贾俊平《统计学》常用公式
统计学公式
数据的概括性度量
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中位数 M e M_e Me
M e = { x ( n + 1 2 ) , n 为 奇 数 1 2 { x ( n 2 ) + x ( n 2 + 1 ) } , n 为 偶 数 M_e = \begin{cases} x_{(\frac{n+1}{2})}, &n为奇数 \\ \frac{1}{2}\left\{ x_{(\frac{n}{2})} + x_{(\frac{n}{2} + 1)} \right\}, &n为偶数 \end{cases} Me={x(2n+1),21{x(2n)+x(2n+1)},n为奇数n为偶数 -
简单样本平均数 x ‾ \overline{x} x
x ‾ = 1 n ∑ i = 1 n x i \begin{aligned} \overline{x} = \frac{1}{n}\sum_{i=1}^n x_i \end{aligned} x=n1i=1∑nxi -
加权样本平均数 x ‾ \overline{x} x
x ‾ = 1 n ∑ i = 1 k M i f i 其 中 n = ∑ i = 1 k f i \begin{aligned} \overline{x} = \frac{1}{n}\sum_{i=1}^k M_i f_i \quad 其中n=\sum_{i=1}^k f_i\end{aligned} x=n1i=1∑kMifi其中n=i=1∑kfi -
几何平均数 G G G
G = ∏ i = 1 n x i n \begin{aligned} G = \sqrt[n]{\prod_{i=1}^n x_i} \end{aligned} G=ni=1∏nxi -
异众比率 V r V_r Vr
V r = ∑ i = 1 k f i − f m ∑ i = 1 k f i = 1 − f m ∑ i = 1 k f i \begin{aligned} V_r &= \frac{\sum_{i=1}^k f_i - f_m}{\sum_{i=1}^k f_i} \\ &=1-\frac{f_m}{\sum_{i=1}^k f_i} \end{aligned} Vr=∑i=1kfi∑i=1kfi−fm=1−∑i=1kfifm -
四分位差 Q d Q_d Qd
Q d = Q U − Q L \begin{aligned} Q_d = Q_U-Q_L \end{aligned} Qd=QU−QL -
极差 R R R
R = m a x ( x 1 , x 2 , ⋯ , x n ) − m i n ( x 1 , x 2 , ⋯ , x n ) \begin{aligned} R = max(x_1,x_2,\cdots,x_n) - min(x_1,x_2,\cdots, x_n) \end{aligned} R=max(x1,x2,⋯,xn)−min(x1,x2,⋯,xn) -
简单平均差 M d M_d Md
M d = 1 n ∑ i = 1 n ∣ x i − x ‾ ∣ \begin{aligned} M_d = \frac{1}{n}\sum_{i=1}^n|x_i-\overline{x}| \end{aligned} Md=n1i=1∑n∣xi−x∣ -
加权平均差 M d M_d Md
M d = 1 n ∑ i = 1 k ∣ M i − x ‾ ∣ f i \begin{aligned} M_d = \frac{1}{n}\sum_{i=1}^k|M_i-\overline{x}|f_i \end{aligned} Md=n1i=1∑k∣Mi−x∣fi -
简单样本方差 s 2 s^2 s2
s 2 = 1 n − 1 ∑ i = 1 n ( x i − x ‾ ) 2 \begin{aligned} s^2 = \frac{1}{n-1}\sum_{i=1}^n(x_i - \overline{x})^2 \end{aligned} s2=n−11i=1∑n(xi−x)2 -
简单样本标准差 s s s
s 2 = 1 n − 1 ∑ i = 1 k ( M i − x ‾ ) 2 f i \begin{aligned} s^2 = \frac{1}{n-1}\sum_{i=1}^k(M_i - \overline{x})^2 f_i \end{aligned} s2=n−11i=1∑k(Mi−x)2fi -
加权样本方差 s 2 s^2 s2
s = 1 n − 1 ∑ i = 1 n ( x i − x ‾ ) 2 \begin{aligned} s = \sqrt{\frac{1}{n-1}\sum_{i=1}^n(x_i - \overline{x})^2} \end{aligned} s=n−11i=1∑n(xi−x)2 -
加权样本标准差 s s s
s = 1 n − 1 ∑ i = 1 k ( M i − x ‾ ) 2 f i \begin{aligned} s = \sqrt{\frac{1}{n-1}\sum_{i=1}^k(M_i - \overline{x})^2 f_i} \end{aligned} s=n−11i=1∑k(Mi−x)2fi -
标准分数 z i z_i zi
z i = x i − x ‾ s \begin{aligned} z_i = \frac{x_i - \overline{x}}{s} \end{aligned} zi=sxi−x -
离散系数 v s v_s vs
v s = s x ‾ \begin{aligned} v_s = \frac{s}{\overline{x}} \end{aligned} vs=xs -
未分组数据的偏态系数 S K SK SK
S K = n ∑ i = 1 n ( x i − x ‾ ) 3 ( n − 1 ) ( n − 2 ) s 3 \begin{aligned} SK = \frac{n \sum_{i=1}^n(x_i - \overline{x})^3}{(n-1)(n-2)s^3} \end{aligned} SK=(n−1)(n−2)s3n∑i=1n(xi−x)3 -
分组数据的偏态系数 S K SK SK
S K = ∑ i = 1 k ( M i − x ‾ ) 3 f i n s 3 \begin{aligned} SK = \frac{\sum_{i=1}^k(M_i - \overline{x})^3 f_i}{ns^3} \end{aligned} SK=ns3∑i=1k(Mi−x)3fi -
未分组数据的峰态系数 K K K
K = n ( n + 1 ) ∑ i = 1 n ( x i − x ‾ ) 4 − 3 ( n − 1 ) [ ∑ i = 1 n ( x i − x ‾ ) 2 ] 2 ( n − 1 ) ( n − 2 ) ( n − 3 ) s 4 \begin{aligned} K = \frac{n(n+1)\sum_{i=1}^n(x_i - \overline{x})^4 - 3(n-1)[\sum_{i=1}^n(x_i - \overline{x})^2]^2}{(n-1)(n-2)(n-3)s^4} \end{aligned} K=(n−1)(n−2)(n−3)s4n(n+1)∑i=1n(xi−x)4−3(n−1)[∑i=1n(xi−x)2]2 -
分组数据的峰态系数 K K K
K = ∑ i = 1 k ( M i − x ‾ ) 4 f i n s 4 − 3 \begin{aligned} K = \frac{\sum_{i=1}^k(M_i - \overline{x})^4 f_i}{ns^4} - 3 \end{aligned} K=ns4∑i=1k(Mi−x)4fi−3
概率与概率分布
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概率的古典定义
P ( A ) = 事 件 A 所 包 含 的 基 本 事 件 个 数 样 本 空 间 所 包 含 的 基 本 事 件 个 数 \begin{aligned} P(A) = \frac{事件A所包含的基本事件个数}{样本空间所包含的基本事件个数} \end{aligned} P(A)=样本空间所包含的基本事件个数事件A所包含的基本事件个数 -
概率的统计定义
P ( A ) = m n 相 同 条 件 下 随 机 试 验 n 次 , 事 件 A 出 现 m 次 \begin{aligned} &P(A) = \frac{m}{n} \\ 相同条件下随机&试验n次,事件A出现m次 \end{aligned} 相同条件下随机P(A)=nm试验n次,事件A出现m次 -
离散型随机变量的期望值
E ( X ) = ∑ k = 0 ∞ k ⋅ P ( X = k ) \begin{aligned} E(X) = \sum_{k = 0}^{\infty} k \cdot P(X=k) \end{aligned} E(X)=k=0∑∞k⋅P(X=k) -
离散型随机变量的方差
V a r ( X ) = ∑ k = 0 ∞ ( k − E ( X ) ) 2 ⋅ P ( X = k ) \begin{aligned} Var(X) = \sum_{k = 0}^{\infty} (k-E(X))^2 \cdot P(X=k) \end{aligned} Var(X)=k=0∑∞(k−E(X))2⋅P(X=k) -
二项分布 b ( n , p ) b(n, p) b(n,p) 的概率
