TU PS7 Ch8 - Tu

PROBABILITY & STATISTICS
Introduction
Chapter 8: Interval Estimation of Parameters

CI on  of a N(,
σ2): σ2 Known
CI on  of a N(, LEARNING OBJECTIVES

σ2): σ2 Unknown
CI on  of
1. Introduction
arbitrary
2. CI on  of a N(, σ2): σ2 known
distribution
3. CI on  of a N(, σ2): σ2 unknown
CI on σ2 of a
Normal 4. CI on  of any distribution: large-sample
CI for p 5. CI on σ2 a normal distribution
Summary 6. CI for the proportion p: large-sample
13/03/24 Department of Mathematics 1/28
INTRODUCTION
Introduction
Introduction
• A confidence interval estimate for  is an interval of the form
CI on  of a N(, l ≤  ≤ u, where the endpoints l and u are computed from the
σ2): σ2 Known sample data.
CI on  of a N(, • 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  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 ≤  ≤ 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 
INTRODUCTION
Introduction
Introduction
• 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
 is
σ2): σ2 Unknown
l ≤≤ u
CI on  of
arbitrary
distribution Upper-confidence limit
Lower-confidence limit
CI on σ2 of a
Normal
CI for p How to find the random variables L and U ?

Summary

CI ON  OF A N(, σ2): σ2 KNOWN
Introduction
X 
Since Z  ~ N (0, 1), we can find a real number
CI on
CI on µ  of
of aa N(µ,
N(,
/ n
σσ2):
): σσ22 Known
Known
2
=NORMSINV(1- α/2)
CI on  of a N(, zα/2 such that
σ2): σ2 Unknown
X 
CI on  of P (  z / 2   z / 2 )  1  
arbitrary / n
distribution
or
CI on σ2 of a  
Normal P ( X  z / 2    X  z / 2 )
n n
CI for p
Summary L U
Introduction
CI on
CI on µ  of
of aa N(µ,
N(,
σσ2):
): σσ22 Known
Known
2
Theorem
Theorem
CI on  of a N(, IfIf x isisthe
thesample
samplemean
meanof
ofaarandom
randomsample
sampleof
ofsize
sizennfrom
fromaa
σ2): σ2 Unknown normal
normalpopulation
populationwith
withknown
knownvariance,
variance,(1
(1––α)-CI onisis
α)-CIon
given
givenby
by
CI on  of
arbitrary
 
distribution x  z / 2    x  z / 2
n n
CI on σ2 of a
Normal
CI for p
Summary

Introduction
Example
CI on
on µ  of
of aa N(µ,
N(,
CI A college admissions director wishes to estimate the mean
σσ2):
): σσ22 Known
Known
2
age of all students currently enrolled. In a random sample of

CI on  of a N(, 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  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

Introduction
CI on
CI on µ  of
of aa N(µ,
N(, Confidence interval:
σσ2):
): σσ22 Known
Known
2
1 .5 1 .5
CI on  of a N(, 22 .9  1.645    22 .9  1.645
σ2): σ2 Unknown 20 20
CI on  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

Introduction
CI on
CI on µ  of
of aa N(µ,
N(,
σσ2):
): σσ22 Known
Known
2
σ2): σ2 Unknown
CI on  of
arbitrary
distribution
CI on σ2 of a
Normal
CI for p
Figure 8-1 Repeated construction of a confidence interval
Summary for .
Introduction
Confidence Level and Precision of Estimation
CI on
CI on µ  of
of aa N(µ,
N(,
σσ2):
): σσ22 Known
Known
2
The length of a confidence interval is a measure of the
CI on  of a N(, precision of estimation.
σ2): σ2 Unknown
CI on  of
arbitrary
distribution
CI on σ2 of a
Normal
CI for p
Summary
Figure 8-2 Error in estimating  with x.
Introduction
Theorem
Theorem Choice
ChoiceofofSample
SampleSize
Size
CI on
on µ  of
of aa N(µ,
N(,
CI
σσ2):
2
): σσ22 Known
Known IfIf x isisused
usedas
asananestimate
estimateof of,,wewecancanbe
be(1
(1––α)-
α)-
confident
confidentthat thatthe error| | x --| |will
theerror willnot
notexceed
exceedaaspecified
specified
amount
amountEEwhen whenthethesample
samplesize sizeisis
σ2): σ2 Unknown
2
 z  / 2 
CI on  of n 
arbitrary  E 
distribution
CI on σ2 of a
Normal
CI for p
Summary

