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ST2334 Cheatsheet - Summary Probability and Statistics

Probability and Statistics (National University of Singapore)

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ST2334 Cheatsheet by Jie Liang Cumulative Distribution Function Correlation Coefficient Normal Distribution, X ~ N(µ, σ2)
F(x) = Pr(X ≤ x) 𝐶𝑜𝑣 (𝑋,𝑌) Normal curve is symmetrical about x = µ.
Chapter 1: Probabilities Cor(X,Y) or ρX,Y = , -1 ≤ ρX,Y ≤ 1
√𝑉(𝑋) √𝑉(𝑌)
𝐴∩𝐴′=Ø 𝐴∩Ø=Ø 𝐴∪𝐴′=𝑆. Discrete RV: F(x) = ∑𝑡≤𝑥 Pr(𝑋 = 𝑡) As σ increases, curve flattens; as σ decreases, sharpens.
Pr(a ≤X≤ b)= Pr(X ≤ b) - Pr(X ≤ a) ρX,Y is a measure of the degree of linear relationship (𝑋−𝜇)
𝐴∪𝐵∩𝐶=(𝐴∪𝐵)∩(𝐴∪𝐶) 𝐴∩𝐵∪𝐶=(𝐴∩𝐵)∪(𝐴∩𝐶) If Z = , then Z has N(0, 1) distribution.
= F(b) – F(a-) = F(b) – F(a-1) between X and Y. 𝜎
𝐴∪𝐵=𝐴∪(𝐵∩𝐴′) 𝐴=(𝐴∩𝐵)∪(𝐴∩𝐵′) Let z1 = (x1-µ)/σ and z2 = (x2-µ)/σ. Then
𝑥 𝑑𝐹(𝑥) If X and Y are independent, then ρX,Y = 0.
De Morgan’s Law: (𝐴1∪𝐴2∪⋯∪𝐴n)′=𝐴1′∩𝐴2′∩⋯∩𝐴n’ Continuous RV: F(x) = ∫−∞ 𝑓(𝑡)𝑑𝑡 f(x) = Pr(x1 < X < x2) = Pr(z1 < Z < z2)
𝑑𝑥
(𝐴1∩𝐴2∩⋯∩𝐴n)′=𝐴1′∪𝐴2′∪⋯∪𝐴n’ Pr(a ≤X≤ b)= Pr(a <X≤ b)= F(b) – F(a) Pr(Z ≥ zα) = α Pr(Z ≥ zα) = Pr(Z ≤ - zα) = α
Chapter 4: Special Probability Distributions
𝐴 ⊂ 𝐵: All elements in event A are also in event B F(x) is a non-decreasing function, 0 ≤ F(x) ≤ 1 z0.05 = 1.645 z0.025 = 1.96 z0.01 = 2.326
Discrete Distribution
Multiplication Principle: n1n2⋯ nk Expected Values Normal Approximation to Binomial Distribution
Discrete Uniform Distribution equal probability
Addition Principle: n1 + n2 + ⋯ + nk(mutually exclusive) Discrete RV: µx = E(x) = ∑𝑥 x f(x) When 𝑛 → ∞ and p → ½ or
If random variable X assumes values with equal P(xi),
Permutation: arrangement of r objects from n objects ∞
Continuous RV: µx = E(x) = ∫−∞ 𝑥 𝑓(𝑥)𝑑𝑥 fX(x) = 1/k, x = x1, x2, … , xk and 0 otherwise np > 5 and nq > 5
Distinct: nPr = n! / (n-r)! In a circle: (n-1)! 1 µ = np and σ2 = np(1-p)
𝑛! For any function g(X) of a random variable X µ = E(X) = ∑𝑘𝑖=1 𝑥𝑖 Can use other variance formula
Not all objects are distinct:
𝑛1 !𝑛2 !⋯𝑛𝑘 ! Discrete RV: µx = E(g(X)) = ∑𝑥 g(x) f(x)
𝑘
1 1
X approximately ~ N(µ, σ2)
𝑛! ∞ σ2 = V(X) = ∑𝑘𝑖=1(𝑥𝑖 − µ)2 = (∑𝑘𝑖=1 𝑥𝑖 2 ) − µ2 Continuity Correction
Combination: (𝑛𝑟) = Continuous RV: µx = E(g(X)) = ∫−∞ 𝑔(𝑥) 𝑓(𝑥)𝑑𝑥 𝑘 𝑘
𝑟!(𝑛−𝑟)! Binomial Distribution, X ~ B(n, p) Pr(𝑋=𝑘) ≈ Pr(𝑘−½<𝑋<𝑘+½).
