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Sampling Distributions

The document defines key concepts related to sampling distributions, including: 1) The sample mean and sample variance, which are used to estimate the population mean and variance, respectively. 2) The distributions of the sample mean (normal) and sample variance (chi-squared) when sampling from populations with known parameters. 3) Other important distributions for inference like the t distribution and F distribution, which incorporate the variability of estimates. 4) The distinction between statistics, which are functions of the sample, and estimators, which are statistics used to estimate population parameters, and estimates, which are the values taken by estimators on a given sample.

Uploaded by

Ayush Priyadarshi
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© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
41 views

Sampling Distributions

The document defines key concepts related to sampling distributions, including: 1) The sample mean and sample variance, which are used to estimate the population mean and variance, respectively. 2) The distributions of the sample mean (normal) and sample variance (chi-squared) when sampling from populations with known parameters. 3) Other important distributions for inference like the t distribution and F distribution, which incorporate the variability of estimates. 4) The distinction between statistics, which are functions of the sample, and estimators, which are statistics used to estimate population parameters, and estimates, which are the values taken by estimators on a given sample.

Uploaded by

Ayush Priyadarshi
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 11

Sampling Distributions

Arun Kumar

April 6, 2021

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Sample Mean

Definition (Sample mean)


Let X1 , X2 , · · · , Xn be a random sample from a population with mean µ and
variance σ 2 then the quantity
X1 + X2 + · · · + Xn
X̄ =
n
is called the sample mean.
Note that

E(X̄ ) = µ
σ2
Var(X̄ ) = .
n

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Sample variance

Definition (Sample Variance)


Let X1 , X2 , · · · , Xn be a random sample from a population with mean µ and
variance σ 2 then the quantity
n
1 X
S2 = (Xi − X̄ )2
n−1
i=1

is called the sample variance.


Note that

E(S 2 ) = σ 2
2σ 4
Var(S 2 ) = .
(n − 1)

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Distribution of sample mean

Let X1 , X2 , · · · , Xn be a random sample from a normal population with mean


µ and variance σ 2 then the sample mean

σ2
 
X̄ ∼ N µ, .
n

Figure: Sampling distribution of sample mean

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Distribution of sample variance

Chi-square distribution
Let Z1 , Z2 , · · · , Zn be iid standard normal random variables then the sum

Z12 + Z22 + · · · + Zn2 ∼ χ2n .

It can be shown that


(n − 1)S 2
∼ χ2n−1 .
σ2
The mean of χ2n is n and variance is 2n.

Figure: Chi-square distribution


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Student’s t-distribution

Let X1 , X2 , · · · , Xn be a random sample from a normal population with mean


µ and unknown variance then the statistic
(X̄ − µ)
√ ∼ tn−1 .
S/ n
Here mean = 0 and variance = n/(n − 2), n > 2.

Figure: Student’s t-distribution 6 / 11


The F -distribution

Let χ2n and χ2m are independent chi-square random variables with n and m
degrees of freedom, respectively, then the random variable defined by
χ2n /n
Fn,m =
χ2m /m
is said to follows F -distribution with n and m degrees of freedom. For any
α ∈ (0, 1), let Fα,n,m is such that
P(Fn,m > Fα,n,m ) = α.
It follows that
1
F1−α,m,n = .
Fα,n,m

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Statistic and estimator

Definition (Statistic)
1
Pn
A function of the sample is called statistic. For example n i=1 Xi ,
max{X1 , X2 , . . . , Xn } are statistic.

Definition (Estimator)
A statistic which is used to estimate a population parameter is called an
estimator. Sample mean and sample variance can be used to estimate
population mean and population variance and hence are estimator.

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Estimates

Definition (Estimate)
A realization of the estimator is called an estimate. Or putting the values of a
sample in the estimator gives you an estimate.

Definition (Point estimate)


Point estimate specify a single quantity as an estimate of the population
parameter.

Definition (Interval estimate)


Interval estimate specify an interval in which we estimate the population
parameter.

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References

• Sheldon M. Ross (2009). Introduction to Probability and Statistics for


Engineers and Scientists, Academic Press.

• Sheldon M. Ross (2010). Introductory Statistics, Academic Press.

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THANK YOU!

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