Introduction
CI on
CI on µ  of
of aa N(µ,
N(,
σσ2):
): σσ22 Known
Known
2
Theorem
Theorem One-Sided
One-SidedConfidence
ConfidenceBounds
Bounds
CI on  of a N(, AA(1
(1––α)
α)upper-confidence
upper-confidencebound forisis
boundfor
σ2): σ2 Unknown

CI on  of
  x  z
arbitrary
n
distribution
AA(1
(1––α)
α)lower-confidence
lower-confidencebound forisis
boundfor
CI on σ2 of a 
Normal x  z 
n
CI for p
Summary

CI ON  OF A N(, σ2): σ2 UNKNOWN
Introduction
Definition
Definition Student
StudentDistribution
Distribution
σ2): σ2 Known
The
Thevariable
variablerandom
randomXXwith
withprobability
probabilitydensity
densityfunction
function
k 1
CI on µ  of a N(µ,
N(, ( )
2 1
σσ2):
2
): σσ Unknown
22
Unknown f (x)  k 1
,    x  
k  (k / 2) x 2
(  1) 2
CI on  of k
arbitrary
distribution
isiscalled
calledaaStudent
Studentvariable
variablerandom
randomor
orttdistribution
distributionwith
withkk
degrees
degreesof
offreedom.
freedom.
CI on σ2 of a
Normal
CI for p
Summary

Introduction
σ2): σ2 Known
N(,
σσ2):
2
): σσ Unknown
22
Unknown
CI on  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

Introduction
CI on  of a N(, Theorem
Theorem ttdistribution
distribution
σ2): σ2 Known
Let
LetXX11,,XX22,,…
…,,XXnnbe
beaarandom
randomsample
samplefrom
fromaanormal
normal
distribution
distributionwithwithunknown meanand
unknownmean andunknown
unknownvariance
varianceσσ2..
2
N(,
σσ2):
2
): σσ Unknown
22
Unknown The
Therandom
randomvariable
variable
X 
CI on  of T
arbitrary S/ n
distribution
CI on σ2 of a
Normal has
hasaattdistribution
distributionwith
withnn--11degrees
degreesof
offreedom.
freedom.
CI for p
Summary

Introduction
Theorem
Theorem
CI on  of a N(, IfIf x and
andssare
arethe
themean
meanand
andstandard
standarddeviation
deviationof
ofaarandom
random
σ2): σ2 Known sample
samplefrom
fromaanormal
normaldistribution
distributionwith
withunknown
unknownvariance
varianceσσ 2,,
2
N(, ••AA(1
(1––α)-percent
α)-percentconfidence
confidenceinterval onisisgiven
intervalon givenby
by
σσ2):
2
): σσ Unknown
22
Unknown
s s
x  t  / 2 , n 1    x  t  / 2 , n 1
CI on  of n n
arbitrary
distribution
••AA(1
(1––α)
α)upper-confidence
upper-confidencebound forisis
boundfor
s =TINV(α,n-1)
CI on σ2 of a   x  t ,n 1
Normal n
CI for p
••AA(1
(1––α)
α)lower-confidence
lower-confidence s for
bound
bound forisis
x t 
 , n 1
Summary n
Introduction
Example
σ2): σ2 Known
An article in the journal Materials Engineering describes the
results of tensile adhesion tests on 22 U-700 alloy specimens.
N(, The population is normally distributed. The load at specimen
σσ2):
2
): σσ Unknown
22
Unknown failure is as follows:
CI on  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 .
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  is
Summary

