4. Transformations Flashcards
Theorem 4.1
Univariate transformation.
Definition 4.1
Standard Normal
Definition 4.2
General Normal.
Lemma 4.1
If X, Y are two independent standard Normal, then X + Y ~…
Definition 4.3
Lognormal.
Definition 4.4
Chi-squared.
Definition 4.5
Joint distribution.
Definition 4.6
Multivariate distribution function.
Marginal distribution.
Definition 4.7
Covariance.
Lemma 4.2
Independence implies zero covariance.
Defn of Correlation
Lemma 4.3
If X and Y defined on same probability space with finite second moments, then Var(…) = …
Corollary 4.1
correlation inequality.
Corollary 4.2
If X_1, …, X_n independent with finite second moments, then Var(…) = …
Lemma 4.4
Means, variances, and covariances of Multinomial distribution.