CHAPTER 7

Sampling Distribution

7.1 Basic Concepts

Random Sample (𝑿𝟏 , 𝑿𝟐 , … , 𝑿𝒏 ) is the sample obtained using a probability sampling method.

Sample from a finite population is a sample whose elements are distinct and are not
selected independently. e.g. Sample using SRSWOR
- X1 , X2 , … , Xn have varying distribution if they are random sample from a finite
population

Sample from an infinite population is a sample whose elements are not necessarily
distinct but are selected independently. e.g. Sample using SRSWR
- X1 , X2 , … , Xn have identical distribution if they are random sample from an infinite
- Sample obtained using SRSWOR can be taken as a sample from an infinite population
if the population size N is very large compared to the sample size n. (i.e. n/N is
approximately 0)

Statistic is any function of the random sample. e.g. Sample Mean, Sample Standard Deviation , Sample
Variance, Sample Maximum or Minimum

The probability distribution of a statistic is called sampling distribution.

Standard error is the term which refers to the standard deviation of a statistic.

7.2 The Sample Mean as a Statistic

 Under SRSWR and SRSWOR, the expected value of the sample mean is the population mean. i.e.
E(𝑋̅) = 𝜇.
𝜎2 𝜎 2 𝑁−𝑛
 𝑉𝑎𝑟 (𝑋̅) = under SRSWR and 𝑉𝑎𝑟 (𝑋̅) = ( ) under SRSWOR. This difference
𝑛 𝑛 𝑁−1
between the variance of the sample mean under SRSWR and SRSWOR is negligible if N is big
enough compared to n, that is, the population is very large relative to the sample size.
 The standard error of the sample mean is dependent on:
i. The homogeneity of the population
ii. The sample size
 If the population from where the sample came is normally distributed with mean 𝜇 and
̅ is also normally distributed, i.e., the sampling distribution of 𝑿
variance 𝜎 2 , then 𝑿 ̅ is the normal
𝜎2
distribution with mean 𝜇 and variance 𝑛
.
2
X1 , X2 , … , Xn ~ 𝑁𝑜𝑟𝑚𝑎𝑙 (𝜇, 𝜎 2 ) ̅ ~ 𝑁𝑜𝑟𝑚𝑎𝑙 (𝜇, 𝜎 )
𝑿 𝑛
7.3 The Central Limit Theorem

If (X1,X2,…,Xn) is a random sample from a (infinite) population with mean common mean  and
common variance 2, then the distribution of the sample mean approaches the normal distribution with
mean  and variance 2/n for sufficiently large n.

Remarks on CLT:

1. The normal approximation in the theorem will be good if n is at least 30 regardless of the shape
of the population.
2. If n < 30, the approximation is good only if the population is not too different from the normal.
3. If the distribution of the population is normal (meaning X1,X2,…,Xn are identically normal), then
the sampling distribution will also be exactly normal, no matter how small the size of the sample
is.

7.4 Other Common Distribution

t-Distribution

Let 𝑋̅ and 𝑆 2 be the mean and variance of the sample which came from a normal population with known
𝑋̅−𝜇
mean 𝜇 and unknown variance 𝜎 2 and if we let = 𝑆/ , then 𝑇 ~ 𝑡𝑣=𝑛−1 . (“ T is a random variable
√𝑛
having the t - distribution with v = n-1 degrees of freedom”)

NOTES:

1. Comparison between the normal and the t-distribution

o Both are symmetric about zero

o Both are bell-shaped, but the t-distribution is more variable
o When the sample size is large, i.e. n≥30, the t-distribution can be well
approximated by the standard normal distribution.
o As the degrees of freedom go to infinity and equivalently, as the sample size n, the t-
distribution itself will approach the standard normal distribution.
2. Just like any continuous probability distribution, the probability that a random sample
produces a t-value falling between any two specified values is equal to the area under the
curve of the distribution between the specified values.
3. Notation: tα is the t-value leaving an area of α in the right-tail of the t-distribution. That
is, if T~ t (v) then tα is such that P (T> tα ) = α.
4. Since the t-distribution is symmetric about zero, tα = t1-(1- α) = - t (1- α)

Examples:

If X follows t-distribution (n=11)

1. P(X>2.764) = 0.01
 2. P(X<-2.764) = P(X>2.764) = 0.01
3. P(X<1.372) = 1- P(X ≥ 1.372) = 1- 0.1 = 0.9
4. t0.025(10) = 2.228
5. t0.975(10) = t1-0.025(10) = - t0.025(10) = -2.228

Chi-Square Distribution

Let 𝑆 2 be the variance of the sample which came from a normal population with mean 𝜇 and known
(𝑛−1)𝑆 2
variance 𝜎 2 and if we let X = 𝜎2
, then X ~ 𝜒(𝑣=𝑛−1) .

NOTES:

1. The graph of a chi-square distribution is skewed to the right (positively skewed).

2. As the degrees of freedom increases, Chi-square distribution becomes more symmetric and
approaches the normal distribution.
3. 𝜒𝛼 is defined as the value such that P(X> 𝜒𝛼 )= 𝛼

Examples: Suppose X ~𝜒(𝑣=𝑛−1) where n=11. Verify:

1. P(X>18.307) = 0.05
2. P(X<20.483) = 1- P(X≥20.483) = 1- 0.025 = 0.975.
3. 𝜒0.01 (𝑣=𝑛−1)= 23.209