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數(shù)理統(tǒng)計(jì)學(xué)導(dǎo)論(英文版·原書(shū)第8版)
本書(shū)是數(shù)理統(tǒng)計(jì)方面的經(jīng)典教材,從數(shù)理統(tǒng)計(jì)學(xué)的初級(jí)基本概念及原理開(kāi)始,詳細(xì)講解概率與分布、多元分布、特殊分布、統(tǒng)計(jì)推斷基礎(chǔ)、極大似然法等內(nèi)容,并且涵蓋一些高級(jí)主題,如一致性與極限分布、充分性、最優(yōu)假設(shè)檢驗(yàn)、正態(tài)模型的推斷、非參數(shù)與穩(wěn)健統(tǒng)計(jì)、貝葉斯統(tǒng)計(jì)等.此外,為了幫助讀者更好地理解數(shù)理統(tǒng)計(jì)和鞏固所學(xué)知識(shí),書(shū)中還提供了一些重要的背景材料、大量實(shí)例和習(xí)題.
本書(shū)可以作為高等院校數(shù)理統(tǒng)計(jì)相關(guān)課程的教材,也可供相關(guān)專業(yè)人員參考使用.
第1章 概率與分布 1
1.1 引論 1 1.2 集合 3 1.2.1 回顧集合論 4 1.2.2 集合函數(shù) 7 1.3 概率集函數(shù) 12 1.3.1 計(jì)數(shù)規(guī)則 16 1.3.2 概率的附加性質(zhì) 18 1.4 條件概率與獨(dú)立性 23 1.4.1 獨(dú)立性 28 1.4.2 模擬 31 1.5 隨機(jī)變量 37 1.6 離散隨機(jī)變量 45 1.6.1 變量變換 47 1.7 連續(xù)隨機(jī)變量 49 1.7.1 分位數(shù) 51 1.7.2 變量變換 53 1.7.3 混合離散型和連續(xù)型分布 56 1.8 隨機(jī)變量的期望 60 1.8.1 用R計(jì)算期望增益估計(jì) 65 1.9 某些特殊期望 68 1.10 重要不等式 78 第2章 多元分布 85 2.1 二元隨機(jī)變量的分布 85 2.1.1 邊際分布 89 2.1.2 期望 93 2.2 二元隨機(jī)變量變換 100 2.3 條件分布與期望 109 2.4 獨(dú)立隨機(jī)變量 117 2.5 相關(guān)系數(shù) 125 2.6 推廣到多個(gè)隨機(jī)變量 134 *2.6.1 多元方差–協(xié)方差矩陣 140 2.7 多個(gè)隨機(jī)向量的變換 143 2.8 隨機(jī)變量的線性組合 151 第3章 某些特殊分布 155 3.1 二項(xiàng)分布及有關(guān)分布 155 3.1.1 負(fù)二項(xiàng)分布和幾何分布 159 3.1.2 多正態(tài)分布 160 3.1.3 超幾何分布 162 3.2 泊松分布 167 3.3 、2以及分布 173 3.3.1 2分布 178 3.3.2 分布 180 3.4 正態(tài)分布 186 *3.4.1 污染正態(tài)分布 193 3.5 多元正態(tài)分布 198 3.5.1 二元正態(tài)分布 198 *3.5.2 多元正態(tài)分布的一般情況 199 *3.5.3 應(yīng)用 206 3.6 t分布與F分布 210 3.6.1 t分布 210 3.6.2 F分布 212 3.6.3 學(xué)生定理 214 *3.7 混合分布 218 第4章 基本統(tǒng)計(jì)推斷 225 4.1 抽樣與統(tǒng)計(jì)量 225 4.1.1 點(diǎn)估計(jì) 226 4.1.2 pmf與pdf的直方圖估計(jì) 230 4.2 置信區(qū)間 238 4.2.1 均值之差的置信區(qū)間 241 4.2.2 比例之差的置信區(qū)間 243 *4.3 離散分布參數(shù)的置信區(qū)間 248 4.4 次序統(tǒng)計(jì)量 253 4.4.1 分位數(shù) 257 4.4.2 分位數(shù)置信區(qū)間 261 4.5 假設(shè)檢驗(yàn)介紹 267 4.6 統(tǒng)計(jì)檢驗(yàn)的深入研究 275 4.6.1 觀測(cè)的顯著性水平:p值 279 4.7 卡方檢驗(yàn) 283 4.8 蒙特卡羅方法 292 4.8.1 篩選生成算法 298 4.9 自助法 303 4.9.1 百分位數(shù)自助置信區(qū)間 303 4.9.2 自助檢驗(yàn)法 308 *4.10 分布容許限 315 第5章 一致性與極限分布 321 5.1 依概率收斂 321 5.1.1 抽樣和統(tǒng)計(jì)量 324 5.2 依分布收斂 327 5.2.1 概率有界 333 5.2.2 Δ方法 334 5.2.3 矩母函數(shù)方法 336 5.3 中心極限定理 341 *5.4 推廣到多元分布 348 第6章 極大似然法 355 6.1 極大似然估計(jì) 355 6.2 拉奧–克拉默下界與有效性 362 6.3 極大似然檢驗(yàn) 376 6.4 多參數(shù)估計(jì) 386 6.5 多參數(shù)檢驗(yàn) 395 6.6 EM算法 404 第7章 充分性 413 7.1 估計(jì)量品質(zhì)的測(cè)量 413 7.2 參數(shù)的充分統(tǒng)計(jì)量 419 7.3 充分統(tǒng)計(jì)量的性質(zhì) 426 7.4 完備性與唯一性 430 7.5 指數(shù)分布類 435 7.6 參數(shù)的函數(shù) 440 7.6.1 自助標(biāo)準(zhǔn)誤差 444 7.7 多參數(shù)的情況 447 7.8 最小充分性與從屬統(tǒng)計(jì)量 454 7.9 充分性、完備性以及獨(dú)立性 461 第8章 最優(yōu)假設(shè)檢驗(yàn) 469 8.1 最大功效檢驗(yàn) 469 8.2 一致最大功效檢驗(yàn) 479 8.3 似然比檢驗(yàn) 487 8.3.1 正態(tài)分布均值的似然比檢驗(yàn) 488 8.3.2 正態(tài)分布方差的似然比檢驗(yàn) 495 *8.4 序貫概率比檢驗(yàn) 500 *8.5 極小化極大與分類方法 507 8.5.1 極小化極大方法 507 8.5.2 分類 510 第9章 正態(tài)線性模型的推斷 515 9.1 介紹 515 9.2 單向方差分析 516 9.3 非中心2分布與F分布 522 9.4 多重比較法 525 9.5 雙向方差分析 531 9.5.1 因子間的相互作用 534 9.6 回歸問(wèn)題 539 9.6.1 極大似然估計(jì) 540 *9.6.2 最小二乘擬合的幾何解釋 546 9.7 獨(dú)立性檢驗(yàn) 551 9.8 某些二次型的分布 555 9.9 某些二次型的獨(dú)立性 562 第10章 非參數(shù)與穩(wěn)健統(tǒng)計(jì)學(xué) 569 10.1 位置模型 569 10.2 樣本中位數(shù)與符號(hào)檢驗(yàn) 572 10.2.1 漸近相對(duì)有效性 577 10.2.2 基于符號(hào)檢驗(yàn)的估計(jì)方程 582 10.2.3 中位數(shù)置信區(qū)間 584 10.3 威爾科克森符號(hào)秩 586 10.3.1 漸近相對(duì)有效性 591 10.3.2 基于威爾科克森符號(hào)秩的估計(jì)方程 593 10.3.3 中位數(shù)置信區(qū)間 594 10.3.4 蒙特卡羅調(diào)查 595 10.4 曼–惠特尼–威爾科克森方法 598 10.4.1 漸近相對(duì)有效性 602 10.4.2 基于MWW的估計(jì)方程 604 10.4.3 移位參數(shù)Δ的置信區(qū)間 604 10.4.4 