张俊妮《概率统计》北大光华-lecture17.pptVIP

* Lecture 17 The Chi-Square Distribution and The t Distribution, Their Relationship to The Normal Distribution and to Random Samples from A Normal Distribution Confidence Intervals The Chi-square Distribution For any given positive integer n, the distribution with n degrees of freedom. where G is the gamma function defined as n=2 n=3 n=5 n=10 Theorem If the random variables X1,…,Xn are independent and if Xi has a distribution with ni degrees of freedom (i=1,…,k), then the sum X1+…+Xn has a distribution with n1+…+nk degrees of freedom. Relation of the distribution with the Normal Distribution Theorem. If a random variable X has a standard normal distribution, then the random variable will have a distribution with one degree of freedom. Theorem If the random variables X1,…,Xn are i.i.d., and if each has a standard normal distribution, then the sum of squares has a distribution with n degrees of freedom. Joint Distribution of the Sample Mean and Sample Variances Theorem. Suppose that X1,…,Xn form a random sample from a normal distribution with mean m and variance . Then the sample mean and the sample variance are independent random variables, and The t Distribution Consider two independent random variables Y and Z, such that Z has a standard normal distribution and Y has a distribution with n degrees of freedom. Suppose a random variable X is defined by Then the distribution of X is called the t distribution with n degrees of freedom. The p.d.f. and Relation to the Normal Distribution When , g(x) converges to the p.d.f. f(x) of the standard normal distribution for every value of x. When n is large, the t distribution with n degrees of freedom can be approximated by the standard normal distribution. n=1 (Cauchy) n=2 n=5 n=10 (normal) Mean and Variance of the t Distribution The mean does not exist when n=1. It exists and is equal to 0 for any va