Category: Supplementary material

Introduction

I will assume that you have seen some calculus, including multivariable calculus. That is you know how to differentiate a differentiable function $f\colon \Bbb R \to \Bbb R$, to obtain a new function $$\frac{\partial f}{\partial x} \colon \Bbb R \to \Bbb R.$$ You also know how to differentiate a multivariable function $f\colon \Bbb R^m \to \Bbb R^n$, to obtain a map $$Jf\colon \Bbb R^m \to \mathrm{Hom}(\Bbb R^m, \Bbb R^n),$$ which takes a point $x\in \Bbb R^m$ to the Jacobian at $x$, which is an $(m,n)$-matrix; alternatively you can think of the Jacobian as a matrix of functions with the $(i,j)$-entry being $\frac{\partial f_i}{\partial x_j}\colon \Bbb R^m \to \Bbb R.$

The Jacobian is a convenient form for packaging the derivative of a vector valued function with respect to a list of variables arranged into a vector. Many of us learn the basic results (the product rule, the sum rule, the chain rule) very well for single variable calculus and, hopefully, pretty well for multivariable calculus. We may have less experience using these compact forms in practice.

While this knowledge is very useful for considering vector valued functions indexed by vectors of variables, it can be a bit tricky to differentiate matrix valued functions with respect to matrices or vectors of variables and get a useful compact form.

Potential objection

A bright student might observe that an element of a matrix is an element of $\Bbb R^m\otimes \Bbb R^n\cong \Bbb R^{mn}$ and hence we can always regard an $(m,n)$-matrix as an $mn$-vector¹. This is true, but we usually organize data into matrices because that is the most natural structure for them to have, e.g., the Jacobian above. Here are some similar naturally occurring structures:

1. We have a table with 100 entries. On each row is data from some sample, say temperature and pressure. This naturally fits into a $(100,2)$-matrix, whose rows are the samples and whose columns are the respective measurements. So we can recover each datum, by using two numbers: the row index and the column index.
2. We have a list of 100 grayscale images 640×480 images. To recover a datum (the darkness of a pixel in a sample) in this table, we would use three integers:
   • the image number,
   • the $x$-coordinate, and
   • the $y$-coordinate.
     This is encoded as a tensor of shape $(100,640,480)$, i.e., an element of $\Bbb R^{100}\otimes \Bbb R^{640} \otimes \Bbb R^{480}$. While we could encode this as a $307200000$-vector, it would make it much more difficult to understand and meaningfully manipulate.
3. We have a list of 100 color (i.e., RGB) images 640×480 images. To recover a datum (the strength of a particular color (red/green/blue) of a pixel in a sample) in this table, we would use four integers:
   • the image number,
   • the $x$-coordinate,
   • the $y$-coordinate, and
   • which color we are interested in (e.g., red = 0, green = 1, blue = 2).
     This is encoded as a tensor of shape $(100,640,480,3)$, i.e., an element of $\Bbb R^{100}\otimes \Bbb R^{640} \otimes \Bbb R^{480}\otimes \Bbb R^3$.
4. We have a list of 100 color (i.e., RGB) videos each consisting of 18000 frames of 640×480 images. To recover a datum (the strength of a particular color (red/green/blue) of a pixel in a sample at a particular frame in the table) in this table, we would use five integers:
   • the image number,
   • the frame number,
   • the $x$-coordinate,
   • the $y$-coordinate, and
   • which color we are interested in (e.g., red = 0, green = 1, blue = 2).
     This is encoded as a tensor of shape $(100,18000,640,480,3)$, i.e., an element of $\Bbb R^{100}\otimes \Bbb R^{18000}\otimes \Bbb R^{640} \otimes \Bbb R^{480}\otimes \Bbb R^3$. Again, it would be very unnatural to work with this as a single vector.

Definition

Suppose we have a function $F$ taking values in tensors of shape $(n_1,\cdots, n_\ell)$ which depends on variables indexed by a tensor $X$ of shape $(m_1,\cdots, m_k)$. The derivative $\frac{\partial F}{\partial X}$ is a function from $\Bbb R^{m_1}\otimes \cdots \otimes \Bbb R^{m_k}$ to tensors of shape $(n_1,\cdots,n_\ell,m_1,\cdots,m_k)$ whose $(i_1,\cdots, i_\ell, j_1, \cdots, j_k)$-entry is $\frac{\partial F_{i_1,\cdots, i_\ell}}{\partial X_{j_1,\cdots, j_k}}(-)$.

