sta. 113 chapter 7 of devore - duke universitysayan/113/lectures/lec7.pdf · normal distribution...
TRANSCRIPT
![Page 1: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/1.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Confidence intervals
Artin Armagan
Sta. 113 Chapter 7 of Devore
March 4, 2009
Artin Armagan Confidence intervals
![Page 2: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/2.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Table of contents
1 Normal distribution known variance
2 Large sample CI, or CLT to the rescue
3 Small sample normal, thank Guinness
4 Confidence intervals on the spread or variance
5 Confidence bounds
6 Sample size computations
Artin Armagan Confidence intervals
![Page 3: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/3.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Uncertainty
In the last lecture we learned about point estimates using the MLE.
Artin Armagan Confidence intervals
![Page 4: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/4.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Uncertainty
In the last lecture we learned about point estimates using the MLE.
We also learned about uncertainty in the context of Bayesianmethods and the posterior density.
Artin Armagan Confidence intervals
![Page 5: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/5.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Uncertainty
In the last lecture we learned about point estimates using the MLE.
We also learned about uncertainty in the context of Bayesianmethods and the posterior density.
We now study within the likelihood framework how to think ofuncertainty. This is the idea of a confidence interval and instatistics lingo it is the frequentist analog of the Bayesian credibleinterval.
Artin Armagan Confidence intervals
![Page 6: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/6.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Uncertainty
18 20 22 24 26 28
0.05
0.10
0.15
0.20
n=20
age
dens
ity
Artin Armagan Confidence intervals
![Page 7: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/7.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Uncertainty
18 20 22 24 26 28
0.05
0.10
0.15
0.20
n=20
age
dens
ity
Artin Armagan Confidence intervals
![Page 8: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/8.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Confidence interval of the mean
If X1, ..., Xniid∼ No(µ, σ2) with then we know that
Z =X̄ − µ
σ/√
n∼ No(0, 1).
Artin Armagan Confidence intervals
![Page 9: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/9.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Confidence interval of the mean
If X1, ..., Xniid∼ No(µ, σ2) with then we know that
Z =X̄ − µ
σ/√
n∼ No(0, 1).
This means that
Pr (−1.96 < Z < 1.96) = .95.
Pr
−1.96 <X̄ − µ
σ/√
n< 1.96
!
= .95.
Artin Armagan Confidence intervals
![Page 10: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/10.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Confidence interval of the mean
If X1, ..., Xniid∼ No(µ, σ2) with then we know that
Z =X̄ − µ
σ/√
n∼ No(0, 1).
This means that
Pr (−1.96 < Z < 1.96) = .95.
Pr
−1.96 <X̄ − µ
σ/√
n< 1.96
!
= .95.
Pr
−1.96σ√
n< X̄ − µ < 1.96
σ√
n
!
= .95.
Artin Armagan Confidence intervals
![Page 11: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/11.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Confidence interval of the mean
If X1, ..., Xniid∼ No(µ, σ2) with then we know that
Z =X̄ − µ
σ/√
n∼ No(0, 1).
This means that
Pr (−1.96 < Z < 1.96) = .95.
Pr
−1.96 <X̄ − µ
σ/√
n< 1.96
!
= .95.
Pr
−1.96σ√
n< X̄ − µ < 1.96
σ√
n
!
= .95.
Pr
−1.96σ√
n− X̄ < µ < −X̄ + 1.96
σ√
n
!
= .95.
Artin Armagan Confidence intervals
![Page 12: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/12.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Confidence interval of the mean
If X1, ..., Xniid∼ No(µ, σ2) with then we know that
Z =X̄ − µ
σ/√
n∼ No(0, 1).
This means that
Pr (−1.96 < Z < 1.96) = .95.
Pr
−1.96 <X̄ − µ
σ/√
n< 1.96
!
= .95.
Pr
−1.96σ√
n< X̄ − µ < 1.96
σ√
n
!
= .95.
