Mathematical statistics - GitHub Pagesvucdinh.github.io/F18/lecture15.pdfCountdown to mid-term exam:...
Transcript of Mathematical statistics - GitHub Pagesvucdinh.github.io/F18/lecture15.pdfCountdown to mid-term exam:...
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Mathematical statistics
October 16th, 2018
Lecture 15: Prediction intervals
Mathematical statistics
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Countdown to mid-term exam: 9 days
Week 1 · · · · · ·• Probability reviews
Week 2 · · · · · ·• Chapter 6: Statistics and SamplingDistributions
Week 4 · · · · · ·• Chapter 7: Point Estimation
Week 7 · · · · · ·• Chapter 8: Confidence Intervals
Week 10 · · · · · ·• Chapter 9: Test of Hypothesis
Week 14 · · · · · ·• Regression
Mathematical statistics
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Overview
8.1 Basic properties of confidence intervals (CIs)
Interpreting CIsGeneral principles to derive CI
8.2 Large-sample confidence intervals for a population mean
Using the Central Limit Theorem to derive CIs
8.3 Intervals based on normal distribution
Using Student’s t-distribution
8.4 CIs for standard deviation
Mathematical statistics
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Confidence Intervals
Mathematical statistics
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Framework
Let X1,X2, . . . ,Xn be a random sample from a distributionf (x , θ)
In Chapter 7, we learnt methods to construct an estimate θ̂ ofθ
Goal: we want to indicate the degree of uncertaintyassociated with this random prediction
One way to do so is to construct a confidence interval[θ̂ − a, θ̂ + b] such that
P[θ ∈ [θ̂ − a, θ̂ + b]] = 95%
Mathematical statistics
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Principles for deriving CIs
If X1,X2, . . . ,Xn is a random sample from a distribution f (x , θ),then
Find a random variable Y = h(X1,X2, . . . ,Xn; θ) such thatthe probability distribution of Y does not depend on θ or onany other unknown parameters.
Find constants a, b such that
P [a < h(X1,X2, . . . ,Xn; θ) < b] = 0.95
Manipulate these inequalities to isolate θ
P [`(X1,X2, . . . ,Xn) < θ < u(X1,X2, . . . ,Xn)] = 0.95
Mathematical statistics
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Assumptions
Section 8.1
Normal distributionσ is known
Section 8.2
Normal distribution→ use Central Limit Theorem → needs n > 30σ is known→ replace σ by s → needs n > 40
Section 8.3
Normal distributionσ is known
→ Introducing t-distribution
Mathematical statistics
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95% confidence interval of the mean
Assumptions:
Normal distributionσ is known
95% confidence intervalIf after observing X1 = x1, X2 = x2,. . . , Xn = xn, we computethe observed sample mean x̄ . Then(
x̄ − 1.96σ√n, x̄ + 1.96
σ√n
)is a 95% confidence interval of µ
Mathematical statistics
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100(1− α)% confidence interval
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100(1− α)% confidence interval
Mathematical statistics
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Large-sample CIs of the population mean
Central Limit TheoremX̄ − µσ/√n
is approximately normal when n > 30
Moreover, when n is sufficiently large s ≈ σConclusion:
X̄ − µs/√n
is approximately normal when n is sufficiently large
If n > 40, we can ignore the normal assumption and replace σby s
Mathematical statistics
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95% confidence interval
If after observing X1 = x1, X2 = x2,. . . , Xn = xn (n > 40), wecompute the observed sample mean x̄ and sample standarddeviation s. Then (
x̄ − 1.96s√n, x̄ + 1.96
s√n
)is a 95% confidence interval of µ
Mathematical statistics
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100(1− α)% confidence interval
If after observing X1 = x1, X2 = x2,. . . , Xn = xn (n > 40), wecompute the observed sample mean x̄ and sample standarddeviation s. Then (
x̄ − zα/2s√n, x̄ + zα/2
s√n
)is a 95% confidence interval of µ
Mathematical statistics
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8.3: Intervals based on normal distributions
the population of interest is normal(i.e., X1, . . . ,Xn constitutes a random sample from a normaldistribution N (µ, σ2)).
σ is unknown
→ we want to consider cases when n is small.
Mathematical statistics
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t distributions
When X̄ is the mean of a random sample of size n from a normaldistribution with mean µ, the rv
X̄ − µS/√n
has the t distribution with n − 1 degree of freedom (df).
