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MODULE 1: Probability Distributions

This module covers probability and distribution theory, extending topics from previous coursework. It includes probability concepts like sampling with and without replacement, joint and conditional probability. Distribution theory examines random variables, probability mass functions, and common distributions like the normal, exponential, and binomial. Simulation methods are also covered, such as generating uniform random numbers and using those to simulate other distributions. Monte Carlo methods and variance reduction techniques are discussed.

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122 views2 pages

MODULE 1: Probability Distributions

This module covers probability and distribution theory, extending topics from previous coursework. It includes probability concepts like sampling with and without replacement, joint and conditional probability. Distribution theory examines random variables, probability mass functions, and common distributions like the normal, exponential, and binomial. Simulation methods are also covered, such as generating uniform random numbers and using those to simulate other distributions. Monte Carlo methods and variance reduction techniques are discussed.

Uploaded by

S.L.L.C
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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MODULE 1: Probability distributions

This module concentrates on probability and distribution theory, extending the coverage of these topics in the Higher
Certificate. Simulation is also included.

Probability
Sampling with and without replacement.
Elementary problems involving urn models.
Joint probability, marginal and conditional
probability, independence.
Law of total probability. Bayes' Theorem.
Distribution theory
Random variables. Discrete and continuous
random variables. The probability mass function
and probability density function. Cumulative
distribution function.
Expectation as a linear operator. Expectation of
functions of a random variable. Mean and
variance.
Approximate mean and variance of a function of Derivation of
a random variable.
Variance-stabilising approximation.
transform-ations.
transformations.
Standard distributions and their use in modelling,
including Bernoulli, binomial, Poisson, geometric,
negative binomial, hypergeometric, discrete
uniform, Normal, exponential, gamma, continuous uniform, beta, Weibull, Cauchy, lognormal.

E[f(X)] by Taylor series


Use in finding appropriate

Ability to recognise the appropriate distribution


from a model description.
Relationships between distributions (e.g.
exponential and Weibull).

Joint, marginal and conditional distributions.


Independence. Covariance and correlation.
The multivariate Normal distribution. Regression; E(Y | X=x) and E(X | Y=y).
multiple correlation, partial correlation.
Knowledge and use of E ( Y ) = E ( E ( Y | X )). Proofs not required. Recall of the result for Var(Y)
Use of Var( Y ) = E (Var( Y | X )) + will not be expected.
Var( E ( Y | X )).
Probability generating function.
Moment
generating function. Applications of generating
functions. Distribution of sums of random Sums of fixed and random numbers of random
variables, and of sample mean.
variables.
Central limit theorem.

Proof for independent and identically distributed


random variables only.

Distributions of functions of several random Univariate and bivariate transformations.


variables.
Transformations, including the
probability integral transform. Joint distribution
of mean and variance from a Normal random
sample.
The t, 2 and F distributions, and their use as Including definitions in terms of N(0,1) random
variables.
sampling distributions.

24

Joint distribution of order statistics. Distribution


of sample range.
Simulation
Generation of uniform pseudo-random numbers;
testing for uniformity.
Methods of generating random numbers from Applications of methods to standard distributions
common distributions, including inversion, including binomial, Poisson, exponential, Normal,
rejection and table look-up techniques. Monte logistic.
Carlo methods. Use of variance reduction
techniques. Applications of simulation.

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