The document provides information on probability concepts including:
- Definitions of probability, conditional probability, independence, expectation, variance, and distributions.
- Common discrete distributions like binomial and Poisson as well as continuous distributions like uniform, exponential, and normal.
- Methods for calculating probabilities of events, random variables, and distributions.
- Concepts involving multiple random variables including covariance, correlation, and independence.
The document provides information on probability concepts including:
- Definitions of probability, conditional probability, independence, expectation, variance, and distributions.
- Common discrete distributions like binomial and Poisson as well as continuous distributions like uniform, exponential, and normal.
- Methods for calculating probabilities of events, random variables, and distributions.
- Concepts involving multiple random variables including covariance, correlation, and independence.
The document provides information on probability concepts including:
- Definitions of probability, conditional probability, independence, expectation, variance, and distributions.
- Common discrete distributions like binomial and Poisson as well as continuous distributions like uniform, exponential, and normal.
- Methods for calculating probabilities of events, random variables, and distributions.
- Concepts involving multiple random variables including covariance, correlation, and independence.
The document provides information on probability concepts including:
- Definitions of probability, conditional probability, independence, expectation, variance, and distributions.
- Common discrete distributions like binomial and Poisson as well as continuous distributions like uniform, exponential, and normal.
- Methods for calculating probabilities of events, random variables, and distributions.
- Concepts involving multiple random variables including covariance, correlation, and independence.
Reliability For a device in continuous operation with failure time random variable T having pdf f (t) (t > 0)
7.
The reliability function at time t
R(t)
= P (T > t)
The failure rate or hazard function
h(t)
= f (t)/R(t)
The cumulative hazard
H(t)
The Weibull(, ) distribution has
H(t)
Z t 0
h(t0 ) dt0 =
ln{R(t)}
= t
System reliability For a system of k devices, which operate independently, let Ri = P (Di ) = P (device i operates) The system reliability, R, is the probability of a path of operating devices A system of devices in series operates only if every device operates R = P (D1 D2 Dk ) = R1 R2 Rk A system of devices in parallel operates if any device operates R = P (D1 D2 Dk ) = 1 (1 R1 )(1 R2 ) (1 Rk )
8.
Covariance and correlation
The covariance of X and Y
cov (X, Y ) = E(XY ) {E(X)}{E(Y )}
From pairs of observations (x1 , y1 ), . . . , (xn , yn )
Sxy =
X k
Sxx =
X k
9.
x2k
1 ( n
xi )2 ,
Syy =
X k
1 Sxy n1
yk2
Sample covariance
sxy =
Correlation coefficient
= corr (X, Y ) =
Sample correlation coefficient
Sxy Sxx Syy
xk yk
X 1 X ( xi )( yj ) n i j
1 X 2 ( yj ) n j
estimates cov (X, Y )
cov (X, Y ) sd (X) sd (Y )
estimates
Sums of random variables
E(X + Y ) = E(X) + E(Y ) var (X + Y ) = var (X) + var (Y ) + 2 cov (X, Y ) cov (aX + bY, cX + dY ) = (ac) var (X) + (bd) var (Y ) + (ad + bc) cov (X, Y ) If X is N (1 , 12 ), Y is N (2 , 22 ), and cov (X, Y ) = c, then X + Y is N (1 + 2 , 12 + 22 + 2c)
10.
Bias, standard error, mean square error
If t estimates (with random variable T giving t) Bias of t
bias(t)
= E(T )
Standard error of t
se (t)
= sd (T )
= E{(T )2 } = {se (t)}2 + {bias(t)}2
If x estimates , then bias(x) = 0 , se (x) = / n , MSE(x) = 2 /n , sc
e (x) = s/ n Mean square error of t
Central limit property
11.
MSE(t)
if n is fairly large, x is from N (, 2 /n) approximately
Likelihood The likelihood is the joint probability as a function of the unknown parameter . For a random sample x1 , x2 , . . . , xn `(; x1 , x2 , . . . , xn ) = P (X1 = x1 ) P (Xn = xn ) (discrete distribution) `(; x1 , x2 , . . . , xn ) = f (x1 )f (x2 ) f (xn ) (continuous distribution)
The maximum likelihood estimator (MLE) is b for which the likelihood is a maximum.