Pr
−1.96σ√
n− X̄ < µ < −X̄ + 1.96
σ√
n
!
= .95.
Pr
1.96σ√
n+ X̄ > µ > X̄ − 1.96
σ√
n
!
= .95.
Artin Armagan Confidence intervals
![Page 13: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/13.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Confidence interval of the mean
If X1, ..., Xniid∼ No(µ, σ2) with then we know that
Z =X̄ − µ
σ/√
n∼ No(0, 1).
This means that
Pr (−1.96 < Z < 1.96) = .95.
Pr
−1.96 <X̄ − µ
σ/√
n< 1.96
!
= .95.
Pr
−1.96σ√
n< X̄ − µ < 1.96
σ√
n
!
= .95.
Pr
−1.96σ√
n− X̄ < µ < −X̄ + 1.96
σ√
n
!
= .95.
Pr
1.96σ√
n+ X̄ > µ > X̄ − 1.96
σ√
n
!
= .95.
Pr
X̄ − 1.96σ√
n< µ < X̄ + 1.96
σ√
n
!
= .95.
Artin Armagan Confidence intervals
![Page 14: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/14.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
A random interval
Consider the quantity
Pr
X̄ − 1.96σ√
n< µ < X̄ + 1.96
σ√
n
!
= .95,
X̄ is random but µ is not it is fixed.
Artin Armagan Confidence intervals
![Page 15: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/15.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
A random interval
Consider the quantity
Pr
X̄ − 1.96σ√
n< µ < X̄ + 1.96
σ√
n
!
= .95,
X̄ is random but µ is not it is fixed.The interpretation of the above equation is as a random interval
ℓ = X̄ − 1.96σ√
n, u = X̄ + 1.96
σ√
n
!
.
Artin Armagan Confidence intervals
![Page 16: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/16.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
A random interval
Consider the quantity
Pr
X̄ − 1.96σ√
n< µ < X̄ + 1.96
σ√
n
!
= .95,
X̄ is random but µ is not it is fixed.The interpretation of the above equation is as a random interval
ℓ = X̄ − 1.96σ√
n, u = X̄ + 1.96
σ√
n
!
.
The interval is centered at the sample mean and extends in either direction by 1.96 σ√n.
Artin Armagan Confidence intervals
![Page 17: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/17.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
A random interval
Consider the quantity
Pr
X̄ − 1.96σ√
n< µ < X̄ + 1.96
σ√
n
!
= .95,
X̄ is random but µ is not it is fixed.The interpretation of the above equation is as a random interval
ℓ = X̄ − 1.96σ√
n, u = X̄ + 1.96
σ√
n
!
.
The interval is centered at the sample mean and extends in either direction by 1.96 σ√n.
What a statistician would say is“ the probability is .95 that the random interval includes the true value µ.”
Artin Armagan Confidence intervals
![Page 18: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/18.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Formal definition
Definition
Given x1, ..., xniid∼ No(µ, σ2) compute x̄. The 95% confidence
interval for µ is
(
x̄ − 1.96σ√
n, x̄ + 1.96
σ√
n
)
,
or as x̄ ∓ 1.96 σ√n.
Artin Armagan Confidence intervals
![Page 19: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/19.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Meaning of a CI
What you want a confidence interval to say is“the probability that µ is included between x̄ ∓ 1.96 σ√
nis .95.”
Artin Armagan Confidence intervals
![Page 20: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/20.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Meaning of a CI
What you want a confidence interval to say is“the probability that µ is included between x̄ ∓ 1.96 σ√
nis .95.”
Do not say this on an exam.
Artin Armagan Confidence intervals
![Page 21: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/21.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Meaning of a CI
The 95% CI is interpreted as the limit of the following procedure and limT→∞ val = .05:
Out = 0For t = 1 to T
x1, ..., xniid∼ No(µ, σ2)
compute x̄
if µ 6∈“
x̄ − 1.96 σ√n, x̄ + 1.96 σ√
n
”
then Out → Out + 1
val = OutT
Artin Armagan Confidence intervals
![Page 22: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/22.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Meaning of a CI
The CI is a statement not about the estimate that you performedbut what would happen if you repeated the same estimationprocedure again and again.
