MATH 306-RECITATION 3

November 6, 2020

Let X1 , · · · , Xn are coming from a normal population with mean µ and UNKNOWN variance. Then

X̄ − µ
≈ tn−1
√S
n

has t-distribution with n − 1 degree of freedom.

1 Question 1
The tensile strength for a type of wire is normally distributed with unknown mean µ and unknown variance
σ 2 . Six pieces of wire are randomly selected from a large roll: Yi denotes the tensile strength for portion i,
2S
is measured for i = 1, 2, · · · , 6. Find the probability that Ȳ will be within √ n
of the true population mean.

Solution:
2S
Question asks to find P (|Ȳ − µ| ≤ √
n
).

2S 2S 2S
|Ȳ − µ| ≤ √ ⇒ − √ ≤ Ȳ − µ ≤ √
n n n
2S
√ 2S
√
n Ȳ − µ n
− ≤ ≤
√S √S √S
n n n

−2 ≤ tn−1 ≤ 2
We need to find P (−2 ≤ tn−1 ≤ 2) Using the t-table and knowing that degree of freedom ν = n − 1 = 5 we
have
P (−2 ≤ t5 ≤ 2) = 2P (t5 ≤ 2) = 2(0.5 − p(t5 ≥ 2)) = 2(0.5 − 0.05) ≈ 2 ∗ 0.45 = 0.9

1
2 Question 2
Let X be the length of a pregnancy in days. X is a continuous random variable with a normal distribution.
Its mean is 266 days and its standard deviation is 25 days.
i: Suppose we have a random sample of size n = 25 pregnant women. Describe the sample distribution
of sample mean X̄.

σ2 252
Solution: X̄ has normal distribution with E(X̄) = µ = 266 and var(X̄) = n = 25 = 25.
ii: What is the probability that the average pregnancy lasts more than 274 days.That is, P (X̄ > 274)?

Solution:
X̄ − µ 274 − 266
X̄ > 274 ⇒ >
√σ 5
n

Z > 1.6
So we need to find

P (z > 1.6) = 0.5 − P (0 ≤ z ≤ 1.6) = 0.5 − 0.4452 = 0.0548

2
Moment generating function:
Let X be a random variable with pdf f (x), then moment generating function is by definition MX (t) = E(etx )
• If X is discrete then MX (t) = x etx f (x)
P

• If X is continuous then MX (t) = etx f (x)dx

R

Properties of MGF:
dr MX (t)
• E(X r ) = dt |t=0
• MX+a (t) = eat MX (t)
• MbX (t) = MX (bt)
a
• M X+a = e b t MX ( bt )
b
Pn
• If X1 , · · · , Xn are independent random variable and Y = i=1 Xi , then
n
Y
MY (t) = MXi (t) = MX1 (t). · · · .MXn (t)
i=1

• There is a one to one correspondence between a MGF and distribution of a random variable.

3 Question 3
Pn that if X21 , · · · , Xn are independent random variable having standard normal distribution then Y =
Show
i=1 Xi has χn .

Solution:
Some remarks:
ν
• If X ≈ χ2ν then MX (t) = (1 − 2t)− 2
• if X ≈ n(0, 1) the X 2 ≈ χ21
1
Since Xi ≈ n(0, 1) for i = 1, · · · , n so Xi2 ≈ χn1 so we have MXi = (1 − 2t)− 2
Also X1 , · · · , Xn are independent random variables so
n n
1 n
Y Y
MY (t) = MXi (t) = (1 − 2t)− 2 = (1 − 2t)− 2
i=1 i=1

Comparing the MGF of χ2ν and MGF of Y we can see that Y ≈ χ2n .

3
4 Question 4
Show that if X1 , · · · , Xn are P
independent random variables having the chi-square distribution with ν = 1
n
degree of freedom, and Yn = i=1 Xi , then the limiting distribution of
Yn
−1
Z = nq
2
n

as n ⇒ ∞ is the standard normal distribution.

Solution:
Yn
n = X̄
n n n
1X 1X 1X 1
E(X̄) = E( Xi ) = E(Xi ) = 1= n=1
n i=1 n i=1 n i=1 n
n n n
1X 1 X 1 X 1 2
var(X̄) = var( Xi ) = ( )2 var(Xi ) = ( )2 2 = ( )2 (2n) =
n i=1 n i=1 n i=1 n n
So by CLT Z has SND.

Remarks:
• E(X1 + · · · + Xn ) = E(X1 ) + · · · + E(Xn )
• E(aX) = aE(X)
• If X1 , · · · , Xn are independent then var(X1 + · · · + Xn ) = var(X1 ) + · · · + var(Xn )
• var(ax) = a2 var(X)
• CLT(central limit theorem): If X is a random variable with E(X) = µ and var(X) = σ 2 then Z = X−µ
σ
has SND.