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Chi-square and F Distributions

Children of the Normal
Questions
• What is the chi-square distribution?
How is it related to the Normal?
• How is the chi-square distribution
related to the sampling distribution of
the variance?
• Test a population value of the variance;
put confidence intervals around a
population value.
Questions
• How is the F distribution related the
Normal? To Chi-square?
Distributions
• There are many theoretical
distributions, both continuous and
discrete. Howell calls these test
statistics
• We use 4 test statistics a lot: z (unit
normal), t, chi-square ( ), and F.
• Z and t are closely related to the
sampling distribution of means; chi-
square and F are closely related to the
sampling distribution of variances.
2
_
Chi-square Distribution (1)
o
µ) (
;
) ( ÷
=
÷
=
X
z
SD
X X
z
2
2
2
) (
o
µ ÷
=
X
z
z score
z score squared
2
) 1 (
2
_ = z
Make it Greek
What would its sampling distribution look like?
Minimum value is zero.
Maximum value is infinite.
Most values are between zero and 1;
most around zero.
Chi-square (2)
What if we took 2 values of z
2
at random and added them?
2
2
2
2
2
2
2
1
2
1
) (
;
) (
o
µ
o
µ ÷
=
÷
=
X
z
X
z
2
2
2
1
2
2
2
2
2
1
2
) 2 (
) ( ) (
z z
X X
+ =
÷
+
÷
=
o
µ
o
µ
_
Chi-square is the distribution of a sum of squares.
Each squared deviation is taken from the unit normal:
N(0,1). The shape of the chi-square distribution
depends on the number of squared deviates that are
added together.
Same minimum and maximum as before, but now average
should be a bit bigger.
Chi-square 3
The distribution of chi-square depends on
1 parameter, its degrees of freedom (df or
v). As df gets large, curve is less skewed,
more normal.
Chi-square (4)
• The expected value of chi-square is df.
– The mean of the chi-square distribution is its
degrees of freedom.
• The expected variance of the distribution is
2df.
– If the variance is 2df, the standard deviation must
be sqrt(2df).
• There are tables of chi-square so you can find
5 or 1 percent of the distribution.
• Chi-square is additive.
2
) (
2
) (
2
) (
2 1 2 1
v v v v
_ _ _ + =
+
Distribution of Sample
Variance
1
) (
2
2
÷
÷
=
¿
N
y y
s
Sample estimate of population variance
(unbiased).
2
2
2
) 1 (
) 1 (
o
_
s N
N
÷
=
÷
Multiply variance estimate by N-1 to
get sum of squares. Divide by
population variance to stadnardize.
Result is a random variable distributed
as chi-square with (N-1) df.
We can use info about the sampling distribution of the
variance estimate to find confidence intervals and
conduct statistical tests.
Testing Exact Hypotheses
about a Variance
2
0
2
0
: o o = H
Test the null that the population
variance has some specific value. Pick
alpha and rejection region. Then:
2
0
2
2
) 1 (
) 1 (
o
_
s N
N
÷
=
÷
Plug hypothesized population
variance and sample variance into
equation along with sample size we
used to estimate variance. Compare
to chi-square distribution.
Example of Exact Test
Test about variance of height of people in inches. Grab 30
people at random and measure height.
55 . 4 ; 30
. 25 . 6 : ; 25 . 6 :
2
2
1
2
0
= =
< >
s N
H H o o Note: 1 tailed test on
small side. Set alpha=.01.
11 . 21
25 . 6
) 55 . 4 )( 29 (
2
29
= = _
Mean is 29, so it’s on the small
side. But for Q=.99, the value
of chi-square is 14.257.
Cannot reject null.
55 . 4 ; 30
. 25 . 6 : ; 25 . 6 :
2
2
1
2
0
= =
= =
s N
H H o o
Now chi-square with v=29 and Q=.995 is 13.121 and
also with Q=.005 the result is 52.336. N. S. either way.
Note: 2 tailed with alpha=.01.
Confidence Intervals for the
Variance
We use to estimate . It can be shown that:
2
s
2
o
95 .
) 1 ( ) 1 (
2
) 975 ;. 1 (
2
2
2
) 025 ;. 1 (
2
=
(
(
¸
(