Binomial Coefficient: (𝑛𝑟) = (𝑛−𝑟
𝑛
), (𝑛𝑟) = (𝑛−1
𝑟
) + (𝑛−1
𝑟−1
) E(aX + b) = a E(X) + b
X is the number of successes that occur in n independent Pr(𝑎≤𝑋≤𝑏) ≈ Pr(𝑎−½<𝑋<𝑏+½).
Variance σX2 = V(X) = E[(X - µx)2]
Bernoulli trials Pr(𝑎<𝑋≤𝑏) ≈ Pr(𝑎+½<𝑋<𝑏+½).
If A1, A2, … are mutually exclusive, then V(X) = E(X2) – [E(X)]2
Pr(⋃∞ ∞ Pr(X=x) = fX(x) = (𝑛𝑥)𝑝 𝑥 (1 − 𝑝)𝑛−𝑥 = (𝑛𝑥)𝑝 𝑥 𝑞𝑛−𝑥 Pr(𝑎≤𝑋<𝑏) ≈ Pr(𝑎−½<𝑋<𝑏−½).
𝑖=1 𝐴𝑖 ) = ∑𝑖=1 Pr(𝐴𝑖 ) , Pr(A∪B) = Pr(A) + Pr(B) g(x) = xk then E(Xk) is called the k-th moment of X
µ = E(X) =np σ2 = V(X) = npq Pr(𝑎<𝑋<𝑏) ≈ Pr(𝑎+½<𝑋<𝑏−½).
V(aX + b) = a2 V(X)
Pr(𝐴)=Pr(𝐴∩𝐵)+Pr(𝐴∩𝐵′) Pr(A’) = 1 – P(A) Chebyshev’s Inequality Pr(a ≤X≤ b) = Pr(X≥a) - Pr(X≥b+1) Pr(𝑋≤𝑐) =Pr(0≤𝑋≤𝑐)≈Pr(−½<𝑋<𝑐+½)
Pr(𝐴∪𝐵)= Pr(A) + Pr(B) − Pr(𝐴∩𝐵) Let X be a random variable with µ and σ2 Negative Binomial Distribution, X ~ NB(k, p) Pr(𝑋>𝑐) =Pr(𝑐<𝑋≤𝑛) ≈Pr(𝑐+½<𝑋<𝑛+½)
Pr(𝐴∪𝐵∪𝐶)=Pr(𝐴)+Pr(𝐵)+Pr(𝐶)−Pr(𝐴∩𝐵) For any positive number k, X is the number of trials to produce k successes
−Pr(𝐴∩𝐶)−Pr(𝐵∩𝐶)+Pr(𝐴∩𝐵∩𝐶) Pr(|X-µ| > kσ) ≤ 1/k2 Pr(X=x) = fX(x) = (𝑥−1
𝑘−1
)𝑝𝑘 𝑞 𝑥−𝑘
If 𝐴⊂𝐵, then Pr(𝐴) ≤ Pr(𝐵). 𝑘 (1−𝑝)𝑘 Chapter 5: Sampling and Sampling Distributions
Pr(|X-µ| ≤ kσ) = Pr(µ - kσ ≤ X ≤ µ + kσ) ≥ 1 - 1/k2 µ = E(X) = σ2 = V(X) =
Number of sample points in A
Pr(A) = Number of sample points in S 𝑝 𝑝2 A value computed from a sample is a statistic.
Pr(A ∩ B) Geometric Distribution : First success, k = 1 A statistic is a random variable.
