PROBABILITY & STATISTICS

Introduction

Chapter 8: Interval Estimation of Parameters

CI on µ of a N(µ,
σ2): σ2 Known

CI on µ of a N(µ, LEARNING OBJECTIVES

σ2): σ2 Unknown

CI on µ of
1. Introduction
arbitrary
distribution
2. CI on µ of a N(µ, σ2): σ2 known
3. CI on µ of a N(µ, σ2): σ2 unknown
CI on σ2 of a
Normal 4. CI on µ of any distribution: large-sample
CI for p 5. CI on σ2 a normal distribution
Summary 6. CI for the proportion p: large-sample
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 INTRODUCTION
Introduction
Introduction
• A confidence interval estimate for µ is an interval of the form
CI on µ of a N(µ, l ≤ µ ≤ u, where the endpoints l and u are computed from the
σ2): σ2 Known sample data.
CI on µ of a N(µ, • Because different samples will produce different values of l
σ2): σ2 Unknown and u, these end-points are values of random variables L and U,
respectively.
CI on µ of
arbitrary • Suppose that we can determine values of L and U such that the
distribution following probability statement is true:
CI on σ2 of a
Normal
P(L ≤ µ ≤ U) = 1 - α
CI for p

Summary There is a probability of 1- α of selecting a sample for which the

CI will contain the true value of µ
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 INTRODUCTION
Introduction
Introduction

CI on µ of a N(µ,
• After we have selected the sample: X1 = x1, X2 = x2 , … , Xn =
σ2): σ2 Known xn, and computed l and u, the resulting confidence interval for
µ is
CI on µ of a N(µ,
σ2): σ2 Unknown
l ≤µ≤ u
CI on µ of
arbitrary
distribution
Lower-confidence limit Upper-confidence limit
CI on σ2 of a
Normal

CI for p How to find the random variables L and U ?

Summary

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 CI ON µ OF A N(µ, σ2): σ2 KNOWN
Introduction
X −µ
Since Z = ~ N (0, 1), we can find a real number
CI on
CI on µµ of
of aa N(µ,
N(µ,
σ/ n
σσ2):
2): σ2 Known
σ2 Known
=NORMSINV(1- α/2)
CI on µ of a N(µ, zα/2 such that
σ2): σ2 Unknown
X −µ
CI on µ of P ( − zα / 2 ≤ ≤ zα / 2 ) = 1 − α
arbitrary σ/ n
distribution

or
CI on σ2 of a σ σ
Normal P ( X − zα / 2 ≤ µ ≤ X + zα / 2 )
n n
CI for p

Summary L U
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 CI ON µ OF A N(µ, σ2): σ2 KNOWN
Introduction

CI on
CI on µµ of
of aa N(µ,
N(µ,
σσ2):
2): σ2 Known
σ2 Known Theorem
CI on µ of a N(µ, If x is the sample mean of a random sample of size n from a
σ2): σ2 Unknown normal population with known variance, (1 – α)-CI on µ is
given by
CI on µ of
arbitrary
σ σ
distribution x − zα / 2 ≤ µ ≤ x + zα / 2
n n
σ2
CI on of a
Normal

CI for p

Summary

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 CI ON µ OF A N(µ, σ2): σ2 KNOWN
Introduction

Example
CI on
on µµ of
of aa N(µ,
N(µ,
CI A college admissions director wishes to estimate the mean
σσ2):
2): σ2 Known
σ2 Known
age of all students currently enrolled. In a random sample of
CI on µ of a N(µ, 20 students, the mean age is found to be 22.9 years. From past
σ2): σ2 Unknown studies, the standard deviation is known to be 1.5 years, and
the population is normally distributed. Construct a 90%
CI on µ of
confidence interval of the population mean age.
arbitrary
distribution

CI on σ2 of a
Normal Solution: We have x = 22.9; σ = 1.5; 1 – α =0.9;
CI for p α = 0.1 ⇒ zα/2 = NORMSINV(1- 0.1/2) = 1.645

Summary

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 CI ON µ OF A N(µ, σ2): σ2 KNOWN
Introduction

CI on
CI on µµ of
of aa N(µ,
N(µ, Confidence interval:
σσ2):
2): σ2 Known
σ2 Known
1 .5 1 .5
CI on µ of a N(µ, 22 .9 − 1.645 ≤ µ ≤ 22 .9 − 1.645
σ2): σ2 Unknown 20 20
CI on µ of or
arbitrary
distribution 22.3 ≤ μ ≤ 23.5
CI on σ2 of a Point estimate
Normal 22.3 22.9 23.5
( • )
CI for p
x
Summary

