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STA261 2020 Sample Formula Sheet Mid
STA261 2020 Sample Formula Sheet Mid
STA261 2020 Sample Formula Sheet Mid
1. Distributions:
Distribution pdf or pmf mean variance MGF
Bernoulli(✓) ✓x (1 ✓)1 x ✓ ✓(1 ✓) (1 ✓) + ✓et
m x
Binomial (m, ✓) x ✓ (1 ✓)m x
m✓ m✓(1 ✓) [(1 ✓) + ✓et ]m
x
e
Poisson( ) x! ⇢ tb exp[ (et 1)]
ta
(e e )/t(b a) , t 6= 0
Uniform[a, b] 1/(b a) (a + b)/2 (b a)2 /12
1 ,t = 0
Normal (µ, 2 ) (2⇡ 2
) 1/2
exp[ 2 1 2 (x µ)2 ] µ 2
exp[µt + 2 t2 /2]
Exponential( ) e x 1/ 1/ 2 (1 t/ ) 1
1 x
Exponential(✓) ✓e
✓ ✓ ✓2 (1 t✓) 1
↵
↵ 1
Gamma(↵, ) (↵) x e x ↵/ ↵/ 2 (1 t/ ) ↵ , t <
(a+b) a 1 ab
P1 ⇣Qk 1 ↵+r ⌘ tk
Beta(a, b) (a) (b) x (1 x)b 1
a/(a + b) (a+b)2 (a+b+1) 1 + k=1 r=0 ↵+ +r k!
1
P P D 2
2
(m) /m (n 1)S 2
2. LLN: Xi ! E[Xi ]; CLT: X̄n ! N (µ, n ); q 2Z
n i ⇠ t(m) ; 2 /n ⇠ F(m,n) ; 2 ⇠ 2
(n 1)
(m)
/m (n)
P
3. Method of Moments: n1 i Xik is an estimator of E[X k ]
ˆ l0 (✓) = 0
• At mle (✓),
2
@ @
• Fisher Info for single obs, I(✓0 ) = E[{ @✓ logf (X|✓) ✓=✓0
}2 ] = E[ @✓ 2 logf (X|✓)
✓=✓0
]
2
@ @
• Fisher info for n obs, nI(✓0 ) = E[{ @✓ logf (X1 , X2 , ..., Xn |✓) ✓=✓0
}2 ] = E[ @✓ 2 logf (X1 , X2 , ..., Xn |✓)
✓=✓0
]
D P D
• l0 (✓0 ) ! N (0, nI(✓0 )) ; 1 00
n l (✓0 ) ! I(✓0 ); ✓ˆ ! N (✓0 , nI(✓
1
0)
)
2
ˆ =
• Plug-in est. of Fisher Info, nI(✓) @
E[ @✓ 2 logf (X1 , X2 , ..., Xn |✓)]
✓=✓ˆ
V [T2 ] 1
5. Bias[T ] = E[T ] ✓; M SE[T ] = V ar[T ] + (Bias[T ])2 ; ef f [T1 , T2 ] = V [T1 ] ; C-R Inequality: V [T ] nI(✓0 )
P
6. Consistency in probability, Tn ! ✓ as n ! 1
7. Factorization theorem: T (X1 , X2 , ...Xn ) is said to be sufficient for ✓ if the joint probability function
factors in the form, f (x1 , x2 , ...xn |✓) = g[T (x1 , x2 , ...xn ), ✓] ⇤ h(x1 , x2 , ...xn )
7. Some quantiles from z, t and 2 table: these following numbers are just for giving you an idea how the
table values might look like. The actual quantiles that will be provided to during your test will be di↵erent.
e.g instead of z0.95 you might see z0.9