Probability And Stochastic Processes 1-21
20 entries in the Probability And Stochastic Processes compendium.
Stochastic processA family of random variables indexed by time or space.Wiener processA continuous-time stochastic process with independent Gaussian increments.Chi-squared testStatistical test for independence in contingency tables.Student's t-distributionA bell-shaped distribution with heavier tails than normal.Student's t-testStatistical test for comparing group means using t-distribution.Type I and type II errorsTwo fundamental errors in statistical hypothesis testing.Bayesian inferenceStatistical method using Bayes' theorem to update hypothesis probabilities.Markov chainA stochastic process where the future depends only on the present.Monte Carlo methodComputational algorithms using repeated random sampling for numerical results.Random variableA measurable function from sample space to measurable space.VarianceVariance measures how far numbers spread from their average.CorrelationCorrelation measures linear relationships but does not imply causation.CovarianceMeasure of joint variability between two random variables.Probability density functionA function giving relative probability per unit length for continuous variables.Cumulative distribution functionFunction giving probability that a variable is ≤ a value.Central limit theoremA theorem on the convergence of sample means to normality.Law of large numbersAverages of many trials converge to the expected value.Entropy (information theory)Measure of average uncertainty in a random variable's outcomes.Likelihood functionMeasures relative merit of models for given data.Maximum likelihood estimationA method maximizing likelihood to estimate distribution parameters.
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