Stochastic Modeling and Mathematical Statistics

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Stochastic Modeling and Mathematical Statistics
A Text for Statisticians and Quantitative Scientists
Texts in Statistical Science
Francisco J. Samaniego
University of California, Davis, USA
9781466560482
v
vi
CRC Press
Taylor & Francis Group
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Front Matter
1 The Calculus of Probability
2 Discrete Probability Models vi
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3 Continuous Probability Models
4 Multivariate Models
5 Limit Theorems and Related Topics
6 Statistical Estimation: Fixed Sample Size Theory
7 Statistical Estimation: Asymptotic Theory
8 Interval Estimation
9 The Bayesian Approach to Estimation
10 Hypothesis Testing
11 Estimation and Testing for Linear Models
12 Nonparametric Statistical Methods
Back Matter
Front Matter
CHAPMAN & HALL/CRC
Texts in Statistical Science Series
Series Editors
Francesca Dominici, Harvard School of Public Health, USA
Julian J. Faraway, University of Bath, UK
Martin Tanner, Northwestern University, USA
Jim Zidek, University of British Columbia, Canada
Statistical Theory: A Concise Introduction
F. Abramovich and Y. Ritov
Practical Multivariate Analysis, Fifth Edition
A. Afifi, S. May, and V.A. Clark
Practical Statistics for Medical Research
D.G. Altman
Interpreting Data: A First Course in Statistics
A.J.B. Anderson
Introduction to Probability with R
K. Baclawski
Linear Algebra and Matrix Analysis for Statistics
S. Banerjee and A. Roy
Statistical Methods for SPC and TQM
D. Bissell
Bayesian Methods for Data Analysis, Third Edition

B.P. Carlin and T.A. Louis
Second Edition
R. Caulcutt
The Analysis of Time Series: An Introduction, Sixth Edition
C. Chatfield
Introduction to Multivariate Analysis
C. Chatfield and A.J. Collins
Problem Solving: A Statistician's Guide, Second Edition
C. Chatfield
Statistics for Technology: A Course in Applied Statistics, Third Edition
C. Chatfield
Bayesian Ideas and Data Analysis: An Introduction for Scientists and Statisticians
R. Christensen, W. Johnson, A. Branscum, and T.E. Hanson
Modelling Binary Data, Second Edition
D. Collett
Modelling Survival Data in Medical Research, Second Edition
D. Collett
Introduction to Statistical Methods for Clinical Trials
T.D. Cook and D.L. DeMets
Applied Statistics: Principles and Examples
D.R. Cox and E.J. Snell
Multivariate Survival Analysis and Competing Risks

M. Crowder
Statistical Analysis of Reliability Data
M.J. Crowder, A.C. Kimber,
T.J. Sweeting, and R.L. Smith
An Introduction to Generalized Linear Models, Third Edition
A.J. Dobson and A.G. Barnett
Introduction to Optimization Methods and Their Applications in Statistics
B.S. Everitt
Extending the Linear Model with R: Generalized Linear, Mixed Effects and Nonparametric
Regression Models
J.J. Faraway
A Course in Large Sample Theory
T.S. Ferguson
Multivariate Statistics: A Practical Approach
B. Flury and H. Riedwyl
Readings in Decision Analysis
S. French
Markov Chain Monte Carlo: Stochastic Simulation for Bayesian Inference, Second Edition
D. Gamerman and H.F. Lopes
Bayesian Data Analysis, Third Edition
A. Gelman, J.B. Carlin, H.S. Stern, D.B. Dunson, A. Vehtari, and D.B. Rubin
Multivariate Analysis of Variance and Repeated Measures: A Practical Approach for

