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6/12/11
01:22:08 PM
IIT Bombay (IC102)
The Chi-Squared Distribution
The parameter v is called the number of
degrees of freedom (df) of X. The
symbol is often used in place of chi-
squared.
If X1 , X2 , Xn are n i.i.d r.v.
following N( , 2), Then,
2
6/12/11
01:22:09 PM
IIT Bombay (IC102)
2
2
1
n
i
n
i
X
| `
. ,
:
IIT Bombay (IC102)
Chi-squared Critical Value
Let , called a chi-squared critical
value, denote the number on the
measurement axis such that of the area
under the chi-squared curve with n d.f. lies
to the right of 2
,
.
n
2
,n
6/12/11
01:22:09 PM
IIT Bombay (IC102)
Notation Illustrated
2
,n
2
,n
shaded area =
2
pdf
n
6/12/11
01:22:09 PM
6/12/11
01:22:09 PM
IIT Bombay (IC102)
If X is a chi-sq r.v. with n d.f., then for (0,1),
the quantity
2
,n
+ +
6/12/11
01:22:09 PM
IIT Bombay (IC102)
Expected Value of a Linear Combination
Let X1,, Xn have mean values
and variances of
respectively
1 2
, ,...,
n
2 2 2
1 2
, ,..., ,
n
Whether or not the Xis are independent,
( ) ( ) ( )
1 1 1 1
... ...
n n n n
E a X a X a E X a E X + + + +
1 1
...
n n
a a + +
6/12/11
01:22:10 PM
IIT Bombay (IC102)
For identically distributed Xi `s and ai= 1/n,
we get, E( ) = .
X
Variance of a Linear Combination
( ) ( ) ( )
2 2
1 1 1 1
... ...
n n n n
V a X a X a V X a V X + + + +
If X1,, Xn are independent,
2 2 2 2
1 1
...
n n
a a + +
and
1 1
2 2 2 2
... 1 1
...
n n
a X a X n n
a a
+ +
+ +
6/12/11
01:22:10 PM
IIT Bombay (IC102)
For i.i.d. Xi `s and ai= 1/n, we get, V( ) =
2/n.
X
Variance of a Linear Combination
( )
( )
1 1
1 1
... Cov ,
n n
n n i j i j
i j
V a X a X a a X X
+ +
In addition, with To = X1 ++ Xn,
( ) ( )
2
, , and .
o
o o T
E T n V T n n
6/12/11
01:22:10 PM
IIT Bombay (IC102)
6/12/11
01:22:10 PM
IIT Bombay (IC102)
( )
( )
2
E X
V X
n
.
X
6/12/11
01:22:10 PM
IIT Bombay (IC102)
The Central Limit Theorem CLT
Let X1,, Xn be a random sample from a distribution
with mean value and variance Then if n is
sufficiently large, has approximately a normal
distribution with
X
2
.
2
2
and ,
X X
n
and To also has
approximately a normal distribution with
2
, .
o o
T T
n n
n, the better the approximation.
The larger the value of
6/12/11
01:22:10 PM
IIT Bombay (IC102)
Case: when Pop. is not Normally dist.
6/12/11
01:22:10 PM
IIT Bombay (IC102)
CLT:
The Central Limit Theorem
Population
distribution
small to
moderate n
X
large n
X
6/12/11
01:22:10 PM
IIT Bombay (IC102)
Rule of Thumb
If n > 30, the Central Limit Theorem
can be used.
6/12/11
01:22:10 PM
IIT Bombay (IC102)
6/12/11
01:22:10 PM
IIT Bombay (IC102)
Points to note:
1. When n is large, the sampling distn. of sample mean is
well approximated by a normal curve, even when the
pop. distn. is not itself normal.
2. Sample mean based on a large n will tend to be closer to
pop. mean than will sample mean based on a small n.
3. The sampling dist. of tends to be centered at the value
of the pop. mean.
4. The spread of the sampling distn. of tends to grow
smaller as the sample size n increases.