P ( X = k ) = C n k p k ( 1 − p ) n − k \begin{aligned} P(X = k) = C_n^k p^k(1-p)^{n-k} \end{aligned} P(X=k)=Cnkpk(1−p)n−k -
二项分布的期望值
E ( X ) = ∑ k = 0 n k ⋅ P ( X = k ) = ∑ k = 0 n k ⋅ C n k p k ( 1 − p ) n − k = n p \begin{aligned} E(X) &= \sum_{k=0}^{n} k \cdot P(X=k) \\ &= \sum_{k=0}^{n} k \cdot C_n^k p^k(1-p)^{n-k} \\ &= np \end{aligned} E(X)=k=0∑nk⋅P(X=k)=k=0∑nk⋅Cnkpk(1−p)n−k=np -
二项分布的方差
V a r ( X ) = ∑ k = 0 n ( k − E ( X ) ) 2 ⋅ P ( X = k ) = ∑ k = 0 n ( k − E ( X ) ) 2 ⋅ C n k p k ( 1 − p ) n − k = n p ( 1 − p ) \begin{aligned} Var(X) &= \sum_{k=0}^{n} (k-E(X))^2 \cdot P(X=k) \\ &= \sum_{k=0}^{n} (k-E(X))^2 \cdot C_n^k p^k(1-p)^{n-k} \\ &= np(1-p) \end{aligned} Var(X)=k=0∑n(k−E(X))2⋅P(X=k)=k=0∑n(k−E(X))2⋅Cnkpk(1−p)n−k=np(1−p) -
泊松分布 P ( λ ) P(\lambda) P(λ) 的概率
P ( X = k ) = λ k k ! e − λ \begin{aligned} P(X = k) = \frac{\lambda ^ k}{k!} e^{- \lambda} \end{aligned} P(X=k)=k!λke−λ -
泊松分布的期望值
E ( X ) = ∑ k = 0 ∞ k ⋅ P ( X = k ) = ∑ k = 0 ∞ k ⋅ λ k k ! e − λ = λ \begin{aligned} E(X) &= \sum_{k=0}^{\infty} k \cdot P(X=k) \\ &= \sum_{k=0}^{\infty} k \cdot \frac{\lambda ^ k}{k!} e^{- \lambda} \\ &= \lambda \end{aligned} E(X)=k=0∑∞k⋅P(X=k)=k=0∑∞k⋅k!λke−λ=λ -
泊松分布的方差
V a r ( X ) = ∑ k = 0 ∞ ( k − E ( X ) ) 2 ⋅ P ( X = k ) = ∑ k = 0 ∞ ( k − E ( X ) ) 2 ⋅ λ k k ! e − λ = λ \begin{aligned} Var(X) &= \sum_{k=0}^{\infty} (k-E(X))^2 \cdot P(X=k) \\ &= \sum_{k=0}^{\infty} (k-E(X))^2 \cdot \frac{\lambda ^ k}{k!} e^{- \lambda} \\ &= \lambda \end{aligned} Var(X)=k=0∑∞(k−E(X))2⋅P(X=k)=k=0∑∞(k−E(X))2⋅k!λke−λ=λ -
连续型随机变量的期望值
E ( X ) = ∫ − ∞ + ∞ x f ( x ) d x \begin{aligned} E(X) = \int_{- \infty}^{+ \infty} xf(x) \, dx \end{aligned} E(X)=∫−∞+∞xf(x)dx -
连续型随机变量的方差
V a r ( X ) = ∫ − ∞ + ∞ ( x − E ( X ) ) 2 f ( x ) d x \begin{aligned} Var(X) = \int_{- \infty}^{+ \infty} (x-E(X))^2f(x) \, dx \end{aligned} Var(X)=∫−∞+∞(x−E(X))2f(x)dx -
正态分布 N ( μ , σ 2 ) N(\mu , \sigma ^ 2) N(μ,σ2) 的概率密度函数
f ( x ) = 1 2 π σ e x p { − ( x − μ ) 2 2 σ 2 } \begin{aligned} f(x) = \frac{1}{\sqrt{2 \pi} \sigma} exp \left\{ -\frac{(x-\mu)^2}{2 \sigma ^2} \right\} \end{aligned} f(x)=2πσ1exp{−2σ2(x−μ)2} -
标准正态分布的概率密度函数
f ( x ) = 1 2 π e x p { − x 2 2 } \begin{aligned} f(x) = \frac{1}{\sqrt{2 \pi}} exp \left\{ -\frac{x^2}{2} \right\} \end{aligned} f(x)=2π1exp{−2x2} -
标准正态分布的分布函数
F ( x ) = ∫ − ∞ x 1 2 π e x p { − t 2 2 } d t \begin{aligned} F(x) = \int_{- \infty}^x \frac{1}{\sqrt{2 \pi}} exp \left\{ -\frac{t^2}{2}\right\} \, dt \end{aligned} F(x)=∫−∞x2π1exp{−2t2}dt -
标准化公式
z i = x i − x ‾ s \begin{aligned} z_i = \frac{x_i - \overline{x}}{s} \end{aligned} zi=sxi−x
统计量及其抽样分布
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X ‾ \overline{X} X 抽样分布的期望值
E ( x ‾ ) = μ \begin{aligned} E(\overline{x}) = \mu \end{aligned} E(x)=μ -
X ‾ \overline{X} X 抽样分布的方差
V a r ( X ‾ ) = σ 2 n \begin{aligned} Var(\overline{X}) = \frac{\sigma^2}{n} \end{aligned} Var(X)=nσ2 -
样本方差 S 2 S^2 S2
S 2 = 1 n − 1 ∑ i = 1 n ( X i − X ‾ ) 2 \begin{aligned} S^2 = \frac{1}{n-1} \sum_{i=1}^n (X_i - \overline{X})^2 \end{aligned} S2=n−11i=1∑n(Xi−X)2 -
样本变异系数 V V V
V = S X ‾ \begin{aligned} V = \frac{S}{\overline{X}} \end{aligned} V=XS -
样本 k k k阶矩 m k m_k mk
m k = 1 n ∑ i = 1 n X i k \begin{aligned} m_k = \frac{1}{n} \sum_{i=1}^n X_i^k \end{aligned} mk=n1i=1∑nXik -
样本 k k k阶中心距 v k v_k vk
v k = 1 n − 1 ∑ i = 1 n ( X i − X ‾ ) k \begin{aligned} v_k = \frac{1}{n-1} \sum_{i=1}^n (X_i - \overline{X})^k \end{aligned} vk=n−11i=1∑n(Xi−X)k -
样本偏度 α 3 \alpha_3 α3
α 3 = n − 1 ∑ i = 1 n ( X i − X ‾ ) 3 ∑ i = 1 n [ ( X i − X ‾ ) 2 ] 3 / 2 \begin{aligned} \alpha_3 = \frac{\sqrt{n-1} \sum_{i=1}^n(X_i - \overline{X})^3}{\sum_{i=1}^n[(X_i - \overline{X})^2]^{3/2}} \end{aligned} α3=∑i=1n[(Xi−X)2]3/2n−1∑i=1n(Xi−X)3 -
样本峰度 α 4 \alpha_4 α4
α 4 = ( n − 1 ) ∑ i = 1 n ( X i − X ‾ ) 4 ∑ i = 1 n [ ( X i − X ‾ ) 2 ] 2 − 3 \begin{aligned} \alpha_4 = \frac{(n-1) \sum_{i=1}^n(X_i - \overline{X})^4}{\sum_{i=1}^n[(X_i - \overline{X})^2]^2} - 3 \end{aligned} α4=∑i=1n[(Xi−X)2]2(n−1)∑i=1n(Xi−X)4−3
参数估计
一个总体参数的区间估计
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总体均值的置信区间(正态总体, σ \sigma σ已知)
x ‾ ± z α / 2 σ n \begin{aligned} \overline{x} \pm z_{\alpha /2} \frac{\sigma}{\sqrt{n}} \end{aligned} x±zα/2nσ -
