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Notes06 Statistics and Sampling Distribution

This chapter discusses sampling distributions and their properties. It begins by defining a sample statistic and how it can vary from sample to sample due to sampling variation. It then examines the distribution of the sample mean for normal and non-normal populations using the Central Limit Theorem. The chapter also covers finding the mean, variance, and moment generating function of linear combinations of random variables. It concludes by introducing the Chi-square, t, and F distributions which are important in statistical inference.

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Lee Chia
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58 views48 pages

Notes06 Statistics and Sampling Distribution

This chapter discusses sampling distributions and their properties. It begins by defining a sample statistic and how it can vary from sample to sample due to sampling variation. It then examines the distribution of the sample mean for normal and non-normal populations using the Central Limit Theorem. The chapter also covers finding the mean, variance, and moment generating function of linear combinations of random variables. It concludes by introducing the Chi-square, t, and F distributions which are important in statistical inference.

Uploaded by

Lee Chia
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Chapter 8

Chapter 6: Sampling Distributions and


Estimation
Chapter Contents

6.1 Statistics and Their Distributions


6.2 The Distribution of the Sample Mean
6.3 The Mean, Variance and MGF for Several Variables
6.4 Distributions Based on a Normal Random Sample

8-1
Chapter 8
6.1 Statistics and Their Distributions

• Sample statistic 样本统计量 – a random variable whose value


depends on which population items are included in the random
sample.
• Depending on the sample size, the sample statistic could either
represent the population well or differ greatly from the population.
• This sampling variation 抽样波动 can easily be illustrated.

8-2
6.1 Statistics and Their Distributions

8-3
Chapter 8
6.1 Statistics and Their Distributions

• Consider eight random samples of size n = 5 from a large


population of GMAT scores for MBA applicants.

• The sample means tend to be close to the population mean


(m = 520.78).

8-4
Chapter 8
6.1 Statistics and Their Distributions

• The dot plots show that the sample means have much less variation
than the individual sample items.

8-5
6.1 Statistics and Their Distributions
Example 6.1

8-6
6.1 Statistics and Their Distributions
Random Sample, i.i.d

8-7
Chapter 8
6.1 Statistics and Their Distributions
Two Approaches to Derive the Sampling Distribution of a
Statistic
• Direct Calculation using Probability Rules
• Simulation using Computer Experiments

8-8
6.1 Statistics and Their Distributions
Example 6.2: Sampling Distribution of a Statistic

8-9
6.1 Statistics and Their Distributions
Example 6.2

8-10
Example 6.2
8.1 Sampling Variation
Example 6.2

8-11
6.1 Statistics and Their Distributions
Example 6.2

8-12
6.1 Statistics and Their Distributions
Example 6.2

8-13
6.1 Statistics and Their Distributions
Example 6.3: Sampling Distribution of Statistic

8-14
6.1 Statistics and Their Distributions
Example 6.3

8-15
6.1 Statistics and Their Distributions
Example 6.3

8-16
6.1 Statistics and Their Distributions
Simulation Experiments

8-17
6.1 Statistics and Their Distributions
Example 6.5

8-18
6.1 Statistics and Their Distributions
Example 6.5

8-19
6.1 Statistics and Their Distributions
Example 6.5

8-20
6.2 The Distribution of the Sample Mean
Proposition

8-21
6.2 The Distribution of the Sample Mean
The Case of a Normal Population Distribution

8-22
6.2 The Distribution of the Sample Mean
The Case of a Normal Population Distribution

8-23
6.2 The Distribution of the Sample Mean
Example 6.7

8-24
6.2 The Distribution of the Sample Mean
The Central Limit Theorem (CLT) 中心极限定理

8-25
6.2 The Distribution of the Sample Mean
The Central Limit Theorem (CLT)

8-26
6.2 The Distribution of the Sample Mean
The Central Limit Theorem (CLT)

8-27
Chapter 8
6.2 The Distribution of the Sample Mean

Illustrations of Central Limit Theorem

Using the uniform


and a right skewed
distribution.
Note:

8-28
6.2 The Distribution of the Sample Mean
Example 6.9

8-29
6.2 The Distribution of the Sample Mean
The Law of Large Numbers (LLN) 大数定律

8-30
Bayes’s Theorem

1-31
8-31
Bayes’s Theorem

1-32
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6.3 The Mean, Variance and MGF for Several
Variables
Linear Combination of Several Variables

8-33
6.3 The Mean, Variance and MGF for Several
Variables
Linear Combination of Several Variables

8-34
6.3 The Mean, Variance and MGF for Several
Variables
Linear Combination of Several Variables

8-35
6.3 The Mean, Variance and MGF for Several
Variables
Example 6.12

8-36
6.3 The Mean, Variance and MGF for Several
Variables
The Case of Normal Variables

8-37
6.3 The Mean, Variance and MGF for Several
Variables
A Proof Using MGF

8-38
6.3 The Mean, Variance and MGF for Several
Variables
Example 6.15 (Example 6.12 Continued)

8-39
6.4 Distributions Based on a Normal Random
Sample
Chisquare Distribution

8-40
6.4 Distributions Based on a Normal Random
Sample
Chisquare Distribution

8-41
6.4 Distributions Based on a Normal Random
Sample
Chisquare Distribution

8-42
6.4 Distributions Based on a Normal Random
Sample
Chisquare Distribution

8-43
6.4 Distributions Based on a Normal Random
Sample
t Distribution

8-44
6.4 Distributions Based on a Normal Random
Sample
t Distribution

8-45
6.4 Distributions Based on a Normal Random
Sample
F Distribution

8-46
6.4 Distributions Based on a Normal Random
Sample
F Distribution

8-47
6.4 Distributions Based on a Normal Random
Sample
F Distribution

8-48

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