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Statistics and Probability

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Statistics

IENG 455

Feng Yang

West Virginia University

and Statistics

Probability

Population Sample

Statistics

2

1

Basic Concepts

Population a collection of all units of interest. (people,

products, )

Sample a subset of a population that is actually observed.

Variable a measurable property or attribute associated

with each unit in the population.

Parameters numeric characteristics of the population

defined for each variable of interest.

An Example:

Consider a lot of 100 items in manufacturing

Population: 100 items Sample: a subset of 10 items

Variable X: defectiveness of products

1 If the item is defective

X

0 Otherwise

Parameters: Defective rate of the lot

(number of defectives/number of lots)

3

Nature of Probability

Deduction: given the population and its parameters we draw

inferences about a sample. General A Particular

e.g. Given that the population contains 5 defectives, we

compute the probability that a random sample of 10 items

drawn from this lot contains one defective.

Nature of Statistics

Induction: given a sample we draw inferences about the

population A Particular General

number of defectives in the lot from the observed number

of defectives in the sample.

4

2

Probability Basics

Random experiment a specific procedure

whose outcome is uncertain.

Random variable X a numeric quantity whose

value is determined by the outcome of a random

experiment.

Sample space S the collection of all possible

outcomes of a random experiment.

Event E any collection of outcomes contained in

the sample space.

Probability of an event the relative likelihood

that it will occur when you do the experiment

5

Random experiment: randomly draw 10 items

from the population and test them.

Random variable Xi ( i = 1, 2, , 10 )

1 If the item is defective

Xi

0 Otherwise

Sample space S = { 0, 1 }

Event E: e.g., the sample of 10 items contains 1

defective.

Probability of an event: the probability that a

random sample of 10 items contains 1 defective.

10

P{ X i 1}

i 1 6

3

Random Variables

Quantifies the random outcome

Assigns a numerical value for every outcome of the experiment

Probabilistic behavior described by distribution function

A RV can only take values in its sample space ( X S ).

Examples of sample spaces:

1. Toss a coin: S = { H, T }

2. Roll a single die: S = { 1, 2, , 6 }

3. Count the number of customers entering a store during one

day: S = { 1, 2, 3, }

4. Observe the lifetime of a car battery: S = [0,)

(hours)

6. Measure the outdoor temperature: S = [23, 104]

(Fahrenheit )

Discrete vs. Continuous RV.

Discrete can take on only certain separated values

Continuous can take on any real value in some range 7

Discrete Distributions

Let X be a discrete RV with S = { x1, x2, x3, }

Probability mass function (pmf)

p(xi) = P(X = xi) for i = 1, 2, 3, ...

Toss a die: S ={1,2,,6 }

pmf

P( X 1) 1 / 6

P( X 2) 1 / 6 1/6

P ( X 6) 1 / 6 1 2 3 4 5 6 x

happening is measured by the pmf

Can express pmf as numerical list, table, graph, or formula

Since X must be equal to some xi, and since the xis are all

distinct, p ( xi ) 1

all i 8

4

Discrete Distributions (contd)

Cumulative distribution function (cdf)

F ( x ) P{ X x}

all i such

p ( xi )

that x i x

3/6

Toss a die:

Properties of discrete c.d.f.

0 F(x) 1 for all x

As x , F(x) 0; As x +, F(x) 1

F(x) is nondecreasing in x

F(x) is a step function continuous from the right with jumps

at the xis of height equal to the pmf at that xi

Some discrete distributions

Bernoulli, Binomial, Poisson Distribution

9

Continuous Distributions

Now let X be a continuous RV with sample space

S = [ xL, xU ] (Possibly limited to a range bounded on left or right or both.)

f(x) Fun facts about p.d.f

Observed Xs are denser in regions where f (x)

is high

The height of a density, f(x), is not the

0 x probability of anything it can even be > 1

following three properties:

f(x) 0 for all real values x

The total area under f(x) is 1: f ( x) dx 1

For any fixed a and b with a b, the probability that X will

fall between a and b is the area under f(x) between a and b :

P( a x b) f ( x) dx

b

a

10

5

Continuous Distributions (contd.)

Cumulative distribution function (cdf) - probability that the

RV will be a fixed value x:

F (x) P( X x)

x

f ( t ) dt

f(t) F(x)

1

F(x)

x t x

Properties of continuous cdf is

0 F(x) 1 for all x

As x , F(x) 0; As x +, F(x) 1

F(x) is nondecreasing in x

F(x) is a continuous function with slope equal to the

pdf: f (x) = F(x)

11

Uniform 1

a xb

f ( x) b a

pdf 0 elsewhere

1

Exponential exp( x / ) x0

f ( x)

pdf 0 elsewhere

1 ( x )2

Normal f ( x) exp[ ] - x

2 2 2 2

pdf

12

6

Parameters of a Distribution

Expected value / Mean (measure of center)

Discrete RV: E( X ) xi p ( xi )

all i

Continuous RV: E( X ) x f ( x) dx

all i

Continuous RV: Var ( X ) E( X ) ( x ) f ( x) dx

2 2 2

SD( X ) Var ( X )

13

Percentiles of a continuous RV

x

F ( x) P( X x) f ( t ) dt

F ( ) P( X )

f(t) F(x)

1

t = F -1() x

F -1 ( )

14

7

What is Statistics?