Behavioural Scientists
D.J. Hand and C.C. Taylor
Practical Data Analysis for Designed Practical Longitudinal Data Analysis
D.J. Hand and M. Crowder
Logistic Regression Models
J.M. Hilbe
Richly Parameterized Linear Models: Additive, Time Series, and Spatial Models Using Random
Effects
J.S. Hodges
Statistics for Epidemiology
N.P. Jewell
Stochastic Processes: An Introduction, Second Edition
P.W. Jones and P. Smith
The Theory of Linear Models
B. Jørgensen
Principles of Uncertainty
J.B. Kadane
Graphics for Statistics and Data Analysis with R
K.J. Keen
Mathematical Statistics
K. Knight
Nonparametric Methods in Statistics with SAS Applications
O. Korosteleva
Modeling and Analysis of Stochastic Systems, Second Edition
V.G. Kulkarni
Exercises and Solutions in Biostatistical Theory
L.L. Kupper, B.H. Neelon, and S.M. O'Brien
Exercises and Solutions in Statistical Theory
L.L. Kupper, B.H. Neelon, and S.M. O'Brien
Design and Analysis of Experiments with SAS
J. Lawson
A Course in Categorical Data Analysis
T. Leonard
Statistics for Accountants
S. Letchford
Introduction to the Theory of Statistical Inference
H. Liero and S. Zwanzig
Statistical Theory, Fourth Edition
B.W. Lindgren
Stationary Stochastic Processes: Theory and Applications
G. Lindgren
The BUGS Book: A Practical Introduction to Bayesian Analysis
D. Lunn, C. Jackson, N. Best, A. Thomas, and D. Spiegelhalter
Introduction to General and Generalized Linear Models
H. Madsen and P. Thyregod

Time Series Analysis
H. Madsen
Pólya Urn Models
H. Mahmoud
Randomization, Bootstrap and Monte Carlo Methods in Biology, Third Edition
B.F.J. Manly
Introduction to Randomized Controlled Clinical Trials, Second Edition
J.N.S. Matthews
Statistical Methods in Agriculture and Experimental Biology, Second Edition
R. Mead, R.N. Curnow, and A.M. Hasted
Statistics in Engineering: A Practical Approach
A.V. Metcalfe
Beyond ANOVA: Basics of Applied Statistics
R.G. Miller, Jr.
A Primer on Linear Models
J.F. Monahan
Applied Stochastic Modelling, Second Edition
B.J.T. Morgan
Elements of Simulation
B.J.T. Morgan
Probability: Methods and Measurement
A. O'Hagan
Introduction to Statistical Limit Theory
A.M. Polansky
Applied Bayesian Forecasting and Time Series Analysis
A. Pole, M. West, and J. Harrison
Statistics in Research and Development, Time Series: Modeling, Computation, and Inference
R. Prado and M. West
Introduction to Statistical Process Control
P. Qiu
Sampling Methodologies with Applications
P.S.R.S. Rao
A First Course in Linear Model Theory
N. Ravishanker and D.K. Dey
Essential Statistics, Fourth Edition
D.A.G. Rees
Stochastic Modeling and Mathematical Statistics: A Text for Statisticians and Quantitative
Scientists
F.J. Samaniego
Statistical Methods for Spatial Data Analysis
O. Schabenberger and C.A. Gotway
Large Sample Methods in Statistics
P.K. Sen and J. da Motta Singer
Decision Analysis: A Bayesian Approach
J.Q. Smith
Analysis of Failure and Survival Data
P. J. Smith
Applied Statistics: Handbook of GENSTAT Analyses
E.J. Snell and H. Simpson
Applied Nonparametric Statistical Methods, Fourth Edition
P. Sprent and N.C. Smeeton
Data Driven Statistical Methods
P. Sprent
Generalized Linear Mixed Models:
Modern Concepts, Methods and Applications
W. W. Stroup
Survival Analysis Using S: Analysis of Time-to-Event Data
