Hypothesis Testing and Confidence Intervals
假设检验和置信区间
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Mean and Variance

Population Mean

Sample Mean

Population Variance

Sample Variance


X



μ=

N




X


X=


n






X




=







X



S =



n1


N
μ
X
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Central Limit Theorem
For simple random samples of size n from a population with a mean µ and a variance σ², the sampling distribution of the sample mean approaches N(µ, σ²/n) if the sample size is sufficiently large (n ≥30).
X
N (
,
Standard error of the sample mean
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Point Estimation and Confidence Interval Estimate
Point Estimation
X
Confidence Interval Estimation

Level of significance (α)

Degree of Confidence (1－ α)

Confidence Interval = [ Point Estimate ± (reliability factor) × Standard error]
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Confidence Interval Estimate
X
z
X
95%
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真题回顾
Answer：B
The confidence interval for the interest rate coefficient is:
[1.501.96×0.20,1.50+1.96×0.20]= [1.11, 1.89]
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Example

The 95% confidence interval of the sample mean of employee age for a major corporation is 19 years to 44 years based on a zstatistic. The population of employees is more than 5,000 and the sample size of this test is 100. Assuming the population is normally distributed, the standard error of mean employee age is closest to:

A. 1.96.

B. 2.58.

C. 6.38.

D. 12.50.
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Confidence Interval Estimate
X
95%
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Hypothesis Testing
Hypothesis: a statement about the value of a population parameter
to be tested The null hypothesis (H _{0} ) and alternative hypothesis (H _{a} ) Onetailed test vs. Twotailed test
H _{0} : μ≥0 H _{0} : μ≤0

H _{a} : μ<0 H _{a} : μ>0


H _{a} : μ≠0

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Test Statistic and Critical Value
Test statistic test statistic =
sample statistic  hypothesized value
standard error of the sample statistic
Critical value

The distribution of test statistic (z, t, χ², F)

Significance level (α)

Onetailed or twotailed test
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Decision Rule
Reject H _{0} if test statistic>critical value Fail to reject H _{0} if test statistic<critical value
2.5%
2.5%
95%
1.96
1.96
Reject H 0
Fail to
Reject H 0
Reject H 0
5%
95%
1.645
Fail to
Reject H 0
Reject H 0
We can never say “accept” H _{0} State the conclusion: μ is (not) significantly different from μ _{0}
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P – value testing
2.5%
2.5%
1.07%
1.07%
Negative of the
test statistic
Critical value for 5%
significance level
Positive of the
test statistic
If P–value < alpha, we reject null hypothesis
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Test of Single Population Mean

H _{0} : μ=μ _{0}

ztest vs. ttest

Normal population, n<30

n≥30

Known population variance (σ²)

ztest

ztest

Unknown population variance

ttest

ttest or ztest


zstatistic

tstatistic
x
Z
0
/
n
x
t
0
n
1
s /
n
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Test of Single Population Variance
(n
1)s
d
_{f} =n1
n=sample size s ^{2} =sample variance σ _{0} ^{2} =hypothesized value for the population variance
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Test of Variances Difference
F
s
s
df _{1} =n _{1} 1; df _{2} =n _{2} 1
s
2
1
>
s
2
2
)
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Summary of Hypothesis Testing
Test type

Assumptions

^{H} 0

Teststatistic


Critical value



Normally distributed population,
known population variance

μ=0

Z

x


0


N(0,1)




Mean





hypothesis

Normally distributed population,

μ=0



t(n1)


testing


x


0

unknown population variance


t





Normally distributed population

σ²=σ _{0} ²



(
n

1)

s



2

Variance






(
n

1)

hypothesis








testing

Two independent normally distributed populations

σ _{1} ²=σ _{2} ²


F


F

(

n

1


1,

n

2


1)

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真题回顾
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真题回顾
The conclusion drawn from the ttest should be to:

A. Reject the null hypothesis since the tstatistic is greater than the critical value.

B. Reject the null hypothesis since the tstatistic is less than the critical value.

C. Fail to reject the null hypothesis since the tstatistic is greater than the critical value.

D. Fail to reject the null hypothesis since the tstatistic is less than the critical value.
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真题解答
x
29%
12%
H 0 : μ=12%
H a : μ ≠ 12%
t
0
2.2399
2.262
n 1
s
/
n
24% /
10
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Type I and Type II Errors

Type I error: reject the null hypothesis when it’s actually true

Type II error: fail to reject the null hypothesis when it’s actually false

Significance level (α): the probability of making a Type I error Significance level =P (Type I error)

Power of a test: the probability of correctly rejecting the null hypothesis when it is false Power of a test = 1−P(Type II error)
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真题回顾
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Chebyshev’s Inequality
k>1
At
least
Lie
within
Standard
deviations
of the mean
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Example
For a skewed distribution, what is the minimum percentage of the observations that will lie between ±2.5 standard deviations of the mean based on Chebyshev's inequality?

A. 56%

B. 75%

C. 84%

D. 95%
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结 束
恭 祝 大 家
FRM学习愉快！
顺利通过考试！
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