Some scandalous abuses of notation

We will typically abuse notation and let $n$-vectors also denote column vectors, i.e., tensors of shape $(n,1)$.

For convenience, many authors (including this one), will sometimes take tensors of the form $(\cdots, 1, \cdots)$ and regard them as tensors of the form $(\cdots,\cdots)$ (i.e., we omit the 1 term by ‘squeezing the tensor’. This abuse of notation is both convenient and confusing. Avoiding this abuse tends to cause ones to accumulate in the shape of our tensors and these one’s do not add any value to our interpretation. The best way to follow what is going on is to check it for yourself.

A less scandalous abuse of notation is to regularly add transposes to tensors of $(1,1)$ when convenient.

Some results

Since the only way to get used to tensor differentiation is to do some work with it yourself, we leave the following results as exercises.

Exercise

1. Suppose that $f\colon \Bbb R^m\to \Bbb R^n$ is a smooth function depending on an $m$-vector $X$ of variables. Show that $\frac{\partial f}{\partial X}=Jf$.
2. Suppose that $f\colon \Bbb R^m\to \Bbb R^n$ is a smooth function depending on an $m$-vector $X$ of variables of the form $f(x)=Ax$ for an $(n,m)$-matrix $A$. Show that $\frac{\partial f}{\partial X}=A$ (a constant function).
3. Suppose that $f\colon \Bbb R^m\to \Bbb R^n$ is a smooth function depending on an $m$-vector $X$ of variables of the form $f(x)=x^TA$ for an $(m,n)$-matrix $A$. Show that $\frac{\partial f}{\partial X}$ is a function valued in $(1,n,m)$-tensors whose $(1,i,j)$ entry is $(A^T)_{i,j}$.
4. Suppose that $f\colon \Bbb R^m\to \Bbb R$ is a smooth function depending on an $m$-vector $X$ of variables of the form $f(x)=x^TA x$ for an $(m,m)$-matrix $A$. Show that $\frac{\partial
   f}{\partial X}$ is a function valued in $(1,m)$-tensors, whose $(1,i)$-entry is $((A+A^T)x)_i$.
5. Suppose that $f\colon \Bbb R^m\to \Bbb R$ is a smooth function depending on an $m$-vector $X$ of variables of the form $f(x)=(Ax-y)^T(Ax-y)$ for an $(m,m)$-matrix $A$ and a constant $(m,1)$-matrix $y$. Show that $\frac{\partial
   f}{\partial X}$ is a function valued in $(1,m)$-tensors, whose entries give $2(Ax-y)^TA.$
6. Suppose that $f\colon \Bbb R^m\to \Bbb R^m$ is a smooth function depending on an $m$-vector $X$ of variables of the form $f(x)=2(Ax-y)^TA$ for an $(m,m)$-matrix $A$ and a constant $(m,1)$-matrix $y$. Here we regard the function as taking values in $(m)$-tensors. Show that $\frac{\partial f}{\partial X}$ is the $(m,m)$-tensor $2A^TA$.
   f}{\partial X}$ is a function valued in $(1,m)$-tensors, whose entries give $2(Ax-y)^TA.$

Textbooks

1. Machine Learning: A probabilistic perspective by Kevin Murphy. The material in this book is closest to what we will cover in the course, but is unfortunately not available for free. Written by an academic and a practitioner of machine learning, this text is full of real world examples and applications, while eschewing the ad-hoc approach of other texts.
2. Introduction to statistical learning by Gareth James, Daniela Witten, Trevor Hastie and Robert Tibshirani. This textbook is available for free. It has minimal prerequisites and as a consequence does not touch on some topics of interest.  On the other hand, it has detailed R exercises which are wonderful.
3. The elements of statistical learning by Trevor Hastie, Robert Tibshirani, and Jerome Friedman. A more advanced version of the previous text (and also free), covering more material, and assuming more background in statistics.
4. Deep learning by Ian Goodfellow, Yoshua Bengio, and Aaron Courville. A new text on this burgeoning field. Written by central figures in the area, this text surveys deep learning, includes many useful citations (a great deal of the literature is still in academic articles), provides good rules of thumb, and is a relatively light read. This book is very much from a practitioner’s perspective with less justification for methodology and less emphasis on mathematical rigor. My limited experience is that other papers in this area have a similar emphasis, which reflects the limited understanding of why these methods work very well in some instances and not so well in others.
5. Reinforcement Learning: An Introduction by Richard Sutton and Andrew Barto. A free textbook that has been recently revised and covers quite a few topics.