总体均值的置信区间( σ \sigma σ未知,大样本)
x ‾ ± z α / 2 s n \begin{aligned} \overline{x} \pm z_{\alpha /2} \frac{s}{\sqrt{n}} \end{aligned} x±zα/2ns -
总体均值的置信区间(正态总体, σ \sigma σ未知,小样本)
x ‾ ± t α / 2 ( n − 1 ) s n \begin{aligned} \overline{x} \pm t_{\alpha /2}(n-1) \frac{s}{\sqrt{n}} \end{aligned} x±tα/2(n−1)ns -
总体比例的置信区间
p ± z α / 2 p ( 1 − p ) n \begin{aligned} p \pm z_{\alpha /2} \sqrt{\frac{p(1-p)}{n}} \end{aligned} p±zα/2np(1−p) -
总体方差的置信区间
( ( n − 1 ) s 2 χ α / 2 2 ( n − 1 ) , ( n − 1 ) s 2 χ 1 − α / 2 2 ( n − 1 ) ) \begin{aligned} \left( \frac{(n-1)s^2}{\chi^2_{\alpha /2}(n-1)}, \frac{(n-1)s^2}{\chi^2_{1-\alpha /2}(n-1)} \right) \end{aligned} (χα/22(n−1)(n−1)s2,χ1−α/22(n−1)(n−1)s2)
两个总体参数的区间估计
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均值之差的区间估计(独立大样本, σ 1 2 \sigma_1^2 σ12 和 σ 2 2 \sigma_2^2 σ22 已知)
x 1 ‾ − x 2 ‾ ± z α / 2 σ 1 2 n 1 + σ 2 2 n 2 \begin{aligned} \overline{x_1} - \overline{x_2} \pm z_{\alpha / 2} \sqrt{\frac{\sigma_1^2}{n_1} + \frac{\sigma_2^2}{n_2}} \end{aligned} x1−x2±zα/2n1σ12+n2σ22 -
均值之差的区间估计(独立大样本, σ 1 2 \sigma_1^2 σ12 和 σ 2 2 \sigma_2^2 σ22 未知)
x 1 ‾ − x 2 ‾ ± z α / 2 s 1 2 n 1 + s 2 2 n 2 \begin{aligned} \overline{x_1} - \overline{x_2} \pm z_{\alpha / 2} \sqrt{\frac{s_1^2}{n_1} + \frac{s_2^2}{n_2}} \end{aligned} x1−x2±zα/2n1s12+n2s22 -
均值之差的区间估计(独立小样本, σ 1 2 \sigma_1^2 σ12 和 σ 2 2 \sigma_2^2 σ22 未知但相等)
x 1 ‾ − x 2 ‾ ± t α / 2 ( n 1 + n 2 − 2 ) s p 2 ( 1 n 1 + 1 n 2 ) 其 中 s p 2 = ( n 1 − 1 ) s 1 2 + ( n 2 − 1 ) s 2 2 n 1 + n 2 − 2 \begin{aligned} &\overline{x_1} - \overline{x_2} \pm t_{\alpha / 2}(n_1+n_2-2) \sqrt{s_p^2 \left(\frac{1}{n_1} + \frac{1}{n_2}\right)} \\ &其中s_p^2 = \frac{(n_1 - 1)s_1^2 + (n_2-1)s_2^2}{n_1 + n_2 - 2} \end{aligned} x1−x2±tα/2(n1+n2−2)sp2(n11+n21)其中sp2=n1+n2−2(n1−1)s12+(n2−1)s22 -
均值之差的区间估计(独立小样本, σ 1 2 \sigma_1^2 σ12 和 σ 2 2 \sigma_2^2 σ22 未知且不相等,两个样本的容量相等)
类 似 于 匹 配 样 本 , 记 Y = X 1 − X 2 ∼ N ( μ 1 − μ 2 , σ 1 2 + σ 2 2 ) , S Y 2 = 1 n − 1 ∑ i = 1 n ( Y i − Y ‾ ) 2 , 则 T = ( X 1 ‾ − X 2 ‾ ) − ( μ 1 − μ 2 ) S Y / n ( X 1 ‾ − X 2 ‾ ) ± t α / 2 ( n − 1 ) S Y n \begin{aligned} 类似于匹配样本,记Y = X_1 - X_2 &\sim N(\mu_1 - \mu_2, \sigma_1^2 + \sigma_2^2), S_Y^2 = \frac{1}{n-1} \sum_{i=1}^n (Y_i - \overline{Y})^2,则\\ T &= \frac{(\overline{X_1} - \overline{X_2}) - (\mu_1 - \mu_2)}{S_Y / \sqrt{n}} \\ & (\overline{X_1} - \overline{X_2}) \pm t_{\alpha / 2}(n-1) \frac{S_Y}{\sqrt{n}} \end{aligned} 类似于匹配样本,记Y=X1−X2T∼N(μ1−μ2,σ12+σ22),SY2=n−11i=1∑n(Yi−Y)2,则=SY/n(X1−X2)−(μ1−μ2)(X1−X2)±tα/2(n−1)nSY -
均值之差的区间估计(独立小样本, σ 1 2 \sigma_1^2 σ12 和 σ 2 2 \sigma_2^2 σ22 未知且不相等,两个样本的容量不相等)
x 1 ‾ − x 2 ‾ ± t α / 2 ( v ) s 1 2 n 1 + s 2 2 n 2 其 中 v = ( s 1 2 / n 1 + s 2 2 / n 2 ) 2 ( s 1 2 / n 1 ) 2 n 1 − 1 + ( s 2 2 / n 2 ) 2 n 2 − 1 \begin{aligned} &\overline{x_1} - \overline{x_2} \pm t_{\alpha / 2}(v) \sqrt{\frac{s_1^2}{n_1} + \frac{s_2^2}{n_2}} \\ &其中v = \frac{\left( s_1^2/n_1 + s_2^2/n_2 \right)^2}{ \frac{(s_1^2/n_1)^2}{n_1-1} + \frac{(s_2^2/n_2)^2}{n_2-1}} \end{aligned} x1−x2±tα/2(v)n1s12+n2s22其中v=n1−1(s12/n1)2+n2−1(s22/n2)2(s12/n1+s22/n2)2 -
均值之差的置信区间(匹配大样本)
d ‾ ± z α / 2 σ d n \begin{aligned} \overline{d} \pm z_{\alpha / 2} \frac{\sigma_d}{\sqrt{n}} \end{aligned} d±zα/2nσd -
均值之差的置信区间(匹配小样本)
d ‾ ± t α / 2 ( n − 1 ) s d n \begin{aligned} \overline{d} \pm t_{\alpha / 2}(n-1) \frac{s_d}{\sqrt{n}} \end{aligned} d±tα/2(n−1)nsd -
两个总体比例之差的置信区间
( p 1 − p 2 ) ± z α / 2 p 1 ( 1 − p 1 ) n 1 + p 2 ( 1 − p 2 ) n 2 \begin{aligned} (p_1 -p_2) \pm z_{\alpha / 2} \sqrt{\frac{p_1(1-p_1)}{n_1} + \frac{p_2(1-p_2)}{n_2}} \end{aligned} (p1−p2)±zα/2n1p1(1−p1)+n2p2(1−p2) -
两个总体方差比的置信区间
( s 1 2 s 2 2 ⋅ F α / 2 ( n 1 − 1 , n 2 − 1 ) , s 1 2 s 2 2 ⋅ F 1 − α / 2 ( n 1 − 1 , n 2 − 1 ) ) \begin{aligned} \left( \frac{s_1^2}{s_2^2 \cdot F_{\alpha / 2}(n_1-1,n_2-1)}, \frac{s_1^2}{s_2^2 \cdot F_{1 - \alpha / 2}(n_1-1,n_2-1)} \right) \end{aligned} (s22⋅Fα/2(n1−1,n2−1)s12,s22⋅F1−α/2(n1−1,n2−1)s12)
样本量的确定
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估计总体均值时的样本量
n = z α / 2 2 ⋅ σ 2 E 2 \begin{aligned} n = \frac{z_{\alpha / 2}^2 \cdot \sigma^2}{E^2} \end{aligned} n=E2zα/22⋅σ2 -
估计总体比例时的样本量
n = z α / 2 2 ⋅ p ( 1 − p ) E 2 \begin{aligned} n = \frac{z_{\alpha / 2}^2 \cdot p(1-p)}{E^2} \end{aligned} n=E2zα/22⋅p(1−p)
