Sum Fin
Sum Fin
x
d
Z
PDF’s and CDF’s: F (x) = f (ξ) dξ ⇐⇒ f (x) = F (x)
−∞ dx
Z ∞ Z ∞
E X2 = x2 fX (x) dx
Expectations: E [X] = xfX (x) dx
−∞ −∞
Z ∞
E [g(X)] = g(x)fX (x) dx E [a + bX] = a + bE [X]
−∞ Z
Z ∞ ∞
E [XY ] = xyfXY (x, y) dx dy
−∞ −∞
Cov [X, Y ]
Covariance: Cov [X, Y ] = E [(X − µX )(Y − µY )] = E [XY ] − E [X] E [Y ] , ρXY =
σX σY
n
X n
X n
X
Linear Functions: if Y = ai Xi and Z = bi Xi then E [Y ] = ai E [Xi ]
i=1 i=1 i=1
n X
X n n X
X n
Var [Y ] = ai aj Cov Xi , Xj Cov [Y, Z] = ai bj Cov Xi , Xj
i=1 j=1 i=1 j=1
n n
( n )
1X 2 1 X 1 X
Misc: X̄ = Xi S = (Xi − X̄)2 = Xi2 − nX̄ 2
n n−1 n−1
i=1 i=1 i=1
n n! n n!
= Pk =
k k!(n − k)! (n − k)!
(λt)k −λt
Poisson: P [Nt = k] = e for k ≥ 0
k!
E [Nt ] = λt Var [Nt ] = λt
1 x−α
Uniform: f (x) = F (x) = for α ≤ x ≤ β
β−α β−α
E [X] = 21 (α + β) 1
Var [X] = 12 (β − α)2
x−µ
2
1 − 1 x−µ
Normal: f (x) = √ e 2 σ F (x) = Φ for −∞ < x < ∞
σ 2π σ
2
E [X] = µ Var
[X] =
σ
x−µ x−µ
P [X ≤ x] = P Z ≤ = Φ
σ σ
ln x − µln x
2
1 − 12
ln x−µln x
Lognormal: f (x) = √ e σln x
F (x) = Φ for x ≥ 0
xσln x 2π σln x
1 2 2
E [X] = µX = eµln x + 2 σln x 2
Var [X] = σX = µ2X eσln x − 1
2
2 σX 2
σln x = ln 1 + µln x = ln(µX ) − 12 σln x
µ2X
∞ ∞
X 1 X 1
Identities: qk = kq k−1 = for 0 < q < 1
1−q (1 − q)2
k=0 k=1
xj xj
∞ ∞
X X x n
= ex j = xex lim 1− = e−x
j! j! n→∞ n
k=0 k=0
ENGM2032 Summary Pages pg 5
(1 − α) Confidence Intervals
µ; σ σ
x̄ − zα/2 √ < µ < x̄ + zα/2 √
σ known n n
µ;
s s
σ unknown and x̄ − tα/2,n−1 √ < µ < x̄ + tα/2,n−1 √
n n
population normal
s s
µ1 − µ2 ; σ12 σ22 σ12 σ22
x̄1 − x̄2 − zα/2 + < µ1 − µ2 < x̄1 − x̄2 + zα/2 +
σ1 and σ2 known n1 n2 n1 n2
µ1 − µ2 ; r r
1 1 1 1
σ1 = σ2 but unknown x̄1 − x̄2 − tα/2,ν sp + < µ1 − µ2 < x̄1 − x̄2 + tα/2,ν sp +
n1 n2 n1 n2
ν = n1 + n2 − 2
µD = µ1 − µ2 ;
sd sd
paired d¯ − tα/2,n−1 √ < µD < d¯ + tα/2,n−1 √
n n
observations
p;
r r
p̂q̂ p̂q̂
large sample p̂ − zα/2 < p < p̂ + zα/2
n n
p1 − p2 ;
r r
p̂1 q̂1 p̂2 q̂2 p̂1 q̂1 p̂2 q̂2
p̂1 − p̂2 − zα/2 + < p1 − p2 < p̂1 − p̂2 + zα/2 +
large samples n1 n2 n1 n2
σ2 ; (n − 1)s2 (n − 1)s2
2
< σ2 < 2
normal population χα/2,n−1 χ1−α/2,n−1
Sample Size
2
zα/2 σ zα/2 2 p̂q̂
Estimating µ n= Estimating p n=
eα e2α
ENGM2032 Summary Pages pg 6
Hypothesis Testing
x̄1 − x̄2 − ∆o
µ1 − µ2 = ∆o t= p µ1 −µ2 < ∆o t < −tα,ν
sp 1/n1 + 1/n2
σ1 = σ2 but unknown µ1 −µ2 > ∆o t > tα,ν
ν = n1 + n2 − 2 (n1 − 1)s21 + (n2 − 1)s22 µ1 − µ2 6= ∆o t < −tα/2,ν or t > tα/2,ν
s2p =
ν
µD = ∆o µD < ∆o t < −tα,ν
d¯ − ∆o
paired observations t= √ µD > ∆o t > tα,ν
sd / n
ν =n−1 µD 6= ∆o t < −tα/2,ν or t > tα/2,ν
p̂1 − p̂2
z=p p1 < p2 z < −zα
p̂(1 − p̂)[1/n1 + 1/n2 ]
p1 = p2 p1 > p2 z > zα
Nn1 + Nn2 p1 6= p2 z < −zα/2 or z > zα/2
p̂ =
n1 + n2
Sample Size
