Glossary of probability and statistics terms

Use this glossary to quickly review the meaning of a term or to find the lectures where that term was explained or used.

A

• Absolutely continuous random variable
• Absolutely continuous random vector
• Adjusted sample variance
• Almost sure
• Almost surely
• Alternative hypothesis
• a.s.

B

• Binomial coefficient

C

• cdf
• Conditional probability density function
• Conditional probability mass function
• Consistent estimator
• Continuous random variable
• Continuous random vector
• Convergence criterion
• Convolutions
• Countable additivity
• Covariance formula
• Covariance stationary
• Critical value
• Cross-covariance matrix
• Cumulative distribution function

D

• Design matrix
• Discrete random variable
• Discrete random vector
• Distribution function

E

• Estimator
• Event

F

• Factorial

H

• Heteroskedasticity

I

• IID sequence
• Impossible event
• Information matrix
• Integrable random variable

J

• Joint cdf
• Joint cumulative distribution function
• Joint distribution function
• Joint pdf
• Joint pmf
• Joint probability density function
• Joint probability mass function

L

• Log likelihood
• Loss function

M

• Marginal distribution function
• Marginal probability density function
• Marginal probability mass function
• Mean
• Mean squared error
• Model misspecification
• Multinomial coefficient

N

• Normal equations
• Null hypothesis

P

• Parameter
• Parameter space
• pdf
• pmf
• Posterior probability
• Power function
• Precision matrix
• Prior probability
• Probability density function
• Probability mass function
• Probability space

R

• Random matrix
• Realization of a random variable
• Robust standard errors

S

• Sample mean
• Sample point
• Sample size
• Sample space
• Sample variance
• Score vector
• Sigma additivity
• Size of a test
• Standard deviation
• Stationary sequence
• Statistical model
• Support of a random variable

T

• Test statistic
• Transformation theorem
• Type I error
• Type II error

U

• Unadjusted sample variance
• Unbiased estimator

V

• Variance formula
• Variance inflation factor