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Background
Functions of random variables
Moments
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Functions of random variables
Probability distribution of a function of one or more random variables
Function -> averages, sums, or any linear combinations (eg. Sums of
squares etc.)
One to one transformation:
Y = u(X) ? Probability distribution of Y
x ------ y = u(x) and y --- x = w(y)
Y assumes the value y when X assumes the value w(y)
The probability of Y:
g(y) = P(Y = y) = P[X = w(y)] = f[w(y)]
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Theorem 1
Suppose that
x = w(y).
g(y) = f[w(y)]
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Example 1
Let X be a random variable with probability distribution
1
= 3 ; = 1,2,3
0;
Find the probability distribution of the random variable Y = 2X 1.
Solution:
Y = 1, 3, 5
g(y) = 1/3
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Theorem 2
Suppose that,
g(y1,y2) = f[w1(y1,y2),w2(y1,y2)]
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Example 2
Let X1 and X2 be discrete random variables with the multinomial distribution
1 2 21 2
2 1 1 5
1 , 2 =
1 , 2 , 2 1 2 4 3 12
Solution:
2 1 +2 /2 1 2 /2 21
1 1 5
1 , 2 = 1 + 2 1 2
, , 2 1 4 3 12
2 2 7
Theorem 3
Suppose that,
In which, the equations y1=u1(x1,x2) and y2=u2(x1,x2) may be uniquely solved for
x1 and x2 in terms of y1 and y2, say x1=w1(y1,y2) and x2=w2(y1,y2)
g(y1,y2)=f[w1(y1,y2),w2(y1,y2)]|J|
Definition 1:
The r-th moment about the origin of the random variable X is given by
;
= =
;
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Sampling Distributions
Statistical inference - generalizations and prediction
Definition 1:
Each observation , i=1,2,,n, of the random sample will then have the
same normal distribution as the population being sampled.
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~ N(, )
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Central Limit Theorem
If X is the mean of a random sample of size n taken from a population with
mean and variance 2, then the limiting form of the distribution of
=
/
as n ---> , is the standard normal distribution.
Solution:
The main issue here is: How likely is it that one can obtain average 5.027mm
with n = 100 if the population mean = 5.0mm?
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Example: cont.
The conjecture is not refuted, if the probability suggest that = 5.027mm is not
unreasonable.
If the probability is quite low -> the data do not support the conjecture that = 5.0mm
If the mean, = 5.0mm, what is the chance that will deviate by as much as
0.027mm?
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Example: cont.
Standardizing according to the Central Limit theorem.
Thus,
Thus one would experience by chance an that is 0.027mm from the mean in
only 7 in 1000 experiments.
As a result, this experiment with = 5.027 certainly does not give supporting
evidence to the conjecture that = 5.0mm.
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Sampling Distribution of the Difference
Between Two Averages
If independent samples of size n1 and n2 are drawn at random from two
populations, discrete or continuous, with means 1 and 2 and variances
12 and 22 , respectively.
11 22
12 = 1 2 and 212 = 21 + 22 = 1
+ 2
1 2 1 2
Hence, = is approximately a standard normal variable.
12 /1 + 22 /2
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Example
Two independent experiments are being run in which two different types of
paints are compared. Eighteen specimens are painted using type A and the
drying time in hours is recorded on each. The same is done with type B. The
population standard deviations are both known to be 1.0. Assuming that the
mean drying time is equal for the two types of paint, find ,
where and are average drying times for samples of size nA = nB = 18.
Solution:
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Example: cont.
Corresponding to the value, = 1.0, we have
So we have,
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Example: cont.
Suppose that the difference in the two sample averages is as small as, say, 15
minutes,
Since this probability is not excessively low, one would conclude that a
difference in sample means of 15 minutes can happen by chance.
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Sampling Distribution of 2
If 2 is the variance of a random sample of size n taken from a normal
population having the variance 2 , then the statistic
2 1 2 2
= = =1
2 2
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Example:
A manufacturer of car batteries guarantees that his batteries will last, on the
average, 3 years with a standard deviation of 1 year. If five of these batteries
have lifetimes of 1.9, 2.4, 3.0, 3.5, and 4.2 years, is the manufacturer still
convinced that his batteries have a standard deviation of 1 year? Assume that
the battery lifetime follows a normal distribution.
Then,
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Example: cont.
3.26 is a value from a chi-squared distribution with 4 degrees of freedom
Since 95% of the chi-squared values with 4 degrees of freedom fall between
0.484 and 11.143, the computed value with variance = 1 is reasonable
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Chi Squared Probability Distribution
In probability theory and statistics, the chi-squared distribution (also chi-
square or -distribution) with k degrees of freedom is the distribution of a
sum of the squares of k independent standard normal random variables.
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