CHAPTER II

CONFIDENCE INTERVAL

Department of Foundation Year

Institute of Technology of Cambodia

2018–2019

Department of Foundation Year CHAPTER II ITC 1 / 25

Outline

1 Objectives

2 Confidence Interval: Some General Ideas

3 Student’s t-distribution

4 Confidence Intervals for Population Mean

5 Confidence Intervals for Population Proportion

6 Confidence Intervals for Population Variance and Standard

Deviation

Department of Foundation Year CHAPTER II ITC 1 / 25

Outline

1 Objectives

2 Confidence Interval: Some General Ideas

3 Student’s t-distribution

4 Confidence Intervals for Population Mean

5 Confidence Intervals for Population Proportion

6 Confidence Intervals for Population Variance and Standard

Deviation

Department of Foundation Year CHAPTER II ITC 2 / 25

Objectives

Construct confidence interval for the mean (µ) of a population.

Determine the minimum sample size for finding a confidence

interval for the mean.

Construct the confidence interval for the proportion (p) of a

population.

Determine the minimum sample size for finding a confidence

interval for the proportion.

Construct the confidence interval for the variance (σ 2 ) and the

standard deviation (σ) of a population.

Department of Foundation Year CHAPTER II ITC 3 / 25

Confidence Interval

Definition 1
Let X1 , . . . , Xn be a random sample drawn from a distribution
depending on a parameter θ ∈ Θ and let θb be an estimator of θ. The
confidence interval (CI) of θ, denoted by I(θ), is defined by
 
I(θ) = W (θ,
b a), W (θ,
b b)

where
1 the function x 7→ W (θ,
b x) is strictly monotone on R and
2 the constants a, b ∈ R are such that W (θ,
b a) < W (θ,
b b) and that
P (θ ∈ I(θ)) = 1 − α for some α ∈ (0, 1).
The quantity 1 − α is called the level of confidence and α is called
the level of significance.

Department of Foundation Year CHAPTER II ITC 4 / 25

Outline

1 Objectives

2 Confidence Interval: Some General Ideas

3 Student’s t-distribution

4 Confidence Intervals for Population Mean

5 Confidence Intervals for Population Proportion

6 Confidence Intervals for Population Variance and Standard

Deviation

Department of Foundation Year CHAPTER II ITC 5 / 25

Confidence Interval: Some General Ideas
Remark
1 The confidence interval of θ, I(θ), is not deterministic, rather it is
random (Why?). Thus, there is chance that the true parameter θ
lies outside I(θ).
2 The common choice for W can be W (θ, b x) = θb + x or
W (θ, x) = xθ.
b b
3 Frequently, the level of significance α is chosen to be equal to 1%,
5%, 10%, ...

Symmetry Principle
Our goal is to determine I(θ), hence determining the values of a and b.
In principle, a and b can be found by solving:
b a) ≥ θ) = α/2 and
1 P (W (θ,

2 b b) ≤ θ) = α/2,
P (W (θ,
where α is the level of significance.
Department of Foundation Year CHAPTER II ITC 6 / 25
Outline

1 Objectives

2 Confidence Interval: Some General Ideas

3 Student’s t-distribution

4 Confidence Intervals for Population Mean

5 Confidence Intervals for Population Proportion

6 Confidence Intervals for Population Variance and Standard

Deviation

Department of Foundation Year CHAPTER II ITC 7 / 25

Student’s t-distribution

Definition 2
Let X be a crv on R with cdf fX . We say that X has Student’s
t-distribution or t-distribution with degree of freedom ν > 0, written by
X ∼ tν or X ∼ t(ν), if
− ν+1
Γ ν+1


2 x2 2
fX (x) = √ 1 + , x ∈ R.
πνΓ ν2


ν

Theorem 1
Let X ∼ tν , ν > 0. Then
1 E(X) = 0 for ν > 1, otherwise undefined.
ν
2 V (X) = for ν > 2, V (X) = ∞ for 1 < ν ≤ 2, otherwise
ν−2
undefined.
Department of Foundation Year CHAPTER II ITC 8 / 25
Student’s t-distribution

Theorem 2
Z
Let Z ∼ N (0, 1) and V ∼ χ2 (ν), ν > 0, and define T = p .
V /ν
Suppose that Z and V are independent. Then, T ∼ tν .