Conditional Probability: Pr(A|B) = Chapter 3: 2-D RV and Conditional Prob. Distributions 1
P(B) Pr(X≤x) = 1 – px p: probability of success x: no of trials needed Sample Mean: X̅ = ∑𝑛𝑖=1 𝑋𝑖
Let X and Y be two functions each assigning a real 𝑛
Pr(𝐵1∪𝐵2|𝐴=Pr(𝐵1|𝐴)+Pr(𝐵1|𝐴) [mutually exclusive] Poisson Distribution, X ~ P(λ)
number to each 𝑠∈𝑆. For random samples of size n taken from an infinite
Pr(𝐴∩𝐵) = Pr(𝐴)Pr(𝐵|𝐴) or Pr(B)Pr(A|B) X is the number of successes occurring during a given population or finite population with replacement,
(X, Y): Two-dimensional random variable
Pr(𝐴∩𝐵∩𝐶) = Pr(𝐴)Pr(𝐵|𝐴)Pr(𝐶|𝐴∩𝐵) time interval or in a specified region The sampling distribution of X̅ has
Joint Probability Function fX,Y(x, y) 𝑒 −𝜆 𝜆𝑥
Law of Total Probability: If Ai events are mut. exclusive ∑∞ ∞ ∞ ∞
𝑖=1 ∑𝑗=1 𝑓𝑋,𝑌 (𝑥𝑖 , 𝑦𝑗 ) = ∑𝑖=1 ∑𝑗=1 𝑃𝑟(𝑋 = 𝑥𝑖 , 𝑌 = 𝑦𝑗 ) = 1
fX(x) = Pr(X=x) = , µX̅ = µX and σ X̅ 2 = σ X2 / n
𝑥!
Pr(B) = ∑𝑛𝑖=1 Pr(𝐵 ∩ 𝐴𝑖 ) = ∑𝑛𝑖=1 Pr(𝐴𝑖 )Pr(𝐵|𝐴𝑖 ) ∞ ∞
∫−∞ ∫−∞ 𝑓𝑋,𝑌 (𝑥, 𝑦)𝑑𝑥 𝑑𝑦 = 1 , 𝑓𝑋,𝑌 (𝑥, 𝑦) ≥ 0 in RX, Y where λ is the average number of successes occurring in Central Limit Theorem
𝑃(𝐴) 𝑃(𝐵|𝐴) Sampling distribution of sample mean X̅ is
Bayes’ Theorem: P(A|B) = the given time interval or specified region
𝑃(𝐵) Pr(A) = 1 – Pr(A’) = 1 - ∫ ∫𝑥+𝑦<1 𝑓𝑋,𝑌 (𝑥, 𝑦)𝑑𝑥 𝑑𝑦 µ = E(X) =λ σ2 = V(X) = λ approximately normal if n is sufficiently large.
𝑏 1−𝑥 ̅ −μ
X
Independent Events iff Pr(A∩B) = Pr(A) Pr(B) or = 1 - ∫𝑎 ∫0 𝑓(𝑥)𝑑𝑦 𝑑𝑥 Poisson Approximation to Binomial Distribution Z= follows approximately N(0,1)
𝜎 / √𝑛
Pr(B|A)=Pr(B) , Pr(A|B) = Pr(A) Marginal Distribution Let X ~ B(n, p) Sampling distribution of difference of two sample means
If A and B are independent, can’t be mutually exclusive. ∞ Suppose 𝑛 → ∞ and p → 0 such that λ = np
fX(x) = ∑𝑦 𝑓𝑋,𝑌 (𝑥, 𝑦)= ∫−∞ 𝑓𝑋,𝑌 (𝑥, 𝑦)𝑑𝑦 𝜎 2 𝜎2 2
If A and B are mutually exclusive, can’t be independent. ∞ X approximately ~ P(λ = np) 𝜇X̅1−X̅2 = 𝜇1 − 𝜇2 and 𝜎X̅1 −X̅2 = √ 1 +
S and ∅ are independent of any event. fX(x) = ∑𝑥 𝑓𝑋,𝑌 (𝑥, 𝑦)= ∫−∞ 𝑓𝑋,𝑌 (𝑥, 𝑦)𝑑𝑥 𝑛 1 𝑛2
̅ 2 −(𝜇1 − 𝜇2 )
X̅1 −X
If A and B are independent so are A’ and B’. Conditional Distribution Continuous Distribution 𝜎1 2 𝜎2 2
approx ~ N(0, 1)
𝑓 (𝑥,𝑦) √ +
Pairwise independent: Pr(Ai∩Aj) = Pr(Ai) Pr(Aj) 𝑓𝑌|𝑋 (𝑦|𝑥) = 𝑋,𝑌 if fX(x) > 0 Continuous Uniform Distribution, X ~ U(a, b) 𝑛1 𝑛2
𝑓𝑋 (𝑥) 1
Mutually independent: Pr(A1∩A2∩ … Ak)=Pr(A1)..Pr(Ak) 𝑓𝑋,𝑌 (𝑥,𝑦) fX(x) = , for a ≤ x ≤ b
𝑓𝑋|𝑌 (𝑥|𝑦) = if fX(x) > 0 𝑏−𝑎
Mutually independence implies pairwise independence. 𝑓𝑌 (𝑦)
If X is uniformly distributed over [a,b], Chi-square distribution, χ2(n) - n degrees of freedom
∑𝑥 𝑓𝑋|𝑌 (𝑥|𝑦) = 1 and ∑𝑦 𝑓𝑌|𝑋 (𝑦|𝑥) = 1 𝑎+𝑏 1 - If Y ~ χ2(n), then E(Y) = n and V(Y) = n.
