Preface |
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xv | |
1 Introduction and Overview |
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1 | (6) |
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1.1 Making decisions under uncertainty |
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1 | (2) |
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1.2 Overview of this book |
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3 | (2) |
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5 | (1) |
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5 | (2) |
I Probability and Random Variables |
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7 | (126) |
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9 | (30) |
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2.1 Events and their probabilities |
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9 | (4) |
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2.1.1 Outcomes, events, and the sample space |
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10 | (1) |
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11 | (2) |
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13 | (7) |
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2.2.1 Axioms of Probability |
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14 | (1) |
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2.2.2 Computing probabilities of events |
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15 | (3) |
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2.2.3 Applications in reliability |
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18 | (2) |
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20 | (7) |
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2.3.1 Equally likely outcomes |
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20 | (2) |
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2.3.2 Permutations and combinations |
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22 | (5) |
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2.4 Conditional probability and independence |
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27 | (5) |
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32 | (1) |
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33 | (6) |
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3 Discrete Random Variables and Their Distributions |
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39 | (36) |
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3.1 Distribution of a random variable |
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40 | (4) |
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40 | (4) |
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3.1.2 Types of random variables |
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44 | (1) |
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3.2 Distribution of a random vector |
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44 | (3) |
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3.2.1 Joint distribution and marginal distributions |
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45 | (1) |
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3.2.2 Independence of random variables |
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46 | (1) |
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3.3 Expectation and variance |
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47 | (10) |
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47 | (2) |
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3.3.2 Expectation of a function |
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49 | (1) |
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49 | (1) |
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3.3.4 Variance and standard deviation |
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50 | (1) |
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3.3.5 Covariance and correlation |
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51 | (1) |
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52 | (2) |
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3.3.7 Chebyshev's inequality |
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54 | (1) |
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3.3.8 Application to finance |
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55 | (2) |
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3.4 Families of discrete distributions |
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57 | (11) |
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3.4.1 Bernoulli distribution |
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58 | (1) |
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3.4.2 Binomial distribution |
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59 | (2) |
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3.4.3 Geometric distribution |
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61 | (2) |
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3.4.4 Negative Binomial distribution |
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63 | (2) |
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3.4.5 Poisson distribution |
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65 | (1) |
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3.4.6 Poisson approximation of Binomial distribution |
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66 | (2) |
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68 | (1) |
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68 | (7) |
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4 Continuous Distributions |
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75 | (28) |
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75 | (5) |
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4.2 Families of continuous distributions |
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80 | (12) |
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4.2.1 Uniform distribution |
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80 | (2) |
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4.2.2 Exponential distribution |
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82 | (2) |
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84 | (5) |
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4.2.4 Normal distribution |
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89 | (3) |
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4.3 Central Limit Theorem |
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92 | (4) |
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96 | (1) |
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96 | (7) |
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5 Computer Simulations and Monte Carlo Methods |
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103 | (30) |
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103 | (2) |
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5.1.1 Applications and examples |
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104 | (1) |
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5.2 Simulation of random variables |
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105 | (11) |
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5.2.1 Random number generators |
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106 | (1) |
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107 | (3) |
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5.2.3 Inverse transform method |
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110 | (2) |
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112 | (2) |
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5.2.5 Generation of random vectors |
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114 | (1) |
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115 | (1) |
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5.3 Solving problems by Monte Carlo methods |
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116 | (11) |
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5.3.1 Estimating probabilities |
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116 | (4) |
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5.3.2 Estimating means and standard deviations |
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120 | (1) |
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121 | (2) |
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5.3.4 Estimating lengths, areas, and volumes |
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123 | (2) |
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5.3.5 Monte Carlo integration |
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125 | (2) |
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127 | (1) |
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128 | (5) |
II Stochastic Processes |
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133 | (78) |
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135 | (36) |
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6.1 Definitions and classifications |
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136 | (1) |
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6.2 Markov processes and Markov chains |
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137 | (15) |
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138 | (4) |
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142 | (4) |
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6.2.3 Steady-state distribution |
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146 | (6) |
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152 | (9) |
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152 | (4) |
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156 | (5) |
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6.4 Simulation of stochastic processes |
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161 | (3) |
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164 | (1) |
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165 | (6) |
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171 | (40) |
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7.1 Main components of a queuing system |
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172 | (2) |
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174 | (3) |
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7.3 Bernoulli single-server queuing process |
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177 | (5) |
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7.3.1 Systems with limited capacity |
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181 | (1) |
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182 | (7) |
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7.4.1 Evaluating the system's performance |
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185 | (4) |
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7.5 Multiserver queuing systems |
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189 | (9) |
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7.5.1 Bernoulli k-server queuing process |
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190 | (3) |
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193 | (3) |
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7.5.3 Unlimited number of servers and M/M/infinity |
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196 | (2) |
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7.6 Simulation of queuing systems |
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198 | (5) |
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203 | (1) |
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203 | (8) |
III Statistics |
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211 | (206) |
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8 Introduction to Statistics |
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213 | (30) |
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8.1 Population and sample, parameters and statistics |
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214 | (3) |
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8.2 Descriptive statistics |
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217 | (12) |
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217 | (2) |
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219 | (4) |
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8.2.3 Quantiles, percentiles, and quartiles |
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223 | (2) |
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8.2.4 Variance and standard deviation |
