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Learning
Goals
To
become
familiar
with
Chi-square,
t
and
F
To
get
to
know
the
rela7onships
among
Normal,
Chi-square,
t
and
F
To
get
to
know
the
uses
of
Chi-square,
t
and
F
Rela7on to normal distribu7on If X has a standard normal distribu7on, then its square has a Chi-square distribu7on with 1 degree of freedom. In fact, sum of squares of n independent standard normal variables has a chi-square distribu7on with n degrees of freedom.
Chi-square distribu7on
Chi-square
Distribu7on
The
probability
density
func7on
(pdf)
of
the
chi-squared
distribu7on
is
x 1 k 2 2 x e , x 0 k f ( x, k ) = 2 k 2 ( ) 2 0, Otherwise
= 2
Very useful in
t distribu7on - Uses
10
t distribu7on - Density
11
t
distribu7on
-
Shape
It
is
a
bell-shaped
distribu7on
like
normal
distribu7on.
It
is
symmetric
about
0.
It
has
facer
tails
than
normal
distribu7on.
t
distribu7on
comes
closer
and
closer
to
normal
distribu7on
as
the
degrees
of
freedom
get
larger
and
larger.
12
Mean and variance Let Z have a t distribu7on with k degrees of freedom. The mean of Z = 0 k The variance of Z = k 2 when k > 2
t distribu7on
13
F
distribu7on
Suppose
X
and
Y
are
independently
distributed
as
chi-square
random
variables
with
degrees
of
freedom
m
and
n
respec7vely.
Dene
The
distribu7on
of
Z
is
called
F
distribu7on
with
degrees
of
freedom
m
for
the
numerator
and
n
for
the
denominator.
This
is
denoted
by
Z ~ Fm ,n
X ) ( m Z= (Y n)
14
F
distribu7on
-
Uses
Very
useful
in:
a) Hypothesis
tes7ng
and
Construc7on
of
condence
intervals
for
the
ra7o
of
variances
of
two
normal
distribu7ons
based
on
independent
random
samples,
b)
Hypothesis
tes7ng
of
equality
of
means
of
several
normal
distribu7ons
with
the
same
variance.
15
Density
of
F
distribu7on,
Fm , n
Let
X ~ Fm,n
f ( x) = 1 m x m n n B , 2 2
m 2 m 1 2 m+n 2
m 1 + x n
,x 0
16
17
Proper7es
of
F
distribu7on
Let
U ~ Fm ,n Mean
of
U
=
n ,n > 2 n2
2n 2 (m + n 2) ,n > 4 2 n(n 2) (n 4)
Variance
of
U
=
1
~
Fn,m U
18
Distribu7on
Tables
The
probability
tables
for
each
of
these
distribu7ons
have
been
calculated
and
tabulated
for
several
values
of
Degrees
of
Freedom
We
can
nd
these
tables
online
or
in
text
books
An
easier
way
is
to
make
use
of
sta7s7cal
sohware
that
readily
calculate
these
values
for
us
Using
R:
Chi-square:
>
pchisq(x,df)
t-distribu7on:
>
pt(x,df)
F-distribu7on:
>pf(x,df1,df2)
19
Thank You