∞ ∞ E(X) = V(X) = (𝑎 − 𝑏)2
Chapter 2: Concepts of Random Variable ∫−∞ 𝑓𝑋|𝑌 (𝑥|𝑦)𝑑𝑥 = 1 and ∫−∞ 𝑓𝑌|𝑋 (𝑦|𝑥)𝑑𝑦 = 1 2 12 - For large n, χ2(n) approx. ~ N(n, 2n).
A function X, which assigns a number to every element 𝑠 Exponential Distribution, X ~ Exp(α) - If Y1, Y2, … , Yk are independent chi-square random
𝑓𝑋,𝑌 (𝑥, 𝑦) = 𝑓𝑌|𝑋 (𝑦|𝑥)𝑓𝑋 (𝑥) 𝑓𝑋,𝑌 (𝑥, 𝑦) = 𝑓𝑋|𝑌 (𝑥|𝑦)𝑓𝑌 (𝑦) ∞
∈ 𝑆, is called a random variable. fX(x) = αe-αx for x > 0 ∫−∞ 𝑓(𝑥)𝑑𝑥 = 1 variables with n1, n2, … , nk degrees of freedom,
Independent Random Variables
𝐴={ 𝑠∈𝑆 | 𝑋(𝑠) ∈ 𝐵} Pr(B) = Pr(A) E(X) =
1
V(X) = 2
1
∑𝑘𝑖=1 𝑌𝑖 ~ 𝜒 2 (∑𝑘𝑖=1 𝑛𝑖 )
Random variables X and Y are independent iff 𝛼 𝛼
Discrete Random Variable - X ~ N(0, 1), then X2 ~ χ2(1)
fX,Y (x, y) = fX(x) fY(y) for all x, y No Memory Property of Exponential Distribution
Each value has a certain probability f(x).
if fX(x) > 0 and fY(y) > 0, then fX(x) fY(y) > 0 Pr(X > s + t | X > s) = Pr(X > t)
f(x) : probability function ∑∞
𝑖=1 𝑓(𝑥𝑖 ) = 1 - Let X ~ N(µ, σ2), then [(x-µ)/σ]2 ~ χ2(1)
Expectation Fx(x) = Pr(X ≤ x) = 1 - e-αx
Continuous Random Variable - Let Xi be random sample from a normal population.
