MATH2011 Statistical Distribution Theory
Functions of one and several random variables are considered such as sums, differences, products and ratios. The central limit theorem is proved and the probability density functions are derived of those sampling distributions linked to the normal distribution. Bivariate and multivariate distributions are considered, and distributions of maximum and minimum observations are derived. This module is a pre-requisite for all subsequent statistics modules, and desirable for Actuarial Mathematics I and II and Simulation and Queues
Aims and Objectives
To present the general theory of statistical distributions as well as the standard distributions found in statistical practice, and the relationships among them, to provide a good grounding in the general theory of statistical distributions and to derive many important statistical distributions using the general theory of the calculus of random variables including the use of the moment generating function.
Having successfully completed this module you will be able to:
- Calculate moments and moment generating function
- Recall definitions of probability function, density function, cumulative distribution function and moment generating function, and their inter-relationships
- Determine and interpret independence and conditional distributions
- Derive chi-square, t and F distributions from normal distribution
- Use moment generating function to determine distribution function and moments
- Recall well known distributions such as Bernoulli, binomial, Poisson, geometric, uniform, exponential, normal, Cauchy, gamma and beta distributions
- Construct z, chi-square, t and F tests and the corresponding confidence intervals from sample means and sample variances
- Find distributions of functions of random variables, including distributions of maximum and minimum observations
Random variables; probability, probability density and cumulative distribution functions; Expected value and variance of a random variable. Bernouilli trials, binomial, Poisson, geometric, hypergeometric, negative binomial distributions, and their inter-relationships. Poisson process. Probability generating functions. Moment and cumulant generating functions; exponential, gamma, normal, lognormal, uniform, Cauchy and beta distributions. Joint distributions; conditional distributions; independence; conditional expectations. Covariance, correlation. Distributions of functions of random variables, including sums, means, products and ratios. Transformations of random variables; use of Jacobians; marginal distributions. Proof of Central Limit Theorem. Derivation of chi-squared, t and F distribtions, and their uses. Distributions of sample mean and sample variance. Estimation: Method of moments and maximum likelihood, efficiency, bias consistency and mean square error, unbiasedness, asymptotic properties of estimators. Confidence intervals for one and two samples for binomial and Poisson mean and for means and variances of normal distributions. Use of paired data. Introduction to statistical inference; hypothesis testing; significance level, power, likelihood ratios, particularly demonstrating uses of chi-squared, t and F distributions, Bayesian inference. Multivariate distributions and moment generating function; multinomial distribution; bivariate normal distribution; correlation. Distributions of maximum and minimum observations. Compound distributions: conditional expectations, mean and variance of a random variable from expected values of conditional expected values.
Learning and Teaching
Teaching and learning methods
Lectures, in class tests, problem classes, private study.
|Total study time||150|
Resources & Reading list
HOEL P G. Introduction to Mathematical Statistics.
FARAWAY J.J (2005). Linear Models with R.
MOOD A M, GRAYBILL F A & BOSE D C. Introduction to the Theory of Statistics.
GRIMMETT G & WELSH D. Probability - An Introduction.
ROSS S A. First Course in Probability.
|Written exam (2 hours)||80%|
Repeat type: Internal & External
Prerequisites: MATH1024 and MATH1050 and MATH1051 and MATH1052 (or MATH1024 and MATH1056 and MATH1052)