M. Tableman and J.S. Kim
Applied Categorical and Count Data Analysis
W. Tang, H. He, and X.M. Tu
Elementary Applications of Probability Theory, Second Edition
H.C. Tuckwell
Introduction to Statistical Inference and Its Applications with R
M.W. Trosset
Understanding Advanced Statistical Methods
P.H. Westfall and K.S.S. Henning
Statistical Process Control: Theory and Practice, Third Edition
G.B. Wetherill and D.W. Brown
Generalized Additive Models: An Introduction with R
S. Wood
Epidemiology: Study Design and Data Analysis, Third Edition
M. Woodward
Experiments
B.S. Yandell
vii
Dedication and Acknowledgments
It seems fitting that I dedicate this book to my students. I've had thousands of them over my long career, and
I've learned a lot from them, from the genuine curiosity from which many questions came and from their
growth as they confronted the intellectual challenges I set before them. The challenge of challenging them
to think hard about new ideas has shaped who I am as a teacher. In particular, the many students I have
taught in my probability and mathematical statistics courses over the years contributed mightily to the
development of this book. I am grateful for their trust as I guided them through what occasionally looked to
them like a minefield. Teaching these students has been a joy for me, and I will always appreciate the
gracious reception they have given me as their teacher. The students whom I taught in the fall and winter
quarters of this academic year were especially helpful to me as I “classroom tested” the penultimate version
of the book. Readers have been spared hundreds of typos that were fixed due to their watchful eyes.
I would like to thank a number of individuals who provided significant assistance to me in the writing of
this text. I consider the problems to be the most important part of the book, and I am grateful to Apratim
Ganguly, Kimi Noguchi, Anzhi Gu, and Zhijie Zheng for patiently working through hundreds of problems
and providing solutions that could be made available to students and/or instructors who use the text. The
steady and sage advice of my editor John Kimmel is much appreciated. A special benefit of John's
stewardship was the high quality of the reviewers that he recruited to comment on early versions of the text.
They all contributed to making this a better book. My sincere thanks to Adam Bowers (UC San Diego),
James Gentle (George Mason University), Solomon Harrar (University of Montana), Wesley Johnson (UC
Irvine), Lawrence Leemis (William & Mary University), Elena Rantou (George Mason University), Ralph
P. Russo (U. of Iowa), and Gang Wang (DePaul University). I am also most grateful to Gail Gong for her
helpful advice on Chapter 12 and to Ethan Anderes for his help with the graphics on the book's cover.
Christopher Aden took my somewhat primitive version of the text and made it sing on Chapman and Hall's
LaTeX template. Thanks, Chris, for your timely and high-quality work! Finally, I thank my wife, Mary
O'Meara Samaniego, for her patience with this project. I am especially grateful for her plentiful corporal
and moral support. And a special thanks to Elena, Moni, Keb, Jack, and Will. It's hard for me to imagine a
more supportive and loving family.
F.J. Samaniego
June 2013 vii