E[g(X, Y)] = ∑𝑥 ∑𝑦 𝑔(𝑥, 𝑦)𝑓𝑋,𝑌 (𝑥, 𝑦) Pr(X > x) = e-αx
RX, the range space, is an interval/collection of intervals ∞ ∞ (𝑋𝑖 − µ)2
∞ 𝑑 (𝑥,
= ∫−∞ ∫−∞ 𝑔(𝑥, 𝑦) 𝑓𝑋,𝑌 𝑦)𝑑𝑥 𝑑𝑦 The exponential distribution is frequently used as a Y = ∑𝑛𝑖=1 ~ χ2(n)
∫−∞ 𝑓(𝑥)𝑑𝑥 = 1 Pr(c ≤ X ≤ d) = ∫𝑐 𝑓(𝑥)𝑑𝑥 𝜎2
Covariance of (X, Y) ,σX,Y: Cov(X,Y) = E[(X-µX)(Y-µY)] model for the distribution of times between the
𝑎
Pr(X = a) = ∫𝑎 𝑓(𝑥)𝑑𝑥=0 Cov(X,Y) = E(XY) - µX µY occurrence of successive events. Use of χ2 – distribution Table
Pr(c ≤X≤ d)=Pr(c ≤X< d)=Pr(c <X≤ d)=Pr(c <X< d) If X and Y are independent, then Cov(X,Y) = 0
∞
P(Y≥ χ2(n; α)) = ∫χ2(n; α) 𝑓𝑌 (𝑦)𝑑𝑦 = 𝛼 , where Y ~ χ2(n)
Pr(A) = 0 does not imply A = ∅ Cov(aX+b, cY+d) = ac Cov(X, Y) χ2(n; 1−α)
V(aX + bY) = a2V(X) + b2V(Y) + 2ab Cov(X, Y) P(Y≤ χ2(n; 1 - α)) = ∫0 𝑓𝑌 (𝑦)𝑑𝑦 = 𝛼
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Sampling Distribution of (n-1)S2/σ2 2. Unknown Variance Case 4. Paired Data Hypotheses Testing Concerning Mean
Sample Variance: S2 =
1
̅) 2
∑𝑛𝑖=1(𝑋𝑖 − X T=
̅− µ
X
~ tn-1
1
d̅ = ∑𝑛𝑖=1(𝑥𝑖 − 𝑦𝑖 ) 𝑠𝐷 2 =
1
∑𝑛𝑖=1(𝑑𝑖 − d̅ )2 1. Known Variance, σ2
𝑛−1 𝑛 𝑛−1
𝑆 / √𝑛
𝑠 𝑠 i) Two sided-test: H0: µ = µ0 against H1: µ ≠ µ0
If S is variance of random sample of size n taken from a ̅ −μ
Small n: d̅ −𝑡𝑛−1;𝛼/2 ( 𝐷 ) < µ𝐷 < d̅ + 𝑡𝑛−1;𝛼/2 ( 𝐷 )
2 X
𝑃𝑟 (−𝑡𝑛−1;𝛼/2 < < 𝑡𝑛−1;𝛼/2 ) = 1 – α Critical Value approach:
normal population having the variance σ2, 𝑆 / √𝑛 √𝑛
𝑠𝐷 𝑠
√𝑛
(𝑛−1)𝑆 2 𝑆 𝑆 Large n: d̅ − 𝑧𝛼/2 ( ) < µ𝐷 < d̅ + 𝑧𝛼/2 ( 𝐷 ) H0 is accepted if confidence interval covers µ0.
~ χ2(n-1) 𝑃𝑟 (X̅ −𝑡𝑛−1;𝛼/2 ( ) < µ < X ̅ + 𝑡𝑛−1;𝛼/2 ( ) ) √𝑛 √𝑛 ̅ −μ
X
𝜎2 √𝑛 √𝑛 𝑃𝑟 (−𝑧𝛼/2 < < 𝑧𝛼/2 ) = 1 – α
𝜎 / √𝑛
=1− 𝛼 Confidence Interval for Variance 𝜎 𝜎