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 CI ON µ OF A N(µ, σ2): σ2 KNOWN
Introduction

CI on
CI on µµ of
of aa N(µ,
N(µ,
σσ2):
2): σ2 Known
σ2 Known

CI on µ of a N(µ,
σ2): σ2 Unknown

CI on µ of
arbitrary
distribution

CI on σ2 of a
Normal

CI for p
Figure 8-1 Repeated construction of a confidence interval
Summary for µ.
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 CI ON µ OF A N(µ, σ2): σ2 KNOWN
Introduction
Confidence Level and Precision of Estimation
CI on
CI on µµ of
of aa N(µ,
N(µ,
σσ2):
2): σ2 Known
σ2 Known The length of a confidence interval is a measure of the
CI on µ of a N(µ, precision of estimation.
σ2): σ2 Unknown

CI on µ of
arbitrary
distribution

CI on σ2 of a
Normal

CI for p

Summary
Figure 8-2 Error in estimating µ with x.
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 CI ON µ OF A N(µ, σ2): σ2 KNOWN
Introduction

Theorem Choice of Sample Size

CI on
on µµ of
of aa N(µ,
N(µ,
CI2): σ2 Known
σσ2): σ2 Known
If x is used as an estimate of µ , we can be (1 – α)-
confident that the error | x - µ | will not exceed a specified
CI on µ of a N(µ,
amount E when the sample size is
σ2): σ2 Unknown

 z α / 2σ 
2
CI on µ of n= 
arbitrary  E 
distribution

CI on σ2 of a
Normal

CI for p

Summary

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 CI ON µ OF A N(µ, σ2): σ2 KNOWN
Introduction

CI on
CI on µµ of
of aa N(µ,
N(µ,
σσ2):
2): σ2 Known
σ2 Known Theorem One-Sided Confidence Bounds
CI on µ of a N(µ, A (1 – α) upper-confidence bound for µ is
σ2): σ2 Unknown
σ
CI on µ of µ ≤ x + zα
arbitrary n
distribution
A (1 – α) lower-confidence bound for µ is
CI on σ2 of a σ
Normal x − zα ≤µ
n
CI for p

Summary

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 CI ON µ OF A N(µ, σ2): σ2 UNKNOWN
Introduction
Definition Student Distribution
CI on µ of a N(µ,
σ2): σ2 Known
The variable random X with probability density function
k +1
CI on µ µ of a N(µ, Γ( )
2 1
σσ2):
2): σ22 Unknown
σ Unknown f ( x) = k +1
, − ∞ < x < +∞
πk Γ (k / 2) x 2
( + 1) 2
CI on µ of k
arbitrary
distribution
is called a Student variable random or t distribution with k
degrees of freedom.
CI on σ2 of a
Normal

CI for p

Summary

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 CI ON µ OF A N(µ, σ2): σ2 UNKNOWN
Introduction

CI on µ of a N(µ,
σ2): σ2 Known

CI on µ µ of a N(µ,
σσ2):
2): σ22 Unknown
σ Unknown

CI on µ of
arbitrary
distribution

CI on σ2 of a
Normal

Probability density functions Percentage points

CI for p
of several t distributions. of the t distribution.
Summary

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 CI ON µ OF A N(µ, σ2): σ2 UNKNOWN
Introduction

CI on µ of a N(µ, Theorem t distribution

σ2): σ2 Known
Let X1, X2, … , Xn be a random sample from a normal
CI on µ µ of a N(µ, distribution with unknown mean µ and unknown variance σ2.
σσ2):
2): σ22 Unknown
σ Unknown The random variable
X −µ
CI on µ of T=
arbitrary S/ n
distribution
has a t distribution with n - 1 degrees of freedom.
CI on σ2 of a
Normal

CI for p

Summary

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 CI ON µ OF A N(µ, σ2): σ2 UNKNOWN
Introduction
Theorem
CI on µ of a N(µ, If x and s are the mean and standard deviation of a random
σ2): σ2 Known sample from a normal distribution with unknown variance σ2,
CI on µ µ of a N(µ, • A (1 – α)-percent confidence interval on µ is given by
σσ2):
2): σ22 Unknown
σ Unknown
s s
x − t α / 2 , n −1 ≤ µ ≤ x + t α / 2 , n −1
CI on µ of
n n
arbitrary
distribution • A (1 – α) upper-confidence bound for µ is
s =TINV(α,n-1)
CI on σ2 of a µ ≤ x + tα ,n −1
Normal n
• A (1 – α) lower-confidence bound for µ is
CI for p
s
x − tα ,n −1 ≤µ
Summary n
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 CI ON µ OF A N(µ, σ2): σ2 UNKNOWN
Introduction

