson distribution.
what it means. In other word it means what is
practical implication.
Continuous analog f (x) associated with x is called
probability density function f (t) that f (t) ≥ 0, and
Statistics will use math, but is different from math the interval will have R ∞ f (x)dx = 1
−∞
in the sense that math tries to come up with answer,
and say answer is. p(x) = 0

Here we give up on that here. Gambling initiated probability principles.

Real life straightlines are not really line, and are Statistics came from biological sciences, as op-
points around the line, and have variability. posed to physics and chemistry. Physicians did not
deal with uncertainty, and engineers as well, and
Statistics are estimating real world. that was why statistics did not stemed from them.

1
When it is pulled out on right or left is skewed.
In bilogy you have organizations that behave by
themselves and do not take care of other people The third one is kurtosis, which talkes about
concerns. They were independent and uncorrelated. symmetry of the distribution.

Normal distribution came from bilogy, since Platocurtic is when you push the bull from up,
normally independent creature behaved. they have heavier tails.

In business and economics it is not really normal, When it is higher than normal and push from two
since it is based on people and people care about sides, it would become laptocurtic.
what other people do.
Bimodal is combination of two normal and has
In physics you had errors, and that could have two picks, for man and woman intersection of curves.
been normal.
Median is numerical value separating the higher
In the business word usually the curves are skewed. half of a sample.
R ∞Expectation is the P expected value E(h(x)) =

Tails are heavier than normal distribution, and the −∞ h(x)f (x)d(x) and −∞ h(x)p(x)
economic problems are stemmed from this important
matter. Momement of distribution:
R∞
Continuous and discrete are interchangable. αx = −∞
xα f (x)dx = E(xα )

in discrete p(x ≤ a) 6= p(x < a) while in the Momement at zero:


continuous p(x ≤ a) = p(x < a) R∞
E(x) = α1 = −∞ xf (x)dx = µ
Ra ∞
E(x2 ) = α2 = −∞ x2 f (x)dx = σ 2 + µ2
R
F (a) = P (x ≤ a) = −∞
f (x)dx
var(t) = σ 2 = E(x2 ) − E 2 (x)
is called cumulative distribution function.
Pm k k
µn = k=0 (−1) C(m, k)α1 αn−k
p(a ≤ x ≤ b) = F (b) − F (a)
µ2 = α2 − α12
Human mind bilogicially can not differentiate µ3 = α3 − 3α1 α2 + 2α13
between S curves, and therefore they look at the
probability density functions. µ4 = α4 − 4α1 α3 + 6α12 α2 − 3α14

d Standard normal
p.d.f. would be dx F (x) R ∞ (0,1) f (x) =
µ = E(x) = −∞ f (x)dx = −f (x) = 0 − 0 = 0
parameters of the distribution R∞ R∞
E(xn ) = −∞ xn f (x)dx = −xn−1 f (x) + −∞ (n −
Location gives you the state of the parameter. 1)xn−2 f (x)dx = 0

Then you have scale of distribution and one is This is key feature of normal distribution. There-
wider and one is higher. It is like water baloon. fore:

2
R∞
E(xk ) = (k − 1)E(xk−2 ) for normal distribution −∞
|φf (t)|2 dt < ∞)

For standard normal distribution mean is zero and This is called Characteristic function
variance is 1.
φf (t) = Ef (cos(tx)) + iEf (sin(tx))
Thefore normal distirbution will have:
∂n n
αk = ∂tn φf (t)/i
αk = (k − 1)αk−2
Standard notation:
α1 = 0
R∞ 1 2
E(eitx ) = √1 eitx− 2 x dx
−∞ 2π
α2 = 1
2
E(eitx ) = e−t /2

α3 = 0
For the imaginery number the vertical axis would
α4 = 3 be i, and the horizontal axis would be x which is real
number.
For normal measure of location is µ, our measure
of scale is σ 2 We are integrating with respect to x, and this
helps us to derieve this.
our measure of skewness is:
Kurtosis would be µµ42 = γ2 = 3 y = µ + σx
2

etx = g(x, t) E(eity ) = E(etµ+tσx ) = etµ Ex (etσx ) =


2 2
e φx (σt) = etµ−1/2σ t

∂g
∂t = xetx
We will take derivitive of different distribution
E(etx ) = moment generating function and take a look at what their characteristic function
P∞ k
= 1 + k=1 αk tk! are. Characteristic function uniquely determines the
distribution function.
MGF is not necessarily unique.
Discrete distribution function:
if you can not define a neighborhood raound t = 0
PProbability Generating Function G(t) = E(tα ) =
2 ∞ x
f1 (x) = √1 e−(ln x) /2 x=0 p(x)z

E(
f2 (x) = f1 (x)(1 + sin(2πLn(x))) G0 (1) = µ
G00 (1) = E(x(x − 1))
x!
Above two have the same moment generating G(n) (1) = E( (x−k)! )
function.
√ a ) χ2 distribution
itx
Suprisingly E(e ) = φf (t) i = −1 is unique Let x1 , z2 , ...zt be independent identically distribute
defined at t = 0 N(0,1) random variable

3
they would be i.i.d. , N (0, 1) v ∼ χ2p1 and w ∼ χ2p2
Pp 2 v/p1 p2 v
y= i=1 zi
x= w/p2 = p1 w

let’s start with normal distribution x ∼ F (p1 , p2 ) Fisher distribution.