xiii
Preface for Students
Let me begin with a sincere welcome. This book was written with you in mind! As you probably know, new
textbook projects are generally reviewed pretty carefully. The reviewers either tell the publisher to tank the
project or they give the author their best advice about possible improvements. I'm indebted to the reviewers
of this book for providing me with (a) much constructive criticism and (b) a good deal of encouragement. I
especially appreciated one particular encouraging word. Early on, a reviewer commented about the style of
the book, saying that he liked its conversational tone. He/she said that it read as if I was just talking to some
students sitting around my desk during office hours. I liked this comment because it sort of validated what I
had set out to do. Reading a book that uses mathematical tools and reasoning doesn't have to be a painful
experience. It can be, instead, stimulating and enjoyable; discovering a new insight or a deeper
understanding of something can be immensely satisfying. Of course, it will take some work on your part.
But you know that already. Just like acquiring anything of value, learning about the mathematical
foundations of probability and statistics will require the usual ingredients needed for success: commitment,
practice, and persistence. Talent doesn't hurt either, but you wouldn't be where you are today if you didn't
have that. If you concentrate on the first three attributes, things should fall into place for you. In this brief
preface, my aim is to give you some advice about how to approach this textbook and a course in which it is
used. First, I'd recommend that you review your old calculus book. It's not that calculus permeates every
topic taken up in this book, but the tools of differential and integral calculus are directly relevant to many of
the ideas and methods we will study: differentiating a moment-generating function, integrating a density
function, minimizing a variance, maximizing a likelihood. But calculus is not even mentioned until the last
couple of sections of Chapter 2, so you have time for a leisurely yet careful review. That review is an
investment you won't regret.
Most students will take a traditional-style course in this subject, that is, you will attend a series of lectures
on the subject, will have the benefit of some direct interaction with the instructor and with graduate teaching
assistants, and will work on assigned problem sets or on problems just for practice. While there is no unique
strategy that guarantees success in this course, my prescription for success would certainly include the
following: (1) Read ahead so that you place yourself in the position of knowing what you don't understand
yet when you attend a lecture on a given topic. If you do, you'll be in a good position of focus on the
particular elements of the day's topic that you need more information on, and you'll be prepared to ask
questions that should clarify whatever seems fuzzy upon first reading. (2) Work as many problems as you
have time for. “Practice makes perfect” is more than a worn out platitude. It's the truth! That's what
distinguishes the platitudes that stick around from those that disappear. (3) Try to do problems by yourself
first. The skill you are hoping to develop has to do with using the ideas and tools you are learning to solve
new problems. You learn something from attempts that didn't work. But you learn the most from attempts xiii
that do work. Too much discussion or collaboration (where the answers are revealed to you before you've xiv
that do work. Too much discussion or collaboration (where the answers are revealed to you before you've xiv
given a problem your best effort) can interfere with your learning. (4) While it's true that mastering a new
skill generally involves some suffering, you should not hesitate to seek help after giving a problem or a
topic your honest effort. Receiving helpful hints from an instructor, TA, or tutor is generally more beneficial
than just having the solution explained to you. It's also better than total frustration. So put in a decent effort
and, if a problem seems resistant to being solved, go have a chat with your instructor or his/her surrogate.
(5) Mathematical ideas and tools do not lend themselves to quick digestion. So give yourself some time to
absorb the material in this course. Spreading out a homework assignment over several days, and studying
for a test well before the eve of the exam, are both time-honored study habits that do help. To help make
learning this subject less painful for you, I've included many reader-friendly explanations, hints, tutorials,
discussion, and occasional revelations of the “tricks of the trade” in the text.
I'd like to give you a few tips about how to “attack” this book. First, the book has lots of “problems” to be
solved. I've placed exercises at the end of every section. I encourage you to work all of them after you've
read a section, as they represent an immediate opportunity to test your understanding of the material. For
your convenience, and because I am, regardless of what you may have heard, a compassionate person who
wants to be helpful, I've included, in an Appendix, the answers (or helpful comments) for all the exercises.
So you can check your answer to confirm whether or not you've nailed the exercise. Some of these exercises
may be assigned for homework by your instructor. It's OK, while you are first learning the subject, to be
working toward a particular answer, although you will usually get the most benefit from looking up the
answer only after you've solved, or at least seriously attempted to solve, the exercise. I should add that not
all the exercises are simple applications of the textual material. Some exercises address rather subtle notions