Example
CI on µ of a N(µ,
σ2): σ2 Known
An article in the journal Materials Engineering describes the
results of tensile adhesion tests on 22 U-700 alloy specimens.
CI on µ µ of a N(µ, The population is normally distributed. The load at specimen
σσ2):
2): σ22 Unknown
σ Unknown failure is as follows:
CI on µ of 19.8 10.1 14.9 7.5 15.4 15.4 15.4 18.5 7.9 12.7 11.9 11.4 11.4
arbitrary 14.1 17.6 16.7 15.8 19.5 8.8 13.6 11.9 11.4
distribution
Find a 95% CI on µ.
CI on σ2 of a Solution: We have x = 13.71 and s = 3.55
Normal
α = 1- 0.95 = 0.05; n = 22 ⇒ tα/2,n-1= TINV(0.05,21) = 2.08
CI for p
A 95% CI on µ is
Summary

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 ARBITRARY DISTRIBUTION: A LARGE-SAMPLE
Introduction
Theorem
CI on µ of a N(µ, When n is large, the quantity
σ2): σ2 Known
X −µ
CI on µ of a N(µ,
n ≥ 40 S/ n
σ2): σ2 Unknown

CI on
on µµ of
of has an approximate N (0, 1). Consequently,
CI
arbitrary
arbitrary s s
distribution x − zα / 2 ≤ µ ≤ x + zα / 2
n n
CI on σ2 of a
Normal is a large sample confidence interval for µ, with confidence
level of approximately (1 – α).
CI for p

Summary

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 ARBITRARY DISTRIBUTION: A LARGE-SAMPLE
Introduction
Example
CI on µ of a N(µ, A sample of fish was selected from 53 Florida lakes and
σ2): σ2 Known
mercury concentration in the muscle tissue was measured
CI on µ of a N(µ,
(ppm). The mercury concentration values are
σ2): σ2 Unknown

CI on
CI on µµ of
of
arbitrary
arbitrary
distribution

CI on σ2 of a
Normal Find an approximate 95% CI on µ.
CI for p Solution: We have x = 0.5250 and s = 0.3486
Summary
α = 1- 0.95 = 0.05; zα/2= 1.96
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 ARBITRARY DISTRIBUTION: A LARGE-SAMPLE
Introduction
Distribution of mercury concentration is not normal
CI on µ of a N(µ,
σ2): σ2 Known

CI on µ of a N(µ,
σ2): σ2 Unknown

CI on
CI on µµ of
of
arbitrary
arbitrary
distribution

CI on σ2 of a Because n > 40, the approximate 95% CI on is

Normal

CI for p

Summary

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 CI ON σ2 OF A NORMAL
Introduction
Definition Chi-square Distribution
CI on µ of a N(µ, The variable random X with probability density function
σ2): σ2 Known

CI on µ of a N(µ, k −x
1 −1
σ2): σ2 Unknown f ( x) = k / 2 x2 e 2 , x>0
2 Γ(k / 2)
CI on µ of
arbitrary is called a χ2 variable random with k degrees of freedom
distribution

CI on
CI σ22 of
on σ of aa
Normal

CI for p

Summary

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 CI ON σ2 OF A NORMAL
Introduction
Definition Chi-square Distribution
CI on µ of a N(µ,
σ2): σ2 Known

CI on µ of a N(µ, k −x
1 −1
σ2): σ2 Unknown f ( x) = k / 2 x2 e 2 , x>0
2 Γ(k / 2)
CI on µ of
arbitrary
distribution

CI on
CI σ22 of
on σ of aa
Normal

CI for p

Summary

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 CI ON σ2 OF A NORMAL
Introduction
Theorem
CI on µ of a N(µ, • A (1 – α)-percent confidence interval on σ2 is given by
σ2): σ2 Known
( n − 1) s 2 ( n − 1) s 2
CI on µ of a N(µ, ≤σ2 ≤
σ2): σ2 Unknown χ α2 / 2 , n −1 χ 12−α / 2 , n −1
CI on µ of =CHIINV(1- α/2,n-1)
arbitrary • A (1 – α) upper-confidence bound for σ2 is
distribution ( n − 1) s 2
σ2 ≤
σ22 of
on σ
CI on of aa
χ 1 − α , n −1
CI
Normal • A (1 – α) lower-confidence bound for σ2 is
( n − 1) s 2
CI for p ≤σ 2
χα ,n −1
Summary

