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The Pivotal Quantity

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Jojo Basar
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96 views3 pages

The Pivotal Quantity

Uploaded by

Jojo Basar
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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The pivotal quantity method is a statistical technique used to construct confidence intervals for unknown

parameters in a population. A pivotal quantity is a function of the sample data and the unknown
parameter that has a known distribution that does not depend on the parameter itself. This approach is
commonly used because it provides a systematic way to derive confidence intervals, particularly when
the sampling distribution of the estimator is known or can be approximated.

### Key Concepts of the Pivotal Quantity Method

1. **Pivotal Quantity Definition**:

- A pivotal quantity \( Q \) is a function of the sample data \( X = (X_1, X_2, \ldots, X_n) \) and the
unknown parameter \( \theta \) such that the distribution of \( Q \) does not depend on \( \theta \). That
is, the distribution of \( Q \) is known and fixed, regardless of the parameter's value.

- For example, if \( X \sim N(\mu, \sigma^2) \), then the quantity \( \frac{\bar{X} - \mu}{\sigma /
\sqrt{n}} \) has a standard normal distribution, and thus it is a pivotal quantity for \( \mu \).

2. **Constructing Confidence Intervals Using Pivotal Quantities**:

- To construct a confidence interval for an unknown parameter \( \theta \), identify a pivotal quantity \(
Q(X, \theta) \) with a known distribution.

- For a desired confidence level \( (1 - \alpha) \), find constants \( a \) and \( b \) such that \( P(a \leq
Q(X, \theta) \leq b) = 1 - \alpha \).

- Rearrange this inequality to isolate \( \theta \) and form an interval based on the observed data
values.

### Steps for Constructing a Confidence Interval with the Pivotal Quantity Method

1. **Identify a Pivotal Quantity**:

- Find a pivotal quantity involving both the sample statistic (from the observed data) and the parameter
\( \theta \) you want to estimate. For example, for a normally distributed population, the standardized
sample mean \( \frac{\bar{X} - \mu}{\sigma / \sqrt{n}} \) is a pivotal quantity for \( \mu \) because it
follows a standard normal distribution.

2. **Set Confidence Bounds**:


- Determine values \( a \) and \( b \) based on the known distribution of the pivotal quantity. For
instance, if \( Q(X, \theta) \sim N(0, 1) \), then for a 95% confidence interval, we can choose \( a = -1.96
\) and \( b = 1.96 \) since 95% of a standard normal distribution falls between these values.

3. **Solve the Inequality for \( \theta \)**:

- Rearrange the inequality \( a \leq Q(X, \theta) \leq b \) to isolate \( \theta \), resulting in a confidence
interval. For example, solving \( -1.96 \leq \frac{\bar{X} - \mu}{\sigma / \sqrt{n}} \leq 1.96 \) for \( \mu \)
yields \( \bar{X} - 1.96 \frac{\sigma}{\sqrt{n}} \leq \mu \leq \bar{X} + 1.96 \frac{\sigma}{\sqrt{n}} \).

4. **Interpret the Interval**:

- Based on the observed data, calculate the interval. The resulting interval provides an estimate for the
parameter \( \theta \) at the specified confidence level.

### Example: Confidence Interval for the Mean of a Normal Distribution (Known Variance)

Suppose \( X_1, X_2, \ldots, X_n \) are i.i.d. random variables from a normal distribution \( N(\mu,
\sigma^2) \), with known variance \( \sigma^2 \). We want to find a confidence interval for \( \mu \).

1. **Pivotal Quantity**:

- The standardized sample mean \( \frac{\bar{X} - \mu}{\sigma / \sqrt{n}} \) follows a standard normal
distribution, i.e., \( \frac{\bar{X} - \mu}{\sigma / \sqrt{n}} \sim N(0, 1) \).

2. **Set Confidence Bounds**:

- For a 95% confidence level, use the critical values \( -1.96 \) and \( 1.96 \) from the standard normal
distribution.

3. **Solve the Inequality for \( \mu \)**:

\[

-1.96 \leq \frac{\bar{X} - \mu}{\sigma / \sqrt{n}} \leq 1.96

\]

Multiplying through by \( \sigma / \sqrt{n} \) and rearranging gives:

\[
\bar{X} - 1.96 \frac{\sigma}{\sqrt{n}} \leq \mu \leq \bar{X} + 1.96 \frac{\sigma}{\sqrt{n}}

\]

4. **Interpret the Interval**:

- The interval \( \left( \bar{X} - 1.96 \frac{\sigma}{\sqrt{n}}, \bar{X} + 1.96 \frac{\sigma}{\sqrt{n}} \right)
\) is a 95% confidence interval for \( \mu \).

### Advantages and Limitations of the Pivotal Quantity Method

**Advantages**:

- The method is widely applicable when a pivotal quantity can be identified, making it versatile for many
different types of data and parameter estimates.

- It can provide exact confidence intervals if the pivotal quantity has an exact known distribution.

**Limitations**:

- Finding a pivotal quantity may not always be straightforward, especially for complex or non-standard
distributions.

- The method often requires assumptions about the form of the population distribution (e.g., normality),
which may not hold in all cases.

The pivotal quantity method is foundational in constructing confidence intervals and is an elegant
approach that leverages known distributions to make inferences about unknown parameters. This
method is central in classical statistics and provides a basis for many confidence interval constructions in
applied statistics.

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