Inference for One Variance

Sampling from Normal Populations

Population Normal
1 x−µ 
2

1 −  
2 σ 
y= e
σ σ 2π

(n − 1) S2
~ χ n−1
2
σ 2
 The Chi Square Distribution

(exp)

x ( k /2)−1e − x /2
y=
k /2  k 
2 Γ 
2

χ2k denotes a chi-square random variable with k degrees of freedom (d.f.)

 Confidence Interval for σ 2

 Assumption :
 Population is normally distributed

 Confidence interval estimate :

 
 ( n − 1) S 2
(n − 1) S 2 
 χ2 ,
 n −1,
α χ n−1,1−α 
2

 2 2 
 Confidence Interval for σ
2

 Derivation
 2 (n − 1) S 2

P χ α ≤ ≤ χ 2
α =1−α
 n−1,1−
2 σ 2 n −1,
2 
1 σ2 1
≥ ≥
χ n−1,1−α
2
(n − 1) S 2
χ n2−1, α
2 2

(n − 1) S 2 (n − 1) S 2
≤σ2 ≤
χ n2−1, α χ n2−1,1−α
2 2
 Example
=
A random sample of n 25 = has X 50 =and S 8.
Set up a 95% confidence interval estimate for σ

 (24)82 (24)82 
 , 

 χ 2
24,0.025 χ 24,0.975 
2

 (24)82 (24)82 
=  , 
 39.364 12.401 

 (24)82 (24)82 
=  , 
 39.364 12.401 
 
= ( 6.247 , 11.129 )
 Test for σ : one tailed
2

A random sample= of n 25= has S 8.

Test H 0 : σ = 48 against H1: σ > 48.
2 2

(n − 1) S 2 24 × 64
= = 32
σ 2
48
χ n−1,α χ=
= 2 2
24,0.05 36.415

Since 32 < 36.415, H 0 is not rejected.

 Test for σ : two tailed
2

A random sample= of n 25= has S 8.

Test H 0 : σ = 48 against H1: σ ≠ 48.
2 2

(n − 1) S 2
24 × 64
= = 32
σ 2
48
χ= 2
n−1,α /2 χ
= 2
24,0.025 39.364

χ =
2
n−1,1−α /2 χ=
2
24,0.975 12.401

Since 12.401 < 32 < 39.364, H 0 is not rejected.

(Useful distributional results)