within a given topic. If you are able to do all the exercises, you can be confident that you've understood the
material at a reasonably high level.
Now, let me give you a heads up about the sections in the book that are the most challenging. These sections
will require special concentration on your part and may benefit from some collateral reading. I recommend
that you spend more time than average reading and digesting Section 1.8 on combinatorics, Section 2.8 on
moment-generating functions, Section 3.6 on “other” continuous distributions (since you may need to study
and learn about these on your own), Section 4.6 on transformation theory, Sections 5.3 and 5.4 on the
Central Limit Theorem and on the delta method, Section 6.3 on Fisher information and the Cramér-Rao
inequality, Section 6.4 of sufficiency, completeness, and minimum variance unbiased estimators, Section
10.4 on optimality in hypothesis testing, Section 11.3 on properties of estimators in regression, Section 12.1
on nonparametric estimation, and Section 12.2 on the nonparametric bootstrap. I mention these sections
specifically because they will require your careful attention and, perhaps, more “practice” than usual before
you feel you have a good grasp of that material. You may wish to read more, and work additional problems,
on these topics. Supporting material can be found in books that I've marked with an asterisk (*) in the
bibliography.
I wish you the best as you begin this exploration into stochastic modeling and mathematical statistics. I'll be
very interested in hearing about your experience and also in having your feedback on the book. Feel free to
contact me with your comments.
University of California, Davis
fjsamaniego@ucdavis.edu xiv
xv
Preface for Instructors
There are quite a few textbooks that treat probability and mathematical statistics at the advanced
undergraduate level. The textbooks used in courses on these topics tend to fall into one of two categories.
Some of these texts cover the subject matter with the mathematical rigor that a graduate school–bound
mathematics or statistics major should see, while the remaining texts cover the same topics with much less
emphasis on mathematical developments and with more attention to applications of the models and
statistical ideas they present. But isn't it desirable for students in a “theoretical” course to be exposed to
serious statistical applications and for students in an “applications-oriented” course to be exposed to at least
some of the mathematics that justifies the application of statistical modeling and inference in practice? This
book offers instructors the flexibility to control the mathematical level of the course they teach by
determining the mathematical content they choose to cover. It contains the mathematical detail that is
expected in a course for “majors,” but it is written in a way that facilitates its use in teaching a course that
emphasizes the intuitive content in statistical theory and the way theoretical results are used in practice.
This book is based on notes that I have used to teach both types of courses over the years. From this
experience, I've reached the following conclusions: (1) the core material for both courses is essentially the
same, (2) the ideas and methods used in mathematical proofs of propositions of interest and importance in
the field are useful to both audiences, being essential for the first and being helpful to the second, (3) both
audiences need to understand what the main theorems of the field say, and they especially need to know
how these theorems are applied in practice, (4) it is possible, and even healthy, to have theory and
application intertwined in one text. An appealing byproduct of this comingling of mathematical and applied
thinking is that through assigned, recommended, or even optional reading of sections of the text not
formally covered, an instructor can effectively facilitate the desired “exposure” of students to additional
theoretical and applied aspects of the subject.
Having often been disappointed with the quantity and range of the problems offered in textbooks I've used
in the past, I embarked on the writing of this book with the goal of including tons of good problems from
which instructors could choose. That is not to say that you won't have the inclination to add problems of
your own in the course that you teach. What I'm really saying is that you may not have to work as hard as
usual in supplementing this book with additional problems. Every section ends with a small collection of
“exercises” meant to enable the student to test his/her own understanding of a section immediately after
reading it. Answers to (or helpful comments on) all the exercises are given at the end of the book. A sizable
collection of problems is gathered at the end of each chapter. For instructors who adopt this book as a text
for a course, a Solutions Manual containing detailed solutions to all the even-numbered problems in the text
is available from Chapman and Hall.
xv
This book is intended as a text for a first course in probability and statistics. Some students will have had a xvi
This book is intended as a text for a first course in probability and statistics. Some students will have had a xvi
previous “pre-calculus” introduction to statistics, and while that can be helpful in various ways, it is by no
means assumed in this text. Every new idea in the text is treated from scratch. What I expect is that a course
from this book would be a student's first calculus-based statistics course and their first course emphasizing
WHY (rather than HOW) probability and statistics work. The mathematical prerequisite for this text is a
course on differential and integral calculus. While the stronger the mathematical background of the student,
the better, students who have taken a calculus sequence for majors in the sciences (i.e., non-math majors)