t-distribution, T ~ t(n) 𝑆 𝑆 𝑃𝑟 (µ0 − 𝑧𝛼 ( ) < X ̅ < µ0 + 𝑧𝛼 ( ) ) = 1 − 𝛼
X −𝑡𝑛−1;𝛼/2 ( ) < µ < ̅
̅ X + 𝑡𝑛−1;𝛼/2 ( ) 1. µ is known 2 √𝑛 2 √𝑛
Let Z~N and u~χ2 with n d.o.f. Let X ~ N(µ, σ2), then [(x-µ)/σ]2 ~ χ2(1)
𝑍 √ 𝑛 √𝑛 **Acceptance region: -zα/2 < Z < zα/2
If Z and U are independent, T = ~ t(n-1) For large n (n>30), t-distribution approximately same (𝑋𝑖 −𝜇)2
√𝑈 / 𝑛 ∑𝑛𝑖=1 ~ 𝜒 2 (𝑛) **Reject at α% l.o.s. if fall inside critical region
as N(0,1) distribution. 𝜎2
The graph of t-distribution is symmetric about the ∑𝑛
𝑖=1(𝑋𝑖 −𝜇)
2 ∑𝑛
𝑖=1(𝑋𝑖 −𝜇)
2 p-Value approach:
𝑆 𝑆 Pr ( < 𝜎2 < )=1− 𝛼
vertical axis and resembles normal distribution. ̅ − 𝑧𝛼/2 ( ) < µ < ̅
X X + 𝑧𝛼/2 ( ) 𝜒2 𝑛;𝛼/2 𝜒2 𝑛;1−𝛼/2 p-value: probability of obtaining a test statistic more
∞
Pr(T ≥ t) = ∫𝑡 𝑓𝑇 (𝑥)𝑑𝑥 √𝑛 √𝑛 ∑𝑛
𝑖=1(𝑋𝑖 −𝜇)
2 ∑𝑛
𝑖=1(𝑋𝑖 −𝜇)
2 extreme than the observed sample value given H0 is true
Confidence Intervals for Difference between Two Means < 𝜎2 < If p-value < α, reject H0
e.g. Pr(T ≥ t10;0.05) = 0.05 gives t10;0.05 = 1.812 𝜒2 𝑛;𝛼/2 𝜒2 𝑛;1−𝛼/2
If T~t(n), then E(T) = 0 and V(T) = n/(n-2) for n > 2. X̅ 1 - X̅ 2 is point estimator for 𝜇1 − 𝜇2 . If p-value ≥ α, do not reject H0
2. µ is unknown
If random sample selected from normal population, 1. Known Variances and not equal (𝑛−1)𝑆 2 p-value = 2 min{Pr(Z < z), Pr(Z > z)}
̅− µ
X (X̅ 1 - X̅ 2) ~ N (𝜇1 − 𝜇2 ,
𝜎1 2
+
𝜎2 2
) ~ χ2(n-1) ii) One sided test: H0: µ = µ0 against
𝜎2
T= ~ tn-1 𝑛1 𝑛2
(𝑛−1)𝑆
2
(𝑛−1)𝑆
2 **H1: µ > µ0: Reject H0 if z > zα or p-value = Pr(Z>z) < α
𝑺 / √𝑛
̅ 2 −(𝜇1 − 𝜇2 )
X̅1 −X 𝑃𝑟 ( < 𝜎2 < )=1− 𝛼 **H1: µ < µ0: Reject H0 if z < -zα or p-value = Pr(Z<z) < α
𝑃𝑟 (−𝑧𝛼/2 < < 𝑧𝛼/2 ) = 1 – α 𝜒2 𝑛−1;𝛼/2 𝜒2 𝑛−1;1−𝛼/2
𝜎 2 𝜎 2
F-distribution, F ~ (n1, n2) √ 1 + 2 (𝑛−1)𝑆2 (𝑛−1)𝑆2 2. Unknown Variance