假设检验
一个总体参数的假设检验统计量
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总体均值检验的统计量(正态总体, σ \sigma σ 已知)
n x ‾ − μ 0 σ ∼ N ( 0 , 1 ) \begin{aligned} \sqrt{n} \frac{\overline{x} - \mu_0}{\sigma} \sim N(0, 1) \end{aligned} nσx−μ0∼N(0,1) -
总体均值检验的统计量( σ \sigma σ 未知,大样本)
n x ‾ − μ 0 s ∼ N ( 0 , 1 ) \begin{aligned} \sqrt{n} \frac{\overline{x} - \mu_0}{s} \sim N(0, 1) \end{aligned} nsx−μ0∼N(0,1) -
总体均值检验的统计量(正态总体, σ \sigma σ 未知,小样本)
n x ‾ − μ 0 s ∼ t ( n − 1 ) \begin{aligned} \sqrt{n} \frac{\overline{x} - \mu_0}{s} \sim t(n-1) \end{aligned} nsx−μ0∼t(n−1) -
总体比例的检验统计量
n p − π p ( 1 − p ) ∼ N ( 0 , 1 ) \begin{aligned} \sqrt{n} \frac{p - \pi}{\sqrt{p(1-p)}} \sim N(0, 1) \end{aligned} np(1−p)p−π∼N(0,1) -
总体方差的检验统计量
( n − 1 ) s 2 σ 2 ∼ χ 2 ( n − 1 ) \begin{aligned} \frac{(n-1)s^2}{\sigma^2} \sim \chi^2(n-1) \end{aligned} σ2(n−1)s2∼χ2(n−1)
两个总体参数的假设检验统计量
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两个总体均值之差检验的统计量( σ 1 2 \sigma_1^2 σ12, σ 2 2 \sigma_2^2 σ22 已知)
x 1 ‾ − x 2 ‾ − ( μ 1 − μ 2 ) σ 1 2 n 1 + σ 2 2 n 2 ∼ N ( 0 , 1 ) \begin{aligned} \frac{\overline{x_1} - \overline{x_2} - (\mu_1 - \mu_2)}{\sqrt{\frac{\sigma_1^2}{n_1} + \frac{\sigma_2^2}{n_2}}} \sim N(0,1) \end{aligned} n1σ12+n2σ22x1−x2−(μ1−μ2)∼N(0,1) -
两个总体均值之差检验的统计量( σ 1 2 \sigma_1^2 σ12, σ 2 2 \sigma_2^2 σ22 未知但相等,小样本)
x 1 ‾ − x 2 ‾ − ( μ 1 − μ 2 ) s p 2 ( 1 n 1 + 1 n 2 ) ∼ t ( n − 1 ) \begin{aligned} \frac{\overline{x_1} - \overline{x_2} - (\mu_1 - \mu_2)}{\sqrt{s_p^2 \left( \frac{1}{n_1} + \frac{1}{n_2} \right)}} \sim t(n-1) \end{aligned} sp2(n11+n21)x1−x2−(μ1−μ2)∼t(n−1) -
两个总体比例之差检验的统计量(检验两个总体比例相等的假设)
p 1 − p 2 − ( π 1 − π 2 ) p ( 1 − p ) ( 1 n 1 + 1 n 2 ) ∼ N ( 0 , 1 ) 其 中 p = n 1 p 1 + n 2 p 2 n 1 + n 2 \begin{aligned} &\frac{p_1 - p_2 - (\pi_1 - \pi_2)}{\sqrt{p(1-p) \left( \frac{1}{n_1} + \frac{1}{n_2} \right)}} \sim N(0,1) \\ &其中p = \frac{n_1p_1 + n_2p_2}{n_1+n_2} \end{aligned} p(1−p)(n11+n21)p1−p2−(π1−π2)∼N(0,1)其中p=n1+n2n1p1+n2p2 -
两个总体比例之差检验的统计量(检验两个总体比例之差不为0的假设)
p 1 − p 2 − ( π 1 − π 2 ) p 1 ( 1 − p 1 ) n 1 + p 2 ( 1 − p 2 ) n 2 ∼ N ( 0 , 1 ) \begin{aligned} \frac{p_1 - p_2 - (\pi_1 - \pi_2)}{\sqrt{\frac{p_1(1-p_1)}{n_1} + \frac{p_2(1-p_2)}{n_2}}} \sim N(0,1) \end{aligned} n1p1(1−p1)+n2p2(1−p2)p1−p2−(π1−π2)∼N(0,1) -
两个样本方差比检验的统计量
s 1 2 / σ 1 2 s 2 2 / σ 2 2 ∼ F ( n 1 − 1 , n 2 − 1 ) \begin{aligned} \frac{s_1^2/\sigma_1^2}{s_2^2/\sigma_2^2} \sim F(n_1-1, n_2-1) \end{aligned} s22/σ22s12/σ12∼F(n1−1,n2−1)
分类数据分析
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χ 2 \chi^2 χ2 统计量
χ 2 = ∑ i = 1 r ∑ j = 1 s ( n i j − n p i j ^ ) 2 n p i j ^ ∼ χ 2 ( ( r − 1 ) ( s − 1 ) ) = ∑ i = 1 r ∑ j = 1 s ( n i j − n p i ⋅ ^ ⋅ p ⋅ j ^ ) 2 n p i ⋅ ^ ⋅ p ⋅ j ^ = ∑ i = 1 r ∑ j = 1 s ( n i j − n i ⋅ ⋅ n ⋅ j / n ) 2 n i ⋅ ⋅ n ⋅ j / n \begin{aligned} \chi^2 &= \sum_{i = 1}^r \sum_{j = 1}^s \frac{(n_{ij} - n\hat{p_{ij}})^2}{n\hat{p_{ij}}} \sim \chi^2((r-1)(s-1)) \\ &= \sum_{i = 1}^r \sum_{j = 1}^s \frac{(n_{ij} - n \hat{p_{i \cdot}} \cdot \hat{p_{\cdot j}})^2}{n \hat{p_{i \cdot}} \cdot \hat{p_{\cdot j}}} \\ &= \sum_{i = 1}^r \sum_{j = 1}^s \frac{(n_{ij} - n_{i \cdot} \cdot n_{\cdot j} / n)^2}{n_{i \cdot} \cdot n_{\cdot j} / n} \end{aligned} χ2=i=1∑rj=1∑snpij^(nij−npij^)2∼χ2((r−1)(s−1))=i=1∑rj=1∑snpi⋅^⋅p⋅j^(nij−npi⋅^⋅p⋅j^)2=i=1∑rj=1∑sni⋅⋅n⋅j/n(nij−ni⋅⋅n⋅j/n)2 -
φ \varphi φ 相关系数
φ = χ 2 / n \begin{aligned} \varphi = \sqrt{\chi^2 / n} \end{aligned} φ=χ2/n -
列联相关系数
c = χ 2 χ 2 + n \begin{aligned} c = \sqrt{\frac{\chi^2}{\chi^2 + n}} \end{aligned} c=χ2+nχ2 -
V V V 相关系数
V = χ 2 n × m i n { r − 1 , s − 1 } 显 然 若 有 一 维 为 2 , 则 V 值 就 等 于 φ 值 \begin{aligned} V &= \sqrt{\frac{\chi^2}{n \times min\{r-1, s-1 \}}} \\ &显然若有一维为2,则V值就等于\varphi值 \end{aligned} V=n×min{r−1,s−1}χ2显然若有一维为2,则V值就等于φ值
方差分析
单因素方差分析
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总平方和 S S T SST SST
S S T = ∑ i = 1 k ∑ j = 1 n i ( x i j − x ‾ ‾ ) 2 \begin{aligned} SST=\sum_{i=1}^k \sum_{j=1}^{n_i} (x_{ij} - \overline{\overline{x}})^2 \end{aligned} SST=i=1∑kj=1∑ni(xij−x)2 -
组间平方和 S S A SSA SSA
S S A = ∑ i = 1 k n i ( x ‾ i − x ‾ ‾ ) 2 \begin{aligned} SSA=\sum_{i=1}^k n_i (\overline{x}_i - \overline{\overline{x}})^2 \end{aligned} SSA=i=1∑kni(xi−x)2 -
