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I am working on making the companion closer to the AP Stats program. This file contains a simplified (in comparison to the companion) but full (in comparison with various manuals for the AP test) coverage of hypothesis testing. Case I is explained in full, Cases II-VI must be used as exercises.

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A. One population

I. Ideal case: normal population, known σ X

Sample data: We have independent normal variables X 1 ,..., X n sampled from the same normal

population with mean µ X (unknown) and standard deviation σ X (known).

the sample mean

Remember: The number of tails and significance level depend on the problem considered

Step 1. The sample mean will be standardized, therefore we start with the confidence interval

for the standard normal variable z :

P −z α < z < z α = 1−α. (1)

2 2

Step 2. Standardize the sample mean.

Theorem. If X 1 ,..., X n are independent normal, then the sample mean X is normal.

X −µ X

By this theorem the standardized variable z = is standard normal (it normal as a linear

σX

transformation of a normal variable, has mean zero and variance 1). We also know that

V ( X ) σX

µ X = EX = EX = µ X , σ X = V ( X ) = = .

n n

Therefore z becomes

X −µ X

z= . (2)

σX / n

Plug (2) in (1):

X −µ X

P −z α < < z α = 1−α.

2 σ X / n 2

1

σ σ

P −z α X < X −µ X < z α X = 1−α. (3)

2 n 2 n

σX

Definition. The margin of error is defined by ME = z α .

2 n

Hence, (3) becomes

P (−ME < X −µ X < ME ) = 1−α. (3’)

Step 4. Obtain and interpret confidence intervals for the population and sample means.

Question 1 (inference = conclusion about population made on sample information) What can

be said about µ X if X and σ X are known?

Answer 1. From (3’) we have a confidence interval for the population mean:

P ( X − ME < µ X < X + ME ) = 1−α. (4)

Answer 2. From (3’) we get

P (µ X − ME < X < µ X + ME ) = 1−α. (5)

2nd interpretation of (5): the probability that the distance between X and µ X is less than ME is

high ( P (| X −µ X |< ME ) = 1−α ).

3rd interpretation of (5) (using the complement rule): it is not likely that the distance between

X and µ X exceeds ME:

P (| X −µ X |≥ ME ) = α . (7)

Step 1. Formulate the null and alternative hypotheses and choose the level of significance

We want to test H 0 : µ X = µ 0X against H a : µ X ≠ µ 0X at the level of significance α . For such

hypotheses, we should use a two-tail test and the probability of each tail is α / 2 .

Consequences of sampling variability. X is random. Even though EX = µ 0X under the null, the

realized value of X may not be equal to µ 0X because of sampling variability. It may be close to

µ 0X in the sense that

| X −µ 0X |< ME (8)

2

or far from µ 0X in the sense that

| X −µ 0X |≥ ME. (9)

Step 2. Discuss the cases consistent with H 0 and H a and formulate the decision rule.

(A) Supposed the realized statistic satisfies (8). By (5) the event (8) has high probability. Since

this is a likely event under the null, we don’t have sufficient evidence against the null and

cannot reject it.

(B) From (7) we see that the event (9) is not likely to occur under the null. Hence, in case (9) we

should reject the null. Our decision may be wrong (the confidence interval is derived under the

null and rejecting the null is Type I error) and (7) gives the probability of this error:

P (Type I error) = α . (10)

Remember: the statistical theory is good only for evaluating the probability of Type I error.

Decision rule. In case (8) we fail to reject H 0 . In case (9) we reject H 0 , and we know (10).

X −µ 0X

Decision rule (alternative formulation). The statistic z = is called z-score. In case

σX / n

| z |< zα /2 we fail to reject the null. In case | z |≥ zα /2 we reject the null.

Ex. 8.13 (confidence interval)

Ex. 10.11 (hypothesis testing)

Suppose (9) is true with some α . The value of X may be so far from µ 0X that (9) would be true

with a lower α1 < α . Then we would be able to reject the null at this lower α1 and by (10) the

probability of Type I error would be lower (with the same data). This prompts us to look for the

least possible level of significance satisfying (9).

Definition. P-value is the lowest level of significance at which it is still possible to reject the null.

Alternatively, p-value is the least α at which (9) is true. Mathematically, take the realized X

and define p by P (| X −µ X |< ME ) = 1− p .

Interpretation of p-value. At every α ≥ p the null is rejected. At every α < p we fail to reject

the null.

Remember: for each statistic, you can define its own p-value following the same logic.

Independent normal variables X 1 ,..., X n sampled from the same normal population with mean

µ X (unknown) and standard deviation σ X (also unknown).

3

Ex. Give the definition and state the properties of t distribution.

Ex. 8.24 (confidence interval)

Ex. 10.16 (hypothesis testing, one-tail test, p-value)

large sample

Independent variables X 1 ,..., X n sampled from the same non-normal population with mean µ X

(unknown) and standard deviation σ X (also unknown).

Remember: In Case I use z statistic, in Case II use t statistic (in these two cases the sample size

doesn’t matter); in Case II assume large sample size, apply CLT and use z statistic.

sample

Independent variables X 1 ,..., X n sampled from the same Bernoulli population with the

population proportion p unknown.

Remember: because n is large, z score is used

Ex. 8.24 (confidence interval)

Ex. 10.30 (hypothesis testing, one-tail test)

V. Matched pairs: data come in pairs, unknown σD

Data come in pairs ( X 1 , Y1 ),..., ( X n , Yn ) , pairs are independent and normal, the t stats for differences

Di = X i − Yi can be used.

Ex. 9.4 (confidence interval)

Ex. 11.3 (hypothesis testing, two-tail test)

variances

Two samples of different sizes ( X 1 ,..., X nX ) , (Y1 ,..., YnY ) , each sample comes from a normal

population, independence within and between samples, differences Di = X i − Yi don’t make sense.

Ex. 9.11 (confidence interval; use the conservative formula for the degrees of freedom)

Ex. 11.4 (hypothesis testing, one-tail test)

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