< 𝜎2 <
𝑛1 𝑛2
̅− µ
Let U ~ χ2(n1) and V ~ χ2(n2) be independent, 𝜒2 𝑛−1;𝛼/2 𝜒2 𝑛−1;1−𝛼/2 T=
X
~ tn-1
𝑈 / 𝑛1 𝑆 / √𝑛
F= ~ F(n1, n2) 2 2
̅ 2 ) − 𝑧𝛼 √𝜎1 + 𝜎2 < 𝜇1 − 𝜇2 < (X
̅1 − X ̅2 ) +
̅1 − X C.I. for ratio of two variances with unknown means
𝑉 / 𝑛2 (X H1: µ = µ0: Reject H0 if t > tn-1;α/2 or < - tn-1;α/2
2 𝑛1 𝑛2 𝑆1 2 / 𝜎12
Suppose random samples of size n1 and n2 are selected 𝑃𝑟 (𝐹𝑛1 −1,𝑛2−1;1−𝛼/2 < < 𝐹𝑛 −1,𝑛 −1;𝛼/2 ) =1− 𝛼 p-value = 2 min{Pr(T < t), Pr(T > t)}
𝜎1 2 𝜎2 2 𝑆2 2 / 𝜎22 1 2
from two normal populations with σ12 and σ22 𝑧𝛼 √ + 𝑆1 2 1 𝜎1 2 𝑆1 2 1
H1: µ > µ0: Reject H0 if t > tn-1;α , Pr(T>t) < α
2 2 𝑛1 𝑛2 𝑃𝑟 ( < < ) =1− 𝛼
F=
𝑆1 / 𝜎1
~ F(n1 - 1, n2 - 1)
2
𝑆2 2 𝐹𝑛1 −1,𝑛2−1;𝛼/2 𝜎2 2 𝑆2 2 𝐹𝑛1 −1,𝑛2−1;1−𝛼/2 H1: µ < µ0: Reject H0 if t < -tn-1;α, Pr(T<t) < α
𝑆2 2 / 𝜎2 2 𝑆1 2 1 𝜎1 2 𝑆1 2 1 Hypotheses Testing on Difference between Two Means
If F ~ F(n, m), then 1/F ~ F(m, n). 2. Unknown Variances < <
𝑆2 2 𝐹𝑛1 −1,𝑛2 −1;𝛼/2 𝜎2 2 𝑆2 2 𝐹𝑛1 −1,𝑛2 −1;1−𝛼/2 1. Known Variances
Pr(F > F(n1, n2; α)) = α n1 , n2 are sufficiently large (≥30) 𝑆1 2 1 𝜎1 2 𝑆1 2 1 ̅ 2 −(μ1 − μ2 )
X̅1 −X
F(n1, n2; 1 - α) = 1 / F(n2, n1; α) 𝑆2 𝑆2 2 < < Z=
̅ 2 ) − 𝑧𝛼/2 √
(X̅ 1 − X + ̅2 ) +
< 𝜇1 − 𝜇2 < (X̅ 1 − X 𝑆2 𝐹𝑛1 −1,𝑛2 −1;𝛼/2 𝜎2 2 𝑆2 2 𝑭𝒏𝟐−𝟏,𝒏𝟏−𝟏;𝜶/𝟐 √σ1 2 /n1 +σ2 2 /n2
𝑛1 𝑛2
2. Unknown Variances and Large Sample Size
Chapter 6: Estimation based on Normal Distribution 𝑆1 2 𝑆2 Chapter 7: Hypothesis Testing based on Normal Distr. ̅ 2 −(μ1 − μ2 )
X̅1 −X
𝑧𝛼/2 √ + Z=
Point estimator: Θ̂ (X1, X2, … , Xn) 𝑛1 𝑛2 A statistical hypothesis is an assertion of conjecture √S1 2 /n1 +S2 2 /n2
Interval estimator: (Θ̂ L, Θ̂ R) 3. Unknown but Equal Variances concerning one of more populations.