组内平方和 S S E SSE SSE
S S E = ∑ i = 1 k ∑ j = 1 n i ( x i j − x ‾ i ) 2 \begin{aligned} SSE=\sum_{i=1}^k \sum_{j=1}^{n_i} (x_{ij} - \overline{x}_i)^2 \end{aligned} SSE=i=1∑kj=1∑ni(xij−xi)2 -
组间方差 M S A MSA MSA
M S A = S S A k − 1 \begin{aligned} MSA = \frac{SSA}{k - 1} \end{aligned} MSA=k−1SSA -
组间方差 M S E MSE MSE
M S E = S S E n − k \begin{aligned} MSE = \frac{SSE}{n - k} \end{aligned} MSE=n−kSSE -
检验统计量
F = S S A / ( k − 1 ) S S E / ( n − k ) ∼ F ( k − 1 , n − k ) = M S A M S E \begin{aligned} F &= \frac{SSA/(k-1)}{SSE / (n-k)} \sim F(k-1, n-k) \\ &= \frac{MSA}{MSE} \end{aligned} F=SSE/(n−k)SSA/(k−1)∼F(k−1,n−k)=MSEMSA -
关系强度的测量 R 2 R^2 R2
R 2 = S S A S S T \begin{aligned} R^2 = \frac{SSA}{SST} \end{aligned} R2=SSTSSA -
多重比较的 L S D LSD LSD
L S D = t α / 2 ( n − k ) M S E ( 1 n i + 1 n j ) \begin{aligned} LSD = t_{\alpha /2}(n-k) \sqrt{MSE(\frac{1}{n_i} + \frac{1}{n_j})} \end{aligned} LSD=tα/2(n−k)MSE(ni1+nj1)
双因素方差分析
无交互作用
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总平方和 S S T SST SST
S S T = ∑ i = 1 k ∑ j = 1 r ( x i j − x ‾ ‾ ) 2 \begin{aligned} SST = \sum_{i=1}^k \sum_{j=1}^r(x_{ij} - \overline{\overline{x}})^2 \end{aligned} SST=i=1∑kj=1∑r(xij−x)2 -
行因素平方和 S S R SSR SSR
S S R = ∑ i = 1 k ∑ j = 1 r ( x ‾ i ⋅ − x ‾ ‾ ) 2 \begin{aligned} SSR = \sum_{i=1}^k \sum_{j=1}^r(\overline{x}_{i \cdot} - \overline{\overline{x}})^2 \end{aligned} SSR=i=1∑kj=1∑r(xi⋅−x)2 -
列因素平方和 S S C SSC SSC
S S C = ∑ i = 1 k ∑ j = 1 r ( x ‾ ⋅ j − x ‾ ‾ ) 2 \begin{aligned} SSC = \sum_{i=1}^k \sum_{j=1}^r(\overline{x}_{\cdot j} - \overline{\overline{x}})^2 \end{aligned} SSC=i=1∑kj=1∑r(x⋅j−x)2 -
误差平方和 S S E SSE SSE
S S E = ∑ i = 1 k ∑ j = 1 r ( x i j − x ‾ i ⋅ − x ‾ ⋅ j + x ‾ ‾ ) 2 = S S T − S S R − S S C \begin{aligned} SSE &= \sum_{i=1}^k \sum_{j=1}^r(x_{ij} - \overline{x}_{i \cdot} - \overline{x}_{\cdot j} + \overline{\overline{x}})^2 \\ &= SST - SSR - SSC \end{aligned} SSE=i=1∑kj=1∑r(xij−xi⋅−x⋅j+x)2=SST−SSR−SSC -
行因素的均方 M S R MSR MSR
M S R = S S R k − 1 \begin{aligned} MSR = \frac{SSR}{k - 1} \end{aligned} MSR=k−1SSR -
列因素的均方 M S C MSC MSC
M S C = S S C r − 1 \begin{aligned} MSC = \frac{SSC}{r - 1} \end{aligned} MSC=r−1SSC -
随机误差项的均方 M S E MSE MSE
M S E = S S E ( k − 1 ) ( r − 1 ) \begin{aligned} MSE = \frac{SSE}{(k-1)(r-1)} \end{aligned} MSE=(k−1)(r−1)SSE -
行因素的检验统计量 F R F_R FR
F R = M S R M S E ∼ F ( k − 1 , ( k − 1 ) ( r − 1 ) ) \begin{aligned} F_R = \frac{MSR}{MSE} \sim F(k-1, (k-1)(r-1)) \end{aligned} FR=MSEMSR∼F(k−1,(k−1)(r−1)) -
列因素的检验统计量 F C F_C FC
F C = M S C M S E ∼ F ( r − 1 , ( k − 1 ) ( r − 1 ) ) \begin{aligned} F_C = \frac{MSC}{MSE} \sim F(r-1, (k-1)(r-1)) \end{aligned} FC=MSEMSC∼F(r−1,(k−1)(r−1)) -
关系强度的测量 R 2 R^2 R2
R 2 = S S R + S S C S S T \begin{aligned} R^2 = \frac{SSR + SSC}{SST} \end{aligned} R2=SSTSSR+SSC
有交互作用
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总平方和 S S T SST SST
S S T = ∑ i = 1 k ∑ j = 1 r ∑ l = 1 m ( x i j l − x ‾ ‾ ) 2 \begin{aligned} SST = \sum_{i=1}^k \sum_{j=1}^r \sum_{l=1}^m (x_{ijl} - \overline{\overline{x}})^2 \end{aligned} SST=i=1∑kj=1∑rl=1∑m(xijl−x)2 -
行因素平方和 S S R SSR SSR
S S R = r m ∑ i = 1 k ( x ‾ i ⋅ − x ‾ ‾ ) 2 \begin{aligned} SSR = rm\sum_{i=1}^k(\overline{x}_{i \cdot} - \overline{\overline{x}})^2 \end{aligned} SSR=rmi=1∑k(xi⋅−x)2 -
列因素平方和 S S C SSC SSC
S S C = k m ∑ j = 1 r ( x ‾ ⋅ j − x ‾ ‾ ) 2 \begin{aligned} SSC = km \sum_{j=1}^r(\overline{x}_{\cdot j} - \overline{\overline{x}})^2 \end{aligned} SSC=kmj=1∑r(x⋅j−x)2 -
交互作用平方和 S S R C SSRC SSRC
S S R C = m ∑ i = 1 k ∑ j = 1 r ( x ‾ i j − x ‾ i ⋅ − x ‾ ⋅ j + x ‾ ‾ ) 2 \begin{aligned} SSRC = m \sum_{i=1}^k \sum_{j=1}^r(\overline{x}_{ij} - \overline{x}_{i \cdot} - \overline{x}_{\cdot j} + \overline{\overline{x}})^2 \end{aligned} SSRC=mi=1∑kj=1∑r(xij−xi⋅−x⋅j+x)2 -
误差平方和 S S E SSE SSE
S S E = S S T − S S R − S S C − S S R C \begin{aligned} SSE = SST - SSR - SSC - SSRC \end{aligned} SSE=SST−SSR−SSC−SSRC -
行因素的均方 M S R MSR MSR
M S R = S S R k − 1 \begin{aligned} MSR = \frac{SSR}{k-1} \end{aligned} MSR=k−1SSR -
列因素的均方 M S C MSC MSC
M S C = S S C r − 1 \begin{aligned} MSC = \frac{SSC}{r-1} \end{aligned} MSC=r−1SSC -
交互作用的均方 M S R C MSRC MSRC