Artin Armagan Confidence intervals
![Page 23: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/23.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Example: n = 20 T = 5
0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.80.1
0.15
0.2
0.25
0.3
0.35
0.4
0.45
0.5
Artin Armagan Confidence intervals
![Page 24: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/24.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Example: n = 20 T = 50
0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2 2.20
0.5
1
1.5
2
2.5
3
3.5
4
4.5
5
Artin Armagan Confidence intervals
![Page 25: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/25.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Example: n = 20 T = 500
−0.5 0 0.5 1 1.5 2 2.50
5
10
15
20
25
30
35
40
45
50
Artin Armagan Confidence intervals
![Page 26: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/26.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Example: n = 200 T = 5
0.85 0.9 0.95 1 1.05 1.1 1.15 1.2 1.250.1
0.15
0.2
0.25
0.3
0.35
0.4
0.45
0.5
Artin Armagan Confidence intervals
![Page 27: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/27.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Example: n = 200 T = 50
0.7 0.8 0.9 1 1.1 1.2 1.3 1.40
0.5
1
1.5
2
2.5
3
3.5
4
4.5
5
Artin Armagan Confidence intervals
![Page 28: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/28.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Example: n = 200 T = 500
0.7 0.8 0.9 1 1.1 1.2 1.3 1.40
5
10
15
20
25
30
35
40
45
50
Artin Armagan Confidence intervals
![Page 29: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/29.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Code
T = 500;
n=200;
for i=1:n
x = randn(1,n) + 1;
m = mean(x);
l(1,i) = m - 1.96/sqrt(n);
u(1,i) = m + 1.96/sqrt(n);
end
yv = (1:T)*.1;
plot(l,yv,’b*’);
hold on;
plot(u,yv,’r*’);
plot(1,yv,’g+’);
hold off
Artin Armagan Confidence intervals
![Page 30: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/30.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Levels of confidence
We can define any 100(1 − α)% CI not just a 95% CI.
Artin Armagan Confidence intervals
![Page 31: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/31.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Levels of confidence
We can define any 100(1 − α)% CI not just a 95% CI.
This is done by replacing 1.96 with zα/2 since
Pr(
−zα/2 < Z < zα/2
)
= 1 − α.
Artin Armagan Confidence intervals
![Page 32: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/32.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Levels of confidence
We can define any 100(1 − α)% CI not just a 95% CI.
This is done by replacing 1.96 with zα/2 since
Pr(
−zα/2 < Z < zα/2
)
= 1 − α.
Definition
A 100(1 − α)% CI of µ for a normal population with known σ is
(
x̄ − zα/2σ√
n, x̄ + zα/2
σ√
n
)
,
or as x̄ ∓ zα/2σ√n.
Artin Armagan Confidence intervals
![Page 33: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/33.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Using the CLT
If X1, ..., Xn are drawn i.i.d. from a distribution with mean µ and variance σ2 and n is large then the CLT holdsand
Z =X̄ − µ
σ/√
n∼ No(0, 1).
Artin Armagan Confidence intervals
![Page 34: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/34.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Using the CLT
If X1, ..., Xn are drawn i.i.d. from a distribution with mean µ and variance σ2 and n is large then the CLT holdsand
Z =X̄ − µ
σ/√
n∼ No(0, 1).
soPr“
−zα/2 < Z < zα/2
”
≈ 1 − α.
Artin Armagan Confidence intervals
![Page 35: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/35.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Using the CLT
If X1, ..., Xn are drawn i.i.d. from a distribution with mean µ and variance σ2 and n is large then the CLT holdsand
Z =X̄ − µ
σ/√
n∼ No(0, 1).
soPr“
−zα/2 < Z < zα/2
”
≈ 1 − α.
