Tuesday, 09 June 2020

Chi-square (χ2) Distributions

• Chi-square test is one of the most commonly used non-parametric test (the
nonparametric test is one where the researcher has no idea regarding the
population parameter). The distribution of the chi-square statistic [chi-
square is used to test whether two or more observations across two
populations are dependent on each other and for goodness of fit] is called
the chi-square distribution.
• It was introduced by Karl Pearson as a test of association. The Greek letter
χ2 is used to denote this test.
• It can be applied when there are no assumptions about the population
parameter.
• It can be applied on a categorical data or qualitative data.
• The simplest chi-squared distribution is the square of a standard normal
distribution.
• It gives the magnitude of discrepancy between observation and theory.

• The chi-squared distribution is primarily in hypothesis testing.

Definitions
We take ‘k’ independent random variables with standard normal distribution.
Let these be
Z1, Z2,….. Zk. Then, the statistic
𝑍 = ∑ 𝑍𝑖2 , i= 1, 2…. K …. (1)
Is said to have χ2 distribution with ‘k’ degrees of freedom.
It has only one parameter called the degrees of freedom (k). Degrees of
freedom, in general are denoted by v.
The chi-squared distribution with k-degrees of freedom is the distribution of a
sum of squares of k independent standard normal random variables. It is
determined by the degrees of freedom.
Properties
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• The mean of the distribution is equal to the number of degrees of freedom:

µ=v
• The variance is equal to two times the number of degrees of freedom: σ 2=
2*v
• As the degrees of freedom increase, the chi square curve approaches a
normal distribution
• As the degrees of freedom increase, the symmetry of the graph also
increases.
• The distribution is skewed and the skewness decreases as the degrees of
freedom increase. That is, the skewness is inversely related to degrees of
freedom. For few degrees of freedom, the distribution plot is highly skewed
and for large degrees of freedom, the distribution plot is less skewed and
becomes more symmetrical.
• The sum of two χ2 variables (with n1 and n2 degrees of freedom) is also a
χ2 random variable with (n1+ n2) degrees of freedom.

Application of Chi Square

The chi square test is best option for two applications.

• Case I: comparing variances when the variance of the population known.

• Case II: Comparing observed and expected frequencies of test outcomes

when there is no defined population variance.

Chi-square test as a non-parametric test

Tuesday, 09 June 2020

O-observed values, E-Expected values

(𝑂−𝐸)2
χ2 = ∑
𝐸

F Distributions

Definition

A random variable has an F distribution if it can be written as a ratio between

two Chi-square random variables, Y1 and Y2 with k1 and k2 degrees of freedom
respectively.
𝒀𝟏⁄
𝒏𝟏
𝑭= 𝒀𝟐
⁄𝒏⁄
𝟐

Properties

1. The curve is not symmetrical but skewed to the right.

2. The F distribution is a family of curves each of which is determined by two

types of degrees of freedom: the degrees of freedom corresponding to the
variance in the numerator and the degrees of freedom corresponding to the
variance in the denominator.
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3. As the degrees of freedom for the numerator and for the denominator get
larger, the curve approximates the normal. i.e., skewness increases with
increase in degrees of freedom.

4. The F statistic is always greater than or equal to zero.

5. The total area under each curve of an F-Distribution is equal to 1

6. For all distributions, the mean value of F is approximately equal to 1

7. The square of a t distributed random variables with k degrees of freedom

has F distribution with 1 and k degrees of freedom.

8. For large denominator values of degrees of freedom of F distribution, the

chi square value with numerator degrees of freedom divided by the
numerator degrees of freedom are approximately equal. i.e.

F (k1, ∞) = χ2 (k1)/ k1