Lecture series

1. Trevor Hastie and Robert Tibshirani have made their lectures and slides for their course on statistical learning available. These are very well done.
2. Machine Learning lectures from Georgia Tech, these are very well done introductory lectures on machine learning directed toward engineers. I personally love the nerdy jokes interspersed throughout.
3. Deep learning course lectures by Nando de Freitas. Excellent lecture series on deep learning from Oxford for computer scientists. This lecture series is aimed at those with some more background.
4. Machine learning course lectures by Andrew Ng. A somewhat older lecture series from Stanford aimed at computer scientists.
5. Machine Learning 101 by Jason Mayes. A very well done overview of the subject.

Websites

1. Datacamp: An online learning site with an emphasis on data science. Includes mini-lectures and online programming exercises. A nice introduction on how to take the material we are learning and apply it. However, there is a noticeable bump in difficulty in proceeding to implement these methods from scratch on your own computer.
2. Andrej Karpathy’s blog: A truly excellent sequence of blog posts on topics related to machine learning.
3. Kaggle: Hosts machine learning competitions, allows machine learning practitioners to share information, and hosts many large datasets.
4. Seeing Theory: A beautiful sequence of javascript visualizations for statistical concepts.

Programming references

1. Introduction to R.
2. Python 3 standard library.
3. Keras (a significantly simpler way to apply the Tensorflow (or another backend) library for building neural networks).
4. Tensorflow API (a rich library for building and using neural networks).

If you find that you’re spending almost all your time on theory, start turning some attention to practical things; it will improve your theories. If you find that you’re spending almost all your time on practice, start turning some attention to theoretical things; it will improve your practice. – Donald Knuth

Introduction

This section will contain some very basic computer science background. Since the target audience of this lecture series has little to no training in this area, I will attempt to fill in some gaps (admittedly very poorly).

Numerical analysis

It should come as no surprise that computers store data as sequences of 1’s and 0’s. For example, non-negative integers are represented by their base-2 expansions (e.g. 7 is represented by 111 and 8 by 1000). Since we can only allocate a finite amount of space for each integer (e.g., 16, 32, or 64 bits) we can only hold a finite range of integers (e.g., $-2^{63}\leq i \leq 2^{63}-1$) (see two’s complement). This means that one has to avoid applying operations that will take us out of this range. Arithmetic operations that generate values outside of their allowed range are said to overflow.

Problems with the finite representations of integers are dwarfed by the problems arising from the finite representation of real numbers. The (IEEE) standard way to finitely represent a real number is as a floating point number. The idea is to approximate a real number $x$ by a non-negative integer $\alpha$, an integer $\beta$, and a sign bit $\epsilon$ so that $x\approx  (-1)^\epsilon \cdot \alpha \cdot 2^{\beta}$. Since, using a fixed number of bits, we can only represent finitely many integers, there are only finitely many such floating point numbers.

The finiteness of this representation leads to some obvious consequences as well as some non-obvious ones.

1. Since the exponent $\beta$ is bounded above, there is a bound for the range of real numbers that we can encode. This leads to the same type of overflow problems as for integers.
2. Since the exponent $\beta$ is bounded below, there is a smallest positive real number we can encode in this representation. This leads to a new set of problems called underflow. For example $e^{-n}=0$ for $n\gg 0$. As a consequence, $e^{-n}\cdot e^{n}\neq e^0=1$ for large $n$. If we instead expanded this expression from the middle then we obtain: $$e\cdot (e\cdot (\cdots(e\cdot e^{-1})\cdot e^{-1})\cdots e^{-1})=1.$$ So multiplication of floating point numbers fails to be associative.
3. Since $\alpha$ is a bounded positive integer, we can only encode a finite amount of precision. This implies that for certain (large) values of $m$ and $n$, $$\sum_{i=1}^{2^n} 2^{-n} + 2^m = 2^m+1,$$ if we apply the operations from left to right, while the sum is $2^m$ if we apply them from right to left. So addition of floating point numbers fails to be associative.
4. We can not encode fractions precisely so $1/n \cdot n\neq 1$ in general. On older calculators one can witness this first hand and see that $1/3\cdot 3“=”0.9999999999$.

