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W5 Notes

This document provides notes on key concepts in statistics for data science including: 1. Functions of continuous random variables and how to determine the CDF and PDF of transformed variables. 2. A theorem on how monotonic transformations of continuous random variables affect the PDF. Common transformations like translation, scaling, and affine transformations are discussed. 3. How to calculate the expected value of a function of a continuous random variable using integrals of the PDF. Key concepts like mean, variance, and common distributions are defined. Markov's and Chebyshev's inequalities relating probabilities and standard deviations are also summarized.

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16 views3 pages

W5 Notes

This document provides notes on key concepts in statistics for data science including: 1. Functions of continuous random variables and how to determine the CDF and PDF of transformed variables. 2. A theorem on how monotonic transformations of continuous random variables affect the PDF. Common transformations like translation, scaling, and affine transformations are discussed. 3. How to calculate the expected value of a function of a continuous random variable using integrals of the PDF. Key concepts like mean, variance, and common distributions are defined. Markov's and Chebyshev's inequalities relating probabilities and standard deviations are also summarized.

Uploaded by

23f1002410
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Statistics for Data Science - 2

Week 5 Notes

1. Functions of continuous random variable:


Suppose X is a continuous random variable with CDF FX and PDF fX and suppose
g : R → R is a (reasonable) function. Then, Y = g(X) is a random variable with CDF
FY determined as follows:

• FY (y) = P (Y ≤ y) = P (g(X) ≤ y) = P (X ∈ {x : g(x) ≤ y})


• To evaluate the above probability
– Convert the subset Ay = {x : g(x) ≤ y} into intervals in real line.
– Find the probability that X falls in those intervals.
R
– FY (y) = P (X ∈ AY ) = AY fX (x)dx
• If FY has no jumps, you may be able to differentiate and find a PDF.

2. Theorem: Monotonic differentiable function


Suppose X is a continuous random variable with PDF fX . Let g(x) be monotonic for
dg(x)
x ∈ supp(X) with derivative g 0 (x) = . Then, the PDF of Y = g(X) is
dx
1 −1
fY (y) = fX (g (y))
|g 0 (g −1 (y))|
• Translation: Y = X + a
fY (y) = fX (y − a)
• Scaling: Y = aX
1
fY (y) = fX (ya)
|a|
• Affine: Y = aX + b
1
fY (y) = fX ((y − b)a)
|a|
• Affine transformation of a normal random variable is normal.

3. Expected value of function of continuous random variable:


Let X be a continuous random variable with density fX (x). Let g : R → R be a function.
The expected value of g(X), denoted E[g(X)], is given by
Z ∞
E[g(X)] = g(x)fX (x)dx
−∞

whenever the above integral exists.

1
• The integral may diverge to ±∞ or may not exist in some cases.

4. Expected value (mean) of a continuous random variable:


Mean, denoted E[X] or µX or simply µ is given by
Z ∞
E[X] = xfX (x)dx
−∞

5. Variance of a continuous random variable:


2
Variance, denoted Var[X] or σX or simply σ 2 is given by
Z ∞
2
Var(X) = E[(X − E[X]) ] = (x − µ)2 fX (x)dx
−∞

• Variance is a measure of spread of X about its mean.


• Var(X) = E[X 2 ] − E[X]2

X E[X] Var(X)
a+b (b−a)2
Uniform[a, b] 2 12
1 1
Exp(λ) λ λ2

Normal(µ, σ 2 ) µ 2
σ

6. Markov’s inequality:
If X is a continuous random variable with mean µ and non-negative supp(X) (i.e. P (X <
0) = 0), then
µ
P (X > c) ≤
c
7. Chebyshev’s inequality:
If X is a continuous random variable with mean µ and variance σ 2 , then
1
P (|X − µ| ≥ kσ) ≤
k2

8. Marginal density: Let (X, Y ) be jointly distributed where X is discrete with range
TX and PMF pX (x).
For each x ∈ TX , we have a continuous random variable Yx with density fYx (y).
fYx (y) : conditional density of Y given X = x, denoted fY |X=x (y).

• Marginal density of Y
P
– fY (y) = pX (x)fY |X=x (y)
x∈TX

2
9. Conditional probability of discrete given continuous: Suppose X and Y are
jointly distributed with X ∈ TX being discrete with PMF pX (x) and conditional densi-
ties fY |X=x (y) for x ∈ TX . The conditional probability of X given Y = y0 ∈ supp(Y ) is
defined as

pX (x)fY |X=x (y0 )


• P (X = x | Y = y0 ) =
fY (y0 )

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