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Law Of The Unconscious Statistician
In probability theory and statistics, the law of the unconscious statistician, or LOTUS, is a theorem used to calculate the expected value of a function ''g''(''X'') of a random variable ''X'' when one knows the probability distribution of ''X'' but one does not know the distribution of ''g''(''X''). The form of the law can depend on the form in which one states the probability distribution of the random variable ''X''. If it is a discrete distribution and one knows its probability mass function ''ƒX'' (but not ''ƒ''''g''(''X'')), then the expected value of ''g''(''X'') is : \operatorname (X)= \sum_x g(x) f_X(x), \, where the sum is over all possible values ''x'' of ''X''. If it is a continuous distribution and one knows its probability density function ''ƒ''''X'' (but not ''ƒ''''g''(''X'')), then the expected value of ''g''(''X'') is : \operatorname (X)= \int_^\infty g(x) f_X(x) \, \mathrmx If one knows the cumulative probability distributi ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Probability Theory
Probability theory is the branch of mathematics concerned with probability. Although there are several different probability interpretations, probability theory treats the concept in a rigorous mathematical manner by expressing it through a set of axioms. Typically these axioms formalise probability in terms of a probability space, which assigns a measure taking values between 0 and 1, termed the probability measure, to a set of outcomes called the sample space. Any specified subset of the sample space is called an event. Central subjects in probability theory include discrete and continuous random variables, probability distributions, and stochastic processes (which provide mathematical abstractions of non-deterministic or uncertain processes or measured quantities that may either be single occurrences or evolve over time in a random fashion). Although it is not possible to perfectly predict random events, much can be said about their behavior. Two major results in probability ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Joint Distribution
Given two random variables that are defined on the same probability space, the joint probability distribution is the corresponding probability distribution on all possible pairs of outputs. The joint distribution can just as well be considered for any given number of random variables. The joint distribution encodes the marginal distributions, i.e. the distributions of each of the individual random variables. It also encodes the conditional probability distributions, which deal with how the outputs of one random variable are distributed when given information on the outputs of the other random variable(s). In the formal mathematical setup of measure theory, the joint distribution is given by the pushforward measure, by the map obtained by pairing together the given random variables, of the sample space's probability measure. In the case of real-valued random variables, the joint distribution, as a particular multivariate distribution, may be expressed by a multivariate cumulativ ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Pushforward Measure
In measure theory, a pushforward measure (also known as push forward, push-forward or image measure) is obtained by transferring ("pushing forward") a measure from one measurable space to another using a measurable function. Definition Given measurable spaces (X_1,\Sigma_1) and (X_2,\Sigma_2), a measurable mapping f\colon X_1\to X_2 and a measure \mu\colon\Sigma_1\to ,+\infty/math>, the pushforward of \mu is defined to be the measure f_(\mu)\colon\Sigma_2\to ,+\infty/math> given by :f_ (\mu) (B) = \mu \left( f^ (B) \right) for B \in \Sigma_. This definition applies ''mutatis mutandis'' for a signed or complex measure. The pushforward measure is also denoted as \mu \circ f^, f_\sharp \mu, f \sharp \mu, or f \# \mu. Main property: change-of-variables formula Theorem:Sections 3.6–3.7 in A measurable function ''g'' on ''X''2 is integrable with respect to the pushforward measure ''f''∗(''μ'') if and only if the composition g \circ f is integrable with respect to the measure '' ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Probability Space
In probability theory, a probability space or a probability triple (\Omega, \mathcal, P) is a mathematical construct that provides a formal model of a random process or "experiment". For example, one can define a probability space which models the throwing of a die. A probability space consists of three elements:Stroock, D. W. (1999). Probability theory: an analytic view. Cambridge University Press. # A sample space, \Omega, which is the set of all possible outcomes. # An event space, which is a set of events \mathcal, an event being a set of outcomes in the sample space. # A probability function, which assigns each event in the event space a probability, which is a number between 0 and 1. In order to provide a sensible model of probability, these elements must satisfy a number of axioms, detailed in this article. In the example of the throw of a standard die, we would take the sample space to be \. For the event space, we could simply use the set of all subsets of the sample ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Measure Theory
