Formula for F(x) for a Standard Normal (Gaussian) Probability Distribution Function

with mean = 0
variance and standard deviation = 1
'(normalizing constant) *
e^-x^2/2
=1/sqrt(2*PI())
0.3989

0.4868

F(x)
-4
-3.9
-3.8
-3.7
-3.6
-3.5
-3.4
-3.3
-3.2
-3.1
-3
-2.9
-2.8
-2.7
-2.6
-2.5
-2.4
-2.3
-2.2
-2.1
-2
-1.9
-1.8
-1.7
-1.6
-1.5
-1.4
-1.3
-1.2
-1.1

0.0001
0.0002
0.0003
0.0004
0.0006
0.0009
0.0012
0.0017
0.0024
0.0033
0.0044
0.0060
0.0079
0.0104
0.0136
0.0175
0.0224
0.0283
0.0355
0.0440
0.0540
0.0656
0.0790
0.0940
0.1109
0.1295
0.1497
0.1714
0.1942
0.2179

-1
-0.9
-0.8
-0.7
-0.6
-0.5
-0.4
-0.3
-0.2
-0.1
0.00
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
1.1
1.2
1.3
1.4
1.5
1.6
1.7
1.8
1.9
2
2.1
2.2
2.3
2.4
2.5
2.6
2.7
2.8
2.9
3

0.2420
0.2661
0.2897
0.3123
0.3332
0.3521
0.3683
0.3814
0.3910
0.3970
0.3989
0.3970
0.3910
0.3814
0.3683
0.3521
0.3332
0.3123
0.2897
0.2661
0.2420
0.2179
0.1942
0.1714
0.1497
0.1295
0.1109
0.0940
0.0790
0.0656
0.0540
0.0440
0.0355
0.0283
0.0224
0.0175
0.0136
0.0104
0.0079
0.0060
0.0044

3.1
3.2
3.3
3.4
3.5
3.6
3.7
3.8
3.9
4

0.0033
0.0024
0.0017
0.0012
0.0009
0.0006
0.0004
0.0003
0.0002
0.0001

sian) Probability Distribution Function

=
0.1942

(input z-score, output probability to the left of z-score)

Cumulative Probability -"Normsdist"
1 - cumulative probability
0.000032
0.999968
0.000048
0.999952
0.0001
0.9999
0.0001
0.9999
0.0002
0.9998
0.0002
0.9998
0.0003
0.9997
0.0005
0.9995
0.0007
0.9993
0.0010
0.9990
0.0013
0.9987
0.0019
0.9981
0.0026
0.9974
0.0035
0.9965
0.0047
0.9953
0.0062
0.9938
0.0082
0.9918
0.0107
0.9893
0.0139
0.9861
0.0179
0.9821
0.0228
0.9772
0.0287
0.9713
0.0359
0.9641
0.0446
0.9554
0.0548
0.9452
0.0668
0.9332
0.0808
0.9192
0.0968
0.9032
0.1151
0.8849
0.1357
0.8643

0.1587
0.1841
0.2119
0.2420
0.2743
0.3085
0.3446
0.3821
0.4207
0.4602
0.5000
0.5398
0.5793
0.6179
0.6554
0.6915
0.7257
0.7580
0.7881
0.8159
0.8413
0.8643
0.8849
0.9032
0.9192
0.9332
0.9452
0.9554
0.9641
0.9713
0.9772
0.9821
0.9861
0.9893
0.9918
0.9938
0.9953
0.9965
0.9974
0.9981
0.9987

0.8413
0.8159
0.7881
0.7580
0.7257
0.6915
0.6554
0.6179
0.5793
0.5398
0.5000
0.4602
0.4207
0.3821
0.3446
0.3085
0.2743
0.2420
0.2119
0.1841
0.1587
0.1357
0.1151
0.0968
0.0808
0.0668
0.0548
0.0446
0.0359
0.0287
0.0228
0.0179
0.0139
0.0107
0.0082
0.0062
0.0047
0.0035
0.0026
0.0019
0.0013

0.9990
0.9993
0.9995
0.9997
0.9998
0.9998
0.9999
0.9999
0.999952
0.999968

0.0010
0.0007
0.0005
0.0003
0.0002
0.0002
0.0001
0.0001
0.000048
0.000032

Calculating z from p - "Normsinv"

-4
-3.9
-3.8
-3.7
-3.6
-3.5
-3.4
-3.3
-3.2
-3.1
-3
-2.9
-2.8
-2.7
-2.6
-2.5
-2.4
-2.3
-2.2
-2.1
-2
-1.9
-1.8
-1.7
-1.6
-1.5
-1.4
-1.3
-1.2
-1.1

-5

-4

-3

-2

-1
-0.9
-0.8
-0.7
-0.6
-0.5
-0.4
-0.3
-0.2
-0.1
2.22633313973741E-015
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
1.1
1.2
1.3
1.4
1.5
1.6
1.7
1.8
1.9
2
2.1
2.2
2.3
2.4
2.5
2.6
2.7
2.8
2.9
3

-5

-4

-3

-2

3.1
3.2
3.3
3.4
3.5
3.6
3.7
3.8
3.9
4

0.4500

0.4000

0.3500

0.3000

0.2500

0.2000

0.1500

0.1000

0.0500

0.0000
-3

-2

-1

1.2000

1.0000

1.2000

1.0000

0.8000

0.6000

0.4000

0.2000

0.0000
-3

-2

-1

Column B

Column B
Column C

Using random draws from a uniform distribution over [a,b] = [-1, 1]

