Multivariative Distribution

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Multivariative Distribution

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You are on page 1of 25

Richard A. Briesch

Southern Methodist University

Agenda

Review

Homework

Confidence intervals

Estimating population variance

t- distributions

Hypothesis testing

Confidence Intervals

3

Confidence Intervals

When using a proportion:

X z / 2

X t / 2,df

p z / 2

p (1 p)

n

s

n

Hypothesis Testing:

Relationship to Confidence Intervals

Determine type of test

Picture

Write out null and alternative hypothesis

Critical values

Interpret results

6

Hypothesis Testing

H0 Null Hypothesis

HA Alternative Hypothesis

What you are trying to prove is always the

alternative hypothesis. You can not prove

Null to be true.

7

Hypothesis Testing:

Types of Tests

Two Tailed

range : t / 2,df

s

n

range : t ,df

s

n

s

range : t ,df

n

t*

-t*

-t*

t*

Test statistics

t X /

Critical values

z X /

*

t * t.inv.2t ( , df ) z norm.s.inv ( / 2)

Two-tailed:

One tailed (left) t * t.inv ( , df ) z * norm.s.inv( )

One tailed (right) t * t.inv ( , df ) z * norm.s.inv ( )

9

p-values

t

2 tails:

1 tail (left): t.dist (t , df , true) norm.s.dist ( z, true)

1tail (right): t.dist.rt (t , df ) 1 norm.s.dist ( z, true)

10

y12

Purchase Incidence Matrix

Period 2

(Coke )

Total

Period 1

(Coke )

137

47

19

203

(Pepsi)

41

179

12

232

(Dr Pepper)

22

10

46

78

Total

200

236

77

513

11

y12

Joint Probability Matrix

Period 2

(Coke )

Period 1

(Coke )

(Pepsi)

(Dr Pepper)

Marginal

Prob.

(Period 2)

0.267

0.080

0.043

0.390

Prob.

(Period 1)

0.092

0.037

0.396

0.349

0.023

0.452

0.019

0.90

0.152

0.460

0.150

1.000

12

Step 1: Assume independence (H0). What would the table look like?

probabilities.

Period 2

(Coke )

( Pepsi)

(Dr Pepper)

0.154

0.176

0.059

0.390

0.182

0.208

0.070

0.460

0.059

0.068

0.023

0.150

Period 1

(Coke )

(Pepsi)

(Dr Pepper)

Marginal Prob.

(Period 2)

13

Marginal

Prob.

(Period 1)

0.396

0.452

0.152

1.000

2 n X Y (oxy exy ) 2 exy

freedom (4) and has a Chi-Squared

distribution

14

Use p-value.

Roughly 0% probability that H0 is true, so for

any alpha greater than 0% reject null hypothesis

(they are independent) and accept alternative

hypothesis that purchases are correlated over

time (i.e., loyalty exists).

15

Related to Job Performance?

Using OB Data Set.

Step 0: Prepare data (Use median split)

Performance

High

Satisfaction Low

Total

Total

High

19

22

Low

25

23

44

45

41

48

89

Step 1: Hypotheses?

Step 2: Calculate statistics

Step 3: Interpret

16

y12

correlation

Y

X

(1 )

25%

( 2)

50%

Marginal

Prob.

P( X x i )

(1 ) 20%

.3

.3

(2 ) 30%

.1

.1

.2

(3 ) 40%

.5

.5

Marginal Prob.

P(Y y j )

.6

.4

17

Mean

Variance

X E ( X ) x i P( X x i )

i

2X Var ( X ) ( x i X ) 2 P( X x i )

i

( x i X )( y j Y ) p ij

Covariance. Cov( X , Y )

(i , j )

Correlation

XY

Cov( X , Y )

X Y

18

For any two constants, a and b

E (aX bY ) a X b Y

Var (aX bY ) a 2 2X b 2 Y2 2abCov( X , Y )

19

Example:

Consider two assets (X and Y) with x=10%, y=12%,

x=4%, y=5%, and Cov(X,Y) = -10(%)2. What is the

expected return and variance of the portfolio having 70%

invested in X and 30% invested in Y? Compare the risk and

return of this portfolio with the risks and returns associated

with investing everything in either X or Y.

20

Correl(:), covariance.s(:)

Sumproduct(:)

21

between job satisfaction and job

performance?

22

H0: = 0

Ha: 0

df = n-2

23

Covariance & correlation

Discrete

Continuous

Test for independence: 2

Test for correlation.

24

What is next?

Homework

Midterm

Linear Regression

25

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