Moment Generating Functions
M(t)=E[e^{tX}] as one function that packages a distribution: the Taylor expansion showing moments ARE the coefficients, reading them off as derivatives at 0 (M′(0)=E[X], Var=M″(0)−M′(0)²), sums becoming products (n exponentials → (λ/(λ−t))ⁿ = Gamma's MGF), and uniqueness as the fingerprint that makes it a proof
Change of Variables & the Jacobian
How a density transforms under Y = g(X): conserving probability gives f_Y = f_X/|g′(x)| in 1D; in 2D the Jacobian is the local linear map, |det J| is the area-scaling factor, and f_Y = f_X/|det J| — visualized with grid deformation, a |det J| field, and a pushed-through Gaussian cloud
Convolution: Sum of Two R.V.s
The density of T = X + Y (B&H Thm 8.2.1), two ways: summing the independent joint PMF along the anti-diagonal x+y=t, and the continuous flip-and-slide — f_T(t) = ∫ f_X(x)f_Y(t−x)dx as the overlap area of f_X with a flipped, shifted f_Y. Shows uniform⊛uniform = triangle and why sums smooth toward a bell
Convolution: Uniform + Exponential
A full worked example: X ~ Uniform(0,a) plus Y ~ Exp(λ). Flip-and-slide the exponential, watch the integral's upper limit switch from t to a, and derive the piecewise density — (1/a)(1−e^{−λt}) rising to a peak at t=a, then (1/a)(e^{λa}−1)e^{−λt} decaying — a smoothed exponential
The Beta Distribution
The distribution of a probability: two shape parameters sculpt every shape on [0,1] (Uniform, U, skew, spike), the mean α/(α+β) and concentration α+β, and the conjugate-prior magic — flip coins and watch Beta(α,β) → Beta(α+s, β+f) update by just adding counts, with α,β as pseudo-counts
Markov Chains
Discrete-time, discrete-state chains via a 3-state weather chain: the memoryless Markov property, the transition matrix (rows are conditional distributions summing to 1), a distribution evolving by π ↦ πP, the stationary distribution πP=π that every start converges to, why convergence needs irreducibility + aperiodicity (a period-2 chain oscillates forever), and reversibility / detailed balance as the engine behind MCMC