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mon model for relative frequencies of a quantitative

variable.

• Bell-shaped and described by the function

1 {− 12 (y−µ)2 }

f (y) = √ e 2σ ,

2σ π

where y is the quantitative variable whose relative

frequencies we are modeling, µ is the mean of the

distribution, and σ 2 is the variance.

• For fixed values of µ and σ (e.g., 0 and 1) we can

evaluate f (y) for a range of values of y. The plot of

f (y) against y has the familiar bell shape.

• Figures.

1

Normal distribution (cont’d)

– Sale price of houses in a given area

– Interest rates offered by financial institutions in the

US

– Corn yields across the 99 counties in Iowa.

• Examples of variables that are not normally distributed:

– Number of traffic accidents per week at each inter-

section in Ames.

– Proportion of US population who voted for Bush,

Gore, or Nader in 2000.

– Proportion of consumers who prefer Coke or Pepsi.

2

Normal distribution (cont’d)

ative frequencies of y, then we say that ”‘y is dis-

tributed as a normal random variable”’ and write

y ∼ N (µ, σ 2). We will be interesting in estimating µ

and σ 2 from sample data.

• Given estimates of µ and σ 2, we can also estimate the

probability that y is in the interval (a, b).

• From calculus:

Z

b

Prob(a < y < b) = a f (y)dy.

der the normal distribution can be used to calculate

any probability of interest.

• Example: Table C.1 in text.

• Entries in the table give probability under the curve

between 0 and z, where

y−µ

z=

σ

• The variable z is called a standard normal random

variable and its distribution is a normal distribution

with mean µ = 0 and variance σ 2 = 1.

3

Normal distribution (cont’d)

Example 1: y ∼ N (50, 225). Then

y − 50

z= ∼ N (0, 1).

15

• To compute the probability that y is between 35 and

70, we first ”‘standardize”’ and then use the table:

1. Standardize by subtracting mean and dividing by

the standard deviation. For y = 70:

70 − 50

z= = 1.33,

15

and for y = 35:

35 − 50

z= = −1.00.

15

2. Get area under curve between 0 and 1.33 and be-

tween -1.00 and 0, and add them up: 0.4082 +

0.3413 = 0.7495.

3. Interpretation in ”‘English”’: if y is normal with

mean 50 and standard deviation 15, we expect that

the probability that y is between 35 and 70 is about

75%.

4

Normal distribution (cont’d)

y is bigger than 15 and also the probability that y is

less than 7.

y − 10 15 − 10

Prob(y > 15) = Prob( > )

8 8

= Prob(z > 0.625)

= 1 − Prob(z < 0.625)

= 1 − (0.5 + 0.2357) = 0.264.

See figure.

y − 10 7 − 10

Prob(y < 7) = Prob( < )

8 8

= Prob(z < −0.375)

= 1 − Prob(z > 0.375)

= 1 − (0.5 + 0.1480) = 0.352.

See figure.

5

Normal distribution (cont’d)

For any value of (µ, σ 2),

• y is equally likely to be above or below the mean:

Prob(y < µ) = Prob(y > µ) = 0.5),

because the normal distribution is symmetric about

the mean.

• Because of symmetry, the mean, median and mode of

a normal variable are the same.

• A normal random variable can take on any value on

the real line, so that

Prob(−∞ < y < ∞) = 1.

of the mean is approximately 0.68:

Prob(−σ < y < σ) = Prob(−1 < z < 1) ≈ 0.68.

and also:

Prob(−2σ < y < 2σ) = Prob(−2 < z < 2) ≈ 0.95

and

Prob(−3σ < y < 3σ) = Prob(−3 < z < 3) ≈ 0.99.

6

Sampling distributions

lations. In particular, we compute sample statistics

and use them as estimators of population parameters.

• The sample mean ȳ is a ‘good’ estimator of the pop-

ulation mean µ and the sample variance S 2 (or σ̂ 2 is

a ‘good’ estimator of the population variance σ 2.

• How reliable an estimator is a sample statistic?

• To answer the question, we need to know the sam-

pling distribution of the statistic.

• This is one of the most difficult concepts in statistics!

7

Sampling distributions (cont’d)

µ. We proceed as follows:

1. Draw a sample of size n from the population: y1, y2, ..., yn.

2. Compute the sample mean: ȳ = n−1 Pi yi.

• Two things to note:

1. The sample is random! If I had collected more

than one sample of size n from the same popula-

tion, I would have obtained different values of y.

Then, ȳ is also a random variable.

2. The larger n, the more reliable is ȳ as an estimator

of µ.

• Example using simulation: pretend that we have y ∼

N (20, 25) and draw 30 random samples, each of size

n = 10 from the population using the computer. With

each sample, compute ȳ.

8

Sampling distributions (cont’d)

a sample of size n > 1 has smaller variance than the

distribution of the variable itself.

• Theorem: If yi, y2, ..., yn are a random sample from

some population, then:

– Mean of ȳ equals mean of y: E(ȳ) = µȳ = µ.

– Variance of ȳ is smaller than variance of y: σȳ2 =

σ2

n . The larger the sample, the smaller the variance

(or the higher the reliability) of ȳ.

• Central Limit Theorem: For large n, the sam-

ple mean ȳ has a distribution that is approximately

normal, with mean µ and variance σ 2/n, regardless

of the shape of the distribution from which we sample

the y’s.

• The larger the sample, the better the approximation

(see Figure 1.14).

• Example in lab.

9

Sampling distributions (cont’d)

probability statements such as:

– Prob(µ − 2 √σn < ȳ < µ + 2 √σn ) = 0.95.

a−µ

– Prob(ȳ > a) = Prob(z > σ/ √ ) and use the stan-

n

dard normal table to get an answer.

• A preview of coming attractions: if it is true that

σ σ

Prob(µ − 2 √ < ȳ < µ + 2 √ ) = 0.95

n n

then we can estimate the following interval using sam-

ple data:

σ̂ σ̂

(ȳ − 2 √ , ȳ + 2 √ )

n n

We call it a 95% confidence interval for the

population mean.

• As in the case of ȳ, the interval is also random and

varies from sample to sample.

• If we drew 100 samples of size n from some population

and computed 100 intervals like the one above, about

95 of them would cover the true but unknown value

of µ.

10

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