Unbiased estimator: E(Θ̂ ) = θ Two populations are normal, small sample size (≤30) Null hypothesis, H0: formulate with hope of rejecting 3. Unknown but Equal Variances and Small Sample Size
Let σ12 = σ22 = σ2, then ̅ 2 −(μ1 − μ2 )
X̅1 −X
Interval Estimation: θ̂ L < θ < θ̂ U Alternative hypothesis, H1: reject of H0- acceptance of H1 𝐓=
The interval θ̂ L < θ < θ̂ U, computed from the selected 1 1 1 1 d.o.f tn1+n2-2;a or a/2
(X̅ 1 - X̅ 2) ~ N (𝜇1 − 𝜇2 , 𝜎 2 ( + ) ) Sp √( + )
n1 n2
𝑛1 𝑛2
sample is called a (1-α)100% confidence interval for θ. Type I error: Pr(reject H0 | H0) = α (level of significance)
(1-α) : confidence coefficient or degree of confidence. σ2 can be estimated by pooled sample variance 4. Paired Data
𝟐 (𝒏𝟏 −𝟏)𝑺𝟏𝟐+(𝒏𝟐 −𝟏)𝑺𝟐 𝟐 Type II error: Pr(do not reject H0 | H1) = β d̅ −µD d.o.f tn-1;a or a/2
In the long run, (1-α)100% of intervals will contain the 𝑺𝒑 = Power of test = 1 – β = Pr(reject H0 | H1) t=
𝒏𝟏 +𝒏𝟐−𝟐 sD /√n
unknown parameter θ. If two populations are normal with same variance, Hypotheses Testing Concerning Variance
(𝑛1 −1)𝑆1 2 +(𝑛2 −1)𝑆2 2
~ 𝜒 2 𝑛1+𝑛2 −2 1. One Variance case, H0: σ2 = σ02
Confidence Intervals for the Mean 𝜎2 (n−1)S2
1. Known Variance ̅ 2 −(𝜇1 − 𝜇2 )
X̅1 −X χ2 = ~ χ2(n-1)
𝑇= 1 1
~ 𝑡𝑛1 +𝑛2−2 σ0 2
Known variance and normal population. 𝑆𝑝 √( + )
𝑛1 𝑛2 Critical Region:
̅ −μ
X
Z= ~ N(0, 1) ̅ 2 −(𝜇1 − 𝜇2 )
X̅1 −X
H1: σ2 ≠ σ02: χ2 < χ2(n-1;1-α/2) or χ2 > χ2(n-1; α/2)
𝜎 / √𝑛
̅ −μ
X
𝑃𝑟 (−𝑡𝑛1+𝑛2 −2; 𝛼/2 < 1 1
< 𝑡𝑛1 +𝑛2−2; 𝛼/2 ) H1: σ2 > σ02: χ2 > χ2(n-1; α) , p-value = Pr(χn-12 > χ2)
𝑃𝑟 (−𝑧𝛼/2 < < 𝑧𝛼/2 ) = 1 – α 𝑆𝑝 √(𝑛 +𝑛 )
1 2 H1: σ2 < σ02: χ2 < χ2(n-1;1-α) , p-value = Pr(χn-12 < χ2)
𝜎 / √𝑛
𝜎 𝜎 =1–α H.T. Concerning Ratio of Variances
̅ − 𝑧𝛼/2 ( ) < µ < X
𝑃𝑟 (X ̅ + 𝑧𝛼/2 ( ) ) = 1 − 𝛼
√𝑛 √𝑛 ̅ 2 )−𝑡𝑛 +𝑛 −2;𝛼/2 𝑆𝑝 √ 1 +
̅1 − X
(X
1
< 𝜇1 − 𝜇2 < (X̅ 1 − Assumption: Means are unknown
(1-α)100% confidence interval for µ: 1 2 𝑛1 𝑛2 Under H0: σ12 = σ22
𝜎 𝜎 𝑆1 2
̅
X − 𝑧𝛼/2 ( ) < µ < X ̅ + 𝑧𝛼/2 ( ) ̅ 2 ) +𝑡𝑛 +𝑛 −2; 𝛼/2 𝑆𝑝 √ 1 +
X
1
F= ~ F(n1 - 1, n2 - 1)
1 2 𝑛1 𝑛2 𝑆2 2
√𝑛 √𝑛 Critical Region:
Margin of error, e
̅ - µ| ≤ e) ≥ 1 – α
Pr(|X For large samples (n ≥30) H1: σ12 ≠ σ22: 𝐹 < 𝐹(𝑛1 −1,𝑛2−1;1−𝛼/2) or 𝐹 > 𝐹(𝑛1−1,𝑛2−1;𝛼/2)
e ≥ zα/2
𝜎 H1: σ12 > σ22: 𝐹 > 𝐹(𝑛1−1,𝑛2−1;𝛼)
(X ̅ 2 )−𝑧𝛼/2 𝑆𝑝 √ 1 +
̅1 − X 1
< 𝜇1 − 𝜇2 < (X ̅2 ) +
̅1 − X
√𝑛
𝑛1 𝑛2 H1: σ12 < σ22: 𝐹 < 𝐹(𝑛1−1,𝑛2 −1;𝛼)
𝜎 2
For a given e, sample size: n ≥ (𝑧𝛼/2 ) 1 1
𝑒 𝑧𝛼/2 𝑆𝑝 √ +
𝑛1 𝑛2

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