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You are on page 1of 25

Dr. Siti Rahayu Binti Mohd Hashim

1

Background

Functions of random variables

Moments

means

2

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)]

3

Theorem 1

Suppose that

and Y

x = w(y).

g(y) = f[w(y)]

4

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

5

Theorem 2

Suppose that,

distribution f(x1,x2).

between the points (x1,x2) and (y1,y2)

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)]

6

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

joint probability distribution of 1 = 1 + 2 and 2 = 1 2 .

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,

and Y

of y, say x = w(y).

Theorem 4

Suppose that,

f(x1,x2)

the points (x1,x2) and (y1,y2)

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|

Theorem 5

Suppose that,

and Y

disjoints sets such that each of the inverse functions

Moments

First moment about the origin : 1 = ()

Definition 1:

The r-th moment about the origin of the random variable X is given by

;

= =

;

11

Sampling Distributions

Statistical inference - generalizations and prediction

Definition 1:

distribution

12

Sampling Distributions of Means

Let, a random sample of n observations is taken from a normal population

with mean and variance 2

Each observation , i=1,2,,n, of the random sample will then have the

same normal distribution as the population being sampled.

2

~ N(, )

13

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.

population

n < 30; good normal approximation if the population is not too different

from a normal distribution

If the population is known to be normal, then the sampling distribution of

is normal.

14

Example

An important manufacturing process produces cylindrical component parts for the

automotive industry. It is important that the process produce parts having a mean

of 5mm. The engineer involved conjectures that the population mean is 5.0mm. An

experiment is conducted in which 100 parts produced by the process are selected

randomly and the diameter measured on each. It is known that the population

standard deviation = 0.1. The experiment indicates a sample average diameter

5.027mm. Does this sample information appear to support or refute the engineers

conjecture?

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?

15

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?

16

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.

17

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.

approximately normally distributed with mean and variance given by

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

18

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:

19

Example: cont.

Corresponding to the value, = 1.0, we have

So we have,

Initial presumption: and suppose the experiment is actually

conducted for the purposes of drawing an inference regarding the equality of

the 2 parameters

If the 2 averages differ by as much as 1 hour (or more), this clearly would

lead one to conclude that the population mean drying time is not equal for

the 2 types of paint.

20

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.

clear signal that

21

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

22

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,

23

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

deviation is other than 1 year.

24

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.

degrees of freedom, if its density function is given by

25

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