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Confidence Intervals
Based upon the analysis of a sample, a confidence interval is a range of values for which contains the population mean at a specified level of probability, which is traditionally at 95% or 99% level. Confidence interval for the mean of a large sample For sample sizes of about 30 or larger, the mean is assumed to belong to the normal distribution. The following table shows a set of computer-generated (pseudo-) random numbers. (The numbers are generated from the uniform distribution on [0,1], but let assume that this is not known.) The information in the sample of 36 in the table is to be used to find the range of values in which the mean lies within a given level of confidence. 0.5455 0.9641 0.8644 0.4251 0.6824 0.8737 0.9051 0.9196 0.6707 0.4645 0.9541 0.3202 0.3443 0.7688 0.3015 0.0285 0.1508 0.6446 0.2642 0.4832 0.3478 0.1173 0.4226 0.1163 0.6315 0.3002 0.4191 0.2265 0.3397 0.0217 0.9050 0.8510 0.0022 0.2540 0.6092 0.9439

The mean of the sample is 0.4839 and the standard deviation is 0.2879. The standard error is equal to the standard deviation divided by the square-root of the sample size; standard error= .

Clearly the best estimate of the population mean from the data is its sample mean of 0.4839. The confidence interval in this case is a range of values around 0.4839. 95% Confidence Interval If we are 95% confident that the mean lies in the interval then there is a 5% probability that it lies outside of the interval. Because of symmetry (of the normal distribution) there is therefore a 2.5% probability that the mean greater than the upper limit of the confidence interval and a 2.5% probability that the mean is less than the lower limit of the confidence interval. It can be found from computer or from statistical tables1 that for the normal probability of 2.5% (0.025) the value is -1.96 (and for 0.975 is +1.96, but the value is equal and opposite in sign for any symmetric distribution). Hence the 95% confidence interval is [0.4838-1.960.0480, 0.4838+1.960.0480] = [0.390, 0.578]. We can say that based on the sample of 36, we are 95% confident that the mean lies in [0.390, 0.578]. 99% Confidence Interval If we are 99% confident that the mean lies in the interval then there is a 1% probability that it lies outside of the interval and a 0.5% probability that the mean lies at each side of the interval. From statistical tables, for the normal probability of 0.5% (0.005) the value is -2.57. Hence the 99% confidence interval is [0.4838-2.570.0480, 0.4838+2.570.0480]=[0.361,0.607].
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Statistical Tables

www.statistics.me.uk Confidence interval for the mean of a small sample For sample sizes of less than 30, the mean is assumed to belong to the t distribution. As an example let us use the following data sample of 18. 0.5455 0.9641 0.8644 0.9051 0.9196 0.6707 0.3443 0.7688 0.3015 0.2642 0.4832 0.3478 0.6315 0.3002 0.4191 0.9050 0.8510 0.0022

This sample has a mean of 0.5827 and a standard deviation of 0.2880. The standard error = . In order to find the 95% confidence interval for the sample mean, we first from the t distribution, we note that the number of degrees of freedom is 17 ( one less than the sample size) and the upper tail probability is 2.5% (0.025) and the value is 2.110. Hence the 95% confidence interval for the mean based on the data in the table is [0.5827-2.1100.0679, 0.5827+2.1100.0679]=[0.439,0.726]. Confidence interval for a proportion Often sampling is used to find proportions. For sample sizes of about 40 or larger, confidence intervals can be found. For example in poll 36% voted for the Green party. The standard sampling error for a proportion is sample size. Estimating , and with , the sampling error . , where is the population proportion and is the

Hence the 95% confidence interval is [0.32-1.960.048, 0.32-1.960.048]=[22.6, 41.4]. Alternatively, let us assume that the poll size is . In this case the sampling error is 0.0048 and the 95% confidence interval is [0.32-1.96*0.0048, 0.32-1.96*0.0048]=[0.311,0.329]. Notes 1. The higher the confidence level, the wider the confidence interval; we can make a wide estimate with a high degree of confidence or a more precise estimate with a low degree of confidence. 2. Increasing the sample size reduces the width of the confidence interval. 3. With small sample sizes the width of the confidence interval increases partly because of the increase in the value of the standard error and partly because of the use of the t distribution.