Crib Sheet for Exam #2 Statistics 211

1 Chapter 5: Joint Probability Distributions

Marginal probability mass/density function:
p
X
(x) =

Y
p(x, y) p
Y
(y) =

X
p(x, y) f
X
(x) =
_

f(x, y)dy f
Y
(y) =
_

f(x, y)dx
Two RV X, Y are independent if for every pair of X, Y :
p(x, y) = p
X
(x) p
Y
(y) f(x, y) = f
X
(x) f
Y
(y)
otherwise they are dependent.
Conditional probability density function of Y given that X = x is:
f
Y |X
(y|x) =
f(x, y)
f
X
(x)
< y < p
Y |X
(y|x) =
p(x, y)
p
X
(x)
Expected values:
E[h(X, Y )] =

y
h(x, y)p(x, y) E[h(X, Y )] =
_

h(x, y)f(x, y)dxdy

Cov(X, Y ) = E[(X
x
)(Y
y
)] = E[XY ]
x

x,y
= Corr(X, Y ) =
Cov(X, Y )

Y
1
x,y
1
Central Limit Theorem (CLT) states that if our random variables X
i
have a dis-
tribution with whose mean and variance exist and X
1
, X
2
, . . . , X
n
are a random
sample and our sample is large (say n 30) then

X N
_
,

2
n
_
Linear combinations:
E[a
1
X
1
+ . . . + a
n
X
n
] = a
1
E[X
1
] + . . . + a
n
E[X
n
]
V [a
1
X
1
+ . . . + a
n
X
n
] =
n

i=1
n

j=1
a
i
a
j
Cov(X
i
, X
j
)
If X
1
, . . . , X
n
are mutually independent, then:
V [a
1
X
1
+ . . . + a
n
X
n
] = a
2
1
V [X
1
] + . . . + a
2
n
V [X
n
]
since
Cov(X
i
, X
j
) = 0 when i = j and Cov(X
i
, X
i
) = V (X
i
)
If X
1
, . . . , X
n
are independent and normal (though they may have dierent
i
and
i
for each X
i
), then any linear combination of X
i
s also has a normal
distribution.
1
2 Chapter 7: Confidence Intervals
Basic confidence interval, is known:
x Z
/2

n
Large sample CI:
x Z
/2
s

n
CI for p, if n p 5 and n q 5 and n is small compared to the population size
N:
p Z
/2
_
p q/n
A small sample CI:
x t
/2,n1
s

n
Prediction interval:
x t
/2,n1
s
_
1 +
1
n
CI for
2
:
_
(n 1)s
2

2
/2,n1
,
(n 1)s
2

2
1/2,n1
_
Sample size calculations:
n =
_
2Z
/2

L
_
2
n =
4Z
2
/2
p q
L
2
3 Chapter 8: One Sample Hypothesis Tests
One Sample test for mean , Normal distribution & is known:
Z =
x
0
/

n
Alternative hypothesis Rejection region for level test
H
a
: >
0
Z Z

H
a
: <
0
Z Z

H
a
: =
0
Z Z
/2
or Z Z
/2
Type II Error Formulas for (

)
Alternative hypothesis Type II error for size test
H
a
: >
0

_
z

+

0

n
_
H
a
: <
0
1
_
z

+

0

n
_
H
a
: =
0

_
z
/2
+

0

n
_

_
z
/2
+

0

n
_
2
Sample sizes and Type II errors:
Alternative hypothesis Sample size
H
a
: >
0
_
(z

+z

_
2
H
a
: <
0
_
(z

+z

_
2
H
a
: =
0
_
(z
/2
+z

_
2
One Sample Test for Mean , Large Sample (CLT):
Z =
x
0
s/

n
Rejection region is the same as one sample Z-test above.
One sample test for mean , Normal distribution & is unknown:
t =
x
0
s/

n
Alternative hypothesis Rejection region for level test
H
a
: >
0
t t
,n1
H
a
: <
0
t t
,n1
H
a
: =
0
t t
/2,n1
or t t
/2,n1
Large sample tests concerning a population proportion p:
Z =


0

=
p p
0
_
p
0
q
0
/n
Alternative hypothesis Rejection region for level test
H
a
: p > p
0
Z Z

H
a
: p < p
0
Z Z

H
a
: p = p
0
Z Z
/2
or Z Z
/2
Note that np
0
5 and nq
0
5 for this test to hold.
Type II error formulas for (p

):
Alternative hypothesis Type II error for size test
H
a
: p > p
0

_
p
0
p

+Z

p
0
q
0
/n

/n
_
H
a
: p < p
0
1
_
p
0
p

p
0
q
0
/n

/n
_
H
a
: p = p
0

_
p
0
p

+Z
/2

p
0
q
0
/n

/n
_

_
p
0
p

Z
/2

p
0
q
0
/n

/n
_
3
Sample sizes and Type II errors:
Alternative hypothesis Sample size
H
a
: p > p
0
_
Z

p
0
q
0
+Z

p
0
p

_
2
H
a
: p < p
0
_
Z

p
0
q
0
+Z

p
0
p

_
2
H
a
: p = p
0
_
Z
/2

p
0
q
0
+Z

p
0
p

_
2
The p-value for a Z test is calculated as follows:
p-value =
_
_
_
1 (Z) for an upper-tailed test
(Z) for a lower-tailed test
2[1 (|Z|)] for a two-tailed test
4