9 October 2019

Topic 7:
Distribution of Sampling Statistics

FASILKOM, Universitas Indonesia

CSF2600102 – Statistics and Probability

Fakultas Ilmu Komputer

Universitas Indonesia
Ganjil 2015/2016
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Outline
• Distributions Arising from the Normal
• The Chi-Square Distribution

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• The t-Distribution
• The F-Distribution
• Introduction to Distribution of Sampling Statistics
• Sample Mean

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• Central Limit Theorem
• Approximate Distribution of Sample Mean
• How Large a Sample is Needed
• Sample Variance
• Sampling Distribution from Normal Distribution
• Distribution of Sample Mean
• Joint Distribution of Sample Mean and Variance 2
• Sampling from a Finite Population
 the Normal
Distributions Arising from

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Various Distributions Arising from
The Normal

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1. The Chi-Square Distribution
2. The t-Distribution

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3. The F-Distribution

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 1. Chi-Square Distribution

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1. Chi-Square Distribution
• If Z1, Z2 , Z3, …, Zn are independent standard

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normal distribution variables, then X, defined
by:
X= Z12 + Z22 + Z32 + …+ Zn2

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is said to have a Chi-Square distribution with
n degree of freedom.
• Notation:

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Chi-Square Density Function
• If X is a chi-square random variable with

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n degrees of freedom, then for any α ϵ
(0,1): the quantity χ2α,n is defined to be
such that:

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P( X   ,n )  
2

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Degree of Freedom
• In statistics, the number of degrees of freedom is the
number of values in the final calculation of a statistic

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that are free to vary
• For example, if we have two observations:
• when calculating the mean we have two

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independent observations;
• however, when calculating the variance, we have
only one independent observation, since the two
observations are equally distant from the mean.

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Example
• Suppose that we are attempting to

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locate a target in three-dimensional
space, and that the three coordinate
errors (in meters) of the point chosen

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are independent normal random
variables with mean 0 and standard
deviation 2. Find the probability that
the distance between the point chosen
and the target exceeds 3 meters. 10
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 2. The t-Distribution

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2. The t-Distribution
 2
• If Z and n are independent random variables, with Z
having a standard normal distribution and  n having
2

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a chi-square distribution with n degrees of freedom,
then the random variable Tn defined by

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is said to have a t-distribution with n degrees of
freedom.

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Like the standard normal density, the t-density
is symmetric about zero. In addition, as n
becomes larger, it becomes more and more like
a standard normal density. 14
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Notice that the t -density has thicker “tails,”
indicating greater variability, than does the
normal density. 15
 3. The F-Distribution

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3. The F-Distribution
 
• If n and m are independent chi-square
2 2

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random variables with n and m degrees of
freedom, respectively, then the random
variable Fn,m defined by

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is said to have an F-distribution with n and
m degrees of freedom.
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The quantities Fα,n,m are tabulated in Table A4 of
the Appendix for different values of n,m, and α ≤ 18
1/2
Introduction to Distribution of Sampling Statistics

Our objective in this chapter: to make inferences

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about a distribution F using the samples taken from F.

• Parametric inference problem: The form of F is

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specified up to a set of unknown parameters, e.g.:
• F is assumed as a normal distribution function having
an unknown mean and variance.

• Nonparametric inference problem: nothing is

assumed about the form of F. 19
Sample Mean
• Suppose X1,X2,...,Xn are the samples taken from any

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distribution whose population mean is µ and population
variance is 2.

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• The sample mean is

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Sample Mean
X is also a random variable whose mean is given

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by:

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 Sample Mean

The variance of X is given by:

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Sample Mean
• X is also centered about the population mean μ, but its

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spread becomes more and more reduced as the sample
size increases.

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Sample Variance

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 The expected value of sample variance is the population
variance 2

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The Central Limit Theorem

Let X1,X2,...,Xn be a sequence of independent and

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identically distributed (i.i.d) random variables each
having mean μ and variance σ2. Then for n large,

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i.e., the distribution of X1+X2+...+Xn is approximately
normal with mean nμ and variance nσ2.
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 The Central Limit Theorem

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Example
An insurance company has 25,000 automobile

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policy holders. If the yearly claim of a policy holder
is a random variable with mean 320 and standard

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deviation 540, approximate the probability that
the total yearly claim exceeds 8.3 million.

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Approximate Distribution of the
Sample Mean

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Since the sample mean has expected value μ and
standard deviation σ/√n, it then follows that for n
large,

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has approximately a standard normal distribution.

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Example
The weights of a population of workers have

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mean of 167 and standard deviation of 27.
(a) If a sample set of 36 workers is chosen,

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approximate the probability that the sample
mean of their weights lies between 163 and
171.
(b) Repeat part (a) when the sample is of size
144.
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How Large a Sample Is Needed
• A general rule of thumb is that one can be

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confident of the normal approximation
whenever the sample size n is at least 30.

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• That is, practically speaking, no matter how non
normal the underlying population distribution
is, the sample mean of a sample of size at least
30 will be approximately normal.
• In most cases, the normal approximation is valid
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for much smaller sample sizes.
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Sampling from a Finite Population

• Consider a population of N elements, and suppose that:

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• p is the proportion of the population that has a certain
characteristic of interest;
• Np elements have this characteristic, and N(1− p) do not.

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• A sample of size n from this population is said to be a
random sample if it is chosen in such a manner that each
of the C(N,n) population subsets of size n is equally likely
to be the sample.

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Sampling from A Finite Population
• Suppose n samples are chosen, i=1,...,n, let

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• If N >> n, then X1,X2,... ,Xn are approximately
n
independent. Let X   X , then X is a
i 1
i

binomial R.V. with parameters n and p, and

E  X   np
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Var  X   np 1- p  .
Sampling from a Finite Population

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• Let X  proportion of the sample that has the
n
characteristic, then

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E[ X ]
E[ X ]  p
n
1 p(1  p)
Var ( X )  2 [np(1  p)]  .
n n
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 The End of Topic 7

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