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    W5 Notes

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    23f1002410
    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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    W5 Notes

    Uploaded by

    23f1002410
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    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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    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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    4 views3 pages

    W5 Notes

    Uploaded by

    23f1002410
    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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    © All Rights Reserved
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    of 3

    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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