(p1 /p2 )p1 /2 (p1 /p2 )−1 p1 p1 +p2

Then y is distributed as the χ2p distribution which p(x) = B(p1 /2,p2 /2) x (1 + p2 x)
2

means χ2 with p level of freedom R1


B(x, y) = 0
tx−1 (1 − t)y−1 dt
1
f (y) = 2p/2 Γ(p/2)
ey/2 y (p/2)−1 , y >0  k
d2 Γ(d1 2+k) Γ(d2 2−k)
−p µX (k) =
φx0p (t) = (1 − 2it) 2 d1 Γ(d1 2) Γ(d2 2)
E(y) = p
Wikipedia is great source for these distributions.
var(y) = 2pq
Skew(y) = p8 Bionomial distribution:
q
γ1 = 2 p2 (2p)
a) variable with 2 possible outcomes (two possi-
=1 p2
ble outcomes) which generically called success failure

We will have right skewd distribution. b) conduct n-independent trails one trial is inde-
pendent of another.
As p starts to get large this coefficient will go to
zero. c) probability of success is constant (p) from trial
to tiral
This will start to look like bell shape.
x = # of successes in trials.
This means that the skewness will go away.
p(x) = nk pk (1 − p)n−k φ(x) = (1 − p + peit )x


The idea is to increase the number of models you µ1 = np


have, so that the data would fit them. µ2 = np(1 − p)
γ1 = √ 1−2p →x→∞ 0
np(1−p)
Let z1 , z2 , .., zk would be i.i.d N (0, 1) .
γ2 = 3 + 1−6p(1−p)
np(1−p) →
x→∞
3
x ∼ N (0, 1) n = 1000, p = 12
p(x ≤ 510) = p(x ≤ 510.5)
x ∼ N (0, 1) would be i.i.d and would be indepen- Continuous connotation:
dent. p(x < 510) = p(x ≤ 509.5)
√ p(x = 510) = p(x ≤ 510.5) − p(x ≤ 509.5)
x n
t = pPn ∼ this is called t distirbution.
zi2
i=1
Poisson distribution.
Γ((P +1)/2) t2 −(p+1)/2
f (t) = √
pπΓ(p/2) (1 + p)
It means fish:
After 30 samples you can not distinguish between
result and the degree of distribution. What happens for bionomial for large n

4
Suppose that we bound in np

Let p get small, and n increases, and have np


constant
−λ n
p(x) = e n!λ x = 0, 1, 2, , ∞
φ(t) = ex(it−1)
µ1 = λ
µ2 = λ is not good since you need some flexibility
γ1 = √1λ as λ → ∞
λ2 = 3 + λ1 as λ∞ and γ2 → 0

you can approximate poisson distribution with


normal distribution.

Another way to define poisson is canonical defini-


tion:

Values occure or don’t occured as 0, 1 in small


intervals

assume probability of occurance is λdt in the small


interval

Value occures or don’t occured as 0, 1 in small


intervals
t
p0 (t) = (1 − λdt) dt
We can control dt, and make it smaller
t
p0 (t) = limdt→0 (1 − λdt) dt
dt = Nt
−λt
⇒= limN → (1 − λt N
N) =e

PN (t + dt) = PN (t)P0 (dt) + PN −1 P1 dt =


PN (t)(1 − λdt) + pN −1 (t)λdt
⇒ pn (t + dt) = p(t) − λpn (t)dt + pn−c (t)λdt
pn (t + λt) − p(t) = λpn (t)dt + pn−1 (t)λdt
⇒ Pn (t+dt)−p(t)
dt = −λpn (t) + λpn−1 (t) =
−λ[pn−1 (t) − pn (t)] = dpnt (t)
⇒ Differential equation
e−λt (λt)n )
pn (t) = n!

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Meco 6315

For the following data, use Log Linear Model techniques to determine if
political party affiliation is related'@.

/->=--*==-- f.)
( Male (k = 1)-'. 6'ft.*. vri
-.-*----- tt \o te-

Ethnicity
Anglo Hisp Black
(i=1) (j=2) (j=3)

Dem (i= N 56 87 183

lnd (i = 2) 2L 23 L4 58

Rep (i = 62 41 38 LAt

Female (k = 2) i
Ethnicity
Anglo Hisp Black
fi=1) (j=2) (j=3)

Dem (i 51 56 98 2L5

tnd (i = 2) 24 18 TL 53

Rep (i = 39 27 2L 87

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