Statístics II – Degrees in Economics and Management

FORMULAE SHEET for STATISTICS II

 EXPECTED VALUE, MOMENTS AND PARAMETERS
Var( X )  E  X     E ( X 2 )   2
2
-

Cov( X , Y )  E X   X Y   Y   E ( XY )  E ( X ) E (Y ) ;  X ,Y 

Cov( X , Y )
-
 XY
- E aX  bY   aE  X   bE Y  ; VaraX  bY   a Var X   b VarY   2abCovX, Y  where a, b constants
2 2

 THEORETICAL DISTRIBUTIONS
 UNIFORM (DISCRETE)
1 n 1 n2 1
- Case x  1, 2,..., n : f ( x)  ; E( X )  ; Var ( X ) 
n 2 12
1 m m(m  2)
- Case x  0,1, 2,..., m : f ( x)  ; E ( X )  ; Var( X ) 
m 1 2 12
 BERNOULLI X ~ B1, 
f ( x |  )   x (1   )1 x , x  0,1 (0    1) ; E ( X )   ; Var( X )   (1   )
 BINOMIAL X ~ Bn, 
n
f ( x |  )     x (1   ) n  x , x  0,1, 2, ..., n, (0    1) ;
 x
E ( X )  n ; Var ( X )  n (1   ) ;   
n
, n known
 1   
Properties:
- X ~ B(n,  )  (n  X ) ~ B(n,1   )

 
k k
- X i ~ B(ni ,  ), independent (i  1,2,..., k )  X i ~ B(n,  ), n  ni
i 1 i 1

 POISSON X ~ Po 
e  x
, x  0,1,2,..., (  0) ; E (X )   ; Var( X )   ;   
1
f (x | ) 
x! 
Proprerties:
- X i ~ Po(i ) independent (i  1,2,..., k )  X  
k
i 1
X i ~ Po    k
i 1 i

- X ~ B(n, ) with large n and small  , then X ~ Pon 

a

 UNIFORM (CONTINUOUS) X ~ U ,  

1   (   ) 2
f (x |  ,  )    x   ; E( X )  ; Var( X ) 
  2 12
 NORMAL X ~ N (  ,  2 )
1  1 
f (x | , 2 )  exp ( x   ) 2 ,    x  ,      , 0     ;
2 2  2 2


E ( X )   ; Var( X )   2 ;    2 (σ2 known);   2  4 (µ known)


1 1
2
 
Properties:
X 
- Standard Normal Z  ~ N (0,1) ;  ( z )   ( z ) ; ( z )  1  ( z )


- X i ~ N (  ,  2 ) independent (i  1,2,..., n)  Y  
n
i 1

X i ~ N n , n 2 ; X   1

i 1
n
X i ~ N
 2
 ,




n  n 
- X i ~ N (  i ,  i2 ) independent (i  1,2,..., k )  Y  
k
i 1
 
 i X i ~ N Y ,  Y2 ; Y  i 1 i  i ;  Y2  i 1 i2 i2
k k

1
 EXPONENTIAL X ~ Ex( ); X ~ Ex( )  X ~ G 1,  

x  0,   0; F ( x |  )  1  e  x ; E ( X )  ; Var( X )  2 ;    2
1 1 1
f ( x |  )   e  x
  
Properties:

 X i ~ Gk ;   and min X i ~ Ex (k )

k
- X i ~ Ex( ) independent (i  1,2,..., k ) 
i 1 i

 GAMMA X ~ G ( ,  )
(  0) where ( )  (  1)(  1),   1 ; (n)  (n  1)! ;  12   

Gamma function: ( )   e  x x 1dx
0

 e  x x  1   
f (x |  , )  , x  0,  ,   0 ; E ( X )  ; Var( X )  2 ;    2  known
( )   
Properties:

 X i ~ G ,   ;   
k k
- X i ~ G ( i ,  ), (i  1,2,..., k ) independent  i 1
i
i 1
 
- X ~ G ( ,  )  cX ~ G  ,  c  0 constant
 c

 CHI-SQUARE X ~  2 (n)
x n
 1
2
e x2
f ( x | n)  n
, x  0, n  0 (integer) ; E ( X )  n ; Var( X )  2n ;
n
2 2  
2
Properties:
n 1
- X ~  2 ( n)  X ~ G  , 
2 2
a
- 2  2 (n)  2n  1 ~ N (0,1)
- X ~ G (n;  )  2X ~  2 (2n)

