Standard Error of the Mean Central Limit Theorem

Simple Random Sample

Sampling distribution of mean
IF: • data are normally distributed with mean µ and standard deviation σ, and • random samples of size n are taken, • THEN:

The sampling distribution of the sample means is also normally distributed.
What is the mean of all of the sample means ? What is the standard deviation of the sample means ?

Mean and Standard Deviation of X
mean = µ x = µ σ standard deviation = σ x =

n

If the population is finite of size N then

finite population correction factor

σx =

σ
n

N −n N −1

n ≥0.05 N

used if

is also called standard error of the mean

Averages are less variable than individual observations

Example: mean wages
The mean wage per hour for all 5000 employees is $ 17.50 and the standard deviation is $ 2.90. Let x be the mean wage per hour for a random sample of 30 employees. What is the mean and standard deviation of x ? N = 5000 , µ = $ 17.50, σ = $ 2.90 The mean of the sampling distribution is µ x = µ = $ 17.50 n = 30, N = 5000, so n/N = 30/5000 = 0.006 < 5% so we use

σ 2.90 σx = = = $ 0.529 n 30

Central Limit Theorem
• Even if data are not normally distributed, as long as you take “large enough” samples, the sample averages will at least be approximately normally distributed. • Mean of sample averages is still µ • Standard error of sample averages is still ∀ σ /√ n. • In general, “large enough” means more than 30 measurements.

Distribution of X when sampling from a normal distribution
has a normal distribution with µx = µ mean = and σ standard deviation (standard error) = σ x =

X

n

Example
• Adult nose length is normally distributed with mean 45 mm and standard deviation 6 mm. • Take random samples of n = 4 adults. • Then, sample means are normally distributed with mean 45 mm and standard error 3 mm [from 6/ = 6/2].
4

Using empirical rule...
• 68% of samples of n=4 adults will have an average nose length between 42 and 48 mm. • 95% of samples of n=4 adults will have an average nose length between 39 and 51 mm. • 99% of samples of n=4 adults will have an average nose length between 36 and 54 mm.

What happens if we take larger samples?
• Adult nose length is normally distributed with mean 45 mm and standard deviation 6 mm. • Take random samples of n = 36 adults. • Then, sample means are normally distributed with mean 45 mm and standard error 1 mm [from 6 / 36 = 6/6].

Again, using empirical rule...
• 68% of samples of n=36 adults will have an average nose length between 44 and 46 mm. • 95% of samples of n=36 adults will have an average nose length between 43 and 47 mm. • 99% of samples of n=36 adults will have an average nose length between 42 and 48 mm. • So … the larger the sample, the less the sample averages vary.

What happens if data are not normally distributed ?

Let’s investigate that, too …

distribution of original population

distribution of x for 2 observations n=2

distribution of x for 10 observations n=10

distribution of x for 25 observations n=25

Central Limit Theorem
If the sample size (n) is large enough, X has a normal distribution with mean = µ x = µ and σ standard deviation = σ x =

n

regardless of the population distribution (normal or not ! )

n ≥ 30

Sampling Distribution of a Sample Statistic
• Sampling Distribution of a Sample Statistic: The distribution of values for a sample statistic obtained from repeated samples, all of the same size and all drawn from the same population

Example: Consider the set {1, 2, 3, 4}: 1) Make a list of all samples of size 2 that can be drawn from this set (Sample with replacement) 2) Construct the sampling distribution for the sample mean for samples of size 2 3) Construct the sampling distribution for the minimum for samples of size 2

Table of All Possible Samples
Sample x
1.0 1.5 2.0 2.5 1.5 2.0 2.5 3.0 2.0 2.5 3.0 3.5 2.5 3.0 3.5 4.0

Minimum Probability
1 1 1 1 1 2 2 2 1 2 3 3 1 2 3 4 1/16 1/16 1/16 1/16 1/16 1/16 1/16 1/16 1/16 1/16 1/16 1/16 1/16 1/16 1/16 1/16

This table lists all possible samples of size 2, the mean for each sample, the minimum for each sample, and the probability of each sample occurring (all equally likely)

{1, 1} {1, 2} {1, 3} {1, 4} {2, 1} {2, 2} {2, 3} {2, 4} {3, 1} {3, 2} {3, 3} {3, 4} {4, 1} {4, 2} {4, 3} {4, 4}

Sampling Distribution
• Summarize the information in the previous table to obtain the sampling distribution of the sample mean and the sample minimum: Sampling Distribution of the Sample Mean Histogram: Sampling Distribution of the Sample Mean

x 1.0 1.5 2.0 2.5 3.0 3.5 4.0

P( x ) 1/16 2/16 3/16 4/16 3/16 2/16 1/16

P( x )
0.25 0.20

0.15

0.10

0.05

0.00

1.0

1.5

2.0

2.5

3.0

3.5

4.0

x