will do just fine in the course. Since it's not uncommon for a student's calculus skills to get rusty, an early
review of one's old calculus text is recommended. Occasional calculus tutorials in the text (e.g., on
integration by parts, on changing variables of integration, and on setting limits of double integrals) are
aimed at assisting students in their ongoing review.
In the Statistics Department at the University of California, Davis, separate courses are offered on
probability and mathematical statistics at the upper division level. The year-long, more mathematical course
is intended for Statistics and Mathematics majors, but is also taken by a fair number of students in computer
science and engineering and by other “non-majors” with strong mathematical backgrounds and interests.
The alternative course is a two-quarter sequence (known as the “brief course”) which is taken by applied
statistics and applied mathematics majors, by students working on a minor in statistics, by graduate students
in quantitative disciplines ranging from engineering to genetics to quantitative social science, and by a few
ambitious undergraduates. The first group is, typically, already familiar with mathematical argumentation,
and although the second group is capable of digesting a logical mathematical argument, they will need some
careful guidance and encouragement before they get comfortable.
If your course is mostly taken by stat and math majors, it can be thought of as the first course above. If such
students are in the minority, your course may be thought of as the second. Both groups will get a solid
grounding in the core ideas in probability and statistics. If this book is used in the course for majors, then
most of the theorems treated in the book can be proven in the classroom or assigned as homework when not
given in the text. The notions of combinatorial proofs and mathematical induction, which would typically be
skipped in the brief course, can be treated and applied as in the text. When they are skipped, it is useful to
state certain results proven by these methods that arise later in the text. In the first course, the instructor may
wish to include problems involving proofs in both homework and exams. In the second course, I generally
assign some “doable” proofs for homework, but exams don't ask for proofs. In both courses, I like to give
open-book, problem-solving exams. After all, life itself is an open-book problem-solving exam. The present
book retains the main topics, tools, and rigor of traditional math-stat books, and is thus suitable for a course
for majors. But the book also contains careful intuitive explanations of theoretical results that are intended
to provide students with the ability to apply these results with confidence, even when they have not studied
or fully digested their proofs. I have found that this latter goal, while ambitious, is achievable in the
classroom. This text is aimed at replicating successful classroom strategies in a text having the academic
goals described above.
Several sections of the book are labeled as “optional.” I believe that the entire book is appropriate for the
audience in the first course mentioned above, the course for “majors,” and a two-semester or three-quarter
course can very comfortably accommodate all twelve chapters of the text and still leave room for additional xvi
topics favored by the instructor. For the course aimed at non-majors, I include below a chapter-by-chapter xvii
discussion of how the text might be used. I have always contended that our main mission as teachers of a
mathematical topic is (1) to make sure that the topic (the idea, the method, or the theorem statement) is clear
and well understood and (2) to make sure that students understand why, when, and how the result may be
applied. These goals can often be accomplished without a formal proof, although a proof does have a nice
way of convincing a reader that a proposition in unquestionably true. What are this text's “special features”?
Here is a “top-10 list,” in the order in which various topics arise.
Some of the topics mentioned would be needed in a course for majors but can be trimmed or skipped in a
brief course. The text (1) emphasizes “probability models” rather than “probability theory” per se, (2)
presents the “key” stochastic tools: a careful treatment of moment-generating functions, bivariate models,
conditioning, transformation theory, computer simulation of random outcomes, and the limit theorems that
statisticians need (various modes of convergence, the central limit theorem, the delta method), (3) presents a
full treatment of optimality theory for unbiased estimators, (4) presents the asymptotic theory for method of
moments estimators (with proof) and for maximum likelihood estimators (without proof, but with numerous
examples and a formal treatment of the Newton-Raphson and EM algorithms), (5) devotes a full chapter to
the Bayesian approach to estimation, including a section on comparative statistical inference, (6) provides a
careful treatment of the theory and applications of hypothesis testing, including the Neyman-Pearson
Lemma and Likelihood Ratio Tests, (7) covers the special features of regression analysis and analysis of
variance which utilize the theory developed in the core chapters, (8) devotes a separate chapter to
nonparametric estimation and testing which includes an introduction to the bootstrap, (9) features serious
scientific applications of the theory presented (including, for example, problems from fields such as
conservation, engineering reliability, epidemiology, genetics, medicine, and wild life biology), and (10)
includes well over 1000 exercises and problems at varying levels of difficulty and with a broad range of
topical focus. When used in ways that soften the mathematical level of the text (as I have done in teaching