We almost never know σ so we replace it with the sample standard deviation S =P
i (Xi−X̄ )2
n−1and
Z =X̄ − µ
S/√
n.
Artin Armagan Confidence intervals
![Page 36: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/36.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Using the CLT
If X1, ..., Xn are drawn i.i.d. from a distribution with mean µ and variance σ2 and n is large then the CLT holdsand
Z =X̄ − µ
σ/√
n∼ No(0, 1).
soPr“
−zα/2 < Z < zα/2
”
≈ 1 − α.
We almost never know σ so we replace it with the sample standard deviation S =P
i (Xi−X̄ )2
n−1and
Z =X̄ − µ
S/√
n.
Now pretend you are in the normal setting
Artin Armagan Confidence intervals
![Page 37: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/37.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Formal definition
Definition
For n big enough (n > 40)
x̄ ∓ zα/2s√
n
is the large sample confidence interval for µ with CI approximately100(1 − α)%.
Artin Armagan Confidence intervals
![Page 38: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/38.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Formal definition
Definition
For n big enough (n > 40)
x̄ ∓ zα/2s√
n
is the large sample confidence interval for µ with CI approximately100(1 − α)%.This holds as long as the CLT is approximately true.
Artin Armagan Confidence intervals
![Page 39: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/39.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Application 1
Suppose we have an estimator θ̂ that is
1 normally distributed
2 approximately unbiased
3 σθ̂
is available.
Artin Armagan Confidence intervals
![Page 40: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/40.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Application 1
Suppose we have an estimator θ̂ that is
1 normally distributed
2 approximately unbiased
3 σθ̂
is available.
The following is true
Pr
−zα/2 <θ̂ − θ
σθ̂
< zα/2
!
≈ 1 − α
Artin Armagan Confidence intervals
![Page 41: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/41.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Application 1
Suppose we have an estimator θ̂ that is
1 normally distributed
2 approximately unbiased
3 σθ̂
is available.
The following is true
Pr
−zα/2 <θ̂ − θ
σθ̂
< zα/2
!
≈ 1 − α
and
θ̂ ∓ zα/2
s√
n
is the large sample confidence interval for θ with CI approximately 100(1 − α)%.
Artin Armagan Confidence intervals
![Page 42: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/42.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Application 2: Binomial
Given X ∼ Bin(n, p) and min(np, n(1 − p)) ≥ 10 the CLT allows for the normal approximation and
σp̂ =p
p(1 − p)/n.
So
Pr
−zα/2 <p̂ − p
p
p(1 − p)/n< zα/2
!
≈ 1 − α
Artin Armagan Confidence intervals
![Page 43: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/43.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Application 2: Binomial
Given X ∼ Bin(n, p) and min(np, n(1 − p)) ≥ 10 the CLT allows for the normal approximation and
σp̂ =p
p(1 − p)/n.
So
Pr
−zα/2 <p̂ − p
p
p(1 − p)/n< zα/2
!
≈ 1 − α
and we need to solve the above for p so we can put p in the middle.
Artin Armagan Confidence intervals
![Page 44: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/44.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Application 2: Binomial
Given X ∼ Bin(n, p) and min(np, n(1 − p)) ≥ 10 the CLT allows for the normal approximation and
σp̂ =p
p(1 − p)/n.
So
Pr
−zα/2 <p̂ − p
p
p(1 − p)/n< zα/2
!
≈ 1 − α
and we need to solve the above for p so we can put p in the middle.
A good approximation for large n is
p̂ ∓ zα/2
s
p̂(1 − p̂)
n
is the large sample confidence interval for µ with CI approximately 100(1 − α)%.
Artin Armagan Confidence intervals
![Page 45: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/45.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Binomial with more pain
Instead of the approximation
p̂ ∓ zα/2
s
p̂(1 − p̂)
n.