Central Limit Theorem (CLT) predicts the mean of samples of size 100
and the standard deviation of samples of size n will approach the stan
average of n random draws (in column below)
number of sample means included
running mean of all sample means
difference between population mean
and mean of 250 sample means
0.003
running standard deviation
difference between standard deviation predicted by CLT
and standard deviation at 250 sample means
0.000
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21

22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62

63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100

= [-1, 1]
of size 100 will approach population mean =
0
ach the standard deviation of population divided by the square root of n =
Where n =
0.025
-0.058
1
2
0.025
-0.016
0.025
-0.016

100 random draws

0.061
0.020
3
4
0.009
0.012
0.009
0.012

-0.061
5
-0.003
-0.003

0.000
-0.058

0.041
-0.016

0.050
-0.008

0.043
-0.015

0.048
-0.009

-0.46866229
0.836314989
0.481731477
-0.67908629
-0.46012731
0.663016906
-0.55012864
0.818939084
-0.85429615
-0.65576675
0.949330577
-0.53477134
0.625540652
-0.17723379
-0.14488191
0.362043951
0.912565765
0.069852959
0.556979362
0.954579818
-0.96958746

-0.4360485645
0.2737012464
0.5506433086
-0.6387720942
0.8339484581
0.7925461577
-0.8027573293
0.1699954211
0.723454685
0.7295258064
0.4171562428
0.9118183316
-0.7632372044
-0.4140082132
0.6643211194
-0.2603757088
-0.6948742378
0.4416171387
-0.9113487918
-0.1837146301
-0.4309623498

0.802224785
-0.95714431
-0.16099712
0.347994328
0.373415403
-0.65618516
-0.80332017
-0.41525441
0.762371148
0.696026921
0.051339082
0.902128829
0.054653276
0.466522608
-0.48558108
-0.80748302
0.26655852
0.435128318
-0.09021441
0.860407773
0.912980211

-0.3882157654
0.5616148286
0.5398808108
-0.7596724196
0.2907773941
-0.9883031282
-0.6100126472
-0.7882663929
-0.9311441416
0.073911957
-0.1873481469
-0.6500993404
-0.1656298023
0.8098517945
-0.7824341427
-0.0635985848
-0.5467420123
0.2104779314
-0.2016900051
0.342212216
0.1765412162

-0.87354707
0.95979263
-0.98692012
-0.63313118
-0.53153403
-0.64417466
0.284766675
0.308672803
-0.52465541
0.194880174
-0.07831663
-0.06227526
0.540375868
0.392075227
0.884036374
-0.3511056
-0.01651078
-0.66797594
0.099514558
-0.87479614
-0.15870277

0.775455636
-0.32142483
0.009933752
-0.82608237
0.380923646
-0.14820971
-0.36335437
0.280731343
0.14354215
0.082864994
-0.94605114
0.608462918
-0.92118965
0.493689723
-0.24010532
-0.81473403
0.704061922
0.066669017
-0.41885922
-0.76302666
-0.52166879
-0.19574633
0.898677238
0.676330025
-0.06480884
0.978472725
-0.54992723
0.118152561
0.419111081
0.808143666
0.558833614
-0.80278616
0.011061122
-0.08775097
0.426968161
-0.38286877
-0.19250834
0.579893705
0.360041213
-0.92195957
-0.69463636

0.9963289537
0.0636192411
0.9698591181
0.9742958951
0.1044270615
0.529154459
-0.3009299883
-0.0666101011
-0.2700719154
-0.9171283175
-0.7084684102
-0.6044395017
0.0207262849
0.2101885728
-0.1084169755
-0.9310797271
0.5821471121
-0.4747547326
-0.220090304
-0.4048511279
-0.8345554401
-0.1857858142
-0.3193769637
0.5129630743
-0.7181624603
0.5984860566
-0.5175346984
0.592684411
-0.6364874342
-0.2685319101
0.3875687071
0.3260878031
0.3683797945
-0.3817150537
-0.5514704068
0.6229252005
-0.2032524366
0.3967548939
-0.7962363875
-0.6298452779
-0.7755984468

-0.62663442
-0.31258055
0.859200284
0.730298001
0.616027811
-0.00596508
0.050599497
-0.6459265
0.809061849
0.801742474
0.01551533
0.820111664
-0.87861436
-0.75870394
-0.12761704
0.966891153
-0.56116325
-0.66501634
-0.73790557
0.55421393
0.8520024
0.395305005
-0.5053205
0.385899901
-0.51675982
0.684721206
0.215063118
-0.23748953
0.224374312
-0.25990593
0.252310284
0.800916445
0.619946798
0.572102359
0.769421133
-0.93263845
0.639097665
-0.13607374
-0.30778057
0.227682707
-0.69916546

-0.4304673881
0.7860127846
0.4030902479
0.5959057724
-0.2420546762
0.2946453975
0.2250656416
-0.2111747069
0.255042383
0.4947718587
0.238434385
-0.6865216792
-0.5561657194
-0.982131423
0.2060696194
0.354587832
-0.1345895934
0.2470211298
0.6186931008
-0.4130682671
0.767257229
0.0925924121
0.0597276287
-0.5810760176
-0.1152241291
0.5852676579
-0.6720397826
-0.3268543389
0.7737904289
0.9736751309
0.4248644514
0.857578977
0.7729975139
0.0421353043
0.6789850467
0.2016646937
-0.0869839108
-0.7963881507
-0.7975930339
0.2830523588
0.2871678309

0.840412593
0.723233271
-0.39781676
0.720221307
-0.09171665
-0.81849924
0.172909562
0.20052467
-0.61378592
0.141288301
0.358225502
0.208762626
0.430954576
-0.25762661
-0.11355639
-0.57120053
0.457121338
0.380323751
0.352464143
0.502383103
-0.78698554
-0.35719523
0.723985113
-0.07893319
0.83981705
0.645302964
-0.49138314
0.417145776
-0.10803894
-0.96208007
-0.29034564
-0.86630565
-0.28352516
-0.62258698
-0.00141856
0.553718507
-0.38300136
0.191737264
-0.87679519
-0.61047703
0.858605905