M S R C = S S R C ( k − 1 ) ( r − 1 ) \begin{aligned} MSRC = \frac{SSRC}{(k-1)(r-1)} \end{aligned} MSRC=(k−1)(r−1)SSRC -
随机误差项的均方 M S E MSE MSE
M S E = S S E k r ( m − 1 ) \begin{aligned} MSE = \frac{SSE}{kr(m-1)} \end{aligned} MSE=kr(m−1)SSE -
行因素的检验统计量 F R F_R FR
F R = M S R M S E ∼ F ( k − 1 , k r ( m − 1 ) ) \begin{aligned} F_R = \frac{MSR}{MSE} \sim F(k-1, kr(m-1)) \end{aligned} FR=MSEMSR∼F(k−1,kr(m−1)) -
列因素的检验统计量 F C F_C FC
F C = M S C M S E ∼ F ( r − 1 , k r ( m − 1 ) ) \begin{aligned} F_C = \frac{MSC}{MSE} \sim F(r-1, kr(m-1)) \end{aligned} FC=MSEMSC∼F(r−1,kr(m−1)) -
交互作用的检验统计量 F R C F_{RC} FRC
F R C = M S R C M S E ∼ F ( ( k − 1 ) ( r − 1 ) , k r ( m − 1 ) ) \begin{aligned} F_{RC} = \frac{MSRC}{MSE} \sim F((k-1)(r-1), kr(m-1)) \end{aligned} FRC=MSEMSRC∼F((k−1)(r−1),kr(m−1))
一元线性回归
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相关系数 r r r
r = ∑ i = 1 n ( x i − x ‾ ) ( y i − y ‾ ) ∑ i = 1 n ( x i − x ‾ ) 2 ∑ i = 1 n ( y i − y ‾ ) 2 = ∑ i = 1 n x i ⋅ y i − n x ‾ ⋅ y ‾ ∑ i = 1 n x i 2 − n x ‾ 2 ∑ i = 1 n y i 2 − n y ‾ 2 = C o v ( X , Y ) σ X ⋅ σ Y = l x y l x x l y y \begin{aligned} r &= \frac{\sum_{i=1}^n(x_i - \overline{x})(y_i - \overline{y})}{\sqrt{\sum_{i=1}^n(x_i - \overline{x})^2} \sqrt{\sum_{i=1}^n(y_i - \overline{y})^2}} \\ &= \frac{\sum_{i=1}^nx_i \cdot y_i - n\overline{x} \cdot \overline{y}}{\sqrt{\sum_{i=1}^n x_i ^2 - n \overline{x} ^2} \sqrt{\sum_{i=1}^n y_i ^2 - n \overline{y} ^2}} \\ &= \frac{Cov(X,Y)}{\sqrt{\sigma_X\cdot\sigma_Y}} \\ &= \frac{l_{xy}}{\sqrt{l_{xx}l_{yy}}} \end{aligned} r=∑i=1n(xi−x)2∑i=1n(yi−y)2∑i=1n(xi−x)(yi−y)=∑i=1nxi2−nx2∑i=1nyi2−ny2∑i=1nxi⋅yi−nx⋅y=σX⋅σYCov(X,Y)=lxxlyylxy -
相关系数的检验统计量
t = r n − 2 1 − r 2 ∼ t ( n − 2 ) \begin{aligned} t = r\sqrt{\frac{n-2}{1-r^2}} \sim t(n-2) \end{aligned} t=r1−r2n−2∼t(n−2) -
一元线性回归模型
y = β 0 + β 1 x + ϵ \begin{aligned} y = \beta_0 + \beta_1 x + \epsilon \end{aligned} y=β0+β1x+ϵ -
一元线性回归方程
E ( y ) = β 0 + β 1 x \begin{aligned} E(y) = \beta_0 + \beta_1 x \end{aligned} E(y)=β0+β1x -
估计的一元线性回归方程
y ^ = β 0 ^ + β 1 ^ x \begin{aligned} \hat{y} = \hat{\beta_0} + \hat{\beta_1} x \end{aligned} y^=β0^+β1^x -
回归方程的斜率(回归系数) β 1 ^ \hat{\beta_1} β1^
β 1 ^ = ∑ i = 1 n ( x i − x ‾ ) ( y i − y ‾ ) ∑ i = 1 n ( x i − x ‾ ) 2 = ∑ i = 1 n x i ⋅ y i − n x ‾ ⋅ y ‾ ∑ i = 1 n x i 2 − n x ‾ 2 = C o v ( X , Y ) V a r ( X ) = l x y l x x \begin{aligned} \hat{\beta_1} &= \frac{\sum_{i=1}^n(x_i - \overline{x})(y_i - \overline{y})}{\sum_{i=1}^n(x_i - \overline{x})^2} \\ &= \frac{\sum_{i=1}^nx_i \cdot y_i - n\overline{x} \cdot \overline{y}}{\sum_{i=1}^n x_i ^2 - n \overline{x} ^2} \\ &= \frac{Cov(X, Y)}{Var(X)} \\ &= \frac{l_{xy}}{l_{xx}} \end{aligned} β1^=∑i=1n(xi−x)2∑i=1n(xi−x)(yi−y)=∑i=1nxi2−nx2∑i=1nxi⋅yi−nx⋅y=Var(X)Cov(X,Y)=lxxlxy -
回归方程的截距 β 0 ^ \hat{\beta_0} β0^
β 0 ^ = y ‾ − β 1 ^ x ‾ \begin{aligned} \hat{\beta_0} = \overline{y} - \hat{\beta_1}\overline{x} \end{aligned} β0^=y−β1^x -
总平方和 S S T SST SST
S S T = ∑ i = 1 n ( y i − y ‾ ) 2 = l y y \begin{aligned} SST = \sum_{i=1}^n(y_i - \overline{y})^2 = l_{yy} \end{aligned} SST=i=1∑n(yi−y)2=lyy -
回归平方和 S S R SSR SSR
S S R = ∑ i = 1 n ( y i ^ − y ‾ ) 2 = ∑ i = 1 n ( β 0 ^ + β 1 ^ x i − β 0 ^ − β 1 ^ x ‾ ) 2 = β 1 ^ 2 ∑ i = 1 n ( x i − x ‾ ) 2 = β 1 ^ 2 l x x \begin{aligned} SSR &= \sum_{i=1}^n(\hat{y_i} - \overline{y})^2 \\ &= \sum_{i=1}^n(\hat{\beta_0} + \hat{\beta_1}x_i - \hat{\beta_0} - \hat{\beta_1} \overline{x})^2 \\ &= \hat{\beta_1}^2 \sum_{i=1}^n (x_i - \overline{x})^2 \\ &= \hat{\beta_1}^2 l_{xx} \end{aligned} SSR=i=1∑n(yi^−y)2=i=1∑n(β0^+β1^xi−β0^−β1^x)2=β1^2i=1∑n(xi−x)2=β1^2lxx -
离差平方和 S S E SSE SSE
S S E = ∑ i = 1 n ( y i − y i ^ ) 2 \begin{aligned} SSE = \sum_{i=1}^n(y_i - \hat{y_i})^2 \end{aligned} SSE=i=1∑n(yi−yi^)2 -
判定系数 R 2 R^2 R2
R 2 = ∑ i = 1 n ( y i ^ − y ‾ ) 2 ∑ i = 1 n ( y i − y ‾ ) 2 = ∑ i = 1 n ( β 0 ^ + β 1 ^ x i − β 0 ^ − β 1 ^ x ‾ ) 2 ∑ i = 1 n ( y i − y ‾ ) 2 = β 1 ^ 2 ∑ i = 1 n ( x i − x ‾ ) 2 ∑ i = 1 n ( y i − y ‾ ) 2 = β 1 ^ 2 l x x l y y \begin{aligned} R^2 &= \frac{\sum_{i=1}^n(\hat{y_i} - \overline{y})^2}{\sum_{i=1}^n(y_i - \overline{y})^2} \\ &= \frac{\sum_{i=1}^n(\hat{\beta_0} + \hat{\beta_1}x_i - \hat{\beta_0} - \hat{\beta_1} \overline{x})^2}{\sum_{i=1}^n(y_i - \overline{y})^2} \\ &= \hat{\beta_1}^2 \frac{\sum_{i=1}^n(x_i - \overline{x})^2}{\sum_{i=1}^n(y_i - \overline{y})^2} \\ &= \hat{\beta_1}^2 \frac{l_{xx}}{l_{yy}} \end{aligned} R2=∑i=1n(yi−y)2∑i=1n(yi^−y)2=∑i=1n(yi−y)2∑i=1n(β0^+β1^xi−β0^−β1^x)2=β1^2∑i=1n(yi−y)2∑i=1n(xi−x)2=β1^2lyylxx -
