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MAT 385 Final Review
MAT 385 Final Review
Random Variables
Integration Expectation
Limit Theorems Part I
Inequalities
Bounds
Convergence
IE in.EE eetetion
Martingales
Poisson Processes
Gaussian Processes Port 4
Brownian Motion
PART 1
Random Variables
A function f R F S S if YA es
f A wer flu EA E F
X X2 X X2 Xi cos X2
ex exp
CDF of X is Fx x IP X EX
i increasing
o
ioFixs
II sÉtftp.ii.is
F x
Mix Fly
iv left limits
Fix Jim Fly IP X X
X X it
X X ere identically distributed
IP VFA IP X'EA YA
IP L 10g u ey
Ey ie t I tell
Pl u z e s
Ey l e
d
e'd
E IX XLW dip
Almost sure convergence
X n x a s as he is if
IPL X xn x X x 1 0
then E Xn E x a s as non
E Xn E x as
E X E X
IP AMB PLA IP B
IP IP Ai
A Ai I
IP ARB
Conditional Probability P a 1B For PIB O
IPFB
EL Xi IIE Xi
Covariance Cov Xi X2 E X X E x E X2
if X I Xz Cov Xi X27 0
if 2
JI Xi then
cov X X var x
Var É Xi
É VarCXi
Symmetry is cool
Cov X y
Corry y E El I
Van X Vary
Inequalities and Limit theorems
ELY la
IPL XI al e
Chebyshev's Inequality
e
El x'd an
IP IX e a
IP IX E Lx Salvat E la
PI IX Ml 2 as e Ye things are
somewhat concentrate
around men
rel to o
Chernoff Bound
can choose a
P S s p 8 n I exp na xp S
I 82
exp
Convergence
Almost sure Convergence of an event
Xu X a e if IP w Xn w X w
Is
Probability to a constant
Convergence in
nth Xn X if HE so IP I Xn X1 e o
Convergence in hp
IIb Xn X in Lp if I Xn X p o as non
I xn
y
as new
in probability and in
LI
Law of Large Numbers
Strong
Infinitely often
An occurs is if
É And of
Then Xu X a s HE IP Ellyn x1 E io
Borel Cantelli
a For Al Az
É IP A a o Plan i o o
bl If An are independent
If PLA D IP An i o
I Xn M as as new
PART 2
IN
I
ont as no
im
In r
Xn X
Convergence in Distribution weak Convergence
it Fx X VX er
x
I Fx
Xu X Xn s x
Normal Distribution N
1,6
202
if
x exp x p
X
For N
mp3
EEx M Vart X 02
Triangular Arrays Suppose Xnin Xyz Xn.mn e
independent RVs with
are sequences of men 0
It
is EI El Xii
Ii Lindeberg's Condition HE O
EY E Xn 11 Xml e o
then
IT xn Nco i es a
Markov chains
IP Xu an I Xo Go X an Xn i an a
P Xn an I Xn an Markov Property
Transition matrix is a stochastic matrix if
FX Pxy I
I
For all n I
P
xy
Recurrent it
IP In I Xu x I Xo x 1
II IP Xu x IX x n
else transient
A Mc is irreducible if ti In
IP Xn j 1 Xo so
ie its
it left eigenvector st
has
up
a
n p
1 1 d o ti If P is irreducible
µ Mi
unique and o
then is Mi
ye
A station XE A is aperiodic if
If Xn is ergodic IN st Pig 0 Fn IN
Xu ergodic then Xn I T
If is
I I lack
r K
Markov chain MonteCarlo
I fix
Ey fay ly
A MC is reversible if
Xo Xi Xn I Xn Xn i Xo
so X n I Xo so Xo It is a stationary distribution
TxPxy Ty Pyx
It satisfies DBE is reversible then it is stationary
PART 3
Conditional Expectation
E x a PLI
EIXITY y
417 E x yay IP Y y
EE t b E Ly Iz
i E fax by 2 a z
ii EL E X ly E TX Tower
in x y EIXIY EIX
Taking G 0 of
E LEIX G ELX
Branching Processes
Martingales
also E L EL Xt I Fs E Xt EL Xs
E Yn Fn Yu
because intuition
If US Ct
EL Xt I Fs E Xs supermartingale
E Xt I Fs I Xs submentingale
sub
A martingale is both a super
martingale
If Xn is a
martingale and U Xn is convex then
4 Xu is a
martingale
sup EL Xi then
and so
martingale or super
Xn X a s boundedness
criteria
and E fix I is min Xt o
for subm it is
sup E Xt
Xn X are
Stopping Times
We say N I 0 is a stopping time wht a filtration
In if Yn N En E Fn
If Xn in a martingale TFA E
i Xn are UI
ii Xn X a s
iii F XE L St E X Fn Xn
Optional stopping Theorem
If Xu is a UI super sub martingale N is
EL Xn I Fn Xnam
2 for sub
and E
E X Xo
and Xn E
Xna 1,0
measure N St
i NCA n Pais Xian
Ii disjoint then N Ai
It A 172 Ak
independent
T v exp X
M
A Xcx ax
NCA NPois GCA
If Ai disjoint measurable sets N Ai indep
PARTI
Gaussian Processes
called a Gaussian Process
A collection I Xi Jian is
Es ai Xi Normal
n
Nd
unique Gaussian vector distribution
G V
Yn r
St for
Nag
Yi
p
Cov Yi Yj Vi
i e Gaussian Vectors are uniquely determined by
their mean and their co variance matrix
Brownian Motion
B r c o o such that
i B t is a Gaussian Process
ii B o o E Blt O OVCBs By EAS
iii By is continuous
ii Bct is a Martingale
iii symmetric
iv fractal
V Non differentiable everywhere
IPL INCO I 2 YE
IPL T et
almost surely
IP 7m21 Xm o IX n 07
I
IP Fm 21 Xm KI Xu K
I
sina.fr rrancewe
just need to cheek recurrence of 1 state
because if I state is recurrent then
É IP Xn I IX
a more restrictive
I Xn i eventoe always
I IP Xn i
staying at
P Binom K t I
n
Y E I I
O K I
I l ta an
so I is reccurent Xn on 1 2
K l is reccurent Thus T a a s