0.056948217
0.245595229
0.403718833
0.211106553
0.492733347
-0.8998761
0.823795076
0.801067637
0.813865467
-0.376803
-0.32012059
-0.28706772
0.765096484
-0.09549355
-0.24771993
-0.04492857
-0.34440541
-0.20662148
0.168320635
0.6048943
-0.87345754
-0.02614822
-0.00478072
-0.48240143
0.842340909
-0.04101037
-0.2876561
0.198391619
-0.66140985
-0.68661515
-0.70251077
0.811616451
-0.10963219
0.200896897
0.241919321
0.016601212
-0.38303322
0.926735562

0.9706094717
0.825844462
-0.8725335421
-0.911851231
0.8000815548
0.1292838645
0.5463819182
0.8286990304
-0.7555506225
-0.5880846712
-0.6430544583
-0.1976936399
-0.7496748264
0.1018415568
0.2562983716
0.8809942668
0.0130159366
-0.1492109546
-0.3433687366
-0.9749845411
-0.5380609571
-0.3987066094
-0.6722576646
0.6871908675
-0.290352203
0.9981905716
-0.7782845949
-0.3757506604
-0.4085540143
-0.4623397538
0.617496938
-0.7270195493
-0.1256006453
-0.3473862461
0.7562551815
-0.9910135386
-0.1762424065
0.8881797232

0.604361228
0.79576016
0.383050216
0.236851837
-0.21687628
-0.25905551
-0.04996714
-0.00392111
-0.87053763
0.127664797
-0.58379486
0.736361099
-0.39693618
0.288494842
-0.79540241
-0.21897684
0.874803824
0.842557048
-0.02196704
-0.66166715
0.550357043
0.987547436
-0.06972093
-0.4834124
-0.50191174
-0.79460842
-0.10280651
0.990833103
0.399439978
0.038638785
0.138649629
-0.03969555
-0.68042825
-0.57323692
-0.14470566
-0.83706346
0.162826421
-0.28530323

-0.9869258748
-0.3044021907
-0.6859819093
0.596128332
-0.5404536473
-0.7427594601
-0.6212172154
-0.0058115087
0.6485685818
0.9541671835
-0.3075036365
0.4929981395
-0.5333581837
0.7036081678
-0.2379181879
0.6208813363
-0.530538504
0.2632186413
0.0964289838
0.6047905334
0.8790255175
-0.3130212813
0.9735764493
-0.0207097633
0.5640436951
-0.3704244229
0.6033286685
-0.4174736808
0.9892973988
0.759402141
-0.2855029516
0.2318638894
-0.9189168271
0.4626443819
-0.9335618969
0.2271525944
0.0786342416
-0.4403446252

-0.64132357
0.170623641
-0.42689102
0.399983706
0.055710501
-0.23952328
0.693913316
-0.55788948
0.617012209
0.5227712
0.330268159
-0.97678388
0.752408088
0.391733178
0.138198433
-0.30176787
0.264428106
0.732581899
-0.34289527
0.366216102
-0.89955464
-0.39112972
-0.10856781
-0.19284569
-0.91260042
0.262841591
-0.77321296
-0.97205465
0.424321885
-0.35989756
-0.66314024
0.928526857
-0.31750164
0.169944652
-0.62082196
-0.50210559
0.040752366
-0.53117315

Distribution has mean = (a+b)/2 =

re root of n =

0.00577
-0.020
6
-0.005
-0.005

0.073
7
0.006
0.006

0.045
-0.013

0.050
-0.008

-0.6046550702
0.6492765592
-0.1128038117
0.708400852
0.0069936034
-0.9769113632
0.1514990679
-0.707603618
0.2608464248
0.8381497641
-0.3274976276
-0.6436129468
-0.672927666
-0.7588205212
0.9391043251
-0.8948417353
0.1416166131
0.8754784223
-0.578191678
-0.6889891517
0.0712689883

0.1606939696
-0.7087592026
0.4490600624
-0.7160245352
0.3113096519
0.9067358347
-0.8499468472
0.4771214346
-0.3117037718
0.6654158733
0.9737298219
0.5903531075
0.8989473302
-0.2411438865
0.6687312163
0.2607495296
0.8540694332
0.7961308514
0.1052449471
0.7436833004
-0.4619535306

0.8461195589
-0.143384045
0.3295493769
-0.84982584
0.3731458974
0.4311225023
-0.4876644588
-0.2806698368
0.9201026615
-0.0380771686
-0.0558105297
-0.7599006454
0.3680493291
-0.7813316826
-0.60184807
0.0957124829
0.016045446
0.1876576953
0.1354978681
-0.001645348
0.8133818191
0.7561937287
-0.8882837547
0.583924775
0.0458151055
-0.0201482349
0.2974707079
-0.7363253916
-0.5722381389
-0.8732391573
-0.1793941893
-0.779438558
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0.577 Variance of a continuou

0.079
8
0.015
0.015

-0.028
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0.010
0.010

0.002
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0.009
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0.052
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riance of a continuous uniform distribution

= (b-a)^2 / 12

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0.005
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0.041
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0.011
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0.018
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0.05048309
-0.26687961
-0.17362419
-0.10569966
0.067308705
-0.36424383
-0.69288066
0.089851711
-0.16467669
0.127648911
-0.95221124
0.969855305
0.515096296
0.099513785
-0.66481529
0.756936257
0.031832554
-0.81141843
0.518206092
0.925807349
-0.45001591
0.704416663
0.115995567
-0.98714155
-0.61849085
0.715352857
-0.88749137
0.822680415
0.45685033
0.910267924

