Probability

Probability

1. Univariate RVs

   • (Cumulative) Distribution Function
     • Discrete
       • cdf & pdf
     • Continuous
       • cdf & pdf
   • Moments
     • Expected Value/Mean
     • Quantile (eg VaR), Median
     • Variance/St Deviation
     • Skewness
     • Kurtosis

2. Multivariate Distribution Functions

   • Bivariate Distribution Functions
     • Joint Distribution Function
       • Continuous
       • Independence
       • Copula's / Sklar's Thm
     • Covariance
       • Correlation
         • Independence
         • Linear Dependence
     • Marginal Densities
     • Conditional Density/Bayes' Rules

3. Functions of RVs

   • Linear Transformations
   • Summation
   • Portfolios of RVs (matrix notation)
   • Product of RVs