We can try and solve for p the following
Pr
−zα/2 <p̂ − p
p
p(1 − p)/n< zα/2
!
≈ 1 − α
Artin Armagan Confidence intervals
![Page 46: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/46.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Binomial with more pain
Instead of the approximation
p̂ ∓ zα/2
s
p̂(1 − p̂)
n.
We can try and solve for p the following
Pr
−zα/2 <p̂ − p
p
p(1 − p)/n< zα/2
!
≈ 1 − α
so
p =p̂ +
z2α/22n
± zα/2
s
p̂(1−p̂)n
+z2α/2
4n2
1 +z2α/2n
Artin Armagan Confidence intervals
![Page 47: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/47.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Binomial with more pain
Instead of the approximation
p̂ ∓ zα/2
s
p̂(1 − p̂)
n.
We can try and solve for p the following
Pr
−zα/2 <p̂ − p
p
p(1 − p)/n< zα/2
!
≈ 1 − α
so
p =p̂ +
z2α/22n
± zα/2
s
p̂(1−p̂)n
+z2α/2
4n2
1 +z2α/2n
and
ℓ =p̂ +
z2α/22n
− zα/2
s
p̂(1−p̂)n
+z2α/2
4n2
1 +z2α/2n
u =p̂ +
z2α/22n
+ zα/2
s
p̂(1−p̂)n
+z2α/2
4n2
1 +z2α/2nArtin Armagan Confidence intervals
![Page 48: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/48.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
The t distribution
Theorem
If x̄ is the mean of a random sample of size n drawn from a normaldistribution with mean µ
T =X̄ − µ
S/√
n
is distributed as a t distribution with ν = n − 1 degrees of freedom.
Artin Armagan Confidence intervals
![Page 49: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/49.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Student: William Sealy Gosset
Artin Armagan Confidence intervals
![Page 50: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/50.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
t distribution ν = 2
−10 −8 −6 −4 −2 0 2 4 6 8 100
0.05
0.1
0.15
0.2
0.25
0.3
0.35
0.4
x
p(x)
t distnormal
Artin Armagan Confidence intervals
![Page 51: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/51.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
t distribution ν = 4
−10 −8 −6 −4 −2 0 2 4 6 8 100
0.05
0.1
0.15
0.2
0.25
0.3
0.35
0.4
x
p(x)
t distnormal
Artin Armagan Confidence intervals
![Page 52: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/52.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
t distribution ν = 6
−10 −8 −6 −4 −2 0 2 4 6 8 100
0.05
0.1
0.15
0.2
0.25
0.3
0.35
0.4
x
p(x)
t distnormal
Artin Armagan Confidence intervals
![Page 53: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/53.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
t distribution ν = 8
−10 −8 −6 −4 −2 0 2 4 6 8 100
0.05
0.1
0.15
0.2
0.25
0.3
0.35
0.4
x
p(x)
t distnormal
Artin Armagan Confidence intervals
![Page 54: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/54.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
t distribution ν = 10
−10 −8 −6 −4 −2 0 2 4 6 8 100
0.05
0.1
0.15
0.2
0.25
0.3
0.35
0.4
x
p(x)
t distnormal
Artin Armagan Confidence intervals
![Page 55: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/55.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
t distribution ν = 12
−10 −8 −6 −4 −2 0 2 4 6 8 100
0.05
0.1
0.15
0.2
0.25
0.3
0.35
0.4
x
p(x)
t distnormal
Artin Armagan Confidence intervals
![Page 56: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/56.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
t distribution ν = 14
−10 −8 −6 −4 −2 0 2 4 6 8 100
0.05
0.1
0.15
0.2
0.25
0.3
0.35
0.4
x
p(x)
t distnormal
Artin Armagan Confidence intervals
![Page 57: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/57.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
t distribution ν = 16
−10 −8 −6 −4 −2 0 2 4 6 8 100