1 sample, 1-sided test 1 sample, 2-sided test 2 sample, 1-sided test 2 sample, 2-sided test
2
(zα/2 + zβ )σ 2 (zα + zβ ) 2
(σ12 σ22 ) (zα/2 + zβ )2 (σ12 + σ22 )
(zα + zβ )σ +
n= n≃ n= n≃
(µo − µβ ) (µo − µβ ) (∆o − ∆β )2 (∆o − ∆β )2
ENGM2032 Summary Pages pg 7
Z z
1 1 2
Normal Distribution Φ(z) = √ e− 2 x dx
−∞ 2π
α
ν .40 .25 .10 .05 .025 .01 .005 .0025 .001 .0005
1 0.325 1.000 3.078 6.314 12.706 31.821 63.657 127.321 318.309 636.619
2 0.289 0.816 1.886 2.920 4.303 6.965 9.925 14.089 22.327 31.599
3 0.277 0.765 1.638 2.353 3.182 4.541 5.841 7.453 10.215 12.924
4 0.271 0.741 1.533 2.132 2.776 3.747 4.604 5.598 7.173 8.610
5 0.267 0.727 1.476 2.015 2.571 3.365 4.032 4.773 5.893 6.869
6 0.265 0.718 1.440 1.943 2.447 3.143 3.707 4.317 5.208 5.959
7 0.263 0.711 1.415 1.895 2.365 2.998 3.499 4.029 4.785 5.408
8 0.262 0.706 1.397 1.860 2.306 2.896 3.355 3.833 4.501 5.041
9 0.261 0.703 1.383 1.833 2.262 2.821 3.250 3.690 4.297 4.781
10 0.260 0.700 1.372 1.812 2.228 2.764 3.169 3.581 4.144 4.587
11 0.260 0.697 1.363 1.796 2.201 2.718 3.106 3.497 4.025 4.437
12 0.259 0.695 1.356 1.782 2.179 2.681 3.055 3.428 3.930 4.318
13 0.259 0.694 1.350 1.771 2.160 2.650 3.012 3.372 3.852 4.221
14 0.258 0.692 1.345 1.761 2.145 2.624 2.977 3.326 3.787 4.140
15 0.258 0.691 1.341 1.753 2.131 2.602 2.947 3.286 3.733 4.073
16 0.258 0.690 1.337 1.746 2.120 2.583 2.921 3.252 3.686 4.015
17 0.257 0.689 1.333 1.740 2.110 2.567 2.898 3.222 3.646 3.965
18 0.257 0.688 1.330 1.734 2.101 2.552 2.878 3.197 3.610 3.922
19 0.257 0.688 1.328 1.729 2.093 2.539 2.861 3.174 3.579 3.883
20 0.257 0.687 1.325 1.725 2.086 2.528 2.845 3.153 3.552 3.850
21 0.257 0.686 1.323 1.721 2.080 2.518 2.831 3.135 3.527 3.819
22 0.256 0.686 1.321 1.717 2.074 2.508 2.819 3.119 3.505 3.792
23 0.256 0.685 1.319 1.714 2.069 2.500 2.807 3.104 3.485 3.768
24 0.256 0.685 1.318 1.711 2.064 2.492 2.797 3.091 3.467 3.745
25 0.256 0.684 1.316 1.708 2.060 2.485 2.787 3.078 3.450 3.725
26 0.256 0.684 1.315 1.706 2.056 2.479 2.779 3.067 3.435 3.707
27 0.256 0.684 1.314 1.703 2.052 2.473 2.771 3.057 3.421 3.690
28 0.256 0.683 1.313 1.701 2.048 2.467 2.763 3.047 3.408 3.674
29 0.256 0.683 1.311 1.699 2.045 2.462 2.756 3.038 3.396 3.659
30 0.256 0.683 1.310 1.697 2.042 2.457 2.750 3.030 3.385 3.646
40 0.255 0.681 1.303 1.684 2.021 2.423 2.704 2.971 3.307 3.551
50 0.255 0.679 1.299 1.676 2.009 2.403 2.678 2.937 3.261 3.496
60 0.254 0.679 1.296 1.671 2.000 2.390 2.660 2.915 3.232 3.460
70 0.254 0.678 1.294 1.667 1.994 2.381 2.648 2.899 3.211 3.435
80 0.254 0.678 1.292 1.664 1.990 2.374 2.639 2.887 3.195 3.416
90 0.254 0.677 1.291 1.662 1.987 2.368 2.632 2.878 3.183 3.402
100 0.254 0.677 1.290 1.660 1.984 2.364 2.626 2.871 3.174 3.390
110 0.254 0.677 1.289 1.659 1.982 2.361 2.621 2.865 3.166 3.381
