Design of experiments

Lecture 11: Central Limit Theorem and Interval

Estimate of Population Mean

Nitin Padhiyar
IIT Gandhinagar
The Central Limit Theorem
⚫ If y1, y2, . . . , yn is a sequence of n independent and
identically distributed random variables with E(yi)=µ
and V(yi)=σ (both finite) and x = y1 + y2 +…+ yn, then
the limiting form of the distribution of

is the standard normal distribution as n infinite

⚫ Sum of n independent and identically distributed random
variables is approximately normally distributed.
⚫ Often, the error in an experiment as arising in an additive
manner from several independent sources! Normal
distribution works well most often for the combined
experimental error.
The Central Limit Theorem
⚫
We Can Verify it in MATLAB
⚫ Generate 100 uniformly distributed random numbers
100 times
⚫ Get the average of these 100 samples
⚫ Also plot one of the samples’ histogram
⚫ Get the average (or sum) of these 100 samples
⚫ What do you observe?
⚫ Repeat for a larger sample
Distribution of Sample Mean
[Section 7.5 of ASPE]
⚫ Intuitively, should the mean of sample mean be the population
mean? Why?
⚫ What about the variance? Why?
⚫ Now lets see mathematically as well
Confidence Interval on The Mean of a
Normal Distribution, Variance Known
[Section 8.2.1 of ASPE]

⚫ Consider a normal distribution sample: X1, X2 …, Xn

with sample mean, Xbar unknown μ and known σ2
⚫ This is a bit unrealistic scenario! Why?
⚫ Xbar is a random variable with mean μ and variance σ2
⚫ After standardization,
Confidence Interval on The Mean of a
Normal Distribution, Variance Known,
8.2.1
⚫
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