5. As n increases, the sampling distn. of tends to a
normal distn. with mean
X
X
X
and SD
X X
n
6/12/11
01:22:10 PM
IIT Bombay (IC102)
When a sample X1,, Xn is drawn from a
pop. with mean and SD , and
when n is large (CLT)
or when the pop. has a normal distn.,
(0,1)
/
x
x
X
X
Z N
n
:
6/12/11
01:22:10 PM
IIT Bombay (IC102)
Example:
6/12/11
01:22:10 PM
IIT Bombay (IC102)
Example:
6/12/11
01:22:10 PM
IIT Bombay (IC102)
Point estimate for pop. mean is
A single number (statistic) based on sample data that represents
our best guess for the value of the pop. mean (e.g., sample
mean, sample median, sample mode)
A statistic whose mean value is equal to is said to be an
unbiased statistic (e.g., sample mean; )
The point estimate (say, 5.5 feet) says nothing about how close it
might be to the true pop. mean .
As an alternative, we might report an entire interval of plausible
values for the pop. mean .
( )
E X
Unbiasedness (Illustration)
6/12/11
01:22:10 PM
IIT Bombay (IC102)
(Methods of point est.Method of Moments;
Method of Max. Likelihood)
6/12/11
01:22:10 PM
IIT Bombay (IC102)
6/12/11
01:22:10 PM
IIT Bombay (IC102)
6/12/11
01:22:10 PM
IIT Bombay (IC102)
6/12/11
01:22:10 PM
IIT Bombay (IC102)
6/12/11
01:22:10 PM
IIT Bombay (IC102)
6/12/11
01:22:10 PM
IIT Bombay (IC102)
6/12/11
01:22:10 PM
IIT Bombay (IC102)
Card-Holders Survey on Payment Cards
www.math.iitb.ac.in/~udai/card-holders_survey2011.html
IIT Bombay (IC102)
Confidence Intervals
An alternative to reporting a single value for the
parameter being estimated is to calculate and
report an entire interval of plausible values a
confidence interval (CI).
A CI is always calculated by first selecting a
confidence level, which is a measure of the
degree of reliability of the interval to have
captured the true pop. mean .
6/12/11
01:22:10 PM
6/12/11
01:22:10 PM
IIT Bombay (IC102)
A confidence level of 95% implies that 95%
of all samples would give an interval that
includes and only 5% of all samples would
yield an erroneous interval.
6/12/11
01:22:10 PM
IIT Bombay (IC102)
Consider a random sample
IIT Bombay (IC102)
95% Confidence Interval for when is known
If after observing X1 = x1,, Xn = xn, we
compute the observed sample mean ,
then a 95% confidence interval for can
be expressed as
x
1.96 , 1.96 x x
n n
| `
+
. ,
6/12/11
01:22:10 PM
6/12/11
01:22:10 PM
IIT Bombay (IC102)
Given that pop. SD is 0.2, a 95% CI for the
pop. mean heights (when sample mean, based
on n=25, is say 5.45) is
0.2 0.2
5.45 1.96 , 5.45 1.96
25 25
| `
+
. ,
1.96 , 1.96 x x
n n
| `
+
. ,
(5.45-0.08, 5.45+0.08) = (5.37,5.53)
IIT Bombay (IC102)
Other Levels of Confidence
( )
/ 2 / 2
1 P z Z z
1
shaded area = / 2
curve z
/ 2
z
/ 2
z
0
6/12/11
01:22:10 PM
IIT Bombay (IC102)
Other Levels of Confidence
/ 2 / 2
, x z x z
n n
| `
+
. ,
A confidence interval for
the mean of a normal population
when the value of is known is given
by
100(1 )%
6/12/11
01:22:11 PM
6/12/11
01:22:11 PM
IIT Bombay (IC102)
Given that pop. SD is 0.2, a 99% CI for the
pop. mean heights (when sample mean, based
on n=25, is say 5.45) is
0.2 0.2
5.45 2.58 , 5.45 2.58
25 25
| `
+
. ,
(5.45-0.10, 5.45+0.10) = (5.35,5.55)