Where statistics and probability usually trip students up
Mathematical statistics catches people out in two directions at once: the probability is more subtle than it looks, and the calculus underneath is heavier than expected.
- Probability intuition versus the formal rules. Conditional probability and Bayes' theorem are where good guesses go wrong, so the working has to lead, not the gut feeling.
- The calculus demand. Continuous distributions mean integrating densities, and joint distributions mean double integrals, which surprises students who came for the statistics.
- Population versus sample. Blurring a parameter with its estimate, or an estimator with a single estimate, undermines everything that follows in inference.
- Reading confidence intervals and p-values. These are the most misquoted ideas in the subject, and saying precisely what they do and do not mean matters for the marks.
- Choosing the right procedure. Picking the appropriate test or interval for the data in front of you is often harder than the calculation itself.
- The step up to mathematical statistics. Proving properties of estimators is a different game from applying formulae, and it takes a more careful style of argument.