估计标准误差 s e s_e se
s e = ∑ i = 1 n ( y i − y i ^ ) 2 n − 2 = S S E n − 2 \begin{aligned} s_e &= \sqrt{\frac{\sum_{i=1}^n(y_i - \hat{y_i})^2}{n-2}} \\ &= \sqrt{\frac{SSE}{n-2}} \end{aligned} se=n−2∑i=1n(yi−yi^)2=n−2SSE -
线性关系检验的统计量
F = S S R / 1 S S E / ( n − 2 ) ∼ F ( 1 , n − 2 ) = ( n − 2 ) S S R S S T − S S R = ( n − 2 ) R 2 1 − R 2 \begin{aligned} F &= \frac{SSR / 1}{SSE / (n-2)} \sim F(1, n-2) \\ &= (n-2)\frac{SSR}{SST - SSR} \\ &= (n-2)\frac{R^2}{1-R^2} \end{aligned} F=SSE/(n−2)SSR/1∼F(1,n−2)=(n−2)SST−SSRSSR=(n−2)1−R2R2 -
估计的回归系数 β 1 ^ \hat{\beta_1} β1^ 的标准差 σ β 1 ^ \sigma_{\hat{\beta_1}} σβ1^
σ β 1 ^ = σ ^ ∑ i = 1 n ( x i − x ‾ ) 2 \begin{aligned} \sigma_{\hat{\beta_1}} = \frac{\hat{\sigma}}{\sqrt{\sum_{i=1}^n(x_i - \overline{x})^2}} \end{aligned} σβ1^=∑i=1n(xi−x)2σ^ -
β 1 ^ \hat{\beta_1} β1^的估计的标准差 s β 1 ^ s_{\hat{\beta_1}} sβ1^
s β 1 ^ = s e ∑ i = 1 n ( x i − x ‾ ) 2 = s e l x x \begin{aligned} s_{\hat{\beta_1}} &= \frac{s_e}{\sqrt{\sum_{i=1}^n(x_i - \overline{x})^2}} \\ &= \frac{s_e}{\sqrt{l_{xx}}} \end{aligned} sβ1^=∑i=1n(xi−x)2se=lxxse -
回归系数检验的统计量
t = β 1 ^ s β 1 ^ ∼ t ( n − 2 ) \begin{aligned} t = \frac{\hat{\beta_1}}{s_{\hat{\beta_1}}} \sim t(n-2) \end{aligned} t=sβ1^β1^∼t(n−2) -
y 0 ^ \hat{y_0} y0^ 的标准差的估计量 s y 0 ^ s_{\hat{y_0}} sy0^
s y 0 ^ = 1 n + ( x 0 − x ‾ ) 2 ∑ i = 1 n ( x i − x ‾ ) 2 = 1 n + ( x 0 − x ‾ ) 2 l x x \begin{aligned} s_{\hat{y_0}} &= \sqrt{\frac{1}{n} + \frac{(x_0 - \overline{x})^2}{\sum_{i=1}^n (x_i - \overline{x})^2}} \\ &= \sqrt{\frac{1}{n} + \frac{(x_0 - \overline{x})^2}{l_{xx}}} \end{aligned} sy0^=n1+∑i=1n(xi−x)2(x0−x)2=n1+lxx(x0−x)2 -
y 0 y_0 y0 的标准差的估计量 s i n d s_{ind} sind
s i n d = 1 + 1 n + ( x 0 − x ‾ ) 2 ∑ i = 1 n ( x i − x ‾ ) 2 = 1 + 1 n + ( x 0 − x ‾ ) 2 l x x \begin{aligned} s_{ind} &= \sqrt{1 + \frac{1}{n} + \frac{(x_0 - \overline{x})^2}{\sum_{i=1}^n (x_i - \overline{x})^2}} \\ &= \sqrt{1 + \frac{1}{n} + \frac{(x_0 - \overline{x})^2}{l_{xx}}} \end{aligned} sind=1+n1+∑i=1n(xi−x)2(x0−x)2=1+n1+lxx(x0−x)2 -
y y y 的平均值的置信区间
y ‾ ± 1 n + ( x 0 − x ‾ ) 2 l x x \begin{aligned} \overline{y} \pm \sqrt{\frac{1}{n} + \frac{(x_0 - \overline{x})^2}{l_{xx}}} \end{aligned} y±n1+lxx(x0−x)2 -
y y y 的个别值的预测区间
y 0 ± 1 + 1 n + ( x 0 − x ‾ ) 2 l x x \begin{aligned} y_0 \pm \sqrt{1 + \frac{1}{n} + \frac{(x_0 - \overline{x})^2}{l_{xx}}} \end{aligned} y0±1+n1+lxx(x0−x)2 -
残差 e i e_i ei
e i = y i − y i ^ \begin{aligned} e_i = y_i - \hat{y_i} \end{aligned} ei=yi−yi^ -
标准化残差 z e i z_{e_{i}} zei
z e i = y i − y i ^ s e \begin{aligned} z_{e_i} = \frac{y_i - \hat{y_i}}{s_e} \end{aligned} zei=seyi−yi^ -
参数 β 0 \beta_0 β0的最小二乘估计量的分布
β 0 ^ ∼ N ( β 0 , σ 2 ( 1 n + x ‾ 2 l x x ) ) \begin{aligned} \hat{\beta_0} \sim N\left(\beta_0, \sigma^2 \left( \frac{1}{n} + \frac{\overline{x}^2}{l_{xx}} \right) \right) \end{aligned} β0^∼N(β0,σ2(n1+lxxx2)) -
参数 β 1 \beta_1 β1的最小二乘估计量的分布
β 1 ^ ∼ N ( β 1 , σ 2 l x x ) \begin{aligned} \hat{\beta_1} \sim N\left(\beta_1, \frac{\sigma^2}{l_{xx}} \right) \end{aligned} β1^∼N(β1,lxxσ2) -
参数 σ 2 \sigma^2 σ2的最小二乘估计量的分布
( n − 2 ) σ 2 ^ σ 2 ∼ χ 2 ( n − 2 ) \begin{aligned} \frac{(n-2)\hat{\sigma^2}}{\sigma^2} \sim \chi^2(n-2) \end{aligned} σ2(n−2)σ2^∼χ2(n−2)
多元线性回归
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多元线性回归模型
y = β 0 + β 1 x 1 + ⋯ + β k x k + ϵ \begin{aligned} y=\beta_0+\beta_1 x_1+ \cdots+\beta_k x_k+\epsilon \end{aligned} y=β0+β1x1+⋯+βkxk+ϵ -
多元线性回归方程
E ( y ) = β 0 + β 1 x 1 + ⋯ + β k x k \begin{aligned} E(y)=\beta_0+\beta_1 x_1+ \cdots+\beta_k x_k \end{aligned} E(y)=β0+β1x1+⋯+βkxk -
估计的多元线性回归方程
y ^ = β 0 ^ + β 1 ^ x 1 + ⋯ + β k ^ x k \begin{aligned} \hat{y}=\hat{\beta_0}+\hat{\beta_1} x_1+ \cdots+\hat{\beta_k} x_k \end{aligned} y^=β0^+β1^x1+⋯+βk^xk -
多重判定系数
R 2 = S S R S S T = 1 − S S E S S T = ∑ i = 1 n ( y i ^ − y ‾ ) 2 ∑ i = 1 n ( y i − y ‾ ) 2 \begin{aligned} R^2=\frac{SSR}{SST} = 1-\frac{SSE}{SST}=\frac{\sum_{i=1}^n(\hat{y_i} - \overline{y})^2}{\sum_{i=1}^n(y_i - \overline{y})^2} \end{aligned} R2=SSTSSR=1−SSTSSE=∑i=1n(yi−y)2∑i=1n(yi^−y)2 -
