Interval Estimation Interval Estimation

Example : Election 2000 voting poll from 2386 interviews Example : VSRS {X 1 , X 2 ,..., X n } from (
N µ, σ 2 )
Result of Nationwide 47% > 45%
 σ2
Gallup poll X ~ N  µ , 
Can Bush get more votes than Gore?
 n 
November 5, 2000
Point estimates
Interval estimates
George W. Bush 47%
Bush  σ σ   µ + 1.96σ n − µ   µ − 1.96σ n − µ 
Al Gore 45% Pr  µ − 1.96 ≤ X ≤ µ + 1.96  = Φ  
 − Φ


 n n  σ n   σ n 
Ralph Nader 4% Gore
Buchanan 1% =Φ 1.96−) −(1Φ−(0−.1975
0 .(975 .96)
Not yet decided 3%
%
43 45 47 49
= 0.95
Margin
Margin
of error
of error
: 0.05%
: 2%
“toowill
“Bush close to the
win call”
race”

Interval Estimation Confidence Interval

 σ2 
X ~ N  µ,  L, U Statistics calculated from the sample
 n 
σ σ
µ − 1.96 µ + 1.96
n area = 0.95
n The
Theinterval
interval[L,
[L,U]
U]isiscalled
calleda a100(1-α)% confidence
95% confidence
90% interval
interval
(C.I.)(C.I.)
for
forthe parameterθθifif
theparameter

Pr((LL ≤≤θθ ≤≤U

U)) ==10-.95
9α0 possible θθ
σ
X X + 1.96
n σ
Pr for
forany
anypossible
X + 1.%
X95 96 confidence interval
n σ
X X + 1.96
X − 1.96
σ  σ σ n
σ 
 σ X σ  X − 1.96
X + 1.96 , X + 1.96  Confidence level
Pr Xµn− 1−.961.σ96 ≤ X ≤ µ + 1.96  = 95%  n X + 1.96 nσ n
 σ X n
Xn
n
− 1.96 n
σ
Xn
X + 1.96
σ α Confidence level
X − 1.96 X
n
n σ σ 0.01 99%
X − 1.96 X X + 1.96
n n
σ
X 0.05 95%
X − 1.96
Xn
σ 95%
95%ofofthe
themeans within
intervals contain µ
bounds 0.1 90%
X − 1.96
X
n

Confidence Interval Tail Area

Normal population (
N µ ,σ 2
) µ unknown σ2 known
Z 0.05 = 1.645
VSRS {X 1 , X 2 ,..., X n } N (0,1)
Z 0.025 = 1.96

 X σ−σµ  σ σσ
  = Z .3 2
15 = 1.0036
1Z(.1α296 )− Φ (−101==.−95
00α..)90
Z 00..15
Pr−XX1.−96
Pr −1Z21.≤.α96
576
645 ≤≤≤µ1µ≤ ≤X
.96  =+Φ
X + ..96
2645
576  = 96 = 0.95
99 α/2 1-α α/2
σ nnn
2
  n nn 
Z 0.9 = −1Z.0282
.1

α)% C.I. interval

for µ : for µ : X ±±12Z..645 σσσσ σ  -Zα/2 0 Zα/2
90%
99%
100(1-
confidence XX±−11..96 , X + 1.96
95% 576
962
α 
 nnnn n

point estimate margin of error

1
Confidence Interval Confidence Interval
Example : X alcohol concentration of French wine  1.22 
X ~ N  µ, 
X ~ N µ ,1.2( 2
)  60 
µ + 0.255
µ − 0.255
VSRS {X 1 , X 2 ,..., X 60 } X = 9.3
area = 0.90

σ
= 9.3 ± (1.645)
1.2
A 90% C.I. for µ :
90 % confidence intervals
X ± Z 0.05 X
9.3
n 60 X
[9.045 , 9.555]
= 9.3 ± 0.255 X
8.9
= [9.045 , 9.555] [8.645 , 9.155]
X
9.5
X
[9.245 , 9.755]

? Pr (9.045 ≤ µ ≤ 9.555) = 0.9 ? X 90% of the intervals contain µ

X

Normal Model, Unknown Variance Student-t Distribution

 r +1
Γ
( )
r +1

µ unknown σ2 unknown
−
N µ ,σ 2  2  r − 2  1 + x  2
1 2
Normal population f (x ) =   , −∞ < x < ∞
 r  1  r 
Γ  Γ 
VSRS {X 1 , X 2 ,..., X n } 2 2