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 CI ON σ2 OF A NORMAL
Introduction
Theorem
CI on µ of a N(µ,
σ2): σ2 Known

CI on µ of a N(µ,
σ2): σ2 Unknown

CI on µ of
arbitrary
distribution

CI on
CI σ22 of
on σ of aa
Normal

CI for p

Summary

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 CI FOR p: A LARGE-SAMPLE
Introduction
Theorem Normal approximation
CI on µ of a N(µ,
σ2): σ2 Known
If n is large, the distribution of
X − np Pˆ − p
CI on µ of a N(µ, Z = =
σ2): σ2 Unknown np (1 − p ) p (1 − p )
n
CI on µ of is approximately N (0, 1).
arbitrary
distribution
Pˆ − p
We can find zα/2 such that P ( − zα / 2 ≤ −1−α
≤ zα / 2 ) ~
σ2
CI on of a p (1 − p )
Normal n
or
CI for p p(1− p) p(1− p) ~
P(Pˆ − zα / 2 ≤ p ≤ Pˆ + zα / 2 ) −1−α
Summary
n n

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 CI FOR p: A LARGE-SAMPLE
Introduction
Theorem CI for p
CI on µ of a N(µ, Let p̂ is a point estimation for the proportion p of the population
σ2): σ2 Known
based on a random sample of size n, an approximate (1 – α)-
CI on µ of a N(µ, confidence interval on p is
σ2): σ2 Unknown
pˆ (1 − pˆ ) pˆ (1 − pˆ )
pˆ − zα / 2 ≤ p ≤ p + zα / 2
ˆ
CI on µ of n n
arbitrary
distribution

CI on σ2 of a Remark: n p̂ >5 and n(1- p̂ ) > 5

Normal

CI for p

Summary

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 CI FOR p: A LARGE-SAMPLE
Introduction
Example
CI on µ of a N(µ, In a survey of 1219 U.S. adults, 354 said that their favorite
σ2): σ2 Known
sport to watch is football. Construct a 95% confidence interval
CI on µ of a N(µ,
for the proportion of adults in the United States who say that
σ2): σ2 Unknown their favorite sport to watch is football.

CI on µ of Solution: The point estimation for p:

arbitrary
354 ~
distribution pˆ = − 0.29
1219
CI on σ2 of a Because npˆ ≈ 354 > 5 and n(1 − pˆ ) ≈ 865 > 5, a 95% CI
Normal
for p is:
0.29(1− 0.29) 0.29(1− 0.29)
CI for p 0.29−1.96 ≤ p ≤ 0.29−1.96
1219 1219

Summary
0.265≤ p ≤ 0.315
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 CI FOR p: A LARGE-SAMPLE
Introduction

CI on µ of a N(µ,
Theorem Choice of Sample Size
σ2): σ2 Known If p̂ is used as an estimate of p , we can be (1 – α)-
CI on µ of a N(µ,
confident that the error | p̂ - p | will not exceed a specified
σ2): σ2 Unknown amount E when the sample size is

CI on µ of zα / 2 2
arbitrary n=( ) p (1 − p )
E
≤1/4
distribution

An upper bound on n is given by

CI on σ2 of a
Normal zα / 2 2
n=( )
CI for p 2E
Summary

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 CI FOR p: A LARGE-SAMPLE
Introduction

CI on µ of a N(µ,
Theorem One-Sided Confidence Bounds
σ2): σ2 Known A (1 – α) upper-confidence bound for p is
CI on µ of a N(µ, pˆ (1 − pˆ )
σ2): σ2 Unknown p ≤ pˆ + zα
n
CI on µ of
arbitrary A (1 – α) lower-confidence bound for p is
distribution
pˆ (1 − pˆ )
CI on σ2 of a pˆ − zα ≤p
Normal
n

CI for p

Summary

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 SUMMARY
Introduction
We have studied:
CI on µ of a N(µ,
σ2): σ2 Known
1.CI on µ of a N(µ, σ2): σ2 known
CI on µ of a N(µ,
σ2): σ2 Unknown 2. CI on µ of a N(µ, σ2): σ2 unknown

CI on µ of
3. CI on µ of any distribution: large-sample
arbitrary
4. CI on σ2 a normal distribution
distribution
5. CI for the proportion p: large-sample
σ2
CI on of a
Normal

Homework: Read slides of the next lecture.

CI for p

Summary

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