ARBITRARY DISTRIBUTION: A LARGE-SAMPLE
Introduction
Theorem
Theorem
CI on  of a N(, When
σ2): σ2 Known Whennnisislarge,
large,the
thequantity
quantity
X 
n ≥ 40 S/ n
σ2): σ2 Unknown
CI on
on µ of
of has
hasan
anapproximate
approximateNN(0, (0,1).
1).Consequently,
Consequently,
CI
arbitrary s s
distribution x  z / 2    x  z / 2
n n
CI on σ2 of a
Normal isisaalarge
largesample
sampleconfidence
confidenceinterval for,
intervalfor ,with
withconfidence
confidence
level
levelof ofapproximately
approximately(1
(1––α).
α).
CI for p
Summary

Introduction
Example
CI on  of a N(, A sample of fish was selected from 53 Florida lakes and
σ2): σ2 Known
mercury concentration in the muscle tissue was measured
(ppm). The mercury concentration values are
σ2): σ2 Unknown
CI on
CI on µ of
of
arbitrary
distribution
CI on σ2 of a
Normal Find an approximate 95% CI on .
CI for p Solution: We have x = 0.5250 and s = 0.3486
Summary
α = 1- 0.95 = 0.05; zα/2= 1.96
Introduction
Distribution of mercury concentration is not normal
σ2): σ2 Known
σ2): σ2 Unknown
CI on
CI on µ of
of
arbitrary
distribution
CI on σ2 of a Because n > 40, the approximate 95% CI on is

Normal
CI for p
Summary

CI ON σ2 OF A NORMAL
Introduction
Definition
Definition Chi-square
Chi-squareDistribution
Distribution
CI on  of a N(, The
Thevariable
variablerandom
randomXXwith
withprobability
probabilitydensity
densityfunction
function
σ2): σ2 Known
k x
CI on  of a N(, 1 1
σ2): σ2 Unknown f ( x)  k / 2 x2 e 2 , x0
2 (k / 2)
CI on  of
arbitrary isiscalled
calledaaχχ2variable
2
variablerandom
randomwith
withkkdegrees
degreesof
offreedom
freedom
distribution
CI on σ22 of a
Normal
CI for p
Summary

Introduction
Definition
Definition Chi-square
Chi-squareDistribution
Distribution
σ2): σ2 Known
k x
CI on  of a N(, 1 1
σ2): σ2 Unknown f ( x)  k / 2 x2 e 2 , x0
2 (k / 2)
CI on  of
arbitrary
distribution
CI on σ22 of a
Normal
CI for p
Summary

Introduction
Theorem
Theorem
CI on  of a N(, ••AA(1 σ
(1 – α)-percent confidence interval on σ isisgiven
– α)-percent confidence interval on givenby
22
σ2): σ2 Known by
( n  1) s 2 ( n  1) s 2
CI on  of a N(, 2 
σ2): σ2 Unknown  2 / 2 , n 1  12 / 2 , n 1
CI on  of
=CHIINV(1- α/2,n-1)
arbitrary
••AA(1
(1––α)
α)upper-confidence
upper-confidence bound
bound for
forσσ22isis
distribution ( n  1) s 2
 
2
 1 , n 1
CI on σ22 of a
Normal
( n  1) s 2
CI for p ••AA(1 lower-confidence  
(1 – α) lower-confidence boundfor
– α) bound
2
forσσ2isis
2
 ,n 1
Summary

Introduction
Theorem
Theorem
σ2): σ2 Known
σ2): σ2 Unknown
CI on  of
arbitrary
distribution
CI on σ22 of a
Normal
CI for p
Summary

CI FOR p: A LARGE-SAMPLE
Introduction
Theorem
Theorem Normal
Normalapproximation
approximation
σ2): σ2 Known
IfIfnnisislarge,
large,the
thedistribution
distributionof
of
X  np Pˆ  p
CI on  of a N(, Z  
σ2): σ2 Unknown
np (1  p ) p (1  p )
n
CI on  of isisapproximately
arbitrary
approximatelyNN(0, (0,1).
1).
distribution
We can find zα/2 such that Pˆ  p
P (  z / 2   z / 2 ) ~
1
CI on σ2 of a p (1  p )
Normal n
or
CI for p p(1 p) p(1 p) ~
P(Pˆ  z / 2  p  Pˆ  z / 2 ) 1
n n
Summary

