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John E. Freund's
Mathematical Statistics
IRWIN MILLER
MARYLEES MILLER
Contents
PREFACE
1
xi
INTRODUCTION
1.1
1.2
Introduction 1
Combinatorial Methods
1.3
Binomial Coefficients
12
PROBABILITY
2.1
Introduction 25
2.2
Sample Spaces 26
2.3
Events 28
2.4
The Probability of an Event 36
2.5
Some Rules of Probability 42
2.6
Conditional Probability 52
2.7
Independent Events 58
2.8
Bayes' Theorem 62
PROBABIUTY DISTRIBUTIONS AND PROBABILITY DENSITIES
3.1
3.2
3.3
3.4
3.5
3.6
3.7
25
73
Introduction 73
Probability Distributions 77
Continuous Random Variables 89
Probability Density Functions 90
Multivariate Distributions 102
Marginal Distributions 115
Conditional Distributions 119
V
vi
Contents
4
MATHEMATICAL EXPECTATION
4.1
4.2
4.3
4.4
4.5
4.6
4.7
4.8
5.6
5.7
5.8
5.9
Introduction 167
The Discrete Uniform Distribution 167
The Bernoulli Distribution 168
The Binomial Distribution 169
The Negative Binomial and Geometrie
Distributions 180
The Hypergeometric Distribution 182
The Poisson Distribution 186
The Multinomial Distribution 198
The Multivariate Hypergeometric Distribution
167
200
Introduction 129
The Expected Value of a Random Variable 1 30
Moments 140
Chebyshev's Theorem 144
Moment-Generating Functions 146
Product Moments 153
Moments of Linear Combinations of Random
Variables 158
Conditional Expectations 161
129
Introduction 203
The Uniform Distribution 203
The Gamma, Exponential, and Chi-Square
Distributions 204
The Beta Distribution 210
The Normal Distribution 216
The Normal Approximation to the Binomial
Distribution 222
The Bivariate Normal Distribution 229
203
Introduction 236
Distribution Function Technique 237
Transformation Technique: One Variable 242
Transformation Technique: Several Variables 249
Moment-Generating Function Technique 261
236
Contents
8
SAMPLING DISTRIBUTIONS
8.1
8.2
8.3
8.4
8.5
8.6
8.7
10
Introduction 266
The Distribution of the Mean 268
The Distribution of the Mean: Finite
Populations 272
The Chi-Square Distribution 279
The t Distribution 283
The F Distribution 286
Order Statistics 293
300
Introduction 300
The Theory of Games 302
Statistical Games 312
Decision Criteria 315
The Minimax Criterion 316
The Bayes Criterion 317
ESTIMATION: THEORY
10.1
10.2
10.3
10.4
10.5
10.6
10.7
10.8
10.9
/1
266
DECISION THEORY
9.1
9.2
9.3
9.4
9.5
9.6
Introduction 322
Unbiased Estimators 323
Efficiency 326
Consistency 335
Sufficiency 337
Robustness 341
The Method of Moments 343
The Method of Maximum Likelihood
Bayesian Estimation 353
322
345
ESTIMATION: APPLICATIONS
11.1
11.2
11.3
11.4
11.5
11.6
11.7
11.8
vii
Introduction 360
The Estimation of Means 361
The Estimation of Differences Between Means 365
The Estimation of Proportions 372
The Estimation of Differences Between
Proportions 374
The Estimation of Variances 378
The Estimation of the Ratio of Two Variances 379
Use of Computers 381
360
Contents
12
13
13.7
13.8
1 3.9
Introduction 410
Tests Concerning Means 415
Tests Concerning Differences Between Means
Tests Concerning Variances 426
Tests Concerning Proportions 430
Tests Concerning Differences Among k
Proportions 432
The Analysisofan r X c Table 438
Goodness of Fit 441
Use of Computers 446
410
418
15
Introduction 384
Testing a Statistical Hypothesis 386
Losses and Risks 388
The Neyman-Pearson Lemma 389
The Power Function of a Test 397
Likelihood Ratio Tests 400
14
384
Introduction 449
Linear Regression 453
The Method of Least Squares 455
Normal Regression Analysis 464
Normal Correlation Analysis 473
Multiple Linear Regression 480
Multiple Linear Regression (Matrix Notation)
449
484
ANALYSIS OF VARIANCE
15.1
15.2
15.3
15.4
15.5
15.6
15.7
Introduction 496
One-Way Analysis of Variance 496
Experimental Design 504
Two-Way Analysis of Variance Without
Interaction 506
Two-Way Analysis of Variance with Interaction
Multiple Comparisons 522
Some Further Considerations 525
496
514
Contents
16
NONPARAMETRIC TESTS
16.1
16.2
16.3
16.4
16.5
16.6
16.7
527
Introduction 527
The Sign Test 529
The Signed-Rank Test 531
Rank-Sum Tests: The U Test 539
Rank-Sum Tests: The H Test 543
Tests Based on Runs 548
The Rank Correlation Coefficient 554
ix
560
560
564
566
STATISTICAL TABLES
ANSWERS TO ODD-NUMBERED EXERCISES
INDEX
569
595
614