Remark

I sometimes find it helpful to visualize all of the floating point numbers placed on the real line as a sequence of dots. These dots cluster heavily near 0 and gradually spread farther and farther apart as we move away from the origin until we meet the size bounds. Beyond these points there are no longer any dots.

Since both encodings of real numbers into floating point and floating point operations contribute errors¹, care needs to be taken in the design of floating point algorithms to ensure that these errors do not grow out of control, otherwise things may go seriously wrong).

Remark

In probability theory and, especially, statistical inference, it is very common to take iterated products of probabilities. Since many of these probabilities are very small, there is a high risk of numerical underflow as we calculate the product.

One way to avoid this underflow is to use the simple formula $$ \prod_{i=1}^n x_i = \exp(\sum_{i=1}^n \log x_i). $$ This will help avoid the numerical underflow for the product. To ensure that the sum of quantities of varying magnitude is as accurate as possible, we can first sort the values to be summed and then add them.

Algorithm Analysis

Computer scientists and engineers are very concerned with space and computational efficiency. Making fair comparisons between two implementations of algorithms can be tricky. Implementation details of essentially identical algorithms can result in significant changes in runtime performance and memory costs (e.g., consider a program written in python 2.6 versus one written python 3.0).

An easier comparison can be made about how the memory and runtime requirements of an algorithm change as we increase the size of the input. For example, the standard grade school algorithm for multiplying two $n\times n$ matrices requires $n^3$ multiplications and $n^2*(n-1)$ addition operations². What is important to realize about this algorithm is not the exact count of the operations or how much faster addition is compared to multiplication, it is, for example, that if we replace $n$ with $100n$ then we will require roughly $1 000 000$-times more operations!

At this scale the addition operations and their relative speed in comparison to multiplication do not matter as much as this observation. The dominant feature is that the time to multiply two $n\times n$ matrices grows cubically in $n$.

One way to encode the essential features of the growth of functions is with Big O-notation.

Definition

We say³ $f(n)= O(g(n))$ if there exists an $M>0$ such that for all sufficiently large $n$,  $$|f(n)|\leq M|g(n)|.$$

For most big data tasks, any algorithm whose runtime is not $O(n \cdot \log n)$ requires some attention (especially attention to how one can parallelize the computation across a cluster). More importantly, once the data is too large to fit into a single computers memory, this entire approach to comparing algorithms breaks down (as do the standard implementations of the algorithms). In this case, one has to think very carefully about how to break up the task into separate pieces. This is all complicated by the fact that the time move data between computers is much slower than it is to move the data internally in computer memory.

Statistics – A subject which most statisticians find difficult, but in which nearly all physicians are expert. – Stephen S. Senn

Introduction

For us, we will regard probability theory as a way of logically reasoning about uncertainty. I realize that this is not a precise mathematical definition, but neither is ‘probability theory is the mathematics arising from studying non-negative numbers which add up to 1’, which is at least partially accurate.

Some additional material is covered elsewhere:
* Statistical inference.

To get well-grounded let’s begin with a sequence of definitions.

First definitions

Definition

A probability space is a measure space $D$ with measure $P$ such that $P(D)=1$. The space $D$ is also sometimes called the sample space and the measurable subsets of $D$ are called events¹.

Remark

The definition of probability space is sufficiently general to include lots of degenerate examples. For example, we can take any set $S$ and make it into a probability space by decreeing that the only measurable subsets are $S$ and $\emptyset$ with $P(S)=1$. Although we will try to make this explicit, we will almost always want that singleton sets, i.e., sets with just a single element, are measurable. When a probability space has this property and every measurable subset is a countable union of singleton sets we will call the probability space discrete.

Exercise

Make the positive integers into a discrete probability space where every point has non-zero probability.

Definition

The probability of an event $E$ is $P(E)=:\int_E dP$. For discrete probability spaces we can also write $\int_E dP=\sum_{x\in E} P(x)$².

Construction

Given two probability spaces $D_1$ and $D_2$ with respective probability measures $P_1$ and $P_2$. We can define a probability space $D_1\times D_2$ by:

1. The underlying set is the cartesian product $D_1\times D_2$.
2. The measurable subsets are generated under countable unions and complements by the products sets $I_1\times I_2$, where $I_1\subseteq D_1$ and $I_2\subseteq D_2$ are measurable subsets.
3. The probability measure is determined by $P(I_1\times I_2)=P_1(I_1)\cdot P(I_2)$, where $I_1$ and $I_2$ are as in the previous statement.