-0.44338231
-0.52721841
0.981460503
-0.7475556
0.618067483
-0.73740301
0.095105532
0.637573712
-0.57592226
-0.40638408
-0.02455481
-0.24319462
-0.38613418
0.930188568
-0.72085985
0.960380104
0.198336562
0.656052778
0.459943707
-0.75046707
-0.14769858
-0.27329969
0.815086838
0.46930096
-0.83982378
-0.33758935
0.458393536
0.263099764
0.467404002
0.188711768
0.961044638
-0.63964458
0.96981943
0.653437282
0.139775356
0.21627337
0.020395534
0.305296387

0.066409816 0.080802277
0.941510246 0.498148095
0.109041035 0.354395182
0.20239154 0.218928885
-0.06955548 0.970887081
-0.96985228 0.26605138
0.325528189 -0.54702492
0.209956883 0.230921514
0.344490054 -0.21958594
0.254065029 -0.55653091
-0.2421638 -0.48748953
-0.27611558 -0.76148689
0.319069786 0.792909952
-0.1869965 0.575144592
-0.43532885 -0.80763544
0.897403663 0.237601039
-0.44379635 -0.00369265
0.78291234 0.017355163
0.420999976 0.749957277
-0.26994435 0.230902156
0.195722427 -0.81370563
0.088176349 -0.0103806
0.278329693 0.993301005
-0.72643686 0.688672866
0.083469952 -0.10390969
0.481368382 0.664694625
-0.1968228 -0.81385678
0.730570326 -0.18959658
0.67352495 0.179706498
0.460063008 0.925557253
0.558515123 0.364442093
-0.40602478 -0.07622149
0.88553169 0.528690189
0.744212563 -0.26347896
-0.24853753 -0.90434454
0.519698837
0.7622875
-0.05434992 -0.61495825
0.080736781 -0.89062239

251

-0.54257225
-0.39824242
-0.61368671
0.371789131
0.490621751
-0.52202413
0.795131263
0.64475831
-0.73145201
0.276663219
-0.55037922
0.056363589
0.933524151
0.06297626
-0.13631563
0.21805478
0.185194522
0.18941989
0.204156286
-0.1755117
0.450949822

0.222615976
-0.44225656
0.320521619
-0.80578319
0.308736514
0.740859293
-0.48569204
0.204567195
-0.52864281
-0.80947638
0.144560083
-0.34265027
-0.63915606
-0.43513984
0.3095775
-0.27249987
0.068368387
-0.58003219
0.926773554
-0.68011419
0.465405837
-0.6809677
-0.40957667
0.987715085
0.345743383
0.413470678
-0.87453938
-0.00121819
-0.15469193
0.136650224
0.977617606
-0.87437944
0.525686144
0.356380618
0.6927941
0.314433847
0.663183667
0.917888379
0.620130485
0.369693467
-0.96311526

-0.63868127
-0.0027954
-0.74084075
0.673448004
-0.93957215
0.873783384
0.393153339
-0.37258557
0.625631337
-0.4479597
-0.81802599
0.819377713
0.040485197
-0.9468918
0.623063757
-0.54493581
0.717329805
-0.30015819
0.491557965
0.093136546
-0.93393217
0.227104912
-0.33575993
-0.7361611
-0.32642259
0.317506032
-0.30031771
-0.7172246
-0.499474
-0.46058118
-0.14918208
0.107001062
-0.16701288
-0.64346308
-0.54445686
-0.40557122
0.536214608
0.926471596

Typical Problem Type 1 - How rare is a certain amount of variance from the mean?
The average new enterprise sale for a large database company is:
The Company makes many hundreds of new enterprise sales each year, and the standard de
The VP of sales notices that in one region of the United States - the territory of a particular ne

there were 64 sales last year, at an average sale price of $180,000.

Q: How likely is it for the sales manager to achieve an average sale of $180,000 over 64 sale
Answer: If we assume that in the past, the region has been typical of the US as a whole in te
Then, according to the Central Limit Theorem, the standard deviation of sample means for a
Population Standard Deviation
$100,000
divided by the square root of the sample size
64
or a standard deviation of
$12,500
An average sale of
$180,000
has a z-score of
2.40
The probability that this good a performance or better would occur by chance is
0.82%
or excedingly unlikely!

Problem Type 2 - Slightly more advanced -- Is the difference between two percentages signifi

I test a new modified version of my home page to see whether it reduces "bounce" rates and
Over 24 hours, my standard home page had 300 visitors of whom 132 clicked through to an i
My newly modified home page had 200 visitors, of whom 107 clicked through to an interior p
Assume that the samples are independent and visitors were randomly assigned to pages
Question is: How probable is it that this much difference or more could occur by random chan

Problem 2 adapted from Statistics, 2nd Edition, by Freedman, Pisani, Purves & Adhikari (1991
This remains my favorite statistics book - and I understand it is Nassim Taleb's favorite as we
Many of the ideas I've developed over the years I first encountered in some form in this outs
For example, the term "probability histogram."

he mean?

$150,000
and the standard deviation around the mean value is $100,000
ory of a particular newly promoted Regional Sales Manager

His colleagues say she was just lucky.

180,000 over 64 sales by random chance alone?
e US as a whole in terms of mean sales price and variance of prices

sample means for a sample of 64 should have standard deviation approaching

8

o percentages significant?

s "bounce" rates and increases the proportion of people who click through to an interior page
icked through to an interior page 44.00%
ough to an interior page
53.50%
ssigned to pages
ccur by random chance alone?

ves & Adhikari (1991), p. 459

aleb's favorite as well, so I feel I'm in in very good company.
me form in this outstanding textbook.