Introduction
Theorem
Theorem CI
CIfor
forpp
CI on  of a N(, Let
σ2): σ2 Known
Letp̂ isisaapoint
pointestimation
estimationforforthe
theproportion
proportionppofofthe
thepopulation
population
based
basedon onaarandom
randomsample
sampleof ofsize
sizen,n,an
anapproximate
approximate(1
(1––α)-
α)-
confidence
confidenceinterval
intervalon
onppisis
σ2): σ2 Unknown
pˆ (1  pˆ ) pˆ (1  pˆ )
pˆ  z / 2  p  p  z / 2
ˆ
CI on  of n n
arbitrary
distribution
CI on σ2 of a Remark: n p̂ >5 and n(1- p̂ ) > 5

Normal
CI for p
Summary

Introduction
Example
CI on  of a N(, 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
for the proportion of adults in the United States who say that
σ2): σ2 Unknown their favorite sport to watch is football.
CI on  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
Introduction
Theorem
Theorem Choice
Choiceof
ofSample
SampleSize
Size
σ2): σ2 Known IfIf p̂ isisused
usedas
asananestimate
estimateof ofpp,,wewecan
canbe
be(1
(1––α)-
α)-
confident
confidentthat thatthe error| |p̂ --pp| |will
theerror willnot
notexceed
exceedaaspecified
specified
σ2): σ2 Unknown amount
amountEEwhen whenthethesample
samplesize sizeisis
CI on  of z / 2 2
arbitrary
n( ) p (1  p )
distribution
E
≤1/4
An
Anupper
upperbound
boundon
onnnisisgiven
givenby
by
CI on σ2 of a
Normal z / 2 2
n( )
CI for p 2E
Summary

Introduction
Theorem
Theorem One-Sided
One-SidedConfidence
ConfidenceBounds
Bounds
σ2): σ2 Known AA(1
(1––α)
α)upper-confidence
upper-confidencebound
boundfor
forppisis
CI on  of a N(, pˆ (1  pˆ )
σ2): σ2 Unknown p  pˆ  z
n
CI on  of
arbitrary AA(1
(1––α)
α)lower-confidence
lower-confidencebound
boundfor
forppisis
distribution
pˆ (1  pˆ )
CI on σ2 of a
pˆ  z p
Normal
n
CI for p
Summary

SUMMARY
Introduction
We have studied:
σ2): σ2 Known
1.CI on  of a N(, σ2): σ2 known
σ2): σ2 Unknown
2. CI on  of a N(, σ2): σ2 unknown
CI on  of
3. CI on  of any distribution: large-sample
arbitrary
4. CI on σ2 a normal distribution
distribution
5. CI for the proportion p: large-sample
CI on σ of a
2
Normal
Homework: Read slides of the next lecture.
CI for p
Summary

TU PS7 Ch8 - Tu

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PROBABILITY & STATISTICS

Chapter 8: Interval Estimation of Parameters

CI on  of a N(, LEARNING OBJECTIVES

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

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

13/03/24 Department of Mathematics 3/28

13/03/24 Department of Mathematics 5/28

age of all students currently enrolled. In a random sample of

13/03/24 Department of Mathematics 6/28

13/03/24 Department of Mathematics 7/28

13/03/24 Department of Mathematics 10/28

13/03/24 Department of Mathematics 11/28

13/03/24 Department of Mathematics 12/28

Probability density functions Percentage points

13/03/24 Department of Mathematics 13/28

13/03/24 Department of Mathematics 14/28

13/03/24 Department of Mathematics 16/28

13/03/24 Department of Mathematics 17/28

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

13/03/24 Department of Mathematics 19/28

13/03/24 Department of Mathematics 20/28

13/03/24 Department of Mathematics 21/28

13/03/24 Department of Mathematics 22/28

13/03/24 Department of Mathematics 23/28

13/03/24 Department of Mathematics 24/28

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

13/03/24 Department of Mathematics 25/28

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

13/03/24 Department of Mathematics 27/28

13/03/24 Department of Mathematics 28/28

13/03/24 Department of Mathematics 29/28

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