Example

Suppose we have a fair coin that we flip twice. Each of the four possible outcomes $D=\{HH,HT,TH,TT\}$ are equally likely and form a discrete probability space such that $P(x)=1/4$ for all $x\in D$. The probability of the event $E$, where we get precisely one head, is $P(E)=P(HT)+P(TH)=1/2$.

Definition

A random variable $X\colon D\to T$ is a measurable function from a probability space $D$ to a measure space $T$.

We can associate to each such $X$ a probability measure $P_X$ on $T$ by assigning to each measurable subset $U\subset T$, $P_X(U)=P(X^{-1}(U))$. Indeed it is clear that $P_X(T)=1$ and that for the measure of a countable disjoint union is $$P_X(\coprod U_i)=P(X^{-1}(\coprod U_i))=P(\coprod(X^{-1}U_i))=\sum P(U_i).$$

Remark

There is an unfortunate clash in the language of probability theory and standard english usage. For example, imagine that we have a box with a single button on it and a numerical display. Every time we push the button the screen displays a number between 1 and 10. In common usage we say that these values are random if there is no way to know which number will appear on the screen every time we push the button.

It is important to know that mathematics/probability theory/statistics do not provide any such mechanism. There is no function whose values are “randomly” chosen given a particular input. In particular, mathematics does not provide a method of randomly choosing objects.

One should keep this in mind when talking about random variables. Random variables are not objects with random values; they are functions. The additional data that a random variable $X$ does define are numbers associated to the preimages $X^{-1}(I)$ (for measurable subsets $I$), which we can use to weight the values of $X$.

This can also be used to shed light on statistical mechanics, which uses probability theory to model situations arising in physics. The fact that such models have been extremely successful in the field of quantum mechanics does not necessarily mean there is something random, in the common usage sense, about the universe; we are not claiming that “God plays dice with the universe”. It is just that our best mathematical models for these phenomena are constructed using the language of probability theory.

Finally, we should remark that the closest mathematical object to a random number generator in the sense of english is a pseudorandom number generator. These are deterministic functions which output sequences of numbers which attempt to model our intuition of what a random number generator should produce. Although not truly random, these are heavily used in simulations and Monte Carlo methods.

Conventions

If we are regarding $\Bbb R$ as a measure space and do not specify an alternative measure, we will mean that it is equipped with its standard Borel measurable subsets and the Borel measure³ $E\mapsto \int_E dx$. If we regard a discrete finite set $S$ or any interval $[a,b]$ (with $a<b$) as a probability space and do not specify the measure then we will mean that it is equipped with a uniform measure. In other words, $P(s)=1/|S|$ for all $s\in S$ and for all measurable $E\subset I$ we have $P(E)=P_{\Bbb R}(E)/(b-a)$.

Remarks⁴:

If the measure $P_X$ from the previous definition is absolutely continuous with respect to the standard Borel measure (i.e., the preimage of every measure 0 set with respect to the standard Borel measure is of measure 0), then there is a measurable function $dP_X/dx \colon T\to \Bbb R$ such that for all measurable $E\subset T$, $$P_X(E) := \int_{X^{-1} E} dP := \int_E dP_X = \int_{E} \frac{dP_X}{dx} dx.$$ All of these integrals are Lebesgue integrals.

The measurable function $dP_X/dx$ is called a Radon-Nikodym derivative and any two such derivatives disagree on a set of measure 0, i.e., they agree almost everywhere. Without the absolute continuity hypothesis there is only a distribution satisfying this property. Having a measure defined in such a way obvious implies absolute continuity, so the first sentence can be formulated as an if and only if statement. This is the Radon-Nikodym theorem.

Definition

For a discrete probability space $D$ the function $p\colon D\to [0,1]$, defined by $d\mapsto p(d):=P(d)$ is called the probability mass function (PMF) of $D$.

Note that the measure $P$ on $D$ is uniquely determined by the associated probability mass function.