In mathematics, the concept of a measure is a generalization and formalization of geometrical measures ( length, area, volume) and other common notions, such as mass and probability of events. These seemingly distinct concepts have many similarities and can often be treated together in a single mathematical context. Measures are foundational in probability theory, integration theory, and can be generalized to assume negative values, as with electrical charge. Far-reaching generalizations (such as spectral measures and projection-valued measures) of measure are widely used in quantum physics and physics in general. The intuition behind this concept dates back to ancient Greece, when Archimedes tried to calculate the area of a circle. But it was not until the late 19th and early 20th centuries that measure theory became a branch of mathematics. The foundations of modern measure theory were laid in the works of Émile Borel, Henri Lebesgue, Nikolai Luzin, Johann Radon, Const ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Chain Rule
In calculus, the chain rule is a formula that expresses the derivative of the composition of two differentiable functions and in terms of the derivatives of and . More precisely, if h=f\circ g is the function such that h(x)=f(g(x)) for every , then the chain rule is, in Lagrange's notation, :h'(x) = f'(g(x)) g'(x). or, equivalently, :h'=(f\circ g)'=(f'\circ g)\cdot g'. The chain rule may also be expressed in Leibniz's notation. If a variable depends on the variable , which itself depends on the variable (that is, and are dependent variables), then depends on as well, via the intermediate variable . In this case, the chain rule is expressed as :\frac = \frac \cdot \frac, and : \left.\frac\_ = \left.\frac\_ \cdot \left. \frac\_ , for indicating at which points the derivatives have to be evaluated. In integration, the counterpart to the chain rule is the substitution rule. Intuitive explanation Intuitively, the chain rule states that knowing the instantaneous rate of cha ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Integration By Substitution
In calculus, integration by substitution, also known as ''u''-substitution, reverse chain rule or change of variables, is a method for evaluating integrals and antiderivatives. It is the counterpart to the chain rule for differentiation, and can loosely be thought of as using the chain rule "backwards". Substitution for a single variable Introduction Before stating the result rigorously, consider a simple case using indefinite integrals. Compute \textstyle\int(2x^3+1)^7(x^2)\,dx. Set u=2x^3+1. This means \textstyle\frac=6x^2, or in differential form, du=6x^2\,dx. Now :\int(2x^3 +1)^7(x^2)\,dx = \frac\int\underbrace_\underbrace_=\frac\int u^\,du=\frac\left(\fracu^\right)+C=\frac(2x^3+1)^+C, where C is an arbitrary constant of integration. This procedure is frequently used, but not all integrals are of a form that permits its use. In any event, the result should be verified by differentiating and comparing to the original integrand. :\frac\left frac(2x^3+1)^+C\right\f ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Inverse Functions And Differentiation
In calculus, the inverse function rule is a formula that expresses the derivative of the inverse of a bijective and differentiable function in terms of the derivative of . More precisely, if the inverse of f is denoted as f^, where f^(y) = x if and only if f(x) = y, then the inverse function rule is, in Lagrange's notation, :\left ^\right(a)=\frac. This formula holds in general whenever f is continuous and injective on an interval , with f being differentiable at f^(a)(\in I) and wheref'(f^(a)) \ne 0. The same formula is also equivalent to the expression :\mathcal\left ^\right\frac, where \mathcal denotes the unary derivative operator (on the space of functions) and \circ denotes function composition. Geometrically, a function and inverse function have graphs that are reflections, in the line y=x. This reflection operation turns the gradient of any line into its reciprocal. Assuming that f has an inverse in a neighbourhood of x and that its derivative at that point is ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Absolute Continuity
In calculus, absolute continuity is a smoothness property of functions that is stronger than continuity and uniform continuity. The notion of absolute continuity allows one to obtain generalizations of the relationship between the two central operations of calculus— differentiation and integration. This relationship is commonly characterized (by the fundamental theorem of calculus) in the framework of Riemann integration, but with absolute continuity it may be formulated in terms of Lebesgue integration. For real-valued functions on the real line, two interrelated notions appear: absolute continuity of functions and absolute continuity of measures. These two notions are generalized in different directions. The usual derivative of a function is related to the '' Radon–Nikodym derivative'', or ''density'', of a measure. We have the following chains of inclusions for functions over a compact subset of the real line: : ''absolutely continuous'' ⊆ ''uniformly continuous'' = ''con ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Riemann–Stieltjes Integral
In mathematics, the Riemann–Stieltjes integral is a generalization of the Riemann integral, named after Bernhard Riemann and Thomas Joannes Stieltjes. The definition of this integral was first published in 1894 by Stieltjes. It serves as an instructive and useful precursor of the Lebesgue integral, and an invaluable tool in unifying equivalent forms of statistical theorems that apply to discrete and continuous probability. Formal definition The Riemann–Stieltjes integral of a real-valued function f of a real variable on the interval ,b/math> with respect to another real-to-real function g is denoted by :\int_^b f(x) \, \mathrmg(x). Its definition uses a sequence of partitions P of the interval ,b/math> :P=\. The integral, then, is defined to be the limit, as the mesh (the length of the longest subinterval) of the partitions approaches 0 , of the approximating sum :S(P,f,g) = \sum_^ f(c_i)\left g(x_) - g(x_i) \right/math> where c_i is in the i-th subinterval _i;x_/ma ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
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