SCHAUM’S OUTLINE OF THEORY AND PROBLEMS of PROBABILITY and STATISTICS MURRAY R. SPIEGEL, Ph.D. Former Professor and Chairman of Mathematics Rensselaer Polytechnic Institute Hartford Graduate Center SCHAUM’S OUTLINE SERIES McGRAW-HILL New York San Francisco Washington, D.C. Auckland Bogoté Caracas Lisbon London Madrid Mexico City Milan Montreal New Delhi San Juan Singapore Sydney Tokyo Torontoaed Printing, 1998 Copyright © 1975 by The McGraw-Hill Companies, Inc. All rights reserved. Printed in the United States of America. No part of this publication may be reproduced, stored in a retrieval system, of transmitted, in any form or by any means, electronic, mechanical, photocopying, recording, or otherwise, without the prior written permission of the publisher. 0-07-060220-4 23 24 25 26 27 28 29 30 BAW BAW 9 & Library of Congress Cataloging in Publication Data Spiegel, Murray R Schaum's outline of theory and problems of probability and statistics. (Schaum's outline series) 1. Probabilities—Problems, exercises, ete. 2. Math- ematical statistics—Problems, exercises, etc. I. Title. IL, Title: Theory and probleme of probability and statistics. QA278.25.864 519.2076 76-27025 ISBN 0-07-060220-4 McGraw-Hill A Division of The McGraw-Hill CompaniesPreface The important and fascinating subject of probability began in the 17th Century through efforts of such mathematicians as Fermat and Pascal to answer questions concerning games of chance. It was not until the 20th Century that a rigorous mathematical theory based on axioms, definitions and theorems was developed. As time progressed, probability theory found its way into many applications, not only in engineering, science and mathematics but in fields ranging from actuarial science, agriculture and business to medicine and psychology. In many instances the applications themselves contributed to the further development: of the theory. ‘The subject of statistics originated much earlier than probability and dealt mainly with the collection, organization and presentation of data in tables and charts. With the sdvent of probability it was realized that statistics could be used in drawing valid conclusions and making reason- able decisions on the basis of analysis of data, such as in sampling theory and prediction or forecasting. ‘The purpose of this book is to present a modern introduction to proba- bility and statistics using a background of calculus. For convenience the book is divided into two parts. The first deals with probability (and by itself can be used to provide an introduction to the subject), while the second deals with statistics. ‘The book is designed to be used either as # textbook for a formal course in probability and statistics or as a comprehensive supplement to all current standard texts. It should also be of considerable value as a book of refer- ence for research workers or to those interested in the field for self-study. ‘The book can be used for a one-year course, or by a judicious choice of topics, a one-semester course. Tam grateful to the Literary Executor of the late Sir Ronald A. Fisher, F.RS,, to Dr. Frank Yates, F.RS., and to Longman Group Ltd., London, for permission to use Table III from their book Statistical Tables for Biological, Agricultural and Medical Research (6th edition, 1974). 1 also wish to take this opportunity to thank David Beckwith for his outstanding editing and Nicola Monti for his able artwork. M. R. SPIEGELChapter I CONTENTS PartI Probability SETS AND PROBABILITY we sees ‘The Concept of a Set. Subsets, Universal Set and Empty Set. Venn Diagrams. Set Operations. Some Theorems Involving Sets. Principle of Duality. Random Experiments. Sample Spaces. Events. The Concept of Probability. The Axioms of Probability. Some Important Theorems on Probability. Assignment of Probabilities. Conditional Probability. Theorems on Conditional Probability. Independent Events. Bayes' Theorem or Rule. Combinatorial Analysis. Fun- iple of Counting. Tree Diagrams. Permutations. Combinations. ts. Stirling’s Approximation to m!. RANDOM VARIABLES. AND PROBABILITY DISTRIBUTIONS - : Random Variables. Discrete Probability Distributions. Distribution Functions for Discrete Random Variables. Continuous Probability Distributions. Distri- bution Functions for Continuous Random Variables. Leibniz’s Rule. Graphical Interpretations. Joint Distributions. Independent Random Variables. Change of Variables. Probability Distributions of Functions of Random