Answer:
n
interior page

retention
300
200

132
107

retention rate
bounce rate
Standard Error
44.00%
56.00%
2.87%
53.50%
46.50%
3.53%
Observed Difference
Standard Error of Difference
9.50%
4.54%
Z-score of difference
2.09
Probability of Difference occurring by chance
1.83%

Adding 2 Indendent Gaussians

mean
standard deviation variance
Gaussian 1
1
4

16

Gaussian 2

25

Sum of 1+2

6.40

41

Covariance

Adding the linear transformations of two independent Gaussians

mean
Gaussian 1

standard deviation variance

1
4

16

Gaussian 2

25

Covariance

Adding the weighted combination of two dependent Gaussians

Adding the linear transformations of two independent Gaussians
mean
Gaussian 1

standard deviation variance

1
4

Covariance
16
20

Gaussian 2

25

20

NOTE MAXIMUM COVARIANCE

=(R=1)*SD1*SD2
=SD1*SD2

weighting
1
1

beta or
weighting

linear transformation:
mean
0.6

0.6
0.4

0.8
Sum of w1*1 + w2*2

beta or
weighting

1.4

mean
0.6

0.6

0.4

0.8
Sum of w1*1 + w2*2

E MAXIMUM COVARIANCE
=1)*SD1*SD2

1.4

r transformation:
standard deviation

variance

Covariance

2.4

5.76

3.12

9.76

Correlation R = Covariance1,2 /
standard deviation

variance
2.4
2
4.40

Covariance
5.76
20
4

20

1
1

19.36
weighted variance of 1 + weighted variance of 2 + (2*w(1)*

Note that when Cov = 0, the values in J17 and J28 are the sa

elation R = Covariance1,2 / SD1*SD2

ed variance of 2 + (2*w(1)*w(2)*Cov(1,2)

ues in J17 and J28 are the same

Using the sum of Dependent Gaussians Formula

Markowitz Portfolio Optimization

Expected return
Standard deviation of return
Variance of return
Weighting, where w(1) + w(2) = 1
w(1), w(2) > 0

E(r )
stdev
var
w
R

Correlation (1,2)

-0.35

expected r
stdev
variance
-0.35 weighting

Stock 2

Stock 1
10.00%
8.30%
0.006889
0.5258377733

12.00%
9.50%
0.009025
0.4741622267

Covar(1,2)= R*StDev(1)*StVariance of Weighted Sum

-0.00275975
0.0025577443

stock A

stock B
10.00%
8.30%
0.006889
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1

12.00%
9.50%
0.009025
1
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0

12.50%

12.00%

11.50%

11.00%

10.50%

12.00%

11.50%

11.00%

10.50%

10.00%

9.50%

9.00%
4.00%

5.00%

6.00%

7.00%

Risk-free rate
1%

Combined Portfolio
Sharpe Ratio
Standard Deviation
Expected Return
1.97
0.0505741467
0.1094832445 Equals portfolio expected Return minus risk-free ra

covariance

variance
-0.00275975
-0.00275975
-0.00275975
-0.00275975
-0.00275975
-0.00275975
-0.00275975
-0.00275975
-0.00275975
-0.00275975
-0.00275975

0.009025
0.006882385
0.00516844
0.003883165
0.00302656
0.002598625
0.00259936
0.003028765
0.00388684
0.005173585
0.006889

combined portfolio
standard deviation
9.50%
8.30%
7.19%
6.23%
5.50%
5.10%
5.10%
5.50%
6.23%
7.19%
8.30%

6.00%

7.00%

8.00%

9.00%

10.00%

lio expected Return minus risk-free rate of return / portfolio standard deviation

expected return
12.00%
11.80%
11.60%
11.40%
11.20%
11.00%
10.80%
10.60%
10.40%
10.20%
10.00%

Column H

Column H

9.00%

10.00%

Standardization Procedure - first calculate mean and standard deviation of set

10.00
90.00
75.00
35.00
20.00
21.00
33.00
58.00
60.00
mean
stdev

44.67
25.79

dardization Procedure - first calculate mean and standard deviation of set

Second, subtract mean from each
-34.67
45.33
30.33
-9.67
-24.67
-23.67
-11.67
13.33
15.33
0.00
25.79
Note that the mean of this new set is now 0
Standard deviation remains unchanged

Hint: Excel has a function called "standardize" where you enter a number, the mean of its se

Original X
10.00
90.00
75.00
35.00
20.00
21.00
33.00
58.00
60.00
X-Z scores
-1.34

1.76
1.18
-0.37
-0.96
-0.92
-0.45
0.52
0.59

viation of set
Third, divide each by standard deviation
-1.34
1.76
1.18
-0.37
-0.96
-0.92
-0.45
0.52
0.59
0.00
1.00
mean remains 0
stdev is now 1

re you enter a number, the mean of its set, the standard deviation of its set, and output a z-score

Original Y
1.5
10
8.3
4
1.4
1.8
2.2
4
3
Y-Zscores
-0.86

Statistics for Original Data

variance
standard deviation
covariance
beta - slope
intercept

665.33
25.79
67.89
0.10
-0.54

Statistics for z-scores

variance

665.33

2.05
1.47
-0.01
-0.90
-0.76
-0.62
-0.01
-0.35

standard deviation
covariance
beta - slope
intercept

1.00
0.90
0.90
0.00

ORIGINAL X ORIGINAL
10.00
90.00
75.00
35.00
20.00
21.00
33.00
58.00
60.00

Y standardized Y
1.5
10
8.3
4
1.4
1.8
2.2
4
3

4.02
2.92

nd output a z-score

8.51
2.92

8.51

-0.86
2.05
1.47
-0.01
-0.90
-0.76
-0.62
-0.01
-0.35
0.00
1.00

1.00

12
10
8

f(x) = 0.1020318415x - 0.5352000297

R = 0.8140725016

6
4
2
0
0.00

10.00

20.00

30.00

2.50

X - Z scores Y - Zscores
-1.34
-0.86
1.76
2.05
1.18
-0.37
-0.96
-0.92
-0.45
0.52
0.59

