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The sample mean x is a random variable, since it is based on a random sample. Hence it
might have a common statistical distribution. Assume the sample is drawn from population
which is Normal, X ~ N(²). Then
x1 x2 xn
x= is a linear combination of n independent r.v.'s each distributed N(²).
n
x x2 xn 1
E x1 E x 2 =
1
E( x ) = E 1
n n n
x x2 xn 1 2
V x V 1 2 V x1 V x 2 2 2
1
n n n n
Examples
A sample of 25 men is taken at random. What is the probability that their average height is
between 173cm. and 176cm?
We have to find how many standard deviations above the mean each of these values is, i.e.
calculate the z-score:
( x )
z
2 / n
The probability of the average height lying between 173cm and 176cm is 53.28%.
Appendix: E and V operators
E and V ‘operators’ are simply a shorthand for writing the mean and variance of a
distribution or of a random variable. E is short for ‘expected value’ and can be justified as
follows. Suppose you roll a die and win (in £s) whatever is shown on the die. How much do
you ‘expect’ to win. Intuitively, you have equal chances of winning £1, £2, etc. so you could
justifiably say you expect to win
You expect to win £3.50. Of course, you cannot actually win this sum, but if you played the
game many times you would, on average, win £3.50 each time. 3.5 is of course the mean of
the values 1-6 hence we equate the expected value with the mean. Hence we write
V(x) = variance of x
=> V(x) = ² = (x - )2/n = E(x-)2 (replacing /n by E)
= E(x - E(x) )2 = E(x2) - E(x)2 (the final step is not difficult to prove).
The great advantage of the E and V operators is that they make mathematical derivations and
proofs much simpler to write out. Once we know how to manipulate them properly, we can
use them instead of having to manipulate expressions such as (x-)2, etc.
The rules for manipulating E and V are as follows. Some of them are proved, others are set
as exercises. (X and Y are variables, k, a and b are constants.)
Rules
3. E(X+a) = E(X) + a * (Meaning: adding a constant to all observations increases the mean
by that constant.)
2
5. E(aX+b) = aE(X)+b (Combination of rules 1 and 3.)
7. E(X+Y) = E(X) + E(Y) * (The mean of the sum of two random variables equals the sum
of their means. Example: two dice are thrown, you expect to win £3.50 + £3.50 = £7.)