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Material from Devores book (Ed 8), and Cengage

Confidence Intervals

The CLT tells us that as the sample size n increases, the

sample mean X is close to normally distributed with

expected value and standard deviation

and then dividing by its standard deviation yields the

standard normal variable

population is normally distributed? 2

Basic Properties of Confidence Intervals

Because the area under the standard normal curve

between 1.96 and 1.96 is .95, we know:

3

Basic Properties of Confidence Intervals

The interval

sample mean varies.

4

Basic Properties of Confidence Intervals

The CI interval is centered at the sample mean X and

extends 1.96 to each side of X.

random; only the location of the interval (its midpoint X) is

random.

5

Basic Properties of Confidence Intervals

For a given sample, the CI can be expressed either as

or as

where gives the left endpoint (lower limit) and + gives the

right endpoint (upper limit).

6

Interpreting a Confidence Level

We started with an event (that the random interval captures

the true value of ) whose probability was .95

probability 0.95.

therefore incorrect to write the statement

P( lies in (a, b)) = 0.95

a probability associated with its behavior. 7

Interpreting a Confidence Level

Instead, a correct interpretation of 95% confidence relies

on the long-run relative frequency interpretation of

probability.

the same experiment is performed over and over again, in

the long run A will occur 95% of the time.

sampling, 95% of the confidence intervals obtained from all

samples will actually contain . The other 5% of the

intervals will not.

8

Interpreting a Confidence Level

Example: the vertical line cuts the measurement axis at the

true (but unknown) value of .

One hundred 95% CIs (asterisks identify intervals that do not include ).

9

Interpreting a Confidence Level

According to this interpretation, the confidence level is not

a statement about any particular interval, eg (79.3, 80.7).

number of like intervals were to be constructed using the

same CI formula.

10

Other Levels of Confidence

Probability of 1 is achieved by using z/2 in place of 1.96

11

Other Levels of Confidence

A 100(1 )% confidence interval for the mean when

the value of is known is given by

or, equivalently, by

Point estimate (z critical value) (standard error).

12

Example

A sample of 40 units is selected and diameter measured for

each one. The sample mean diameter is 5.426 mm, and the

standard deviation of measurements is 0.1mm.

diameter using a confidence level of 90%. What is the width

of the interval?

confidence interval?

13

Sample size computation

For each desired confidence level and interval width, we

can determine the necessary sample size.

standard deviation 25 milliseconds. A new system has

been installed, and we wish to estimate the true average

response time for the new environment.

with = 25, what sample size is necessary to ensure that

the resulting 95% CI has a width of (at most) 10?

14

Unknown mean and variance

We now have:

- a CI for the mean of a normal distribution

- a large-sample CI for for any distribution

with a confidence level of 100(1 )% is:

known. Instead we work with the standardized variable

15

Unknown mean and variance

Previously, there was randomness only in the numerator of

Z by virtue of , the estimator.

value from one sample to another.

than the Normal to reflect the extra uncertainty. This is

indeed true when n is small.

extra variability, so this variable also has approximately a

standard normal distribution.

16

A Large-Sample Interval for

Proposition

If n is sufficiently large, the standardized variable

implies that

(7.8)

is a large-sample confidence interval for with

confidence level approximately 100(1 )%.

distribution.

17

A Large-Sample Interval for

Generally speaking, n > 40 will be sufficient to justify the

use of this interval.

for the CLT because of the additional variability introduced

by using S in place of .

18

Small sample intervals for the mean

Need to do something else when n<40

When n<40, we have to:

Make a specific assumption about the form of the

population distribution and

Derive a CI tailored to that assumption.

described by a gamma distribution, another interval for the

case of a Weibull distribution, etc.

19

t Distributions

20

Intervals Based on a Normal Population Distribution

family of probability distributions called t distributions.

normal distribution with mean , the rv

degrees of freedom (df).

21

Properties of t Distributions

Figure below illustrates some members of the t-family

22

Properties of t Distributions

Properties of t Distributions

Let t denote the t distribution with df.

2. Each t curve is more spread out than the standard

normal (z) curve.

3. As increases, the spread of the corresponding t curve

decreases.

4. As , the sequence of t curves approaches the

standard normal curve (so the z curve is the t curve with

df = ).

23

Properties of t Distributions

Let t, = the number on the measurement axis for which

the area under the t curve with df to the right of t, is ;

t, is called a t critical value.

upper-tail area of .05 under the t curve with 6 df

24

Tables of t Distributions

The probabilities of t curves are found in a similar way as

the normal curve.

25

The One-Sample t

Confidence Interval

26

The One-Sample t Confidence Interval

deviation computed from the results of a random sample

from a normal population with mean . Then a

100(1 )% confidence interval for is

27

Example contd

6981.46 7569.75 7437.88 6872.39 7663.18 6032.28

6906.04 6617.17 6984.12 7093.71 7659.50 7378.61

7295.54 6702.76 7440.17 8053.26 8284.75 7347.95

7422.69 7886.87 6316.67 7713.65 7503.33 7674.99

The sample mean is 7203.191

The sample standard deviation is 543.5400.

28

Intervals Based on Nonnormal Population Distributions

moderate departures from normality unless n is very small.

for example, is used in calculating the interval, the actual

confidence level will be reasonably close to the nominal 95%

level.

non-normal, then the actual confidence level may be

considerably different from the one you think you are using

when you obtain a particular critical value from the t table.

29

A Confidence Interval for a

Population Proportion

30

A Confidence Interval for a Population Proportion

is the number of successes in the sample.

X can be thought of as a sum of all Xis, where 1 is added

for every success that occurs and a 0 for every failure, so

X1 + . . . + Xn = X).

and

.

normal distribution. 31

A Confidence Interval for a Population Proportion

Since is the sample mean, (X1 + . . . + Xn)/ n

has approximately a normal distribution. We know that,

E( ) = p (unbiasedness) and .

p. Standardizing by subtracting p and dividing by then

implies that

And the CI is

32

One-Sided Confidence Intervals

33

One-Sided Confidence Intervals (Confidence Bounds)

lower confidence bound and an upper confidence bound for

the parameter being estimated.

of these two types of bounds.

upper confidence bound for true average reaction time to a

particular stimulus, or a reliability engineer may want only a

lower confidence bound for true average lifetime of

components of a certain type.

34

One-Sided Confidence Intervals (Confidence Bounds)

curve to the left of 1.645 is .95,

isolate on one side and replacing rvs by calculated

values gives the inequality > 1.645s/

bound.

35

One-Sided Confidence Intervals (Confidence Bounds)

inequality results in the upper confidence bound. A similar

argument gives a one-sided bound associated with any

other confidence level.

Proposition

A large-sample upper confidence bound for is

36

Confidence Intervals for Variance

of a normal population

37

Confidence Intervals for the Variance of a Normal Population

distribution with parameters and 2. Then

probability distribution with a single parameter v, called the

number of degrees of freedom, with possible values 1,

2, 3, . . . .

38

Confidence Intervals for the Variance of a Normal Population

39

Confidence Intervals for the Variance of a Normal Population

contain values of both for near 0 and 1

40

Confidence Intervals for the Variance of a Normal Population

As a consequence

Or equivalently

for 2

Taking square roots gives an interval for .

41

Confidence Intervals for the Variance of a Normal Population

a normal population has lower limit

are the square roots of the corresponding limits in the

interval for 2.

42

Example

The data on breakdown voltage of electrically stressed

circuits are:

breakdown voltage is

approximately normally

distributed.

43

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