Variables. Convolutions. Chapter 3 MATHEMATICAL EXPECTATION .... ceteseeteeeees Definition of Mathematical Expectation. Functions of Random Variables. Some Theorems on Expectation. The Variance and Standard Deviation ‘Theorems on Variance. Standardized Random Variables. Moments. Moment Generating Functions. Some Theorems on Moment Generating Functions. Characteristic Functions. Variance for Joint Distributions. Covariance. Cor- relation Coefficient. Conditional Expectation, Variance and Moments. Cheby- shev’s Inequality. Law of Large Numbers. Other Measures of Central Tendency. Percentiles. Other Measures of Dispersion. Skewness and Kurtosis. Chapter 4 SPECIAL PROBABILITY DISTRIBUTIONS oo ‘The Binomial or Bernoulli Distribution. Some Properties of the Binomial bution. ‘The Law of Large Numbers for Bernoulli Trials. The Normal Distribution. Some Properties of the Normal Distribution. Relation Retween ‘The Poisson Distribution. Some Properties on Between the Binomial and Poisson 1 and Norma) Distributions. The Cen- tral Limit Theorem. The Multinomial Distribution. The Hypergeometrie Distribu- tion. ‘The Uniform Distribution. The Cauchy Distribution. The Gamma Distr bution. The Beta Distribution. The Chi-Square Distribution. Student's t Distribu- tion. The F Distribution. Relationships Among Chi-Square, t and Distributions. The Bivariate Normal Distribution. Miscellaneous Distributions. 6 . 108Chapter 5 CONTENTS Part II Statistics SAMPLING THEORY Population and Sample, Statistical Inference. Sampling With and Without Replacement. Random Samples. Random Numbers. Population Parameters. Sample Ststistics. Sampling Distributions. The Sample Mean, Sampling, Distribution of Means. Sampling Distribution of Proportions. Sampling Distr bution of Differences and Sums. ‘The Sample Variance. Sampling Distribution of Variances. Case where Population Variance Is Unknown. Sampling Distribu- tion of Ratios of Variances. Other Statistics. Frequency Distributions. Relative Frequency Distributions and Ogives. Computation of Mean, Varinnee and Moments for Grouped Data. Page 155 Chapter 6 ESTIMATION THEORY ....... Unbiased Estimates and BMicient Estimates, Point Estimates and Interval Estimates. Reliability. Confidence Interval Estimates of Population Parameters. Confidence Intervals for Means. Confidence Intervals for Proportions. Conf dence Intervals for Differences and Suns. Confidence Intervals for Variances. Confiderice Intervals for Variance Ratios. Maximum Likelihood Estimates. 194 Chapter TESTS OF HYPOTHESES AND SIGNIFICANCE ions, Statistion! Hypotheses, Null Hypotheses, ‘Teste of Hypoth- igmificance. Type I and ‘Type II Errors. Level of Significance. Tests Involving the Normal Distribution. One-Tailed and Two-Tailed Tests. Speciel Tents of Significance for Large Samples. Spevial Tests of Significance for Smusll Samples. Relationship Between Estimation Theory and Hypothesis Testing. Operating Characteristic Curves. Power of a Test. Quality Control Charts, Fitting Theoretical Distributions to Sample Frequency Distributions. ‘The Chi- Square Test for Goodness of Fit. Contingency Tables. Yates’ Correction for Continuity. Coefficient of Contingency. au Chapter 8 CURVE FITTING, REGRESSION AND CORRELATION . Curve Fitting. Regression. The Method of Least Squares. ‘The Least- Squares Line. The Least-Squares Line in Terms of Sample Variances and Covariance. ‘The Least-Squares Parabola. Multiple Regression. Standard Error of Estimate. ‘The Linear Correlation Coefficient. Generalized Correlation Coefficient. Rank Correlation. Probability Interpretation of Regression, Probability Interpreta- tion of Correlation. Sampling Theory of Regression. Sampling Theory of Cor- relation. Correlation and Dependence. - 258 Chapter 9 ANALYSIS OF VARIANCE ..... ceecteeeeeteeeecees The Purpose of Anslysis of Variance. One-Way Classification or One-Factor Experiments. Total Variation. Variation Within Treatments. Variation Between ‘Trentments, Shortent Methods for Obtaining Variations. Linear Mathematical Model for Analysis of Variance. Expected Values of the Variations. Distribu- tions of the Variations. The F Test for the Null Hypothesis of Equal Means. Analysis of Variance Tables Modifications for Unequal Numbers of Observa- tions. Two-Way Classification or Two-Factor Experiments. Notation for Two- Factor Experiments. Variations for Two-Factor Experiments. Analysis of Variance for Two-Factor Experiments, ‘Two-Factor Experiments with Repli- cation, Experimental Design. 306