¸

÷
s s
÷
÷ ÷ N N
s N s N
p
_
o
_
Suppose N=15 and is 10. Then df=14 and for Q=.025
the value is 26.12. For Q=.975 the value is 5.63.
95 .
63 . 5
) 10 )( 14 (
12 . 26
) 10 )( 14 (
2
=
(
¸
(

¸

s so p
| | 95 . 87 . 24 36 . 5
2
= s so p
2
s
Normality Assumption
• We assume normal distributions to figure
sampling distributions and thus p levels.
• Violations of normality have minor
implications for testing means, especially as
N gets large.
• Violations of normality are more serious for
testing variances. Look at your data before
conducting this test. Can test for normality.
Review
• You have sample 25 children from an
elementary school 5
th
grade class and
measured the height of each. You
wonder whether these children are more
variable in height than typical children.
Their variance in height is 4. Compute
a confidence interval for this variance.
If the variance of height in children in
5
th
grade nationally is 2, do you
consider this sample ordinary?
The F Distribution (1)
• The F distribution is the ratio of two
variance estimates:

• Also the ratio of two chi-squares, each
divided by its degrees of freedom:
2
2
2
1
2
2
2
1
.
.
o
o
est
est
s
s
F = =
2
2
(
1
2
) (
/ )
/
2
1
v
v
F
v
v
_
_
=
In our applications, v
2
will be larger
than v
1
and v
2
will be larger than 2.
In such a case, the mean of the F
distribution (expected value) is
v
2
/(v
2
-2).
F Distribution (2)
• F depends on two parameters: v
1
and
v
2
(df
1
and df
2
). The shape of F
changes with these. Range is 0 to
infinity. Shaped a bit like chi-square.
• F tables show critical values for df in
the numerator and df in the
denominator.
• F tables are 1-tailed; can figure 2-tailed
if you need to (but you usually don’t).
F table – critical values
Numerator df: df
B

df
W
1 2 3 4 5
5 5%
1%
6.61
16.3
5.79
13.3
5.41
12.1
5.19
11.4
5.05
11.0
10 5%
1%
4.96
10.0
4.10
7.56
3.71
6.55
3.48
5.99
3.33
5.64
12 5%
1%
4.75
9.33
3.89
6.94
3.49
5.95
3.26
5.41
3.11
5.06
14 5%
1%
4.60
8.86
3.74
6.51
3.34
5.56
3.11
5.04
2.96
4.70

e.g. critical value of F at alpha=.05 with 3 & 12 df =3.49
Testing Hypotheses about 2
Variances
• Suppose
– Note 1-tailed.
• We find

• Then df
1
=df
2
= 15, and
2
2
2
1 1
2
2
2
1 0
: ; : o o o o > s H H
7 . 1 ; 16 ; 8 . 5 ; 16
2
2 2
2
1 1
= = = = s N s N
41 . 3
7 . 1
8 . 5
2
2
2
1
= = =
s
s
F
Going to the F table with 15
and 15 df, we find that for alpha
= .05 (1-tailed), the critical
value is 2.40. Therefore the
result is significant.
A Look Ahead
• The F distribution is used in many
statistical tests
– Test for equality of variances.
– Tests for differences in means in ANOVA.
– Tests for regression models (slopes
relating one continuous variable to another
like SAT and GPA).
Relations among Distributions
– the Children of the Normal
• Chi-square is drawn from the normal.
N(0,1) deviates squared and summed.
• F is the ratio of two chi-squares, each
divided by its df. A chi-square divided
by its df is a variance estimate, that is,
a sum of squares divided by degrees of
freedom.
• F = t
2
. If you square t, you get an F
with 1 df in the numerator.
) , 1 (
2
) ( v v
F t =
Review
• How is F related to the Normal? To
chi-square?
• Suppose we have 2 samples and we
want to know whether they were drawn
from populations where the variances
are equal. Sample1: N=50, s
2
=25;
Sample 2: N=60, s
2
=30. How can we
test? What is the best conclusion for
these data?