120 0.254 0.677 1.289 1.658 1.980 2.358 2.617 2.860 3.160 3.373
∞ 0.253 0.674 1.282 1.645 1.960 2.326 2.576 2.807 3.090 3.291
ENGM2032 Summary Pages pg 10
α = P χ2 > χ2α, ν
Inverse χ2 Distribution
α
ν .995 .990 .975 .950 .900 .500 .100 .050 .025 .010 .005
1 0.00 0.00 0.00 0.00 0.02 0.45 2.71 3.84 5.02 6.63 7.88
2 0.01 0.02 0.05 0.10 0.21 1.39 4.61 5.99 7.38 9.21 10.60
3 0.07 0.11 0.22 0.35 0.58 2.37 6.25 7.81 9.35 11.34 12.84
4 0.21 0.30 0.48 0.71 1.06 3.36 7.78 9.49 11.14 13.28 14.86
5 0.41 0.55 0.83 1.15 1.61 4.35 9.24 11.07 12.83 15.09 16.75
6 0.68 0.87 1.24 1.64 2.20 5.35 10.64 12.59 14.45 16.81 18.55
7 0.99 1.24 1.69 2.17 2.83 6.35 12.02 14.07 16.01 18.48 20.28
8 1.34 1.65 2.18 2.73 3.49 7.34 13.36 15.51 17.53 20.09 21.95
9 1.73 2.09 2.70 3.33 4.17 8.34 14.68 16.92 19.02 21.67 23.59
10 2.16 2.56 3.25 3.94 4.87 9.34 15.99 18.31 20.48 23.21 25.19
11 2.60 3.05 3.82 4.57 5.58 10.34 17.28 19.68 21.92 24.72 26.76
12 3.07 3.57 4.40 5.23 6.30 11.34 18.55 21.03 23.34 26.22 28.30
13 3.57 4.11 5.01 5.89 7.04 12.34 19.81 22.36 24.74 27.69 29.82
14 4.07 4.66 5.63 6.57 7.79 13.34 21.06 23.68 26.12 29.14 31.32
15 4.60 5.23 6.26 7.26 8.55 14.34 22.31 25.00 27.49 30.58 32.80
16 5.14 5.81 6.91 7.96 9.31 15.34 23.54 26.30 28.85 32.00 34.27
17 5.70 6.41 7.56 8.67 10.09 16.34 24.77 27.59 30.19 33.41 35.72
18 6.26 7.01 8.23 9.39 10.86 17.34 25.99 28.87 31.53 34.81 37.16
19 6.84 7.63 8.91 10.12 11.65 18.34 27.20 30.14 32.85 36.19 38.58
20 7.43 8.26 9.59 10.85 12.44 19.34 28.41 31.41 34.17 37.57 40.00
21 8.03 8.90 10.28 11.59 13.24 20.34 29.62 32.67 35.48 38.93 41.40
22 8.64 9.54 10.98 12.34 14.04 21.34 30.81 33.92 36.78 40.29 42.80
23 9.26 10.20 11.69 13.09 14.85 22.34 32.01 35.17 38.08 41.64 44.18
24 9.89 10.86 12.40 13.85 15.66 23.34 33.20 36.42 39.36 42.98 45.56
25 10.52 11.52 13.12 14.61 16.47 24.34 34.38 37.65 40.65 44.31 46.93
26 11.16 12.20 13.84 15.38 17.29 25.34 35.56 38.89 41.92 45.64 48.29
27 11.81 12.88 14.57 16.15 18.11 26.34 36.74 40.11 43.19 46.96 49.64
28 12.46 13.56 15.31 16.93 18.94 27.34 37.92 41.34 44.46 48.28 50.99
29 13.12 14.26 16.05 17.71 19.77 28.34 39.09 42.56 45.72 49.59 52.34
30 13.79 14.95 16.79 18.49 20.60 29.34 40.26 43.77 46.98 50.89 53.67
40 20.71 22.16 24.43 26.51 29.05 39.34 51.81 55.76 59.34 63.69 66.77
50 27.99 29.71 32.36 34.76 37.69 49.33 63.17 67.50 71.42 76.15 79.49
60 35.53 37.48 40.48 43.19 46.46 59.33 74.40 79.08 83.30 88.38 91.95
70 43.28 45.44 48.76 51.74 55.33 69.33 85.53 90.53 95.02 100.43 104.21
80 51.17 53.54 57.15 60.39 64.28 79.33 96.58 101.88 106.63 112.33 116.32
90 59.20 61.75 65.65 69.13 73.29 89.33 107.57 113.15 118.14 124.12 128.30
100 67.33 70.06 74.22 77.93 82.36 99.33 118.50 124.34 129.56 135.81 140.17