调整的多重判定系数
R a 2 = 1 − ( 1 − R 2 ) n − 1 n − k − 1 \begin{aligned} R_a^2 = 1-(1-R^2)\frac{n-1}{n-k-1} \end{aligned} Ra2=1−(1−R2)n−k−1n−1 -
估计标准误差
s e = ∑ i = 1 n ( y i − y i ^ ) 2 n − k − 1 = S S E n − k − 1 \begin{aligned} s_e &= \sqrt{\frac{\sum_{i=1}^n(y_i - \hat{y_i})^2}{n-k-1}} \\ &= \sqrt{\frac{SSE}{n-k-1}} \end{aligned} se=n−k−1∑i=1n(yi−yi^)2=n−k−1SSE -
线性关系检验的统计量
F = S S R / k S S E / ( n − k − 1 ) ∼ F ( k , n − k − 1 ) = n − k − 1 k S S R S S T − S S R = n − k − 1 k R 2 1 − R 2 \begin{aligned} F &= \frac{SSR / k}{SSE / (n-k-1)} \sim F(k, n-k-1) \\ &= \frac{n-k-1}{k} \frac{SSR}{SST - SSR} \\ &= \frac{n-k-1}{k} \frac{R^2}{1-R^2} \end{aligned} F=SSE/(n−k−1)SSR/k∼F(k,n−k−1)=kn−k−1SST−SSRSSR=kn−k−11−R2R2 -
回归系数 β i ^ \hat{\beta_i} βi^的抽样分布标准差 s β i ^ s_{\hat{\beta_i}} sβi^
s β i ^ = s e l x x = M S E l x x = S S E l x x ( n − k − 1 ) \begin{aligned} s_{\hat{\beta_i}} &= \frac{s_e}{\sqrt{l_{xx}}} \\ &= \sqrt{\frac{MSE}{l_{xx}}} \\ &= \sqrt{\frac{SSE}{l_{xx}(n-k-1)}} \end{aligned} sβi^=lxxse=lxxMSE=lxx(n−k−1)SSE -
回归系数检验的统计量
t i = β i ^ s β i ^ ∼ t ( n − k − 1 ) \begin{aligned} t_i = \frac{\hat{\beta_i}}{s_{\hat{\beta_i}}} \sim t(n-k-1) \end{aligned} ti=sβi^βi^∼t(n−k−1)
时间序列分析和预测
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环比增长率
G i = Y i − Y i − 1 Y i − 1 = Y i Y i − 1 − 1 \begin{aligned} G_i = \frac{Y_i - Y_{i-1}}{Y_{i-1}} = \frac{Y_i}{Y_{i-1}} - 1 \end{aligned} Gi=Yi−1Yi−Yi−1=Yi−1Yi−1 -
定基增长率
G i = Y i − Y 0 Y 0 = Y i Y 0 − 1 \begin{aligned} G_i = \frac{Y_i - Y_{0}}{Y_{0}} = \frac{Y_i}{Y_{0}} - 1 \end{aligned} Gi=Y0Yi−Y0=Y0Yi−1 -
平均增长率
G ‾ = ( Y 1 Y 0 ) ( Y 2 Y 1 ) ⋯ ( Y n Y n − 1 ) n − 1 = Y n Y 0 n − 1 \begin{aligned} \overline{G} = \sqrt[n]{\left( \frac{Y_1}{Y_0} \right) \left( \frac{Y_2}{Y_1} \right) \cdots \left( \frac{Y_n}{Y_{n-1}} \right)} - 1 = \sqrt[n]{\frac{Y_n}{Y_0}} - 1 \end{aligned} G=n(Y0Y1)(Y1Y2)⋯(Yn−1Yn)−1=nY0Yn−1 -
平均误差 M E ME ME
M E = 1 n ∑ i = 1 n ( Y i − F i ) \begin{aligned} ME = \frac{1}{n} \sum_{i=1}^n(Y_i - F_i) \end{aligned} ME=n1i=1∑n(Yi−Fi) -
平均绝对误差 M A D MAD MAD
M A D = 1 n ∑ i = 1 n ∣ Y i − F i ∣ \begin{aligned} MAD = \frac{1}{n} \sum_{i=1}^n|Y_i - F_i| \end{aligned} MAD=n1i=1∑n∣Yi−Fi∣ -
均方误差 M S E MSE MSE
M S E = 1 n ∑ i = 1 n ( Y i − F i ) 2 \begin{aligned} MSE = \frac{1}{n} \sum_{i=1}^n(Y_i - F_i)^2 \end{aligned} MSE=n1i=1∑n(Yi−Fi)2 -
平均百分比误差 M P E MPE MPE
1 n ∑ i = 1 n ( Y i − F i Y i × 100 ) \begin{aligned} \frac{1}{n} \sum_{i=1}^n \left( \frac{Y_i-F_i}{Y_i} \times 100 \right) \end{aligned} n1i=1∑n(YiYi−Fi×100) -
平均绝对百分比误差 M A P E MAPE MAPE
1 n ∑ i = 1 n ( ∣ Y i − F i ∣ Y i × 100 ) \begin{aligned} \frac{1}{n} \sum_{i=1}^n \left( \frac{|Y_i-F_i|}{Y_i} \times 100 \right) \end{aligned} n1i=1∑n(Yi∣Yi−Fi∣×100) -
简单平均法预测
F t + 1 = 1 t ∑ i = 1 t Y i \begin{aligned} F_{t+1} = \frac{1}{t} \sum_{i=1}^t Y_i \end{aligned} Ft+1=t1i=1∑tYi -
移动平均法预测
F t + 1 = 1 k ∑ i = 1 k Y t − k + i \begin{aligned} F_{t+1} = \frac{1}{k} \sum_{i=1}^k Y_{t-k+i} \end{aligned} Ft+1=k1i=1∑kYt−k+i -
指数平滑法预测
F t + 1 = α Y t + ( 1 − α ) F t = F t + α ( Y t − F t ) \begin{aligned} F_{t+1} &= \alpha Y_t + (1-\alpha)F_t \\ &= F_t + \alpha(Y_t - F_t) \end{aligned} Ft+1=αYt+(1−α)Ft=Ft+α(Yt−Ft) -
线性趋势方程的截距和斜率
对 于 趋 势 方 程 Y ^ = b 0 + b 1 t , 其 参 数 的 计 算 公 式 如 下 b 1 = n ∑ t Y − ∑ t ∑ Y n ∑ t 2 − ( ∑ t ) 2 b 0 = Y ‾ − b 1 t ‾ \begin{aligned} 对于趋势方程\hat{Y} &= b_0 + b_1t,其参数的计算公式如下 \\ b_1 &= \frac{n\sum tY - \sum t \sum Y}{n\sum t^2 - (\sum t)^2}\\ b_0 &= \overline{Y} - b_1\overline{t} \end{aligned} 对于趋势方程Y^b1b0=b0+b1t,其参数的计算公式如下=n∑t2−(∑t)2n∑tY−∑t∑Y=Y−b1t -
指数曲线的标准方程组
{ ∑ l n Y = n l n b 0 + l n b 1 ∑ t ∑ t l n Y = l n b 0 ∑ t + l n b 1 ∑ t 2 \begin{cases} \sum ln Y = n ln b_0 + ln b_1 \sum t \\ \sum t ln Y = ln b_0 \sum t + ln b_1 \sum t^2 \end{cases} {∑lnY=nlnb0+lnb1∑t∑tlnY=lnb0∑t+lnb1∑t2 -
k k k 阶曲线方程
Y t ^ = b 0 + b 1 t + b 2 t 2 + ⋯ + b k t k \begin{aligned} \hat{Y_t} = b_0 + b_1t + b_2 t^2 + \cdots + b_k t^k \end{aligned} Yt^=b0+b1t+b2t2+⋯+bktk -
分离季节成分的公式表示
Y S = T × S × I S = T × I \begin{aligned} \frac{Y}{S} = \frac{T \times S \times I}{S} = T \times I \end{aligned} SY=ST×S×I=T×I