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Cheat Sheet

This document provides a cheat sheet for key concepts in mathematics and probability for the EC220 course. It defines summation, expectation, variance, covariance, and correlation. For each concept, it lists important properties and rules using mathematical notation. The cheat sheet is intended to summarize commonly used formulas and relationships for these statistical concepts.

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ahmad
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1K views1 page

Cheat Sheet

This document provides a cheat sheet for key concepts in mathematics and probability for the EC220 course. It defines summation, expectation, variance, covariance, and correlation. For each concept, it lists important properties and rules using mathematical notation. The cheat sheet is intended to summarize commonly used formulas and relationships for these statistical concepts.

Uploaded by

ahmad
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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EC220 MATHS & PROBABILITY CHEAT SHEET

SUMMATION: ∑𝑛𝑖=1 𝑋𝑖 = 𝑋1 + 𝑋2 + ⋯ + 𝑋𝑛 DEVIATION FROM AVERAGE: 𝑋𝑖 − 𝑋̅

a) ∑𝑛𝑖=1 𝑋𝑖 ± ∑𝑛𝑖=1 𝑌𝑖 = ∑𝑛𝑖=1(𝑋𝑖 ± 𝑌𝑖 ) a) ∑𝑛𝑖=1 𝑋𝑖 = 𝑛𝑋̅


b) ∑𝑛𝑖=1 𝑎 = 𝑛 × 𝑎 b) ∑𝑛𝑖=1(𝑋𝑖 − 𝑋̅ ) = 0
c) ∑𝑛𝑖=1 𝑎𝑋𝑖 = 𝑎 ∑𝑛𝑖=1 𝑋𝑖 c) ∑𝑛𝑖=1[(𝑋𝑖 − 𝑋̅)(𝑌𝑖 − 𝑌̅)] = ∑𝑛𝑖=1[(𝑋𝑖 − 𝑋̅)𝑌𝑖 ]
d) (∑𝑛𝑖=1 𝑋𝑖 )(∑𝑛𝑖=1 𝑌𝑖 ) ≠ ∑𝑛𝑖=1 𝑋𝑖 𝑌𝑖 d) ∑𝑛𝑖=1[(𝑋𝑖 − 𝑋̅)(𝑌𝑖 − 𝑌̅)] = ∑𝑛𝑖=1 𝑋𝑖 𝑌𝑖 − 𝑛𝑋̅ 𝑌̅
e) (∑𝑛𝑖=1 𝑋𝑖 )2 ≠ ∑𝑛𝑖=1 𝑋𝑖2 e) ∑𝑛𝑖=1(𝑋𝑖 − 𝑋̅ )2 = ∑𝑛𝑖=1(𝑋𝑖2 ) − 𝑛 𝑋̅ 2
𝑋 ∑𝑛
𝑖=1 𝑋𝑖
f) ∑𝑛𝑖=1 ( 𝑖 ) ≠
𝑌 𝑖∑𝑛𝑖=1 𝑌𝑖 Even though ∑𝑛𝑖=1(𝑋𝑖 − 𝑋̅) = 0, in general we have
If it doesn’t contain 𝐢, take it out the sum
∑𝑛𝑖=1(𝑋𝑖 − 𝑋̅)2 ≠ 0
If it does contain 𝐢, NEVER take it out the sum

EXPECTATION*: 𝜇𝑋 = 𝐸 (𝑋) = ∑𝑛𝑖=1 𝑝𝑖 𝑥𝑖 CONDITIONAL EXPECTATION: 𝑬(𝒀|𝑿)


(𝑎 constant, 𝑋 and 𝑌 random) (𝑎 constant, 𝑋 and 𝑌 random)
a) 𝐸 (𝑎) = 𝑎 a) 𝐸 (𝑎|𝑋) = 𝑎
b) 𝐸 (𝑎𝑋) = 𝑎𝐸(𝑋) b) 𝐸 (𝑋|𝑋 ) = 𝑋
c) 𝐸 (𝑋 ± 𝑌) = 𝐸 (𝑋) ± 𝐸(𝑌) c) 𝐸 (𝑋 + 𝑌|𝑋) = 𝑋 + 𝐸(𝑌|𝑋)
d) 𝐸 (𝑋𝑌) ≠ 𝐸 (𝑋)𝐸 (𝑌) (unless uncorrel.) d) 𝐸 (𝑋 2 |𝑋 ) = 𝑋 2
e) 𝐸 (𝑋 2 ) ≠ 𝐸 (𝑋)2 (unless constant) e) 𝐸 (𝑋𝑌|𝑋) = 𝑋𝐸(𝑌|𝑋)
f) 𝐸(√𝑋) ≠ √𝐸(𝑋) f) Any function 𝑔, 𝐸 [𝑔(𝑋)|𝑋] = 𝑔(𝑋)
𝑋 𝐸(𝑋) g) L.I.E: 𝐸 (𝑌) = 𝐸 [𝐸(𝑌|𝑋)]
g) 𝐸 ( ) ≠ If condition on 𝑿, treat 𝑿 like constant and use
𝑌 𝐸(𝑌)
* Definition for random variable taking finite number of values.
expectation rules