Mathematical statistics
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t distributions with degree of freedom ν
Probability density function
f (t) =Γ(ν+1
2 )√νπ Γ(ν2 )
(1 +
t2
ν
)− ν+12
Mathematical statistics
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t distributions
Mathematical statistics
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Confidence intervals
Mathematical statistics
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Prediction intervals
Mathematical statistics
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Principles for deriving CIs
If X1,X2, . . . ,Xn is a random sample from a distribution f (x , θ),then
Find a random variable Y = h(X1,X2, . . . ,Xn; θ) such thatthe probability distribution of Y does not depend on θ or onany other unknown parameters.
Find constants a, b such that
P [a < h(X1,X2, . . . ,Xn; θ) < b] = 0.95
Manipulate these inequalities to isolate θ
P [`(X1,X2, . . . ,Xn) < θ < u(X1,X2, . . . ,Xn)] = 0.95
Mathematical statistics
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Settings
We have available a random sample X1,X2, . . . ,Xn from anormal population distribution
We wish to predict the value of Xn+1, a single futureobservation.
This is a much more difficult problem than the problem ofestimating µ
When n→∞, X̄ → µ
Even when we know µ, Xn+1 is still random
Mathematical statistics
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Settings
A natural estimate of Xn+1 is
X̄ =X1 + . . .+ Xn
n
Question: What is the uncertainty of this estimate?
Mathematical statistics
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Problem
Let X1,X2, . . . ,Xn be a sample from a normal populationdistribution N (µ, σ) and Xn+1 be an independent sample from thesame distribution.
Compute E [X̄ − Xn+1] in terms of µ, σ, n
Compute Var [X̄ − Xn+1] in terms of µ, σ, n
What is the distribution of X̄ − Xn+1?
Mathematical statistics
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Principle
If σ is knownX̄ − Xn+1
σ√
1 + 1n
follows the standard normal distribution N (0, 1).
Mathematical statistics
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Principle
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Prediction intervals
Mathematical statistics
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Practice problem
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Problem
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α→ t
Mathematical statistics
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Problem
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Φ(z)
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Section 6.4: Distributions based on a normal random sample
The Chi-squared distribution
The t distribution
The F Distribution
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Chi-squared distribution
The pdf of a Chi-squared distribution with degree of freedom ν,denoted by χ2
ν , is
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Why is Chi-squared useful?
Proposition
If Z has standard normal distribution Z(0, 1) and X = Z 2, then Xhas Chi-squared distribution with 1 degree of freedom, i.e. X ∼ χ2
1
distribution.
Proposition
If X1 ∼ χ2ν1 , X2 ∼ χ2
ν2 and they are independent, then
X1 + X2 ∼ χ2ν1+ν2
Mathematical statistics
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Why is Chi-squared useful?
Proposition
If Z1,Z2, . . . ,Zn are independent and each has the standard normaldistribution, then
Z 21 + Z 2
2 + . . .+ Z 2n ∼ χ2
n
Mathematical statistics
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Why is Chi-squared useful?
If X1,X2, . . . ,Xn is a random sample from the normal distributionN (µ, σ2). Note that
What is the distribution of the LHS?
What is the distribution of the second term on the RHS?
What is the distribution of
(n − 1)S2
σ2
Mathematical statistics
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Why is Chi-squared useful?
If X1,X2, . . . ,Xn is a random sample from the normal distributionN (µ, σ2), then
(n − 1)S2
σ2∼ χ2
n−1
Mathematical statistics
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t distributions
Let Z be a standard normal rv and let X be a χ2ν rv independent
of Z . Then the t distribution with degrees of freedom ν is definedto be the distribution of the ratio
T =Z√X/ν
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t distributions
When X̄ is the mean of a random sample of size n from a normaldistribution with mean µ, the rv
X̄ − µS/√n
has the t distribution with n − 1 degree of freedom (df).Hint:
T =Z√X/ν
(n − 1)S2
σ2∼ χ2
n−1
andX̄ − µS/√n
=X̄ − µσ/√n· 1√
(n − 1)S2
σ2 /(n − 1).
Mathematical statistics
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F distributions
Let X1 and X2 be independent chi-squared random variables withν1 and ν2 degrees of freedom, respectively. The Fν1,ν2 distributionwith ν1 numerator degrees of freedom and ν2 denominator degreesof freedom is defined to be the distribution of the ratio
X1/ν1X2/ν2
Mathematical statistics
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CIs for variance and standard deviation
Mathematical statistics
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Why is Chi-squared useful?
If X1,X2, . . . ,Xn is a random sample from the normal distributionN (µ, σ2), then
(n − 1)S2
σ2∼ χ2
n−1
Mathematical statistics
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Important: Chi-squared distribution are not symmetric
Mathematical statistics
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CIs for standard deviation
We have
Play around with these inequalities:
Mathematical statistics
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CIs for standard deviation
Mathematical statistics