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010 Class 18
Small Sample Statistics
Small Samples
The stochastic simulation uses many Nrep random sample replicates, each
of length N, to generate Nrep estimates. The desired estimate and
standardized statistic CDFs are derived from this ensemble of estimates.
[x1, x2, x3, x4, x5] = [0.05 1.46 0.50 0.72 0.11 ]
aˆ = m x = 0.57
aˆ i − maˆ
z i (aˆ i , maˆ ) =
s aˆ
1
where maˆ and s aˆ .are the sample mean and standard deviation
computed over the ensemble of all estimate replicates aˆ i (e.g. i =
1,…, Nrep). Each â i is derived from N = 5 data values obtained
from the MATLAB function exprnd, with a = m x = 0.57 .
Fz(z) for this example clearly deviates from the unit normal at both
high and low values:
p/2
z zL zU
α α
z L = FZ−1 zU = FZ−1 1 −
2 2
0.06 ≤ a ≤ +1.06
2
The difference is slight considering the small sample size. The
difference in the small and large-sample 99% confidence intervals
is greater.
H0: a=1.0
We can derive the rejection region and p value for this hypothesis
with a stochastic simulation similar to the performed above except
that we use a = a0 =1.0 in exprnd and derive Fz(z) from replicates
defined as follows:
i ˆi aˆ i − a0 aˆ i − 1.0
z (a , a0 ) = =
s aˆ s aˆ
In this case the Fz(z) plot is the same as the one shown above.
The test statistic obtained from the observed sample mean is:
aˆ − a0 0.56 − 1.0
z (aˆ , a0 ) = = = −1.73
s aˆ 0.255
mx − a
Standardized statistic: t (m x , a) =
sx
N
Confidence interval:
3
α s α s
m x − Ft−, ν1 1 − x ≤ a ≤ m x − Ft−, ν1 x
2 N 2 N
( N − 1) s x2
Standardized statistic: χ 2 ( s x2 , σ x2 ) =
σ x2
Confidence interval:
( N − 1) s x2 ( N − 1) s x2
≤ Var[ x ] ≤
α α
F χ−21,ν 1 − F χ−21,ν
2 2
H 0 : E ( x) = a0
m x − a0
Use t test statistic (ν = N -1) : t (m x , a 0 ) =
sx
N
p value:
p
= Ft , ν [t (m x , a0 )] for Ft , ν ≤ 0.5
2
p
1 − = Ft , ν [t (m x , a0 )] for Ft , ν > 0.5
2
4
H 0 : Var ( x) = σ x2 = a0
( N − 1) s x2
Use Chi - squared test statistic (ν = N -1) : χ 2 ( s x2 , a0 ) =
a0
p
= F χ 2 ,ν [ χ 2 ( s x2 ,a0 )] for F χ 2 ,ν ≤ 0.5
2
p
1 − = F χ 2 ,ν [ χ 2 ( s x2 ,a0 )] for F χ 2 ,ν > 0.5
2
ν=
ν=1
Chi-squared
ν=4
ν = 10