0.05
0.1
0.15
0.2
0.25
0.3
0.35
0.4
x
p(x)
t distnormal
Artin Armagan Confidence intervals
![Page 58: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/58.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
t distribution ν = 18
−10 −8 −6 −4 −2 0 2 4 6 8 100
0.05
0.1
0.15
0.2
0.25
0.3
0.35
0.4
x
p(x)
t distnormal
Artin Armagan Confidence intervals
![Page 59: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/59.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
t distribution ν = 20
−10 −8 −6 −4 −2 0 2 4 6 8 100
0.05
0.1
0.15
0.2
0.25
0.3
0.35
0.4
x
p(x)
t distnormal
Artin Armagan Confidence intervals
![Page 60: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/60.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Properties
Let tν denotes the t density with ν degrees of freedom
1 tν is centered at zero and bell shaped
Artin Armagan Confidence intervals
![Page 61: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/61.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Properties
Let tν denotes the t density with ν degrees of freedom
1 tν is centered at zero and bell shaped
2 tν has heavier tails than the normal
Artin Armagan Confidence intervals
![Page 62: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/62.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Properties
Let tν denotes the t density with ν degrees of freedom
1 tν is centered at zero and bell shaped
2 tν has heavier tails than the normal
3 as ν increases tν has less spread
Artin Armagan Confidence intervals
![Page 63: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/63.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Properties
Let tν denotes the t density with ν degrees of freedom
1 tν is centered at zero and bell shaped
2 tν has heavier tails than the normal
3 as ν increases tν has less spread
4 as limν→∞ tνdist= No(0, 1) or as ν increases tν approaches the
standard normal.
Artin Armagan Confidence intervals
![Page 64: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/64.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
tα,ν notation
Definition
The notation tα,ν denotes the value z such that for a t distributionwith ν degrees of freedom
Pr(T ≥ tα,ν) = α
Artin Armagan Confidence intervals
![Page 65: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/65.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
tα,ν notation
Definition
The notation tα,ν denotes the value z such that for a t distributionwith ν degrees of freedom
Pr(T ≥ tα,ν) = α
orPr(T < tα,nu) = 1 − α.
Artin Armagan Confidence intervals
![Page 66: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/66.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Confidence intervals for Normal rvs
Definition
Let x̄ and s be the sample mean and sample standard deviationfrom a normal population with mean µ. The 100(1 − α)%confidence interval for µ is
x̄ ∓ tα/2,νs√
n.
Artin Armagan Confidence intervals
![Page 67: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/67.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Confidence intervals for the variance
Definition
Let X1, ..,Xniid∼ No(µ, σ2). Then the random variable
(n − 1)S2
σ2=
∑
i (Xi − X̄ )2
σ2,
Artin Armagan Confidence intervals
![Page 68: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/68.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Confidence intervals for the variance
Definition
Let X1, ..,Xniid∼ No(µ, σ2). Then the random variable
(n − 1)S2
σ2=
∑
i (Xi − X̄ )2
σ2,
has a chi-squared distribution, χ2ν , with ν = n − 1 degrees of
freedom.