功效函數(shù)的蒙特卡羅調(diào)查 605 *10.5 一般秩得分 607 10.5.1 效力 610 10.5.2 基于一般得分的估計(jì)方程 612 10.5.3 最優(yōu)化:最佳估計(jì) 612 *10.6 適應(yīng)方法 619 10.7 簡(jiǎn)單線性模型 625 10.8 測(cè)量關(guān)聯(lián)性 631 10.8.1 肯德?tīng)?631 10.8.2 斯皮爾曼 634 10.9 穩(wěn)健概念 638 10.9.1 位置模型 638 10.9.2 線性模型 645 第11章 貝葉斯統(tǒng)計(jì) 655 11.1 貝葉斯方法 655 11.1.1 先驗(yàn)分布與后驗(yàn)分布 656 11.1.2 貝葉斯點(diǎn)估計(jì) 658 11.1.3 貝葉斯區(qū)間估計(jì) 662 11.1.4 貝葉斯檢驗(yàn)方法 663 11.1.5 貝葉斯序貫方法 664 11.2 其他貝葉斯術(shù)語(yǔ)及思想 666 11.3 吉布斯抽樣器 672 11.4 現(xiàn)代貝葉斯方法 679 11.4.1 經(jīng)驗(yàn)貝葉斯 682 附錄A 數(shù)學(xué) 687 附錄B R入門(mén) 693 附錄C 常用分布列表 703 附錄D 分布表 707 附錄E 參考文獻(xiàn) 715 附錄F 部分習(xí)題答案 721 索引 733 Contents 1 Probability and Distributions ....................................1 1.2 Sets....................................3 1.2.1 Review of SetTheory......................4 1.2.2 Set Functions...........................7 1.3 The Probability SetFunction......................12 1.3.1 Counting Rules..........................16 1.3.2 Additional Properties of Probability..............18 1.4 Conditional Probability and Indepen dence...............23 1.4.1 Independence...........................28 1.4.2 Simulations............................31 1.5 Random Variables............................37 1.6 Discrete Random Variables.......................45 1.6.1 Transformations.........................47 1.7 Continuous Random Variables.....................49 1.7.1 Quantiles.............................51 1.7.2 Transformations.........................53 1.7.3 Mixtures of Discrete and Continuous Type Distributions...56 1.8 Expectation of a Random Variable...................60 1.8.1 R Computation for an Estimation of the Expected Gain...65 1.9 Some Special Expectations.......................68 1.10 Important Inequalities..........................78 2 Multivariate Distributions 85 2.1 Distributions of Two Random Variables................85 2.1.1 Marginal Distributions......................89 2.1.2 Expectation............................93 2.2 Transformations: Bivariate Random Variables.............100 2.3 Conditional Distributions and Expectations..............109 2.4 Independent Random Variables.....................117 2.5 The Correlation Coefficient.......................125 2.6 Extension to Several Random Variables................134 2.6.1 *Multivariate Variance-Covariance Matrix...........140 2.7 Transformations for Several Random Variables............143 2.8 Linear Combinations of Random Variables...............151 3 Some Special Distributions 155 3.1 The Binomial and Related Distributions................155 3.1.1 Negative Binomial and Geometric Distributions........159 3.1.2 Multinomial Distribution....................160 3.1.3 Hypergeometric Distribution..................162 3.2 The Poisson Distribution........................167 3.3 TheΓ,χ2,andβDistributions.....................173 3.3.1 Theχ2-Distribution.......................178 3.3.2 The β-Distribution........................180 3.4 The Normal Distribution.........................186 3.4.1 *Contaminated Normals.....................193 3.5 The Multivariate Normal Distribution.................198 3.5.1 Bivariate Normal Distribution..................198 3.5.2 *Multivariate Normal Distribution, General Case.......199 3.5.3 *Applications...........................206 3.6 t- and F- Distributions..........................210 3.6.1 The t- distribution........................210 3.6.2 The F- distribution........................212 3.6.3 Student’s