 X i ~  2 n  , n   ik1 ni
k
- X i ~  2 (ni ), independent (i  1,2,..., k ) 
i 1

independent (i  1,2,..., k )  
n
- X i ~ N (0,1) X i2 ~  2 (n) ; X ~ N (0,1)  X 2 ~  2 (1)
i 1

 “STUDENT”-t T ~ t ( n)
U n
T ~ t (n) where U ~ N (0,1) and V ~  2 (n) (independent); E (T )  0 ; Var(T )  (n  2)
V n n2

 F-SNEDCOR X ~ F (m, n)
U /m
F ~ F (m, n) where U ~  2 (m) , V ~  2 (n) (independent)
V n

n 2n 2 (m  n  2)
E( X )  (n  2) ; Var( X )  ( n  4)
n2 m ( n  2 ) 2 ( n  4)
1
Properties: - X ~ F (m, n)  ~ F (n, m) - T ~ t (n)  T 2 ~ F (1, n)
X

2
 CENTRAL LIMIT THEOREM AND COROLLARIES

n
X i  n X  a
X i iid, with E ( X i )   and Var ( X i )   2
 i 1
 ~ N (0,1)
n  n


n
X i  n a
Corollary: X i ~ B(1; ) , independent, then i 1
~ N (0,1)
n (1   )
 b  1  n   
   a  2  n  with integer a and b
1
Continuity correction: P(a  X  b)   2
 n (1   )   n (1   ) 
   
X  a
Corollary: X ~ Po( )  ~ N (0,1) , when   

 b  12     a  12   
Continuity correction: P(a  X  b)      
     

 SAMPLING THEORY. SAMPLING DISTRIBUTIONS

 SAMPLE MEAN (AVERAGE) AND VARIANCE
2 n 1 2
 
1 n 1 n n
X  X i ; S2  X i2  X 2 ; S  2  S 2 ; E (X )   ; Var ( X )  ; E (S 2 )   ; E (S 2 )   2
n i 1
n i 1
n 1 n n

 SAMPLING DISTRIBUTIONS
NORMAL POPULATIONS
X  X 
~ N (0,1) ~ t (n  1)
Mean  n S n
Known variances
( X 1  X 2 )  ( 1   2 )
~ N 0,1
 12  22

m n
Means difference Unknown but equal variances
X 1  X 2  ( 1   2 )
T ~ t (m  n  2)
1 1 (m  1) S1 2  (n  1) S 2 2

m n mn2
nS 2 (n  1) S  2
Variance  ~  2 (n  1)
 2
2
S1 2  22 S 2 2  12
Variance ratio ~ F (m  1, n  1) or ~ F (n  1, m  1)
S 2 2  12 S1 2  22
Z   X  Y
Paired samples ~ t (n  1) ,
S Z n
( X i , Yi ) - paired sample, Z i  X i  Yi ; Z  X Y

LARGE SAMPLES: GENERAL CASE

X  a X  a
Mean ~ N (0,1) ~ N (0,1)
 n S/ n
( X 1  X 2 )  ( 1   2 ) ( X 1  X 2 )  ( 1   2 )
~ N 0,1
a a
Means ~ N (0,1)
 12  22 S1'2 S 2'2
difference  
m n m n

3
 LARGE SAMPLES: BERNOULLI POPULATIONS
X  a X  a
~ N (0,1) ~ N (0,1)
Proportion  (1   ) X (1  X )
n n
X 1  X 2  (1   2 ) a X 1  X 2  (1   2 ) a
Difference of ~ N (0,1) ~ N (0,1)
1 (1  1 )  2 (1   2 ) X 1 (1  X 1 ) X 2 (1  X 2 )
proportions  
m n m n

X1  X 2 mX 1  nX 2
where ˆ 
a
Equality of ~ N (0,1)
 1 1ˆ
mn
proportions    (1  ˆ)
m n

LARGE SAMPLES: POISSON POPULATIONS

X  a X  a
~ N (0,1) ~ N (0,1)
Mean  X
n n
X 1  X 2  (1  2 ) a X 1  X 2  (1  2 ) a
Means ~ N (0,1) ~ N (0,1)
1 2 X1 X 2
difference  
m n m n
X1  X 2 mX 1  nX 2
where X 
a
Equality of ~ N (0,1)
 1 1
mn
means   X
m n

