Chi-square,

Students t and Snedecors F Distribu7ons

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Learning Goals
To become familiar with Chi-square, t and F To get to know the rela7onships among Normal, Chi-square, t and F To get to know the uses of Chi-square, t and F

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Rela7on to normal distribu7on If X has a standard normal distribu7on, then its square has a Chi-square distribu7on with 1 degree of freedom. In fact, sum of squares of n independent standard normal variables has a chi-square distribu7on with n degrees of freedom.

Chi-square distribu7on

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Chi-square distribu7on - Uses

Very useful in
Hypothesis tes7ng Construc7on of condence intervals
For the variance of a normal distribu7on based on a random sample

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Chi-square Distribu7on
The probability density func7on (pdf) of the chi-squared distribu7on is

where (k/2) denotes the Gamma func7on. Gamma func7on has

1 )! closed-form values for integer k. ( k ) = ( k where k is an integer. 1
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x 1 k 2 2 x e , x 0 k f ( x, k ) = 2 k 2 ( ) 2 0, Otherwise

= 2

Density of Chi-square distribu7on with k degrees of freedom

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Chi-square distribu7on Proper7es

Let X have a chi-square distribu7on with k degrees of freedom (df). This is denoted by X ~ k2 Mean of X = k Variance of X = 2k If X and Y have independent Chi-square distribu7ons with degrees of freedom m and n respec7vely, then X+Y has a chi- square distribu7on with degrees of freedom m+n.
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t distribu7on Rela7on to normal and Chi-square distribu7ons

Suppose X has a standard normal distribu7on and Y has a chi-square distribu7on with k degrees of freedom . Suppose X further that and are independent. Y X Z = Dene Y k Z The distribu7on of is called a Students t distribu7on (or simply t distribu7on) with k degrees of freedom. This is denoted by Z ~ tk

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 Very useful in

t distribu7on - Uses

Hypothesis tes7ng Construc7on of condence intervals

For the mean of a normal distribu7on based on a random sample.

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t distribu7on Density Func7on

The density of t distribu7on with degrees of freedom is given by + 1 +1
2 2 t f (t ) = 1 + 2
2

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t distribu7on - Density

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t distribu7on - Shape
It is a bell-shaped distribu7on like normal distribu7on. It is symmetric about 0. It has facer tails than normal distribu7on. t distribu7on comes closer and closer to normal distribu7on as the degrees of freedom get larger and larger.

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Mean and variance Let Z have a t distribu7on with k degrees of freedom. The mean of Z = 0 k The variance of Z = k 2 when k > 2

t distribu7on

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F distribu7on
Suppose X and Y are independently distributed as chi-square random variables with degrees of freedom m and n respec7vely. Dene The distribu7on of Z is called F distribu7on with degrees of freedom m for the numerator and n for the denominator. This is denoted by Z ~ Fm ,n
X ) ( m Z= (Y n)

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F distribu7on - Uses
Very useful in:
a) Hypothesis tes7ng and Construc7on of condence intervals for the ra7o of variances of two normal distribu7ons based on independent random samples, b) Hypothesis tes7ng of equality of means of several normal distribu7ons with the same variance.

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Density of F distribu7on, Fm , n
Let X ~ Fm,n
f ( x) = 1 m x m n n B , 2 2
m 2 m 1 2 m+n 2

m 1 + x n

,x 0

Where B (.,.) is a Beta func7on.

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Density of F distribu7on, Fd1 ,d 2

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Proper7es of F distribu7on
Let U ~ Fm ,n Mean of U =
n ,n > 2 n2
2n 2 (m + n 2) ,n > 4 2 n(n 2) (n 4)

Variance of U =
1 ~ Fn,m U

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Distribu7on Tables
The probability tables for each of these distribu7ons have been calculated and tabulated for several values of Degrees of Freedom We can nd these tables online or in text books An easier way is to make use of sta7s7cal sohware that readily calculate these values for us Using R:
Chi-square: > pchisq(x,df) t-distribu7on: > pt(x,df) F-distribu7on: >pf(x,df1,df2)

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Thank You

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