VARIANCE: 𝑉𝑎𝑟(𝑋) = 𝐸 [(𝑋 − 𝜇𝑥 )2 ] STANDARD DEVIATION: 𝑠𝑑(𝑋) = √𝑉𝑎𝑟(𝑋)


(𝑎 constant, 𝑋 and 𝑌 random) (𝑎 constant, 𝑋 and 𝑌 random)
a) 𝑉𝑎𝑟(𝑎) = 0 a) 𝑠𝑑 (𝑎) = 0
b) 𝑉𝑎𝑟(𝑎 + 𝑋) = 𝑉𝑎𝑟(𝑋) b) 𝑠𝑑 (𝑎 + 𝑋) = 𝑠𝑑(𝑋)
c) 𝑉𝑎𝑟(𝑋) = 𝐸 (𝑋 2 ) − 𝐸 (𝑋)2 c) 𝑠𝑑 (𝑎𝑋) = |𝑎|𝑠𝑑(𝑋)
d) 𝑉𝑎𝑟 (𝑎𝑋) = 𝑎2 𝑉𝑎𝑟(𝑋) d) 𝑠𝑑 (𝑋 + 𝑌) ≠ 𝑠𝑑 (𝑋) + 𝑠𝑑(𝑌)
e) 𝑉𝑎𝑟(𝑋 + 𝑌 ) = 𝑉𝑎𝑟(𝑋) + 𝑉𝑎𝑟(𝑌 ) + 2𝐶𝑜𝑣(𝑋, 𝑌) e) 𝑠𝑑 (𝑋𝑌) ≠ 𝑠𝑑 (𝑋)𝑠𝑑(𝑌)
f) 𝑉𝑎𝑟(∑𝑛𝑖=1 𝑋𝑖 ) = ∑𝑛𝑖=1 𝑉𝑎𝑟(𝑋𝑖 ) + ∑ ∑𝑖≠𝑗 𝑐𝑜𝑣(𝑋𝑖 , 𝑋𝑗 )
g) 𝑉𝑎𝑟(𝑋𝑌) ≠ 𝑉𝑎𝑟(𝑋)𝑉𝑎𝑟(𝑌)
Variance of sum of random variances ISN’T sum of
variances in general!

COVARIANCE: 𝐶𝑜𝑣(𝑋) = 𝐸[(𝑋 − 𝜇𝑋 )(𝑌 − 𝜇𝑌 )] 𝐶𝑜𝑣(𝑋,𝑌)


CORRELATION: 𝐶𝑜𝑟𝑟(𝑋, 𝑌) =
(𝑎 constant, 𝑋 and 𝑌 random) 𝑠𝑑(𝑋)𝑠𝑑(𝑌)
a) 𝐶𝑜𝑣(𝑎, 𝑌) = 0 and 𝐶𝑜𝑣(𝑋, 𝑎) = 0 (𝑎 constant, 𝑋 and 𝑌 random)

b) 𝐶𝑜𝑣(𝑎𝑋, 𝑌) = 𝑎𝐶𝑜𝑣(𝑋, 𝑌)
c) 𝐶𝑜𝑣(𝑎 + 𝑋, 𝑌) = 𝐶𝑜𝑣(𝑋, 𝑌)
a) 𝐶𝑜𝑟𝑟(𝑎 + 𝑋, 𝑌) = 𝐶𝑜𝑟𝑟(𝑋, 𝑌 + 𝑎) = 𝐶𝑜𝑟𝑟(𝑋, 𝑌)
d) 𝐶𝑜𝑣(𝑋, 𝑌) = 𝐸(𝑋𝑌) − 𝐸(𝑋)𝐸(𝑌) b) 𝑎 > 0, 𝐶𝑜𝑟𝑟(𝑎𝑋, 𝑌) = 𝐶𝑜𝑟𝑟(𝑋, 𝑌)
e) If 𝐸(𝑋) or 𝐸(𝑌) = 0, 𝐶𝑜𝑣(𝑋, 𝑌) = 𝐸(𝑋𝑌) c) 𝑎 < 0, 𝐶𝑜𝑟𝑟(𝑎𝑋, 𝑌) = −𝐶𝑜𝑟𝑟(𝑋, 𝑌)
f) 𝐶𝑜𝑣 (∑𝑛𝑖=1 𝑋𝑖 , 𝑌) = ∑𝑛𝑖=1 𝐶𝑜𝑣(𝑋𝑖 , 𝑌) d) 𝑐𝑜𝑟𝑟(𝑋, 𝑌) = 𝑐𝑜𝑟𝑟(𝑌, 𝑋)
g) 𝐶𝑜𝑣(𝑋, 𝑋) = 𝑉𝑎𝑟(𝑋) e) 𝐶𝑜𝑟𝑟(𝑋 + 𝑌, 𝑍) ≠ 𝐶𝑜𝑟𝑟(𝑋, 𝑍) + 𝐶𝑜𝑟𝑟(𝑌, 𝑍)
h) 𝐶𝑜𝑣(𝑋, 𝑌) = 𝐶𝑜𝑣(𝑌, 𝑋)

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