Theorem 3
Let X1 , . . . , Xn be a random sample drawn from a normal distribution
with mean µ and variance σ 2 . Then
√
n(X − µ)
T = ∼ tn−1 .
S

Theorem 3
p
Let T ∼ tn , n ∈ N, and Z ∼ N (0, 1). Then, T −→ Z.
Department of Foundation Year CHAPTER II ITC 9 / 25
Outline

1 Objectives

2 Confidence Interval: Some General Ideas

3 Student’s t-distribution

4 Confidence Intervals for Population Mean

5 Confidence Intervals for Population Proportion

6 Confidence Intervals for Population Variance and Standard

Deviation

Department of Foundation Year CHAPTER II ITC 10 / 25

Confidence Intervals for Population Mean

Theorem 4
Let X1 , . . . , Xn be a random sample drawn from a normal distribution
with mean µ and variance σ 2 .
1 If σ is known, then
 
σ σ
I(µ) = X − z α2 √ , X + z α2 √ ,
n n
 
where P Z ≤ z α2 = 1 − α2 and Z ∼ N (0, 1).
2 If σ is not known, then
 
S S
I(µ) = X − t α2 ,n−1 √ , X + t α2 ,n−1 √ ,
n n
 
where P T ≤ t α2 ,n−1 = 1 − α2 and T ∼ tn−1 .

Department of Foundation Year CHAPTER II ITC 11 / 25

Confidence Intervals for Population Mean

Theorem 4
Let X1 , . . . , Xn be a random sample drawn from a distribution with
mean µ and variance σ 2 .
1 If σ is known , then
 
I(µ) = X − z α2 √σn , X + z α2 √σn ,
2 If σ is not known and n is large (n > 30), then
 
I(µ) = X − z α2 √Sn , X + z α2 √Sn ,
 
where P Z ≤ z 2 = 1 − α2 and Z ∼ N (0, 1).
α

Sample Size
The sample size necessary for the CI to have a width w is
σ 2


n = 2zα/2 w .
Department of Foundation Year CHAPTER II ITC 12 / 25
Minimum Sample Size
Definition 5
The maximum error of estimate is the maximum difference between the
point estimate of a parameter and the actual value of the parameter.

Theorem 5 (Minimum Sample Size)

The minimum sample size needed for an interval estimate of the
σ 2 zα/2 S 2
   
z
population mean is n = α/2 E or n = E (when σ is unknown
and the preliminary sample size for computing S is larger than 30),
where E is the maximum error of estimate.

Example 6
Let X equal the excess weight of soap in a “1000- gram” bottle.
Assume that the distribution of X is N (µ, 169). What sample size is
required so that we have 95% confidence that the maximum error of
the estimate of µ is 1.5?
Department of Foundation Year CHAPTER II ITC 13 / 25
Confidence Intervals for Population Mean

Example 7
Assume that the helium porosity (in percentage) of coal samples taken
from any particular seam is normally distributed with true standard
deviation 0.75.
a. Compute a 95% CI for the true average porosity of a certain seam
if the average porosity for 20 specimens from the seam was 4.85.
b. Compute a 98% CI for true average porosity of another seam
based on 16 specimens with a sample average porosity of 4.56.
c. How large a sample size is necessary if the width of the 95%
interval is to be 0.40?
d. What sample size is necessary to estimate true average porosity to
within 0.2 with 99% confidence?

Department of Foundation Year CHAPTER II ITC 14 / 25

Confidence Intervals for Population Mean

Example 8
On the basis of extensive tests, the yield point of a particular type of
mild steel-reinforcing bar is known to be normally distributed with
σ = 100. The composition of bars has been slightly modified, but the
modification is not believed to have affected either the normality or the
value of σ.
a. Assuming this to be the case, if a sample of 25 modified bars
resulted in a sample average yield point of 8439 lb, compute a 90%
CI for the true average yield point of the modified bar.
b. How would you modify the interval in part (a) to obtain a
confidence level of 92%?

Department of Foundation Year CHAPTER II ITC 15 / 25

Confidence Intervals for Population Mean

Example 9
Let X equal the weight in grams of a “52-gram” snack pack of candies.
Assume that the distribution of X is N (µ, 4). A random sample of
n = 10 observations of X yielded the following data:
55.95 56.54 57.58 55.13 57.48
56.06 59.93 58.30 52.57 58.46
(a) Give a point estimate for µ.
(b) Find the endpoints for a 95% confidence interval for µ.
(c) On the basis of these very limited data, what is the probability
that an individual snack pack selected at random is filled with less
than 52 grams of candy?

Department of Foundation Year CHAPTER II ITC 16 / 25

Outline

1 Objectives

2 Confidence Interval: Some General Ideas

3 Student’s t-distribution

4 Confidence Intervals for Population Mean

5 Confidence Intervals for Population Proportion

6 Confidence Intervals for Population Variance and Standard

Deviation

Department of Foundation Year CHAPTER II ITC 17 / 25

Confidence Intervals and Sample Size for Proportions

Symbols used in proportion notation:

p = population proportion
pb = sample proportion.
For a sample proportion
X n−X
pb = , qb = = 1 − pb,
n n
where X = number of sample units that possess the characteristics of
interest and n = sample size.