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225 | (2) |
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8.2.5 Standard errors of estimates |
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227 | (1) |
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8.2.6 Interquartile range |
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228 | (1) |
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229 | (11) |
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230 | (3) |
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233 | (2) |
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235 | (2) |
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8.3.4 Scatter plots and time plots |
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237 | (3) |
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240 | (1) |
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240 | (3) |
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9 Statistical Inference I |
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243 | (72) |
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244 | (10) |
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245 | (3) |
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9.1.2 Method of maximum likelihood |
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248 | (4) |
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9.1.3 Estimation of standard errors |
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252 | (2) |
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254 | (8) |
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9.2.1 Construction of confidence intervals: a general method |
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255 | (2) |
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9.2.2 Confidence interval for the population mean |
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257 | (1) |
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9.2.3 Confidence interval for the difference between two means |
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258 | (2) |
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9.2.4 Selection of a sample size |
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260 | (1) |
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9.2.5 Estimating means with a given precision |
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261 | (1) |
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9.3 Unknown standard deviation |
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262 | (9) |
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262 | (1) |
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9.3.2 Confidence intervals for proportions |
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263 | (2) |
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9.3.3 Estimating proportions with a given precision |
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265 | (1) |
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9.3.4 Small samples: Student's t distribution |
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266 | (2) |
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9.3.5 Comparison of two populations with unknown variances |
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268 | (3) |
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271 | (22) |
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9.4.1 Hypothesis and alternative |
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272 | (1) |
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9.4.2 Type I and Type II errors: level of significance |
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273 | (1) |
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9.4.3 Level α tests: general approach |
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274 | (2) |
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9.4.4 Rejection regions and power |
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276 | (1) |
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9.4.5 Standard Normal null distribution (Z-test) |
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277 | (2) |
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9.4.6 Z-tests for means and proportions |
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279 | (2) |
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9.4.7 Pooled sample proportion |
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281 | (1) |
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282 | (2) |
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9.4.9 Duality: two-sided tests and two-sided confidence intervals |
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284 | (3) |
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287 | (6) |
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9.5 Inference about variances |
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293 | (14) |
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9.5.1 Variance estimator and Chi-square distribution |
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293 | (2) |
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9.5.2 Confidence interval for the population variance |
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295 | (1) |
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296 | (3) |
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9.5.4 Comparison of two variances. F-distribution. |
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299 | (2) |
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9.5.5 Confidence interval for the ratio of population variances |
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301 | (2) |
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9.5.6 F-tests comparing two variances |
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303 | (4) |
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307 | (1) |
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308 | (7) |
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10 Statistical Inference II |
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315 | (60) |
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315 | (10) |
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10.1.1 Testing a distribution |
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316 | (2) |
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10.1.2 Testing a family of distributions |
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318 | (3) |
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10.1.3 Testing independence |
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321 | (4) |
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10.2 Nonparametric statistics |
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325 | (15) |
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326 | (2) |
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10.2.2 Wilcoxon signed rank test |
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328 | (6) |
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10.2.3 Mann-Whitney-Wilcoxon rank sum test |
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334 | (6) |
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340 | (12) |
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10.3.1 Bootstrap distribution and all bootstrap samples |
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340 | (5) |
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10.3.2 Computer generated bootstrap samples |
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345 | (3) |
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10.3.3 Bootstrap confidence intervals |
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348 | (4) |
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352 | (13) |
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10.4.1 Prior and posterior |
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353 | (5) |
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10.4.2 Bayesian estimation |
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358 | (2) |
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10.4.3 Bayesian credible sets |
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360 | (4) |
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10.4.4 Bayesian hypothesis testing |
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364 | (1) |
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365 | (1) |
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366 | (9) |
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375 | (42) |
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11.1 Least squares estimation |
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376 | (7) |
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376 | (2) |
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11.1.2 Method of least squares |
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378 | (1) |
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379 | (3) |
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11.1.4 Regression and correlation |
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382 | (1) |
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11.1.5 Overfitting a model |
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382 | (1) |
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11.2 Analysis of variance, prediction, and further inference |
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383 | (12) |
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11.2.1 ANOVA and R-square |
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383 | (2) |
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11.2.2 Tests and confidence intervals |
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385 | (6) |
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391 | (4) |
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11.3 Multivariate regression |
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395 | (9) |
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11.3.1 Introduction and examples |
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395 | (1) |
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11.3.2 Matrix approach and least squares estimation |
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396 | (2) |
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11.3.3 Analysis of variance, tests, and prediction |
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398 | (6) |
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404 | (8) |
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404 | (1) |
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11.4.2 Extra sum of squares, partial F-tests, and variable selection |
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405 | (3) |
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11.4.3 Categorical predictors and dummy variables |
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408 | (4) |
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412 | (1) |
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412 | (5) |
Appendix |
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417 | (44) |
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417 | (2) |
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A.2 Inventory of distributions |
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419 | (7) |
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420 | (2) |
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A.2.2 Continuous families |
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422 | (4) |
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426 | (17) |
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443 | (6) |
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443 | (1) |
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A.4.2 Limits and continuity |
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443 | (1) |
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A.4.3 Sequences and series |
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444 | (1) |
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A.4.4 Derivatives, minimum, and maximum |
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444 | (2) |
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446 | (3) |
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A.5 Matrices and linear systems |
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449 | (6) |
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A.6 Answers to selected exercises |
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455 | (6) |
Index |
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461 | |