内容

目次

Preface xiii Acknowledgments xvii 1 Probability 1 1.1 Sample Spaces, Events, and ��–Algebras 1 Problems 7 1.2 Probability Axioms and Rules 9 Problems 14 1.3 Probability with Equally Likely Outcomes 16 Problems 18 1.4 Conditional Probability 19 Problems 25 1.5 Independence 28 Problems 31 1.6 Counting Methods 33 Problems 38 1.7 Case Study –The Birthday Problem 41 Problems 44 2 Random Variables and Random Vectors 45 2.1 Random Variables 45 2.1.1 Properties of Random Variables 46 Problems 50 2.2 Random Vectors 53 2.2.1 Properties of Random Vectors 53 Problems 60 2.3 Independent Random Variables 63 Problems 66 2.4 Transformations of Random Variables 68 2.4.1 Transformations of Discrete Random Variables 68 2.4.2 Transformations of Continuous Random Variables 69 2.4.3 Transformations of Continuous Bivariate Random Vectors 73 Problems 75 2.5 Expected Values for Random Variables 77 2.5.1 Expected Values and Moments of Random Variables 77 2.5.2 The Variance of a Random Variable 81 2.5.3 Moment Generating Functions 86 Problems 89 2.6 Expected Values for Random Vectors 94 2.6.1 Properties of Expectation with Random Vectors 96 2.6.2 Covariance and Correlation 99 2.6.3 Conditional Expectation and Variance 106 Problems 110 2.7 Sums of Random Variables 114 Problems 120 2.8 Case Study – HowMany Times Was the Coin Tossed? 123 2.8.1 The Probability Model 124 Problems 126 3 Probability Models 129 3.1 Discrete Probability Models 129 3.1.1 The Binomial Model 129 3.1.1.1 Binomial Setting 130 3.1.2 The HypergeometricModel 132 3.1.2.1 Hypergeometric Setting 132 3.1.3 The Poisson Model 134 3.1.4 The Negative BinomialModel 135 3.1.4.1 Negative Binomial Setting 135 3.1.5 The MultinomialModel 138 3.1.5.1 Multinomial Setting 139 Problems 140 3.2 Continuous Probability Models 147 3.2.1 The Uniform Model 147 3.2.2 The Gamma Model 149 3.2.3 The Normal Model 152 3.2.4 The Log–normal Model 155 3.2.5 The Beta Model 156 Problems 158 3.3 Important Distributional Relationships 163 3.3.1 Sums of Random Variables 163 3.3.2 The T and F Distributions 166 Problems 170 3.4 Case Study –The Central LimitTheorem 172 3.4.1 Convergence in Distribution 172 3.4.2 The Central LimitTheorem 173 Problems 176 4 Parametric Point Estimation 177 4.1 Statistics 177 4.1.1 Sampling Distributions 178 4.1.2 Unbiased Statistics and Estimators 179 4.1.3 Standard Error and Mean Squared Error 181 4.1.4 The Delta Method 186 Problems 186 4.2 Sufficient Statistics 190 4.2.1 Exponential Family Distributions 195 Problems 200 4.3 Minimum Variance Unbiased Estimators 203 4.3.1 Cramér–Rao Lower Bound 205 Problems 212 4.4 Case Study –The Order Statistics 214 Problems 219 5 Likelihood–based Estimation 223 5.1 Maximum Likelihood Estimation 226 5.1.1 Properties of MLEs 226 5.1.2 One–parameter Probability Models 228 5.1.3 Multiparameter Probability Models 235 Problems 240 5.2 Bayesian Estimation 247 5.2.1 The Bayesian Setting 247 5.2.2 Bayesian Estimators 250 Problems 255 5.3 Interval Estimation 258 5.3.1 Exact Confidence Intervals 259 5.3.2 Large Sample Confidence Intervals 264 5.3.3 Bayesian Credible Intervals 267 Problems 269 5.4 Case Study – Modeling Obsidian Rind Thicknesses 273 5.4.1 Finite Mixture Model 274 Problems 278 6 Hypothesis Testing 281 6.1 Components of a Hypothesis Test 282 Problems 286 6.2 Most Powerful Tests 288 Problems 293 6.3 Uniformly Most Powerful Tests 296 6.3.1 Uniformly Most Powerful Unbiased Tests 299 Problems 301 6.4 Generalized Likelihood Ratio Tests 305 Problems 311 6.5 Large Sample Tests 314 6.5.1 Large Sample Tests Based on the MLE 314 6.5.2 Score Tests 316 Problems 320 6.6 Case Study – Modeling Survival of the Titanic Passengers 323 6.6.1 Exploring the Data 324 6.6.2 Modeling the Probability of Survival 325 6.6.3 Analysis of the Fitted Survival Model 327 Problems 328 7 Generalized Linear Models 331 7.1 Generalized LinearModels 332 Problems 334 7.2 Fitting a Generalized LinearModel 336 7.2.1 Estimating ⃗ �� 336 7.2.2 Model Deviance 338 Problems 340 7.3 Hypothesis Testing in a Generalized Linear Model 341 7.3.1 Asymptotic Properties 341 7.3.2 Wald Tests and Confidence Intervals 342 7.3.3 Likelihood Ratio Tests 343 Problems 346 7.4 Generalized LinearModels for a Normal Response Variable 348 7.4.1 Estimation 349 7.4.2 Properties of the MLEs 353 7.4.3 Deviance 357 7.4.4 Hypothesis Testing 359 Problems 362 7.5 Generalized LinearModels for a Binomial Response Variable 365 7.5.1 Estimation 366 7.5.2 Properties of the MLEs 368 7.5.3 Deviance 370 7.5.4 Hypothesis Testing 371 Problems 373 7.6 Case Study – IDNAP Experimentwith Poisson Count Data 375 7.6.1 The Model 376 7.6.2 StatisticalMethods 376 7.6.3 Results of the First Experiment 379 Problems 381 References 383 A Probability Models 385 B DataSets 387 Problem Solutions 389 Index 413