Example 10
In a recent survey of 150 households, 54 had central air conditioning.
Find pb and qb.

Department of Foundation Year CHAPTER II ITC 18 / 25

Confidence Intervals and Sample Size for Proportion

Theorem 6
Let X ∼ Bin(n, p), where p ∈ (0, 1) is the proportion parameter. Then,
for large known n (n ≥ 30), the confidence interval of p with level of
confidence 1 − α is given by
r r !
pbqb pbqb
I(p) = pb − z α2 , pb + z α2 .
n n

Example 11
Let p equal the proportion of triathletes who suffered a training-related
overuse injury during the past year. Out of 330 triathletes who
responded to a survey, 167 indicated that they had suffered such an
injury during the past year. Use these data to give a point estimate of
p and find an approximate 90% confidence interval for p.
Department of Foundation Year CHAPTER II ITC 19 / 25
Sample Size Needed for Interval Estimate of a
Population Proportion

Theorem 7
Sample size needed for interval estimate of a population proportion is
given by
 z 2
α/2
n = pbqb
E
where E is the maximum error of estimate.

Example 12
A researcher wishes to estimate, with 95% confidence, the number of
people who own a home computer. A previous study shows that 40%
of those interviewed had a computer at home. The researcher wishes to
be accurate within 2% of the true proportion. Find the minimum
sample size necessary.

Department of Foundation Year CHAPTER II ITC 20 / 25

Outline

1 Objectives

2 Confidence Interval: Some General Ideas

3 Student’s t-distribution

4 Confidence Intervals for Population Mean

5 Confidence Intervals for Population Proportion

6 Confidence Intervals for Population Variance and Standard

Deviation

Department of Foundation Year CHAPTER II ITC 21 / 25

Confidence Intervals for Variances and Standard
Deviations of a Normal Population

Theorem 8
Let X1 , . . . , Xn be a random sample from a normal distribution with
parameters µ and σ 2 . Then the rv
Pn 2
(n − 1)S 2 i=1 (Xi − X)
=
σ2 σ2
has a chi-squared (χ2 ) probability distribution with n − 1 degree of
freedom.

Notation
Let χ2α,ν called a chi-squared critical value, denote the number on
the horizontal axis such that α of the area under the chi-squared curve
with ν df lies to the right of χ2α,ν .

Department of Foundation Year CHAPTER II ITC 22 / 25

Confidence Intervals for Variance and Standard
Deviation

Theorem 9
Let X1 , . . . , Xn be a random sample drawn from a normal distribution
N (µ, σ 2 ). Then, a 100(1 − α)% CI for the population variance is

(n − 1)S 2 2 (n − 1)S 2
< σ <
χ2α ,n−1 χ21− α ,n−1
2 2

A confidence interval for σ has lower and upper limits that are the
square roots of the corresponding limits in the interval for σ 2 . An
upper or a lower confidence bound results from replacing α/2 with α in
the corresponding limit of the CI.

Department of Foundation Year CHAPTER II ITC 23 / 25

Confidence Intervals for Variance and Standard
Deviation

Example 13
Find the 95% confidence interval for the variance and standard
deviation of the nicotine content of cigarettes manufactured if a sample
of 20 cigarettes has a standard deviation of 1.6 milligrams. Asusme
that the variable is approximately normally distributed.

We have, α = 0.05, n − 1 = 20 − 1 = 19 (then χ2α/2,n−1 = 32.852 and

χ21−α/2,n−1 = 8.906) and s = 1.6 (hence s2 = 2.56). Thus, the 95%
confidence intervals of σ 2 and σ are (1.481, 5.461) and (1.217, 2.337),
respectively.

Department of Foundation Year CHAPTER II ITC 24 / 25

Confidence Intervals for Variance and Standard
Deviation

Example 14
Find the 90% confidence interval for the variance and standard
deviation for the price in dollars of an adult single-day ski lift ticket.
The data represent a selected sample of nationwide ski resorts. Assume
the variable is normally distributed.
59 54 53 52 51
39 49 46 49 48
Source: USA TODAY.
We have, α = 0.1, n − 1 = 10 − 1 = 9 (then χ2α/2,n−1 = 16.919 and
χ21−α/2,n−1 = 3.325) and s = 5.312 (hence s2 = 28.222). Thus, the 90%
confidence intervals of σ 2 and σ are (15.013, 76.390) and
(3.875, 8.740), respectively.
Department of Foundation Year CHAPTER II ITC 25 / 25