lacunary - Mathnotes

Joint Probability

Definition: Joint Probability Distribution (also: joint distribution, joint probability mass function, joint probability) \@{joint-probability-distribution}

Two random variables X and Y can be paired as a single random vector or bivariate random variable. If it's discrete (i.e. both X and Y are discrete) it has a joint probability mass function and if it's continuous (X and Y are both continuous) it has a joint probability density function.

In the discrete case, f(x,y)=P(X=x,Y=y).

Definition: Marginalization (also: marginal distribution, marginal probability mass function) \@{marginalization}

We can marginalize over Y to find solely the distribution of X, we denote this fX(x) and give it as

fX(x)=∑yf(x,y).

We can similarly find fY(y) by marginalizing over X:

fY(y)=∑xf(x,y).

Definition: Conditional Probability Distribution (also: conditional distribution, conditional probability mass function) \@{conditional-probability-distribution}

TODO: define fY|X(y|x) for the discrete and continuous cases; note it is a probability distribution in y for each fixed x with fX(x)>0. Relate to conditional probability, which states the event-level version.

Theorem: Multiplication Rule for Distributions \@{joint-is-marginal-times-conditional}

TODO: state f(x,y)=fX(x)fY|X(y|x)=fY(y)fX|Y(x|y), and the n-variable chain rule f(x1,…,xn)=∏i=1nf(xi|xi−1,…,x1). Note it reduces to a product distribution when the variables are independent.

Proof \@{proof-of-joint-is-marginal-times-conditional}

TODO: rearrange the definition of conditional probability distribution; induct for the n-variable form.

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Definition: Product Distribution (also: product measure) \@{product-distribution}

A probability distribution μ on X1×⋯×Xn is a product distribution if there are distributions μ1,…,μn on X1,…,Xn respectively such that μ(x1,…,xn)=∏i=1nμi(xi) for every tuple (x1,…,xn).

Such a distribution is written μ1⊗⋯⊗μn, or μ⊗n when every factor is equal to a common distribution μ.

Theorem \@{theorem-7}

Multinomial Distribution

Definition: Multinomial Distribution \@{multinomial-distribution}

For a sequence of n independent, identical experiments with each one of the experiments resulting in r outcomes with probabilities p1,p2,…,pr, respectively, where ∑i=1rpi=1, we let Xi count the number of the n experiments that result in the ith of the r outcomes. Then

P(X1=n1,X2=n2,…,Xr=nr)=(nn1,n2,…,nr)p1n1p2n2⋯prnr,

where ∑i=1rni=n.

Referenced by (1 direct)

Direct references:

Definition: Multinomial Coefficient \@{multinomial-coefficient}

The multinomial distribution uses the multinomial coefficient, which is defined as

(nn1,n2,…,nr)=n!n1!n2!⋯nr!.

Sums of Independent Random Variables

Definition: Convolution \@{convolution}

Sums of independent random variables are called convolutions.

If X and Y are continuous, the probability density function of X+Y is given by

fX+Y(x)=∫−∞∞fX(t)fY(x−t)dt.

If they are discrete, the probability mass function of X+Y is given by

fX+Y(n)=∑kfX(k)fY(n−k).

Sums of Independent Poisson Random Variables

Theorem: Sum of Independent Poisson Random Variables \@{sum-independent-poisson}

If X1,X2,…Xn are independent Poisson random variables with parameters λ1,λ2,…,λn, then X1+X2+⋯+Xn is a Poisson random variable with parameter λ1+λ2+⋯+λn.

Sums of Independent Normal Random Variables

Theorem: Sum of Independent Normal Random Variables \@{sum-independent-normal}

If X1,X2,…Xn are independent normal random variables with means μ1,…,μn and variances σ12,…,σn2, then the random variable X1+X2+⋯+Xn is normal with mean μ1+μ2+⋯+μn and variance σ12+σ22+⋯+σn2.

Covariance and Correlation Coefficient

Definition: Covariance \@{covariance}

Covariance is a measure of the joint variability of two random variables.

Cov(X,Y)=E[(X−E[X])(Y−E[Y])].

If large X values go with large Y values and small X goes with small Y, covariance will be positive. The covariance will be negative if large X values go with small Y values and vice-versa. An alternative, equivalent form of covariance is:

Cov(X,Y)=E[XY]−E[X]E[Y].

Definition: Correlation Coefficient \@{correlation-coefficient}

The correlation coefficient of X and Y, ρx,y, is given by

ρx,y=Cov(X,Y)σXσY.