Artin Armagan Confidence intervals
![Page 69: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/69.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
χ2 distribution ν = 10
0 20 40 60 80 100 120 140 160 180 2000
0.01
0.02
0.03
0.04
0.05
0.06
0.07
0.08
0.09
0.1
x
p(x)
Artin Armagan Confidence intervals
![Page 70: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/70.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
χ2 distribution ν = 20
0 20 40 60 80 100 120 140 160 180 2000
0.01
0.02
0.03
0.04
0.05
0.06
0.07
x
p(x)
Artin Armagan Confidence intervals
![Page 71: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/71.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
χ2 distribution ν = 30
0 20 40 60 80 100 120 140 160 180 2000
0.01
0.02
0.03
0.04
0.05
0.06
x
p(x)
Artin Armagan Confidence intervals
![Page 72: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/72.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
χ2 distribution ν = 40
0 20 40 60 80 100 120 140 160 180 2000
0.005
0.01
0.015
0.02
0.025
0.03
0.035
0.04
0.045
0.05
x
p(x)
Artin Armagan Confidence intervals
![Page 73: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/73.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
χ2 distribution ν = 50
0 20 40 60 80 100 120 140 160 180 2000
0.005
0.01
0.015
0.02
0.025
0.03
0.035
0.04
0.045
x
p(x)
Artin Armagan Confidence intervals
![Page 74: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/74.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
χ2 distribution ν = 60
0 20 40 60 80 100 120 140 160 180 2000
0.005
0.01
0.015
0.02
0.025
0.03
0.035
0.04
x
p(x)
Artin Armagan Confidence intervals
![Page 75: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/75.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
χ2 distribution ν = 70
0 20 40 60 80 100 120 140 160 180 2000
0.005
0.01
0.015
0.02
0.025
0.03
0.035
x
p(x)
Artin Armagan Confidence intervals
![Page 76: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/76.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
χ2 distribution ν = 80
0 20 40 60 80 100 120 140 160 180 2000
0.005
0.01
0.015
0.02
0.025
0.03
0.035
x
p(x)
Artin Armagan Confidence intervals
![Page 77: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/77.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
χ2 distribution ν = 90
0 20 40 60 80 100 120 140 160 180 2000
0.005
0.01
0.015
0.02
0.025
0.03
0.035
x
p(x)
Artin Armagan Confidence intervals
![Page 78: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/78.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
χ2 distribution ν = 100
0 20 40 60 80 100 120 140 160 180 2000
0.005
0.01
0.015
0.02
0.025
0.03
x
p(x)
Artin Armagan Confidence intervals
![Page 79: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/79.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Critical values for χ2
The χ2ν distribution is not symmetric in general. We denote χ2
α,ν
as the value such that %100α of the area lies to the right of it.
Artin Armagan Confidence intervals
![Page 80: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/80.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Confidence interval of the variance
If X1, ..., Xniid∼ No(µ, σ2) with then we know that
(n − 1)S2
σ2∼ χ
2n−1.
Artin Armagan Confidence intervals
![Page 81: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/81.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Confidence interval of the variance
If X1, ..., Xniid∼ No(µ, σ2) with then we know that
(n − 1)S2
σ2∼ χ
2n−1.
This means that
Pr
χ21−α/2,n−1 <
(n − 1)S2
σ2< χ
2α/2,n−1
!
= 1 − α.
Artin Armagan Confidence intervals
![Page 82: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/82.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Confidence interval of the variance
If X1, ..., Xniid∼ No(µ, σ2) with then we know that
(n − 1)S2
σ2∼ χ
2n−1.
This means that
Pr
χ21−α/2,n−1 <
(n − 1)S2
σ2< χ
2α/2,n−1
!
= 1 − α.
Pr
0
@
1
χ21−α/2,n−1
>σ2
(n − 1)S2>
1
χ2α/2,n−1
1
A = 1 − α.
Artin Armagan Confidence intervals
![Page 83: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/83.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Confidence interval of the variance
If X1, ..., Xniid∼ No(µ, σ2) with then we know that
(n − 1)S2
σ2∼ χ
2n−1.
This means that
Pr
χ21−α/2,n−1 <
(n − 1)S2
σ2< χ
2α/2,n−1
!
= 1 − α.
Pr
0
@
1
χ21−α/2,n−1
>σ2
(n − 1)S2>
1
χ2α/2,n−1
1
A = 1 − α.
Pr
0
@
(n − 1)S2
χ21−α/2,n−1
> σ2
>(n − 1)S2
χ2α/2,n−1
1
A = 1 − α.
Artin Armagan Confidence intervals
![Page 84: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/84.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Confidence interval of the variance
If X1, ..., Xniid∼ No(µ, σ2) with then we know that
(n − 1)S2
σ2∼ χ
2n−1.
This means that
Pr
χ21−α/2,n−1 <
(n − 1)S2
σ2< χ
2α/2,n−1
!