Definition

Suppose that $\Bbb R$ is equipped with a probability measure $P$ and the cumulative distribution function (cdf) $F(a)=P(x\leq a)$ is a continuously differentiable function of $a$, then $F(x)=\int_{-\infty}^x F'(x) dx$ and $F'(x)$ is called the probability density function (pdf) of $F$ (or $P$).

Note that the probability measure $P$ is determined by $F$ and hence the probability density function $F’$. This can lead to some confusing abuses of language.

Example

Let $D$ be the probability space from the first example. Let $X\colon D\to \mathbb{R}$ be the random variable which counts the number of occurrences of heads in a given event. Then the cumulative density function of $P_X$ is $F_X(x)=0$ if $x<0$, $F_X(x)=1/4$ if $0\leq x < 1$, $F_X(x)=3/4$ if $1\leq x < 2$ and $F_X(x)=1$ if $x\geq 2$. This function is discontinuous and hence the probability density function is not defined⁵.

Moments of distributions

Typically when we are handed a probability space $D$, we analyze it by constructing a random variable $X\colon D\to T$ where $T$ is either a countable subset of $\Bbb R$ or to $\Bbb R$. Using the procedure of the previous section we obtain a probability measure $P_X$ on $T$ and we now study this probability space. Usually a great deal of information is lost about $D$ during this process, but it allows us to focus our energies and work in the more tractable and explicit space $T\subset\Bbb R$.

So, we know focus on such probability spaces. This is usually decomposed into two cases, when $T$ is discrete (e.g., a subset of $\Bbb N$) and when $T$ is $\Bbb R$ (or some interval in $\Bbb R$). We could study the first case as a special case of the latter and just studying probability measures on $\Bbb R$, but that would require throwing in a lot of Dirac delta distributions at some point and I sense that you may not like that. We will seek a compromise and still use the integral notation to cover both cases although integrals in the discrete case can be expressed as sums.

There are two special properties of this situation that we will end up using:
1. It makes sense to multiply elements of $T$ with real valued functions.
2. There is a natural ordering on $T$ (so we can define a cdf).
3. We can now meaningfully compare random variables with values in $\Bbb R$ which are defined on different probability spaces, by comparing their associated probability measures on $\Bbb R$ (or their cdfs/pdfs when these exist).

For example the first property allows us to make sense of:

Definition

1. The expected value or mean of a random variable $X\colon D\to T\subset \Bbb R$, is $$\mu_X:=E(X)= \int_{x\in T} x\cdot dP_X = \int_{d\in D} X(d) dP.$$
2. Let $F_X$ denote the cdf of $X$. The median of $X$ is those $t\in \Bbb R$ such that $F_X(t)=0.5$.
3. Suppose that $X$ admits a pdf $f_X$. The modes of $X$ are those $t\in \Bbb R$ such that $f_X(t)$ is maximal.

Example

In our coin flipping example, the expected value of the random variable $X$ which counts the heads is $$\int_D X dP = \sum_{d\in D} X(d)p(d) = 2/4+1/4+1/4+0/4=1,$$
as expected.

The third property lets us make sense of:

Definition

Two random variables $X\colon D_1\to T$ and $Y\colon D_2\to T$ are identically distributed if they define the same probability measure on $T$, i.e., $P_X(I)=P_Y(I)$ for all measurable subsets $I\subseteq T$. In this case, we write $X\sim Y$.

Definition

We associate to two random variables $X,Y\colon D\to T$ a random variable $X\times Y\colon D \to T^2$ by $X\times Y(x)=(X(x),Y(x))$. This induces a probability measure $P_{X,Y}$ on $T^2.$ When $T=\Bbb R$ we can then define an associated joint cdf, $F_{X,Y}\colon \Bbb R^2\to [0,1]$ defined by $F_{X,Y}(a,b)=P_{X,Y}(x\leq a, y\leq b)$, which when $X\times Y$ is absolutely continuous with respect to the Lebesgue measure admits a joint pdf. Similarly, we can extend this to joint probability distributions of any number of random variables.

Definition

Two random variables $X,Y\colon D\to T$ with corresponding probability measures $P_X$ and $P_Y$ on $T$ are independent if the associated joint probability measure $P_{X,Y}$ on $T^2$ satisfies $P_{X,Y}(I_1\times I_2)=P_X(I_1)P_Y(I_2)$ for all measurable subsets $I_1, I_2\subseteq T$. When two variables are both independent and identically distributed then we abbreviate this to iid.

