计量经济学 Chapter04.pptVIP

Chapter 4 SOME IMPORTANT PROBABILITY DISTRIBUTIONS 4.1 The Normal Distribution X～N（μ，σ2） The Normal distribution: a continuous r.v.whose value depends on a number of factors, yet no single factor dominates the others. 1. Properties of the normal distribution 1) The normal distribution curve is symmetrical around its mean value μ. 2) The PDF of the distribution is the highest at its mean value but tails off at its extremities. 3) μ±σ 68% μ±2σ 95% μ±3σ 99.7% 4) A normal distribution is fully described by its two parameters: μandσ2 4.2 THE SAMPLING , OR PROBABILITY, DISTRIBUTION OF THE SAMPLE MEAN 1. The sample mean and its distribution （1）The sample mean The sample mean can be treated as an r.v., and it has its own PDF. ①Random sample and random variables: ——X1, X2,..., Xn are called a random sample of size n if all these Xs are drawn independently from the same probability distribution (i.e., each, Xi has the same PDF). The Xs are independently and identically distributed, random variables，i.e. i.i.d. random variables. ·each X included in the sample must have the same PDF; ·each X included in the sample is drawn independently of the others. ②Random sampling: a sample of iid random variables, a iid sample. 4.3 THE CHI-SQUARE( ) ISTRIBUTION 1. Definition Chi-square probability distribution: The sum of the k squared standard normal variables (Zs) follows a chi-square probability distribution with k degrees of freedom (d.f.) Degrees of freedom (d.f.): the number of independent observations in a sum of squares. 2. Properties of the Chi-square Distribution (1) Takes only positive values; (2) A skewed distribution, the fewer the d.f. the distribution will be more skewed to the right, as the d.f. increase, the distribution becomes more symmetrical and approaches the normal distribution. (3)The expected or mean valu