Study Guide

# Study Guide - N(μ,σ² If X ∼ N(μ,σ² then Y=(X-μ/σ...

This preview shows page 1. Sign up to view the full content.

Bernoulli random variable: Regression with binary dependent variables Example: mortgage loan applications; credit card applications; default risk… Continuous random variable Cumulative probability distribution Probability distribution Normal distribution: The probability distribution function of a normal random variable X is: µ= location parameter , σ²= scale parameter (lower sigma indicates more ‘spread out’) We usually denote a normal random variable as X
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: N(μ,σ²). If X ∼ N(μ,σ²), then Y=(X-μ)/σ is a standard normal . variable : Example X ∼ N(2,4), what is P(X<1.8)? P(X>2)? P(1.5<X<3)? (b) Moments of a distribution: mean, variance, standard deviation, covariance, correlation mean = expected value (expectation) of Y = E ( Y ) = μ Y = long-run average value of Y over repeated realizations of Y variance = E ( Y – Y ) P 2 = = measure of the squared spread of the Distribution standard deviation = = σ Y...
View Full Document

{[ snackBarMessage ]}

Ask a homework question - tutors are online