Theorem........................214 3.7 *Mixture Distributions..........................218 4 Some Elementary Statistical Inferences 225 4.1 Sampling and Statistics.........................225 4.1.1 Point Estimators.........................226 4.1.2 Histogram Estimates of pmfs and pdfs.............230 4.2 ConfidenceIntervals...........................238 4.2.1 Confidence Intervals for Differencein Means..........241 4.2.2 Confidence Interval for Differencein Proportions.......243 4.3 *Confidence Intervals for Parameters of Discrete Distributions....248 4.4 Order Statistics..............................253 4.4.1 Quantiles.............................257 4.4.2 Confidence Intervals for Quantiles...............261 4.5 Introduction to Hypothesis Testing...................267 4.6 Additional Comments About Statistical Tests.............275 4.6.1 Observed Significance Level, p-value..............279 4.7 Chi-Square Tests.............................283 4.8 The Method of Monte Carlo.......................292 4.8.1 Accept–Reject Generation Algorithm..............298 4.9 Bootstrap Procedures..........................303 4.9.1 Percentile Bootstrap Confidence Intervals...........303 4.9.2 Bootstrap Testing Procedures..................308 4.10 *Tolerance Limits for Distributions...................315 5 Consistency and Limiting Distributions 321 5.1 Convergence in Probability.......................321 5.1.1S ampling and Statistics.....................324 5.2 Convergence in Distribution.......................327 5.2.1 Bounded in Probability.....................333 5.2.2 Δ-Method.............................334 5.2.3 Moment Generating Function Technique............336 5.3 Central Limit Theorem.........................341 5.4 *Extensions to Multivariate Distributions...............348 6 Maximum Likelihood Methods 355 6.1 Maximum Likelihood Estimation....................355 6.2 Rao–Cramer Lower Bound and Effciency...............362 6.3 Maximum Likelihood Tests.......................376 6.4 Multiparameter Case: Estimation....................386 6.5 Multiparameter Case: Testing......................395 6.6 The EM Algorithm............................404 7 Sufficiency 413 7.1 Measures of Quality of Estimators...................413 7.2 A Sufficient Statistic for a Parameter..................419 7.3 Properties of a Sufficient Statistic....................426 7.4 Completeness and Uniqueness......................430 7.5 The Exponential Class of Distributions.................435 7.6 Functions of a Parameter........................440 7.6.1 Bootstrap Standard Errors...................444 7.7 The Case of Several Parameters.....................447 7.8 Minimal Sufficiency and Ancillary Statistics..............454 7.9 Sufficiency, Completeness, and Independence.............461 8 Optimal Tests of Hypotheses 469 8.1 Most Powerful Tests...........................469 8.2 Uniformly Most Powerful Tests.....................479 8.3 Likelihood Ratio Tests..........................487 8.3.1 Likelihood Ratio Tests for Testing Means of Normal Distributions..............................488 8.3.2 Likelihood Ratio Tests for Testing Variances of Normal Distributions.............................495 8.4 *The Sequential Probability Ratio Test.................500 8.5 *Minimax and Classification Procedures................507 8.5.1 Minimax Procedures.......................507 8.5.2 Classification...........................510 9 Inferences About Normal Linear Models 