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**Contents**• Random variables, distributions, and probability density functions • Discrete Random Variables • Continuous Random Variables • Expected Values and Moments • Joint and Marginal Probability • Means and variances • Covariance matrices • Univariate normal density • Multivariate Normal densities 236607 Visual Recognition Tutorial**Random variables, distributions, and probability density**functions • Random variable X is a variable which value is set as a consequence of random events, that is the events, which results is impossible to know in advance. A set of all possible results is called a sampling domain and is denoted by . Such random variable can be treated as a “indeterministic” function X which relates every possible random event with some value . We will be dealing with real random variables • Probability distribution function is a function for which for every x 236607 Visual Recognition Tutorial**Discrete Random Variable**• Let X be a random variable (d.r.v.) that can assume m different values in the countable set • Let pibe the probability that X assumes the value vi: pi must satisfy: Mass function satisfy A connection between distribution and the mass function is given by 236607 Visual Recognition Tutorial**Continuous Random Variable**• The domain of continuous random variable (c.r.v.) is uncountable. The distribution function of c.r.v can be defined as where the function p(x) is called a probability density function . It is important to mention, that a numerical value of p(x) is not a “probability of x”. In the continuous case p(x)dx is a value which approximately equals to probability Pr[x<X<x+dx] 236607 Visual Recognition Tutorial**Continuous Random Variable**• Important features of the probability density function : 236607 Visual Recognition Tutorial**Expected Values and Moments**• The mean or expected value oraverage of x is defined by • If Y=g(X) we have: • The variance is defined as: where s is the standard deviation of x. 236607 Visual Recognition Tutorial**Expected Values and Moments**• Intuitively variance of x indicates distribution of its samples around its expected value (mean). Important property of the mean is its linearity: At the same time variance is not linear: • The k-th moment of r.v. X is E[Xk] (the expected value is a first moment). The k -th central moment is 236607 Visual Recognition Tutorial**Joint and Marginal Probability**• Let X and Y be 2 random variables with domains and For each pair of values we have a joint probability joint mass function • The marginal distributions for x and y are defined as • For c.r.v. marginal distributions can be calculated as 236607 Visual Recognition Tutorial**Means and variances**• The variables x and y are said to be statistically independent if and only if • The expected value of a function f(x,y) of two random variables x and y is defined as • The means and variances are: 236607 Visual Recognition Tutorial**Covariance matrices**• The covariance matrix S is defined as the square matrix whose ijth element sij is the covariance of xiand xj: 236607 Visual Recognition Tutorial**Cauchy-Schwartz inequality**From this we have the Cauchy-Schwartz inequality The correlation coefficient is normalized covariance It always . If the variables x and y are uncorrelated. If y=ax+b and a>0, then If a<0, then Question.Prove that if X and Y are independent r.v. then 236607 Visual Recognition Tutorial**Covariance matrices**• If the variables are statistically independent, the covariances are zero, and the covariance matrix is diagonal. • The covariance matrix is positive semi-definite: if w is any d-dimensional vector, then . This is equivalent to the requirement that none of the eigenvalues of S can ever be negative. 236607 Visual Recognition Tutorial**Univariate normal density**• The normal or Gaussian probability function is very important. In 1-dimension case, it is defined by probability density function • The normal density is described as a "bell-shaped curve", and it is completely determined by . • The probabilities obey 236607 Visual Recognition Tutorial**Multivariate Normal densities**• Suppose that each of the d random variables xi is normally distributed, each with its own mean and variance: • If these variables are independent, their joint density has the form • This can be written in a compact matrix form if we observe that for this case the covariance matrix is diagonal, i.e., 236607 Visual Recognition Tutorial**Covariance matrices**• and hence the inverse of the covariance matrix is easily written as 236607 Visual Recognition Tutorial**Covariance matrices**and • Finally, by noting that the determinant of S is just the product of the variances, we can write the joint density in the form • This is the general form of a multivariate normal density function, where the covariance matrix is no longer required to be diagonal. 236607 Visual Recognition Tutorial**Covariance matrices**• The natural measure of the distance from x to the mean m is provided by the quantity which is the square of the Mahalanobis distance from x to m. 236607 Visual Recognition Tutorial**Example:Bivariate Normal Density**where is a correlation coefficient; thus and after doing dot products in we get the expression for bivariate normal density: 236607 Visual Recognition Tutorial**Some Geometric Features**• The level curves of the 2D Gaussian are ellipses; the principal axes are in the direction of the eigenvectors of S, and the different width correspond to the corresponding eigenvalues. • For uncorrelated r.v. ( r=0 ) the axes are parallel to the coordinate axes. • For the extreme case of the ellipses collapse into straight lines (in fact there is only one independent r.v.). • Marginal and conditional densities are unidimensional normal. 236607 Visual Recognition Tutorial**Some Geometric Features**236607 Visual Recognition Tutorial**Law of Large Numbers and Central Limit Theorem**• Law of large numbers Let X1, X2,…,be a series of i.i.d. (independent and identically distributed) random variables with E[Xi]=m. Then for Sn= X1+…+ Xn • Central Limit TheoremLet X1, X2,…,be a series of i.i.d. r.v. with E[Xi]=m and variance var(Xi)=s 2. Then for Sn= X1+…+ Xn 236607 Visual Recognition Tutorial