Statistics Sample

Population X

X 1 , X2 , X 3 ,

X ~ a certain unknown distribution

Tasks of statistics:

Collecting data: draw samples

Summarizing and exploring data.

Drawing conclusions and making decisions based on data.

(Estimate parameters of population or infer something

about them based on the sample.)

15

Sampling

Random sample is a set of independent and identically distributed (i.i.d)

observations of size n from the population:

X1, X2, , Xn

Sample statistic a numeric function of the sample data

h(X1, X2, , Xn)

Used to estimate population parameters

Sample statistics are random variables themselves.

1 n

Sample mean X Xi

n i 1

Mean = E(X)

1 n

Sample var. S2 ( X i X )2

n 1 i 1

Variance 2 = Var(X)

16

8

17

Distribution of a Statistic

A sample statistic is a RV and thus have its own distribution, called the

sampling distribution.

Some sampling distribution results

Draw i.i.d obs. (X1, X2, , Xn) from an population (distribution) with

unknown parameters and 2.

pdf of t-dist.

Sample mean and variance:

(a) E ( X ) Var ( X ) 2 / n

(b) E ( S 2 ) 2

(c) X

~ Students t-distribution

S/ n

X

P t n 1,1 / 2 t n 1,1 / 2 1

0

S/ n t n 1,1 / 2 t n 1,1 / 2

S S

P X t n 1,1 / 2 X t n 1,1 / 2 1

n n 18

9

Point Estimation and CIs

S S

P X t n 1,1 / 2 X t n 1,1 / 2 1

n n

CI for the population mean

S S

[LCL, UCL] X t n 1,1 / 2 , X t n 1,1 / 2

n n

where tn-1,1- is the 100(1-th percentile of the students t distribution with

n-1degree of freedom (Excel function TINV can be used to compute tn-1,1-

An interval that contains (covers) the unknown population parameter with

specified probability 1

A sample statistic h(X1, X2, , Xn) that estimates (in some sense) a

population parameter, such as mean, variance,

Point estimates of parameters carry little information.

19

Prediction Intervals

CI: estimated interval for the mean of population.

A C.I. is a measure of the error; its length will shrink to 0 as we get more

data

X

~ Students t-distribution

S/ n

S S

[ LCL, UCL ] X t n 1,1 / 2 , X t n 1,1 / 2

n n

Many practical applications call for an interval estimate of an individual

(future) observation sampled from a population rather than of the mean of

the population.

e.g., a company buying a new machine would like to estimate the

performance of that machine --- not the average performance of all the

machines produced by the manufacturer.

distribution for RV X is

approximately normal

20

10

Prediction Intervals (contd)

Suppose that a random sample X1, X2, , Xn from an

approximately normal distribution N(, 2), where and

2 are both unknown parameters.

Estimate the interval such that with probability 1- a

random outcome X will fall within it

Prediction Interval (PI)

1 1

X t n 1,1 / 2 S 1 , X t n 1,1 / 2 S 1

n n

The width of PI will stabilize as we get more data

21

CI & PI X

~ Students t-distribution

S/ n

0

tn 1,1 / 2 tn 1,1 / 2

22

11

Example

Lets assume that the time it takes for a pumpkin candle to burn

itself out (burning time) is normally distributed. I bought 10

candles, burned them, and found that the sample mean of the

burning time is 5 hours, and the sample standard deviation is 1.2

hours.

RV X: candles burning time.

n = 10

X 5 hours

s = 1.2 hours

Q1: Provide a 95% confidence interval for the mean of the

burning time of candles.

S S

[ LCL, UCL ] X t n 1,1 / 2 , X t n 1,1 / 2

n n

23

Example (contd)

Q2: Now I bought another candle, please write down the

interval estimate such that with probability 0.95 the burning time

of this particular candle will fall into that interval.

1 1

X t n 1,1 / 2 S 1 , X t n 1,1 / 2 S 1

n n

24

12

Summary Statistics

1. Take a random sample: independent and identically

distributed (i.i.d) observations of size n

X1, X2, , Xn

Stochastic System

Random output of X ~ a 2. Calculate sample statistics (functions of RVs X1, X2, ,

certain distribution with Xn), such as sample mean X and sample variance S2

UNKNOWN parameters ---- A sample statistic itself is a random variable.

X

~ Students t-distribution

S/ n

Examples of RV X: UNKNOWN distribution of X.

Selling price of a stock

next year CI P X tn1,1 / 2 S X tn1,1 / 2 S 1

Commute time from

n n

home to school

PI P X tn1,1 / 2 S 1 1 , Xn1 X tn1,1 / 2 S 1 1 1

n n

(Assuming that X ~ Norm)

25

13

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