1.47
-0.01
-0.90
-0.76
-0.62
-0.01
-0.35

40.00

2.00

1.50
f(x) = 0.9022596642x - 2.22880848
R = 0.8140725016
1.00
0.50

-1.50

-1.00

0.00
-0.50
0.00
-0.50
-1.00
-1.50

0.50

297

.50

30.00

40.00

50.00

60.00

2.50
2.00
1.50
f(x) = 0.9022596642x - 2.22880848653486E-016
R = 0.8140725016
1.00
Column O
0.50

Linear (Column O)
Linear (Column O)

-1.00

0.00
-0.50
0.00
-0.50
-1.00
-1.50

0.50

1.00

1.50

2.00

70.00

80

Column J
Linear (Column J)
Linear (Column J)

70.00

80.00

90.00

100.00

0.00

Column J
Linear (Column J)
Linear (Column J)

Date
RSP
5/1/2015
4/1/2015
3/2/2015
2/2/2015
1/2/2015
12/1/2014
11/3/2014
10/1/2014
9/2/2014
8/1/2014
7/1/2014
6/2/2014
5/1/2014
4/1/2014
3/3/2014
2/3/2014
1/2/2014
12/2/2013
11/1/2013
10/1/2013
9/3/2013
8/1/2013
7/1/2013
6/3/2013
5/1/2013
4/1/2013
3/1/2013
2/1/2013
1/2/2013
12/3/2012
11/1/2012
10/1/2012
9/4/2012
8/1/2012
7/2/2012
6/1/2012
5/1/2012
4/2/2012
3/1/2012
2/1/2012
1/3/2012
12/1/2011
11/1/2011

SPY
0.72%
0.41%
-0.96%
5.57%
-2.97%
0.28%
2.63%
2.98%
-2.62%
4.12%
-2.36%
2.82%
2.13%
0.38%
0.61%
5.20%
-3.01%
2.84%
2.20%
4.19%
4.03%
-2.96%
5.48%
-1.24%
2.65%
1.68%
4.27%
0.96%
6.30%
2.24%
1.27%
-0.83%
2.48%
3.02%
0.12%
3.79%
-7.25%
-0.75%
2.29%
3.93%
5.53%
0.16%
-0.88%

1.28%
0.98%
-1.58%
5.47%
-3.01%
-0.25%
2.71%
2.33%
-1.39%
3.87%
-1.35%
2.04%
2.29%
0.69%
0.83%
4.45%
-3.59%
2.56%
2.92%
4.53%
3.12%
-3.05%
5.04%
-1.34%
2.33%
1.90%
3.73%
1.27%
4.99%
0.89%
0.56%
-1.84%
2.50%
2.47%
1.18%
3.98%
-6.19%
-0.67%
3.17%
4.25%
4.53%
1.04%
-0.41%

10/3/2011
9/1/2011
8/1/2011
7/1/2011
6/1/2011
5/2/2011
4/1/2011
3/1/2011
2/1/2011
1/3/2011
12/1/2010
11/1/2010
10/1/2010
9/1/2010
8/2/2010
7/1/2010
6/1/2010
5/3/2010
4/1/2010
3/1/2010
2/1/2010
1/4/2010
12/1/2009
11/2/2009
10/1/2009
9/1/2009
8/3/2009
7/1/2009
6/1/2009
5/1/2009
4/1/2009
3/2/2009
2/2/2009
1/2/2009
12/1/2008
11/3/2008
10/1/2008
9/2/2008
8/1/2008
7/1/2008
6/2/2008
5/1/2008
4/1/2008
3/3/2008

12.28%
-9.48%
-6.56%
-3.68%
-1.82%
-0.62%
3.08%
0.83%
3.94%
2.09%
6.97%
0.82%
3.50%
9.70%
-4.87%
7.10%
-6.51%
-7.65%
2.62%
6.97%
4.10%
-3.37%
4.51%
5.39%
-3.77%
5.15%
5.49%
8.79%
-1.20%
6.26%
17.14%
9.75%
-11.91%
-8.71%
3.04%
-10.13%
-23.45%
-11.54%
2.92%
-0.50%
-10.36%
2.62%
5.57%
-1.87%

10.36%
-7.19%
-5.65%
-2.02%
-1.70%
-1.13%
2.85%
0.01%
3.41%
2.30%
6.47%
0.00%
3.75%
8.58%
-4.60%
6.61%
-5.31%
-8.28%
1.54%
5.91%
3.07%
-3.70%
1.89%
5.98%
-1.94%
3.48%
3.63%
7.20%
-0.07%
5.68%
9.47%
8.00%
-11.37%
-8.57%
0.97%
-7.21%
-18.05%
-9.89%
1.53%
-0.90%
-8.73%
1.50%
4.66%
-0.90%

2/1/2008
1/2/2008
12/3/2007
11/1/2007
10/1/2007
9/4/2007
8/1/2007
7/2/2007
6/1/2007
5/1/2007
4/2/2007
3/1/2007
2/1/2007
1/3/2007
12/1/2006
11/1/2006
10/2/2006
9/1/2006
8/1/2006
7/3/2006
6/1/2006
5/1/2006
4/3/2006
3/1/2006
2/1/2006
1/3/2006
12/1/2005
11/1/2005
10/3/2005
9/1/2005
8/1/2005
7/1/2005
6/1/2005
5/2/2005
4/1/2005
3/1/2005
2/1/2005
1/3/2005
12/1/2004
11/1/2004
10/1/2004
9/1/2004
8/2/2004
7/1/2004