515 9.1 Introduction................................515 9.2 One-Way ANOVA............................516 9.3 Noncentralχ2 and F-Distributions...................522 9.4 Multiple Comparisons..........................525 9.5 Two-Way ANOVA............................531 9.5.1 Interaction between Factors...................534 9.6 A Regression Problem..........................539 9.6.1 Maximum Likelihood Estimates.................540 9.6.2 *Geometry of the Least Squares Fit..............546 9.7 A Test of Independence.........................551 9.8 The Distributions of Certain Quadratic Forms.............555 9.9 The Independence of Certain Quadratic Forms............562 10 Nonparametric and Robust Statistics 569 10.1 Location Models.............................569 10.2 Sample Median and the Sign Test....................572 10.2.1 Asymptotic Relative Efficiency.................577 10.2.2 Estimating Equations Basedonthe Sign Test.........582 10.2.3 Confidence Interval for the Median...............584 10.3 Signed-Rank Wilcoxon..........................586 10.3.1 Asymptotic Relative Efficiency.................591 10.3.2 Estimating Equations Basedon Signed-Rank Wilcoxon...593 10.3.3 Confidence Interval for the Median...............594 10.3.4 Monte Carlo Investigation....................595 10.4 Mann–Whitney–Wilcoxon Procedure..................598 10.4.1 Asymptotic Relative Efficiency.................602 10.4.2 Estimating Equations Basedon the Mann–Whitney–Wilcoxon 604 10.4.3 Confidence Interval for the Shift ParameterΔ.........604 10.4.4 Monte Carlo Investigation of Power..............605 10.5 *General RankScores..........................607 10.5.1 Efficacy..............................610 10.5.2 Estimating Equations Based on General Scores........612 10.5.3 Optimizati on: Best Estimates..................612 10.6 *Adaptive Procedures..........................619 10.7 Simple Linear Model...........................625 10.8 Measures of Association.........................631 10.8.1 Kendall’sτ............................631 10.8.2 Spearman’s Rho.........................634 10.9 Robust Concepts.............................638 10.9.1 Location Model..........................638 10.9.2 Linear Model...........................645 11 Bayesian Statistics 655 11.1 Bayesian Procedures...........................655 11.1.1 Prior and Posterior Distributions................656 11.1.2 Bayesian Point Estimation...................658 11.1.3 Bayesian Interval Estimation..................662 11.1.4 Bayesian Testing Procedures..................663 11.1.5 Bayesian Sequential Procedures.................664 11.2 More Bayesian Terminology and Ideas.................666 11.3 Gibbs Sampler..............................672 11.4 Modern Bayesian Methods........................679 11.4.1 Empirical Bayes.........................682 A Mathematical Comments 687 A.1 Regularity Conditions..........................687 A.2 Sequences.................................688 B R Primer 693 B.1 Basics...................................693 B.2 Probability Distributions.........................696 B.3 R Functions................................698 B.4 Loops...................................699 B.5 Inputand Output............................700 B.6 Packages..................................700 C Lists of Common Distributions 703 D Tables of Distributions 707 E References 715 F Answers to Selected Exercises 721 Index 733
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