= 1 − α.
Pr
0
@
1
χ21−α/2,n−1
>σ2
(n − 1)S2>
1
χ2α/2,n−1
1
A = 1 − α.
Pr
0
@
(n − 1)S2
χ21−α/2,n−1
> σ2
>(n − 1)S2
χ2α/2,n−1
1
A = 1 − α.
Pr
0
@
(n − 1)S2
χ2α/2,n−1
< σ2
<(n − 1)S2
χ21−α/2,n−1
1
A = 1 − α.
Artin Armagan Confidence intervals
![Page 85: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/85.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Formal definition
Definition
Given x1, ..., xniid∼ No(µ, σ2) the 100(1 − α)% confidence interval
for σ2 is(
(n − 1)S2/χ2α/2,n−1, (n − 1)S2/χ2
1−α/2,n−1
)
.
Artin Armagan Confidence intervals
![Page 86: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/86.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Confidence bounds
Sometimes we only care about bounding the uncertainty fromabove or below. In this case we use confidence bounds.
Artin Armagan Confidence intervals
![Page 87: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/87.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Confidence bounds
Sometimes we only care about bounding the uncertainty fromabove or below. In this case we use confidence bounds.We illustrate this for the normal distribution with known variance.
Artin Armagan Confidence intervals
![Page 88: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/88.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Normal distribution known variance
If X1, ...,Xniid∼ No(µ, σ2) with then we know that
Z =X̄ − µ
σ/√
n∼ No(0, 1).
Artin Armagan Confidence intervals
![Page 89: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/89.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Normal distribution known variance
If X1, ...,Xniid∼ No(µ, σ2) with then we know that
Z =X̄ − µ
σ/√
n∼ No(0, 1).
This means that
Pr
(
X̄ − µ
σ/√
n> −zα
)
= 1 − α.
Artin Armagan Confidence intervals
![Page 90: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/90.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Normal distribution known variance
If X1, ...,Xniid∼ No(µ, σ2) with then we know that
Z =X̄ − µ
σ/√
n∼ No(0, 1).
This means that
Pr
(
X̄ − µ
σ/√
n> −zα
)
= 1 − α.
Pr
(
µ < X̄ + zασ√
n
)
= 1 − α.
Artin Armagan Confidence intervals
![Page 91: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/91.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Formal definition
Definition
Given x1, ..., xniid∼ No(µ, σ2) the 100(1 − α)% confidence bounds
for µ are
µ < x̄ + zασ√
n
µ > x̄ − zασ√
n.
Artin Armagan Confidence intervals
![Page 92: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/92.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Precision and reliability
The idea behind a confidence interval is to relate the trade-offbetween precision, the confidence interval, and reliability, theconfidence or α.
Artin Armagan Confidence intervals
![Page 93: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/93.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Precision and reliability
The idea behind a confidence interval is to relate the trade-offbetween precision, the confidence interval, and reliability, theconfidence or α.In the normal case with known variance
CI = w = 2zα/2σ√
n
and α are inversely proportional.
Artin Armagan Confidence intervals
![Page 94: Sta. 113 Chapter 7 of Devore - Duke Universitysayan/113/lectures/lec7.pdf · Normal distribution known variance Large sample CI, or CLT to the rescue Small sample normal, thank Guinness](https://reader031.vdocuments.net/reader031/viewer/2022030508/5ab7372a7f8b9a2f438e86fb/html5/thumbnails/94.jpg)
Normal distribution known varianceLarge sample CI, or CLT to the rescueSmall sample normal, thank Guinness
Confidence intervals on the spread or varianceConfidence bounds
Sample size computations
Sample size requirements
A very common problem is to find the smallest sample size n suchthat a particular level or reliability and precision is satisfied or givenw and α find the smallest n such that
w = 2zα/2σ√
n
or
n =(
2zα/2σ
w
)2.
Artin Armagan Confidence intervals