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CE 207 Lecture 06 - Central Limit Theorem

The document discusses the central limit theorem, which states that the sum of a large number of independent random variables will be approximately normally distributed, regardless of the underlying distributions of the individual random variables. It provides examples of how to apply the central limit theorem to calculate probabilities related to sample means, variances, and totals. It also discusses how large a sample needs to be for the normal approximation to be valid.

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Zaki Khan
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15 views13 pages

CE 207 Lecture 06 - Central Limit Theorem

The document discusses the central limit theorem, which states that the sum of a large number of independent random variables will be approximately normally distributed, regardless of the underlying distributions of the individual random variables. It provides examples of how to apply the central limit theorem to calculate probabilities related to sample means, variances, and totals. It also discusses how large a sample needs to be for the normal approximation to be valid.

Uploaded by

Zaki Khan
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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CE 207: Applied Mathematics for Engineers

Lecture# 6
Central Limit Theorem
(Ref: Chapter 6 of Sheldon M. Ross)

Dr. Sheikh Mokhlesur Rahman


Associate Professor, Dept. of CE
Contact: [email protected]
2
Central Limit Theorem

• The sum of a large number of independent random


variables has a distribution that is approximately
normal.
• Let X1, X2,……, Xn be n independent random
variables each having the same distribution (any
type). Each has the same mean  and variance 2.
Then for large n, the distribution of X1 + X2 + … +
Xn is approximately normal with mean n and
variance n2.
• It explains the very fact that experimentally obtained
frequencies of many natural populations exhibit a
normal (bell-shaped) curve.

January 2023 Semester - SMR CE 207_Central Limit Theorem


3
Central Limit Theorem (contd.)

• For large n, the normal variable X1 + X2 + … + Xn


may be transformed to a standard normal variable Y
by the following transformation
𝑋1 + 𝑋1 +. . . . . +𝑋𝑛 − 𝑛𝜇
𝜎 𝑛

Thus
 X + X 1 + ..... + X n − n 
P 1  x   PY  x
  n 
 X 1 + X 1 + ..... + X n − n 
i.e., P   x   (x )
  n 

January 2023 Semester - SMR CE 207_Central Limit Theorem


4
Sample Mean
Expected value of Sample Mean X is equal to the
Population Mean :
i.e.,
E X  = 
n
X =  Xi n
i =1

Variance of Sample Mean,


2
Var X  = 2
n

Var ( X ) =
1
i
n i =1 n

As the sample size n increases, the variance of X


decreases.
January 2023 Semester - SMR CE 207_Central Limit Theorem
5
Central Limit Theorem (contd.)

• Distribution of Sample Mean


▪ Let X1, X2,……, Xn be sample taken from population,
each having mean  and variance 2.
▪ If we define sample mean 𝑋ത = 𝑋1 + 𝑋2 +. . . . . . . +𝑋𝑛 /𝑛
𝜎2
then 𝑋ത has mean  and variance .
𝑛
▪ For large n, by the Central Limit Theorem, X1 + X2 + …
+ Xn is approximately normal, hence 𝑋ത is also normal,
𝜎2
ത
𝑋~𝑁 𝜇,
𝑛

Thus, transformation to standard normal distribution by


𝑋ሜ − 𝜇
𝜎 ~𝑁 0,1 When, 𝑛 → ∞
𝑛
January 2023 Semester - SMR CE 207_Central Limit Theorem
6
How Large Sample needed?
• How large the sample size n
needs to be for the normal
approximation to be valid,
depends on the population
distribution of the sample data.
• If the population data is normal
then the sample mean will also
be normal regardless of sample
size. Densities of the average of n
• A general rule of thumb is that exponential random variables
the sample mean of a sample of having mean 1.
size at least 30 will be
approximately normal. In many
cases, it may be valid for smaller
sample sizes.

January 2023 Semester - SMR CE 207_Central Limit Theorem


7
Example Problem 1
Problem: An insurance company has 25000 car insurance policy
holders. If the yearly claim of a policy holder is a random variable with
mean 320 and standard deviation 540, approximate the probability that
the total yearly claim exceeds 8.3 million.

Solution:

January 2023 Semester - SMR CE 207_Central Limit Theorem


8
Example Problem 2
Problem: Civil engineers believe that W, the amount of weight (in
units of 1000 pounds) that a certain span of a bridge can withstand
without structural damage resulting, is normally distributed with mean
400 and standard deviation 40. Suppose that the weight (again, in units
of 1000 pounds) of a car is a random variable with mean 3 and standard
deviation 0.3. How many cars would have to be on the bridge span for
the probability of structural damage to exceed 0.1?

Solution:

January 2023 Semester - SMR CE 207_Central Limit Theorem


9
Example Problem 3
Problem: The weights of a population of workers have mean 167 and
standard deviation 27. Approximate the probability that the sample
mean of their weights lies between 163 and 170 for (a) sample of 36
workers and (b) sample of 144 workers.

Solution:

January 2023 Semester - SMR CE 207_Central Limit Theorem


10
Sample Variance

Sample Variance

 (X −X)
n n
Sample Mean, X =  X i n
2
i
S2 = i =1
i =1
n −1

Here, n-1 is used instead of n so as to make the Expected


value (mean) of Sample Variance equal to the Population
Variance 2:
E S =  
2 2

January 2023 Semester - SMR CE 207_Central Limit Theorem


11
Example Problem 4
Problem: The time taken by a processing unit to process a certain
type of job is normally distributed with mean 20 sec and standard
deviation 3 sec. If a sample of 15 such jobs is observed what is the
probability that the sample variance will exceed 12?

Solution:

January 2023 Semester - SMR CE 207_Central Limit Theorem


12
Chi-Square Table

January 2023 Semester - SMR CE 207_Central Limit Theorem


13
Practice Problems
Chapter 6:
5, 8, 9, 12, 18

January 2023 Semester - SMR CE 207_Central Limit Theorem

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