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Herman Bennett

22 Interval Estimation

consists in nding a random interval that contains the true parameter with probability

(1 ). Such an interval is called condence interval and the probability (1 ) is called

the condence level.

P A(X1 , ..., Xn ) B(X1 , ...Xn ) = 1 (71)

Example 22.1. Assume a random sample from a N (, 2 ) population, where both para

meters are unknown. Find the 90% (symmetric) condence interval of 2 .

Caution: These notes are not necessarily self-explanatory notes. They are to be used as a complement

to (and not as a substitute for) the lectures.

1

Herman Bennett LN9MIT 14.30 Spring 06

Example 22.2. Assume a random sample from a N (, 2 ) population, where the para

meter is unknown and = 2. Find the 95% (symmetric) condence interval of . How

would your answer change if is unknown?

1.96

1.96

The random interval X n , X + n contains the true parameter with 95%

probability. It is wrong to say that lies in the interval with 95% probability... is not a

RV!

23 Useful results

if the pdf of X is:

( v+1

2

) 1 1

X t(v) : f (x|v) = v 2 , (72)

x

( 2 ) v (1 + ( v ))(v/2+0.5)

t-student with n degrees of freedom.

X

H= t(n) (73)

Z/n

Example 23.1. Important result. Assume a normally distributed random sample. Then,

n(X )

S

t(n1) . Prove this result.

23.2 F distribution

A RV X is said to have an F distribution with parameters v1 > 0 and v2 > 0 if the pdf of

X is:

(v1 /2)

( v1 +2v2 ) v1 x(v1 /21)

X F(v1 ,v2 ) : f (x|v1 , v2 ) = v1 , (74)

( 2 )( v22 ) v2 (1 + ( vv12 )x)(v1 /2+v2 /2)

3

Herman Bennett LN9MIT 14.30 Spring 06

n and m degrees of freedom.

X/n

G= F(n,m) (75)

Z/m

In what follows, we consider 5 possible cases of limited information about the parameter(s) .

For each case we study how to construct condence intervals.

We just saw an example of this case in Example 22.2. Note that in this example = ,

= X

, and the V ar() is known since is known.

Example 24.1. Assume as in Example 22.2 a normal random sample, but now both

and 2 are unknown. Construct a 95% condence interval of .

We just saw an example of this case in Example 22.1. Note that in this example = 2 ,

= S 2 , and the pdf of (a function of in this case) is known and depends only on one

parameter, 2 .

Example 24.2. Assume a random sample of size n from a population f (x), which is

unknown. Construct a 99% condence interval of = E(Xi ).

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