-3.06%
-4.40%
-1.72%
-4.76%
1.11%
2.46%
0.08%
-4.62%
-1.87%
3.18%
4.31%
0.82%
-0.48%
2.38%
0.56%
2.46%
3.69%
2.37%
2.70%
-1.34%
-0.28%
-3.01%
0.86%
2.08%
0.34%
3.95%
0.53%
4.45%
-2.72%
0.50%
-0.88%
4.98%
1.53%
4.40%
-3.25%
-1.37%
2.11%
-3.13%
3.64%
5.63%
2.35%
2.54%
-0.10%
-4.68%

-2.62%
-6.24%
-1.13%
-3.95%
1.35%
3.80%
1.28%
-3.18%
-1.47%
3.34%
4.33%
1.15%
-1.98%
1.49%
1.33%
1.97%
3.10%
2.66%
2.16%
0.45%
0.26%
-3.06%
1.26%
1.64%
0.57%
2.37%
-0.19%
4.30%
-2.39%
0.80%
-0.94%
3.75%
0.15%
3.17%
-1.89%
-1.85%
2.07%
-2.27%
2.97%
4.36%
1.28%
1.00%
0.24%
-3.27%

6/1/2004
5/3/2004
4/1/2004
3/1/2004
2/2/2004
1/2/2004
12/1/2003
11/3/2003
10/1/2003
9/2/2003
8/1/2003
7/1/2003
6/2/2003
5/1/2003

2.99%
1.73%
-2.39%
-0.68%
1.89%
2.34%
5.05%
2.09%
6.69%
-1.49%
4.22%
2.33%
0.86%

1.83%
1.70%
-1.91%
-1.33%
1.35%
1.96%
4.91%
1.09%
5.21%
-1.10%
2.04%
1.79%
1.06%

For standardized values of X and Y - mean X,Y = 0 and variance X, Y = 1

R^2 = 1- (error)^2
error = sqrt(1 - R^2)
R

point estimate of y
is x(i) multiplied by

SD of error
-1
0.00
-0.95
0.31
-0.9
0.44
-0.85
0.53
-0.8
0.60
-0.75
0.66 For students to complete
-0.7
0.71
-0.65
0.76
-0.6
0.80
-0.55
0.84
-0.5
0.87
-0.45
0.89
-0.4
0.92
-0.35
0.94
-0.3
0.95
-0.25
0.97
-0.2
0.98
-0.15
0.99
-0.1
0.99
-0.05
1.00
0.00
1.00
0.05
1.00
0.1
0.99
0.15
0.99
0.2
0.98
0.25
0.97
0.3
0.95
0.35
0.94
0.4
0.92
0.45
0.89
0.5
0.87
0.55
0.84
0.6
0.80
0.65
0.76

5 % of values will
be below

0.7
0.75
0.8
0.85
0.9
0.95
1

0.71
0.66
0.60
0.53
0.44
0.31
0.00

1.64

5 % of values will
be above

For Standardized Dat

-1.5

-1

NOTE that additional adjustments to the probability distribution of errors can be made to acc

ndardized Data: Standard Deviation of Residual Errors as a Fu

1.20

1.00

0.80

0.60

0.40

0.20

0.00
-0.5

Example Problem
Assume Correlation =
0.7
The Standard Deviation of error =
0.71
If we want a range of values around the point estimate of y
that will cover 90% probability that the true value of y is in the range
90%

0.5

then we need error-adjusted z scores of

-1.64
-1.17
(5 % below) and
1.64
1.17
(5 % above) then
with range for 90% confidence
So if the value of x is
x
y
min
max
-2
-1.4
-2.57
-0.23
0.1
0.07
-1.10
1.24
0
0
-1.17
1.17
0.3
0.21
-0.96
1.38
0.7
0.49
-0.68
1.66
1.2
0.84
-0.33
2.01

ors can be made to account for relatively small samples from random variables X and Y - but these err

sidual Errors as a Function of Linear Correlation R

Co

0.5

1.5

variables X and Y - but these errors can be disregarded when n > 50 and the Z-score of x(i) is less tha

lation R

Column B

1.5

and the Z-score of x(i) is less than 3. See the Mathematical Supplement for details on adjustment for s

nt for details on adjustment for small N and/or large Z.

Linear Regression using Multiple X Variables

"Multivariate" Linear Regression
x(1)
age

Customer ID
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25

30.31
31.01
28.70
47.48
39.96
34.58
35.96
40.62
48.15
46.60
29.20
38.12
28.99
46.12
33.26
32.84
19.98
36.08
27.24
34.94
38.66
43.87
29.15
38.77
34.75

Using MS Excel "Linest"

Enter Column with Y values (Here, H6 to H30)
Enter full array with x values (here, B6 to G30)
Answer, with statistics, requires a 5-row by 7-column area
Select a 5-row by 7 column Area with Linest function already entered in upper left corner
"Control" + "U"
then "Command" + "return"

0.00
0.00
0.6056834114
4.6080999042
3.4887364496

beta(6)*x(6)
SDev of error
R^2
F-statistic
Regression Sum of Squares

x(2)
years at employer (x2)

ady entered in upper left corner

2.04
0.28
8.49
16.76
12.86
11.97
4.96
6.55
12.89
11.46
1.25
18.29
1.60
3.31
7.61
10.64
1.47
6.06
1.71
10.21
0.61
9.20
8.09
22.30
8.69

