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S2 =
1 X
(Xi X)2
n 1 i=1
Xi2 = (n 1)S 2 + nX
i=1
Proof. By Definition 1,
(n 1)S 2 =
n
X
n
X
(Xi X)2 =
i=1
Xi2 2X
i=1
n
X
Xi +
i=1
n
X
X =
i=1
n
X
Xi2 2nX + nX =
n
X
i=1
Xi2 nX
i=1
It follows that
n
X
Xi2 = (n 1)S 2 + nX
i=1
Lemma 2. The sum of squares of the random variables X1 , X2 , Xn centered about the mean, , is
n
X
(Xi )2 =
n
X
(Xi X)2 + n(X )2
i=1
i=1
(Xi )2 =
i=1
n
X
Xi2 2
i=1
n
X
n
X
i=1
Xi +
n
X
i=1
Xi2 2nX + n2
(1)
i=1
i=1
= (n 1)S 2 + n(X )2
=
n
X
(Xi X)2 + n(X )2
i=1
(2)
Z
=
1
1
exp (1 2t)z 2 dz
2
2
#
"
1
1 z2
exp
dz
=
1
2 12t
2
|
{z
}
1
kernel of a N (0, 12t
)
#
"
Z
1
1
1 z2
exp
dz
=
1
2 12t
1 2t 2 1
12t
|
{z
}
integrates to 1
1
1 2t
= (1 2t)1/2
Note that this is the moment generating function for a 2 random variable with one degree of freedom.
Hence,
Z 2 2 (1)
n
X
Xi 2 (n)
i=1
= (1 2t)
Pn
i=1
i=1
1/2
= (1 2t)n/2
It follows that this is the MGF for a 2 distribution with n degrees of freedom. Hence,
Y =
n
X
i=1
Xi 2 (n)
(2) 2 n
Transform the random variables Xi , i = 1, 2, , n to
Y1 = X
X = Y1
Y2 = X2 X
X2 = Y2 + Y1
Y3 = X3 X
X3 = Y3 + Y1
..
. =
..
.
..
. =
Yn = Xn X
..
.
Xn = Yn + Y1
The Jacobian of the transformation can be shown to not depend on Xi or X and is equal to the
constant n. It follows that
fY1 ,Y2 , ,Yn (y1 , y2 , , yn ) = fX (x1 , x2 , , xn )|J|
= nfX (x1 , y1 + y2 , , y1 + yn )
(
1X
= constants exp
2 i=1
xi
2 )
(3)
Note that the sum in the exponent of the joint pdf can be simplified using Lemma 2. It follows that
2
n
X
xi
i=1
n
1 X
(xi )2
2 i=1
" n
#
1 X
= 2
(xi x
)2 + n(
x )2
i=1
"
#
n
X
1
2
2
2
= 2 (x1 x
) +
(xi x
) + n(
x )
i=2
Note that since
n
X
(xi x
) = 0, it follows that
i=1
x1 x
=
n
X
i=2
(xi x
)
(4)
"
#
n
X
1
)2 +
= 2 (x1 x
(xi x
)2 + n(
x )2
i=2
!2
n
n
X
1 X
= 2
(xi x
) +
(xi x
)2 + n(
x )2
i=2
i=2
!2
n
n
X
1 X
= 2
yi
+
yi2 + n(y1 )2
i=2
i=2
= constants exp
2 2
n
X
!2
yi
i=2
n
X
i=2
yi2 + n(y1 )2
!2
n
n
n n
o
X
1 X
yi
+
yi2 exp 2 (y1 )2
= constants exp 2
|
2
2{z
}
i=2
i=2
|
{z
}
g(y1 )
It follows that
2
n
X
Xi
i=1
2
n
X
Xi
i=1
2
X
(n 1)S 2
+
n
2
(n 1)S 2
+
=
2
/ n
2
U =W +V
2
Xi
Note that since Xi N , 2 , it follows that Zi =
N(0, 1). Similarly, since X N , n ,
2
2
X
Xi
X
N(0, 1). By Lemma 3, it follows that
then
2 (1) and V =
2 (1).
/ n
/ n
2
n
X
Xi
2 (n). Therefore, since W and V are independent,
By Lemma 4, it follows that U =
i=1
then the moment generating function of U is
MU (t) = MW (t)MV (t)
(1 2t)n/2 = MW (t)(1 2t)1/2
= MW (t) =
(1 2t)n/2
= (1 2t)(n1)/2
(1 2t)1/2
The moment generating function for W is recognized as coming from a 2 distribution with n 1
degrees of freedom. Hence,
W =
(n 1)S 2
2 (n 1)
2