the brief course some 20 times in my career), it provides students in the quantitative sciences with a useful
overview of the mathematical ideas and developments that justify the use of many applied statistical
techniques.
What advice do I have for instructors who use this book? My answer for instructors teaching the first course
described above, the course for “majors,” is fairly straightforward. I believe that the text could be used
pretty much as is. If an instructor wishes to enhance the mathematical level of the course to include topics
like characteristic functions, a broader array of limit theorems, and statistical topics like robustness, such
topics could be logically introduced in the context of Chapters 2, 5, 6, and 7. It seems likely that a year-long
course will allow time for such augmentations. Regarding the augmentation of topics covered in the text, I
believe that the most obvious and beneficial addition would be a broader discussion of linear model theory.
The goal of Chapter 11 is to illustrate certain ideas and methods arising in earlier chapters (such as best
linear unbiased estimators and likelihood ratio tests), and this goal is accomplished within the framework of
simple linear regression and one-way analysis of variance. An expansion of my treatment of nonparametric
testing in Chapter 12 is another reasonable possibility. My own choices for additional topics would be the
Wilcoxon signed-rank test and the Kolmogorov-Smirnov tests for goodness of fit. Another topic that is
often touched on in a course for majors is “decision theory.” This is briefly introduced in Chapter 9 in the xvii
context of Bayesian inference, but the topic could easily have constituted a chapter of its own, and a broader xviii
context of Bayesian inference, but the topic could easily have constituted a chapter of its own, and a broader xviii
treatment of decision theory could reasonably be added to a course based on the present text.
My advice to instructors who use this text in teaching something resembling the brief course described
above is necessarily more detailed. It largely consists of comments regarding what material might be
trimmed or skipped without sacrificing the overall aims of the course. My advice takes the form of a
discussion, chapter by chapter, of what I suggest as essential, optional, or somewhere in between.
Chapter 1. Cover most of this chapter, both because it is foundational, but also because the
mathematical proofs to which the students are introduced here are relatively easy to grasp. They
provide a good training ground for learning how proofs are constructed. The first five theorems in
Section 1.3 are particularly suitable for this purpose. Section 1.4 is essential. Encourage students to
draw probability trees whenever feasible. Teach Bayes’ Theorem as a simple application of the notion
of conditional probability. The independence section is straightforward. Students find the subject of
combinatorics the most difficult of the chapter. I recommend doing the poker examples, as students
like thinking through these problems. I recommend skipping the final two topics of Section 1.8. The
material on multinomial coefficients and combinatorial proofs can be recommended as optional
reading.
Chapter 2. I recommend teaching all of Chapter 2, with the exception of Section 2.4 (on mathematical
induction) even though Professor Beckenbach's joke (Theorem 2.4.3) offers some welcome comic
relief for those who read the section. If you skip Section 2.4, I suggest you state Theorem 2.4.1,
Theorem 2.4.2 and the result in Exercise 2.4.2 without proof, as these three facts are used later.
Students find Section 2.8 on moment-generating functions to be the most challenging section in this
chapter. It's true that mgfs have no inherent meaning or interpretation. The long section on them is
necessary, I think, to get students to appreciate mgfs on the basis of the host of applications in which
they can serve as useful tools.
Chapter 3. The first two sections are fundamental. Section 3.3 can be treated very lightly, perhaps
with just a definition and an example. In Section 3.4, the material on the Poisson process and the
gamma distribution (following Theorem 3.4.4) may be omitted without great loss. It is an interesting
connection which provides, as a byproduct, that the distribution function of a gamma model whose
shape parameter a is an integer may be computed in closed form. But the time it takes to establish this
may be better spent on other matters. (Some assigned reading here might be appropriate.) Section 3.5
is essential. Section 3.6 can be left as required reading. The models in this latter section will occur in
subsequent examples, exercises, and problems (and probably also exams), so students would be well
advised to look at these models carefully and make note of their basic properties.
Chapter 4. This chapter contains a treasure trove of results that statisticians need to know, and know
well. I try to teach the entire chapter, with the exception of Section 4.4 on the multinomial model,
which is labeled as optional. Included are definitions and examples of bivariate (joint) densities (or xviii
pmfs), marginal and conditional densities, expectations in a bivariate and multivariate setting, xix
covariance, correlation, the mean and variance of a linear combination of random variables, results on
iterated expectations (results I refer to as Adam's rule and Eve's rule), the ubiquitous bivariate normal
model, and a comprehensive treatment of methods for obtaining the distribution of a transformed
random variable Y = g(X) when the distribution of X is known. Section 4.7 can be covered briefly.
Students need to see the basic formulae here, as many examples in the sequel employ order statistics.
Chapter 5. A light treatment is possible. In such a treatment, I recommend establishing Chebyshev's

