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Statistics
Fasilkom UI 2010
Outline
• Introduction
• The Sample Mean
• The Central Limit Theorem
– Approximate Distribution of The Sample Mean
– How Large A Sample Is Needed
• The Sample Variance
• Sampling Distribution from The Normal
Distribution
– Distribution of The Sample Mean
– Joint Distribution of X and S2
• Sampling from A Finite Population 2
Introduction
• Recall definitions of:
– Inferential statistics
– Population
– Sample
– Sampling, Random sampling
– Parameter
– Statistic
3
Definition
If X1, . . . , Xn are independent random
variables having a common distribution F,
then we say that they constitute a sample
(sometimes called a random sample) from
the distribution F.
4
Parametric vs. Nonparametric
• Parametric inference problem: Problems
in which the form of the underlying
distribution is specified up to a set of
unknown parameters, eg:
– F was assumed as a normal distribution
function having an unknown mean and
variance
• Nonparametric inference problem:
problems in which nothing is assumed
about the form of F 5
The Sample Mean
• µ: population mean, σ2:population variance
• Let X1, X2, . . . , Xn be a sample of values
from this population. The sample mean is
defined by
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The Sample Mean (2)
X is also a random variable
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• X is also centered about the population
mean µ, but its spread becomes more
and more reduced as the sample size
increases.
8
The Central Limit Theorem
• Let X1, X2, . . . , Xn be a sequence of
independent and identically distributed
random variables each having mean µ and
variance σ2. Then for n large, the
distribution of
X1 +・ ・ ・+Xn
• is approximately normal with mean nµ and
variance nσ2.
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The Central Limit Theorem
10
Example
• Problem:
• An insurance company has 25,000
automobile policy holders. If the yearly
claim of a policy holder is a random
variable with mean 320 and standard
deviation 540, approximate the probability
that the total yearly claim exceeds 8.3
million.
11
12
Approximate Distribution of the
Sample Mean
• Since the sample mean has expected
value µ and standard deviation σ/√n, it
then follows that
14
How Large A Sample Is Needed
• A general rule of thumb is that one can be
confident of the normal approximation
whenever the sample size n is at least 30.
• That is, practically speaking, no matter
how nonnormal 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 for much smaller sample sizes
15
16
The Sample Variance
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Sampling Distribution from The Normal
Distribution
– Distribution of The Sample Mean
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Joint Distribution of X and S2
• Theorem
• If X1, . . . , Xn is a sample from a normal
population having mean µ and variance σ2,
then X and S2 are independent random
variables, with X being normal with mean
µ and variance σ2/n and (n − 1)S2/σ2 being
chi-square with n − 1 degrees of freedom.
19
Sampling from A Finite
Population
• 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 NCn
population subsets of size n is equally
likely to be the sample.
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