0.00
0.00
0.3552200844
18
2.2712635504

beta(5)*x(5)
SDev of error
Sdev(y)
Degrees of Freedom
Residual Sum of Squares

x(3)
years at current address (x3)
0.80
1.05
0.62
1.68
1.26
1.49
0.45
0.49
0.79
0.54
0.15
0.89
0.90
0.28
0.11
0.79
0.68
1.09
0.42
0.65
0.13
0.64
0.04
1.27
1.78

x(4)
Income $
$28,720
$67,583
$28,041
$60,661
$48,339
$65,765
$19,912
$33,336
$48,722
$52,869
$19,100
$45,262
$14,720
$24,146
$24,083
$26,949
$15,304
$40,341
$18,571
$101,164
$30,129
$27,784
$20,608
$55,033
$45,688

0.00
0.00

0.12
0.19

#N/A
#N/A
#N/A

#N/A
#N/A
#N/A

beta4*x4
SDev of error

beta(3)*x(3)
SDev of error

x(5)
Credit Card Debt
-$555
-$7,661
-$319
-$2,923
-$3,857
-$15,598
-$1,345
-$8,985
-$12,345
-$5,046
-$261
-$718
-$392
-$3,116
-$1,325
-$786
-$140
-$5,144
-$1,864
-$9,666
-$1,210
-$3,375
-$1,724
-$1,141
-$2,364

x(6)
Automobile Debt
-$2,600
-$30,676
-$1,162
-$1,563
-$2,555
-$17,632
-$1,489
-$5,664
-$19,625
-$14,190
-$750
-$754
$718
-$8,454
-$924
-$522
-$2,862
-$13,244
-$8,025
-$17,527
-$2,707
-$4,991
-$3,113
-$286
-$5,004

-0.03
0.02

0.03
0.01

#N/A
#N/A
#N/A

#N/A
#N/A
#N/A

beta(2)*x(2)
SDev of error

beta(1)*x(1)
SDev of error

Target Variable Y
Default = 1, No Default = 0
0
1
0
0
0
1
0
1
1
1
0
0
1
1
0
0
0
1
0
0
1
0
0
0
0

-0.55
0.42
#N/A
#N/A
#N/A

alpha
SDev of error

constant in nats (for Entropy of a Gaussian PDF)

1.4189
1.442695041
change of base formula
2.05
constant in bits
plus log 2 of the standard deviation of the Gaussian
for standardized variable Y H(Y) =
R

R-squared
-1
-0.95
-0.9
-0.85
-0.8
-0.75
-0.7
-0.65
-0.6
-0.55
-0.5
-0.45
-0.4
-0.35
-0.3
-0.25
-0.2
-0.15
-0.1
-0.05
0.00
0.05
0.1
0.15
0.2
0.25
0.3
0.35
0.4
0.45
0.5
0.55

SD of error
H(Y |(beta)X)
1
0.00 undefined
0.9025
0.31
0.37
0.81
0.44
0.85
0.7225
0.53
1.12
0.64
0.60
1.31
0.5625
0.66
1.45
0.49
0.71
1.56
0.4225
0.76
1.65
0.36
0.80
1.73
0.3025
0.84
1.79
0.25
0.87
1.84
0.2025
0.89
1.88
0.16
0.92
1.92
0.1225
0.94
1.95
0.09
0.95
1.98
0.0625
0.97
2.00
0.04
0.98
2.02
0.0225
0.99
2.03
0.01
0.99
2.04
0.0025
1.00
2.05
0.00
1.00
2.05
0.0025
1.00
2.05
0.01
0.99
2.04
0.0225
0.99
2.03
0.04
0.98
2.02
0.0625
0.97
2.00
0.09
0.95
1.98
0.1225
0.94
1.95
0.16
0.92
1.92
0.2025
0.89
1.88
0.25
0.87
1.84
0.3025
0.84
1.79

0.6
0.65
0.7
0.75
0.8
0.85
0.9
0.95
1

0.36
0.80
1.73
0.4225
0.76
1.65
0.49
0.71
1.56
0.5625
0.66
1.45
0.64
0.60
1.31
0.7225
0.53
1.12
0.81
0.44
0.85
0.9025
0.31
0.37
1 undefined
undefined

2.05

Percent Information Gain = I(X:Y)/H(Y)

I(X:Y) = H(Y) - H(Y|(beta)X) PIG
only an approximate measure for continuous prob
undefined
This is because differential entropy I(X:Y) for continuous distribu
1.68
82.0%
1.20
58.5%
0.92
45.2%
0.74
36.0%
0.60
29.1%
0.49
23.7%
0.40
19.3%
0.32
15.7%
0.26
12.7%
0.21
10.1%
0.16
8.0%
0.13
6.1%
0.09
4.6%
0.07
3.3%
0.05
2.3%
0.03
1.4%
0.02
0.8%
0.01
0.4%
0.00
0.1%
0.00
0.0%
0.00
0.1%
0.01
0.4%
0.02
0.8%
0.03
1.4%
0.05
2.3%
0.07
3.3%
0.09
4.6%
0.13
6.1%
0.16
8.0%
0.21
10.1%
0.26
12.7%

0.32
0.40
0.49
0.60
0.74
0.92
1.20
1.68
undefined

15.7%
19.3%
23.7%
29.1%
36.0%
45.2%
58.5%
82.0%
undefined

te measure for continuous probability distributions as PIG approaches 1

py I(X:Y) for continuous distributions can exceed the original entropies H(X) and H(Y) and in fact goes t

s H(X) and H(Y) and in fact goes to infinity as the error goes to zero.

Copyright Daniel Egger/ A

el Egger/ Attribution 4.0 Internatio

International (CC BY 4.0)