inequality and the weak law of large numbers, the definition of convergence in distribution, a
statement of the Central Limit Theorem, and a full coverage of the delta method theorem.
Chapter 6. I recommend treating the first two sections of this chapter in detail. In Section 6.3, I
suggest omitting discussion of the Cauchy-Schwarz inequality and stating the Cramér-Rao Theorem
without proof. From Section 6.4, I would suggest covering “sufficiency” and the Rao-Blackwell
theorem and omitting the rest (or relegating it to assigned or optional reading). Section 6.5 on BLUEs
is short and useful. Section 6.6 has important ideas and some lessons worth learning, and it should be
covered in detail.
Chapter 7. Section 7.1 may be covered lightly. The discussion up to and including Example 7.1.1 is
useful. The “big o” and the “small o” notation are used sparingly in the text and can be skipped when
they are encountered. Sections 7.2 and 7.3 are the heart of this chapter and should be done in detail.
Section 7.4 treats an important problem arising in statistical studies in epidemiology and provides an
excellent example of the skillful use of the delta method. I recommend doing this section if time
permits. Otherwise, it should be required reading. Section 7.5 should be done in some form, as
students need to be familiar with at least one numerical method which can approximate optimum
solutions when they can't be obtained analytically. Section 7.6 on the EM algorithm covers a
technique that is widely used in applied work. It should be either covered formally or assigned as
required reading,
Chapter 8. I suggest covering Sections 8.1 and 8.2, as they contain the core ideas. Sample size
calculations, covered in Section 8.3, rank highly among the applied statistician's “most frequently
asked questions,” and is a “must do.” Section 8.4 on tolerance intervals is optional and may be
skipped.
Chapter 9. This chapter presents the Bayesian approach to estimation, pointing out potential gains in
estimation efficiency afforded by the approach. The potential risks involved in Bayesian inference are
also treated seriously. The basic idea of the approach is covered in Section 9.1 and the mechanics of
Bayesian estimation are treated in Section 9.2. Sections 9.3 and 9.4 provide fairly compelling
evidence, both empirical and theoretical, that the Bayesian approach can be quite effective, even
under seemingly poor prior assumptions. These two sections represent an uncommon entry in courses
at this level, a treatment of “comparative inference” where the Bayesian and classical approaches to xix
estimation are compared side by side. Section 5 treats Bayesian interval estimation. If an instructor is xx
estimation are compared side by side. Section 5 treats Bayesian interval estimation. If an instructor is xx
primarily interested in acquainting students with the Bayesian approach, a trimmed down coverage of
this chapter that would accomplish this would restrict attention to Sections 9.2 and 9.5.
Chapter 10. This is the bread and butter chapter on hypothesis testing. Section 10.1 contains the
needed concepts and definitions as well as much of the intuition. Section 10.2 treats the standard tests
for means and proportions. The section is useful in tying the general framework of the previous
section to problems that many students have seen in a previous course. Section 10.3 on sample size
calculations for obtaining the desired power at a fixed alternative in an important notion in applied
work and should be covered, even if only briefly. Section 9.4 presents the Neyman-Pearson Lemma,
with proof. The proof can be skipped and the intuition of the lemma, found in the paragraphs that
follow the proof, can be emphasized instead. The examples that complete the section are sufficient to
make students comfortable with how the lemma may be used. Sections 10.5 and 10.6 cover important
special topics that students need to see.
Chapter 11. Sections 11.1, 11.3, and 11.4 carry the main messages of the chapter. Section 11.2, which
presents the standard tests and confidence intervals of interest in simple linear regression, can be
skipped if time is precious.
Chapter 12. Section 12.1 treats nonparametric estimation of an underlying distribution F for either
complete or censored data. In a brief presentation of this material, one might present expressions for
the two resulting nonparametric MLEs and an example of each. The nonparametric bootstrap is
described in Section 9.2. The widespread use of the bootstrap in applied work suggests that this
section should be covered. Of the three remaining sections (which are each free standing units), the
most important topic is the Wilcoxon Rank-Sum Test treated in Section 12.5. Sections 12.3 and 12.4
may be treated as assigned or recommended reading.
Instructors who have comments, questions, or suggestions about the discussion above, or about the text in
general, should feel free to contact me. Your feedback would be most welcome.
University of California, Davis
fjsamaniego@ucdavis.edu

Stochastic Modeling and Mathematical Statistics

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Texts in Statistical Science

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1 The Calculus of Probability

2 Discrete Probability Models vi

5 Limit Theorems and Related Topics

6 Statistical Estimation: Fixed Sample Size Theory

7 Statistical Estimation: Asymptotic Theory

9 The Bayesian Approach to Estimation

11 Estimation and Testing for Linear Models

12 Nonparametric Statistical Methods

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