12.
Confidence intervals If x1 , x2 , . . . , xn are a random sample from N (, 2 ) and 2 is known, then
the 95% confidence interval for is (x 1.96 , x + 1.96 )
n n If 2 is estimated, then from the Student t table for tn1 we find t0 = tn1,0.05 s s The 95% confidence interval for is (x t0 , x + t0 ) n n
13.
14.
Standard normal table
Values of pdf (y) = f (y) and cdf (y) = F (y)
y (y) (y)
(y) (y)
(y)
.9 .266
.816 1.8 .079 .964
2.8
.997
.1 .397 .540
1.0 .242
.841 1.9 .066 .971
3.0
.998
.2 .391 .579
1.1 .218
.864 2.0 .054 .977
0.841 .8
.3 .381 .618
1.2 .194
.885 2.1 .044 .982
1.282 .9
.4 .368 .655
1.3 .171
.903 2.2 .035 .986
1.645 .95
.5 .352 .691
1.4 .150
.919 2.3 .028 .989
1.96
.6 .333 .726
1.5 .130
.933 2.4 .022 .992
2.326 .99
.7 .312 .758
1.6 .111
.945 2.5 .018 .994
2.576 .995
.8 .290 .788
1.7 .094
.955 2.6 .014 .995
3.09
.399 .5
Student t table p .10
(y) (y)
.975
.999
Values tm,p of x for which P (|X| > x) = p , when X is tm
.05
.02
0.01
m 1 6.31 12.71 31.82 63.66 m
.10
.05
.02
0.01
1.83
2.26 2.82
3.25
2 2.92 4.30
6.96
9.92
10 1.81
2.23 2.76
3.17
3 2.35 3.18
4.54
5.84
12 1.78
2.18 2.68
3.05
4 2.13 2.78
3.75
4.60
15 1.75
2.13 2.60
2.95
5 2.02 2.57
3.36
4.03
20 1.72
2.09 2.53
2.85
6 1.94 2.45
3.14
3.71
25 1.71
2.06 2.48
2.78
7 1.89 2.36
3.00
3.50
40 1.68
2.02 2.42
2.70
8 1.86 2.31
2.90
3.36
1.645 1.96 2.326 2.576
15.
Chi-squared table Values 2k,p of x for which P (X > x) = p , when X is 2k and p = .995, .975, etc
b y for every group exceeds The frequencies ny are grouped so that the fitted frequency n about 5. X (ny n b y )2 X2 = is referred to the table of 2k with significance point p, b ny y where k is the number of terms summed, less one for each constraint, eg matching total frequency, and matching x with .
17.
Joint probability distributions
Discrete distribution {pxy }, where pxy = P ({X = x} {Y = y}) .
Let px
px = P (X = x), and py = P (Y = y), then
X pxy = pxy , and P (X = x Y = y) = py y
Continuous distribution Z x
Z y
f (x, y) =
d2 F (x, y) dx dy
fX (x) =
f (x, y0 ) dy0
F (x, y) = P ({X x} {Y y}) =
Joint cdf Joint pdf
Marginal pdf of X Conditional pdf of X given Y = y
18.
fX|Y (x|y) =
x0 =
y0 =
f (x, y) fY (y)
f (x0 , y0 ) dx0 dy0
(provided fY (y) > 0)
Linear regression b b + x from observations To fit the linear regression model y = + x by ybx = (x1 , y1 ), . . . , (xn , yn ) , the least squares fit is
Machine Learning - For Beginners Your Definitive Guide For Neural Networks, Algorithms, Random Forests and Decision Trees Made Simple-AUVA PRESS (2017)
Machine Learning - For Beginners Your Definitive Guide For Neural Networks, Algorithms, Random Forests and Decision Trees Made Simple-AUVA PRESS (2017)