Definition

Suppose that $T$ is a probability space whose singleton sets are measurable. A random sample of size $n$ from $T$ will be any point of the associated product probability space $T^n$.

Exercise

1. Show that if $X$ and $Y$ are two $\Bbb R$ random variables then they are independent if and only if their joint cdf is the product of their individual cdfs.
2. Suppose that moreover $X$ and $Y$ and the joint distribution admit pdfs $p_X, p_Y,$ and $p_{X,Y}$ respectively, then show that the $f_{X,Y}=f_X f_Y$ if and only if the distributions are independent.

Definition

1. The $k$th moment of a random variable $X\colon D \to \Bbb R$ is $E(X^k)$.
2. The variance of a random variable $X\colon D\to \Bbb R$ is
   $$\sigma_X^2=E((X-\mu_X)^2)=\int_D (X-\mu_X)^2 dP$$.
3. The standard deviation of $X$ is $\sigma_X=\sqrt{\sigma_X^2}$.
4. The covariance of a pair of random variables $X,Y\colon D\to \Bbb R$ is
   $$ Cov(X,Y) = E((X-\mu_X)(Y-\mu_Y)). $$
5. The correlation coefficient of a pair of random variables $X,Y\colon D\to \Bbb R$ is $$\frac{Cov(X,Y)}{\sigma_X \sigma_Y}.$$

Exercise

Suppose that $X$ and $Y$ are two independent $\Bbb R$-valued random variables with finite means $\mu_X$ and $\mu_Y$ and finite variances $\sigma^2_X$ and $\sigma^2_Y$ respectively.
1. Show that, for $a,b\in \Bbb R$ the mean of $aX+bY$ is $a\mu_X + b\mu_Y$.
1. Show that the variance of $aX+bY$ is $a^2 \sigma^2_X + b^2 \sigma^2_Y$.
1. Show that $E(XY)$ is $\mu_X\cdot \mu_Y$.
1. Show that $E(X^2)=\sigma_X^2+\mu_X^2$.

Definition

The characteristic function of a random variable $X\colon D\to \Bbb R$ is the complex function $$\varphi_X(t)=E(e^{itX})=\int_{x\in \Bbb R} e^{itx} dP_X = \int_{d\in D} e^{itX(d)} dP.$$

Remarks

1. The characteristic function is always defined (because we are integrating an absolutely bounded function over a finite measure space).
2. When $X$ admits a pdf $p_X$, then up to a reparametrization the characteristic function is the Fourier transform of $p_X$: $F(p_X)(X)=\varphi_X(-2\pi t)$.
3. Two random variables have the same characteristic functions if and only if they are identically distributed⁶.

Some Important Results

1. The Law of Large Numbers, which essentially says that the average $S_n$ of a sum of $n$ iif random variables with finite mean $\mu$ “converges” to the common mean.
2. The Central Limit Theorem, which says that under the above hypotheses plus the assumption that the random variables have a finite variance $\sigma^2$, the random variable $\sqrt{n}(S_n-\mu)$ converges in distribution to the normal distribution with mean $0$ and variance $\sigma^2$. This result is the basis behind many normality assumptions and is critical to hypothesis testing which is used throughout the sciences.

Conditional probability

Suppose we have a probability space $P\colon D\to [0,1]$ and two events $A,B\in D$. Then we write $P(A,B)=P(A\cap B)$. Suppose that $P(B)>0$, then define the conditional probability of $A$ given $B$ as $$P(A|B)=P(A,B)/P(B).$$ A similar definition is also given for the conditional pdf of two random variables $X$ and $Y$: $f_{X,Y}(x|y)=f_{X,Y}(x,y)/f_Y(y)$ where $f_Y(y)=\int_{x \in \Bbb R} f(x,y) dx$ is the marginal density.

Bayes Rule

Let $A$ be an event in a probability space $P\colon D\to [0,1]$ and that $\{B_i\}_{i=1}^n$ is a disjoint union of events which cover $D$ and all of these events have non-zero probability. Then
$$ $$

There is also the pdf form:
$$ f_{X,Y}(x|y)=\frac{f_{X,Y}(y|x)f_X(x)}{\int f_{X,Y}(y|x) f_X(x) dx}. $$

The usefulness of Bayes rule is that it allows us to write a conditional probability that we do not understand (the dependence of $X$ on $Y$) in terms that we might understand (the dependence of $Y$ on $X$).