统计原理笔记 Notes for Statistics I

Notes for Statistics

分享一下自己商统的笔记
by Feiran Jia

Lecture 1 Introduction

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Variables

• Quantitative
• Categorical 明确的
  
  • Ordinal 有先后顺序的
  • Nominal 定义好赋予数值

Data sets

• Cross-section
• Time series

Sampling Error or Noise

Sampling error is a purely random difference between a sample and population of interest that arises because the sample is a random subset of the population.

Lecture 2 Displaying and Describing Quantitative Data

Histogram

1. Frequency histogram: bar height = frequency
2. Relative histogram：bar height = 频数／总数，直方纵坐标之和为1
3. Density histogram: bar height = fraction/bin width

Central Tendency 数据聚集程度

Mean

Population	Sample
Numbers of observations	N
Mean	$\mu = \frac{\sum_{i = 1}^Ny_i}{N}$

Median

• Order observations from smallest (in value) to the largest
• Find the middle - that would be the median of your data

Mode

• Observation that occurs more often
• Not unique (unimodal, bimodal)

Spread 数据离散程度

Range 极差 is an absolute difference between the smallest and the largest value in the data.

Interquartile Range 四分位数 IQR

• Sort your data in ascending order.
• Divide your data into two equal groups at the median.
• Find the median of the first, “low” group. This is called Q1, or first quartile.
• The median of the second, “high” group is the third quartile, Q3.
• The interquartile range (IQR) is the difference between Q3 and Q1

数列	参数	四分差
1	102
2	104
3	105	Q1
4	107
5	108
6	109	Q2 (中位数)
7	110
8	112
9	115	Q3
10	118
11	118

Percentiles

• median: $50^{th}$ percentile
• first quartile Q1: $25^{th}$ percentile
• third quartile Q3: $75^{th}$ percentile

Variance

Population	Sample
Number of observations	N
Variance	$\sigma^2 = \frac{\sum_{i=1}^{N}(y_i - \mu)^2}{N}$

Total Sum of Squares = TSS = $\sum_{i=1}^{n}(y_i - \bar y)^2$

degrees of freedom = $\nu$ = n - 1

Standard Devation

population standard deviation: $\sigma = \sqrt \frac{\sum_{i=1}^{N}(y_i - \mu)^2}{N}$

sample standard deviation: $s =\sqrt \frac{\sum_{i=1}^{n}(y_i - \bar y)^2}{n-1}$

Comparison/Standardization

Coefficient of Variation (CV) 变异系数

• CV = Standard deviation / Mean
• how much variability is in the data compared to the mean: 变量值平均水平高，其离散程度的测度值越大，反之越小。在进行数据统计分析时，如果变异系数大于15%，则要考虑该数据可能不正常，应该剔除。

z-score

• $z = \frac{y-\bar y}{s}$
• Variable z has a mean of 0 and standard deviation equal to 1
• Value of z-score indicates how many standard deviations a value is from the mean

Lecture 3&4 Linear Relationship: Association, Correlation and Linear Regression

Covariance

Population	Sample
Number of observations	N
Covariance	$\sigma_{xy} = \frac{\sum_{i = 1}^N(x_i-\mu)(y_i-\mu_y)}{N}$

两个变量在变化过程中是同方向变化

Correlation 相关系数

为了能准确的研究两个变量在变化过程中的相似程度，我们就要把变化幅度对协方差的影响，从协方差中剔除掉。

Population	Sample
Covariance	$\sigma_{xy}$
Standard Deviations	$\sigma_x,\sigma_y$
How to find	$\rho = \frac{\sigma_{xy}}{\sigma_x \sigma_y}$

• Coefficient of correlation is always between -1 and 1.

• -1: strong negative linear relationship.

• 1: strong positive linear relationship

• 0: no linear relationship

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The Linear Model

$y = b_0 + b_1 * x$

$b_0$: y-intercept

$b_1$: slope of the line

$e = y - \hat{y}$ observed $y$, Predicted $\hat{y}$

OLS=Ordinary Least Squares 证明

Minimize sum of squares: $min\ \sum_{i=1}^n (y_i - \hat{y_i})^2$ or $min\ \sum_{i=1}^n (y_i - b_0 - b_1*x)^2$

solution:

​ $b_1 = r \frac{s_y}{s_x}$

​ $b_0 = \bar y -b_1\bar x$

need calculate

Proof:

b1=∑ni=1(xi−x¯)(yi−y¯)∑ni=1(xi−x¯)2=∑ni=1(xi−x¯)(yi−y¯)/(n−1)∑ni=1(xi−x¯)2/(n−1)=sxy