 CDF OF SAMPLE MINIMUM AND MAXIMUM

G1 ( x)  1  1  F ( x) n ; G n ( x)  F ( x) n

  2 TEST-STATISTIC

 GOODNESS-OF-FIT TEST
m ( N j  fe j ) 2

a
Q ~  2 (m  1) ; fe j  np j - expected frequency for class j ;
j 1 fe j
a
When k parameters are estimated to obtain pˆ  j , then: Q ~  2 (m  k  1)

 INDEPENDENCE TEST:
r s ( N ij  feij ) 2 N i N  j

a
Q ~  2 ((r  1)( s  1)) ; feij  - expected frequency for class ij
i 1 j 1 feij n

4
 LINEAR REGRESSION MODEL (LRM)
yi   0  1 xi1  ...   k xik  ui , i  1,2,..., n  yi  x i β  ui , i  1,2,..., n  y  Xβ  u

 OLS (ordinary least squares estimator)

General case Special case: yi   0  1 xi  ui
βˆ  ( X X) X y
T 1 T
ˆ0  y  ˆ1 x
ˆ 2  xi2
yˆ i  ˆ0  ˆ1 xi1  ...  ˆ k xik Vˆar ( ˆ0 | X ) 
n (x i  x)2

uˆi  yi  yˆ i
ˆ1 
(x  x) y
i i

 uˆ 2 (x  x) i
2

ˆ 2 
i

(n  k  1) ˆ 2
Vˆar ( ˆ1 | X) 
(x i  x)2
Vˆar ( ˆ | X)  ˆ 2 ( XT X) 1

Vˆar ( ˆ j | X) 
ˆ 2
ˆ 2 
 uˆ 2
i

SST j (1  R 2j ) n2


n
Note: R 2j - R 2 from the regression of x j on all remaining regressors; SST j  i 1
( xij  x j ) 2 .

Properties:


n
1. i 1 i
uˆ  0 (model with intercept)


n
2. x uˆ  0 ( j  1,2,..., k ) ;
i 1 ij i


n
3. yˆ uˆ  0
i 1 i i
;

  
n n n
4. i 1
yi2  i 1
yˆ i2  uˆ
2
i 1 i
(model with intercept)

R2 coefficient:

R  2
 ( y i i  y )( yˆ i  yˆ ) 
2

 ry2, yˆ where ry , yˆ is the correlation coefficient between y and ŷ

 i
( yi  y ) 2  i
( yˆ i  yˆ ) 2

R2 coefficient in the model with intercept:

  
n n n
SST  SSE  SSR ; SST  i 1
( yi  y ) 2 ; SSE  i 1
( yˆ i  y ) 2 ; SSR  uˆ
2
i 1 i
SSE SSR SSR /( n  k  1) n 1
R2  1 ; R 2 1  1  (1  R 2 ) .
SST SST SST /( n  1) n  k 1

 STATISTICAL INFERENCE IN THE LRM:

 y i ~ N (x i β,  2 ) ; u ~ N (0, 2 )
 
ˆ j ~ N  j , Var ( ˆ j ) 

n
uˆ (n  k  1)ˆ 2
2

 i 1 i
 ~  2 (n  k  1)
 2
 2

 tj 
ˆ j   j
~ t (n  k  1) or F j  t j2

ˆ j
j 
2

~ F (1, n  k  1)
se( ˆ ) j se( ˆ ) 2 j

5
Special cases:

H0 :  j  0 H 0 :  j   0j
ˆ j ˆ j   0j
tj  ~ t (n  k  1) tj  ~ t (n  k  1)
se( ˆ j ) se( ˆ j )

 Test of q linear restrictions on the regression coefficients, H 0 : Rβ  r ,

SSRr  SSRur n  k  1
F  ~ F (q, n  k  1)
SSRur q
Note: SSRr = sum of squared residuals for the restricted model (imposing the q linear restrictions);
SSRur = sum of squared residuals for the unrestricted model.

Special cases
 One restriction (q=1) H 0 : Rβ  r  H 0 :   0 where   Rβ  r ,
Rβˆ  r ˆ
t ~ t (n  k  1) or t  ~ t (n  k  1) , where ˆ  Rβˆ  r
Var Rβˆ   se(ˆ)

 Test of zero slopes

R2 n  k 1
F  ~ F (k , n  k  1)
1 R 2
k

 Test for joint significance of q regressors

SSRr  SSRur n  k  1
F  ~ F (q, n  k  1) or
SSRur q

Rur2  Rr2 n  k 1
F  ~ F (q, n  k  1)
1  Rur
2
q
Note: Rr2 = R2 coefficient for the restricted model
R ur2 = R2 coefficient for the unrestricted model