Lecture 05 - Addendum - Chisquare, T and F Distributions
Lecture 05 - Addendum - Chisquare, T and F Distributions
1 Some Genesis
Specically, if= 1,Z22 . The density function of chi-square distribution will not be pursued here. We only note that: Chi-square is aclassof distribution indexed by itsdegree of freedom, like thet-distribution. In fact, chi-square has a relation witht. We will show this later.
IfX22, we show that: E{X2}=, VAR{X2}= 2. For the above example,Zj2 ,ifEZj= 1,VARZj= 2,j= 1,2. . . , , then
1
E{X2}=E{Z1+. . .+Z}
2 2
=EZ1+. . .+EZ = 1 + 1 +. . .+ 1 =. Similarly,VAR{X2}= 2. So it suces to show E{Z2}= 1,VAR{Z2}= 2. SinceZis distributed as N(0,1),E{Z2}is calculated as 1
2
z2ez/2dz, 2
which can easily be shown to be 1. Furthermore,VAR{Z2}can be calculated through the formula:VAR{Z2}=E{Z4} (E{Z2})2.
Illustration: As an example for Law of Large Number(LLN) and Central Limit Theorem(CLT)
IfX22,X2can be written asX2=Z1+. . .+Z,for someZ1, . . . , Ziid N(0,1). Then when , X2 EX2 X2 2) =N(0,1) (CLT); 2 VAR(X X22 1 (LLN).
moreover,
)2 2,
n
Xj 2
1(Xj
{}=
j=1
ifisknown, or otherwise (ifis unknown)needs to be estimated (byX, say,) such that (still needs to be proved):
n 1(Xj
X)2 21.(1) 2
n
Usuallyis not known, so we use formula (1) to make inference on2. Denotes 2as thep-th percentile from the rightfor the2-distribution, the two,p
Pr{21,1/2<
n
2 2
}= 100(1)%
n1,/2
j 1n n2n2 1(XjX)1(XjX)
21,1/2
n
(, 21,/2
n
) 21,1/2
n
(XiX)2 (n1)2
Z .(4)
21
n
n1
Z ,
21
n
n1
Z
2
Fversus2 From some notes about ANOVA, we have learned that 2/a Fa,b
a
(5)
The original concern of Fisher is to construct astatisticwhich has a sampling distribution, in some extent, free from the degrees of freedomaandbunder the null hypothesis. With this concern, he presented his F-statistic in a way that: Since2has expectationa, so the numerator2/ahas expectation 1;
a a
similarly, the denominator also has expectation 1. As Fisher said,the value of F-statistic will uctuate near 1 under the null hypothesisH0:1= . . .=(if=a+ 1). From (5), we are able to express the2-distribution in terms ofF: 2/a
a
2/a =a, 1
b
Fa,= limb(2/b)
from Section 3 (LLN). So2-table can be treated as a part ofF-tables. 5.3 tversusF Z t = 2/
2 /1
1
= =F1,.
2/