N (0,1) ≡ t ∞
X ~ tr
XX −−−µµµ Student-t Densities
~ ~N~(t0n,?1− 1) S=
1 n
∑ (X i − X )
2

σS nnn n − 1 i =1 t7 E ( X ) = 0 for r > 1

Var ( X ) =
r
t3 for r > 2
 σS σ S  r −2
 X X− −
PrPr t n −Z1,α 2 ≤ µ ≤ X + tZnα−1,2α 2  = 1= −1α
−α
 n n n  t1 ≡ Cauchy

unknown
σS
100(1-α)% C.I. for µ : XX±±t nZ−1α,α 22
nn
3 0 3

Student-t Distribution Table

Student-t Distribution

tr X ~ tr

α/2 1-α α/2

-tr,α/2 0 tr,α/2

t 8,0..05 = 1?.860 t11,0.025 = 2? .201

2
Normal Model, Unknown Variance Two Samples Problem
Example : X Frequency of elephant call Population 1 Population 2
X ~ N (µ , σ 2 ) µ y , σ y2
µ x , σ x2
VSRS {X 1 , X 2 ,..., X 12 } X = 22.33 S = 56.4242

A 95% C.I. for µ : X ± t11, 0.025

S
= 22.33 ± (2.201)
56.424
n 12
= 22.33 ± 4.773 VSRS
= [17.557 , 27.103] {X 1 , X 2 ,..., X m } {Y1 , Y2 ,..., Yn }
estimate
Pr (17.557 ≤ µ ≤ 27.103) = 0.95 Compare µx and µy by : µx − µy unknown

Normal Models, Known Variances Normal Models, Unknown Variances

µx , µy unknown µx , µy unknown
Normal populations (
N µ x ,σ 2
x ) (
N µ y ,σ 2
y ) σx2 , σy2 known Normal populations (
N µ x , σ x2 ) (
N µ y , σ y2 ) σx2 , σy2 unknown
Independent VSRSs {X 1 , X 2 ,..., X m } {Y1 , Y2 ,..., Yn } Independent VSRSs {X 1 , X 2 ,..., X m } {Y1 , Y2 ,..., Yn }

 σ x2 σ y 
2
Assumption : Equal variances σ x2 = σ y2 = σ 2
Point estimator for µx - µy : X − Y ~ N  µ x − µ y , +
m n 
  (m − 1)S x2 + (n − 1)S y2
Pooled sample variance 2
S pool =
 σ x2 σ y
2
σ x2 σ y 
2
m+n−2
Pr  (X − Y ) − Z α 2 + ≤ µ ≤ (X − Y ) + Zα 2 + = 1 −α
 m n m n 
 
σ y2
(X −−YY ))±±Zt m + n − 2σ,α 2 +S pool
2
1 1
100(1-α)% C.I. for µx - µy : α 2
x
+
σ x2 σ y m n m n
2
100(1-α)% C.I. for µ : (X − Y ) ± Z α 2 +
m n
unknown
point estimate margin of error

Normal Models, Unknown Variances Large Sample Approximation

Example : growth of tomatoes Arbitrary Population
Normal Population For large n
Fertilizer A (X) 12, 11, 7, 13, 8, 9, 10, 13 X −µ .
N(µ, σ
,σ 2 )
N (0,1)
µ 2
σ n
~N ?
Fertilizer B (Y) 13, 11, 10, 6, 7, 4, 10
 σ σ 
Assumptions : (i) Normal populations Pr X − Z α 2 ≤ µ ≤ X + Zα 2 = 1−α
 ≈
 n n
(ii) Independent samples (iii) Equal variance
100(1-α100(1-
Approximate )% C.I.α)% µ : for µ :
forC.I.
m = 8, n = 7, X = 10.371, Y = 8.714, S x2 = 5.125, S y2 = 9.905
σ
22
=
((8m−−11)()5S .125
2
+ ()n+−(17)S− 1)(9.905)
2
= 7.331 VSRS X ± Zα 2
Pooled sample variance : pool =
SS pool x y
n
m + n8 +
−72 −2

{X 1 , X 2 ,..., X n }
1(10 Y± )3(−±2.027 + n −)(
=2),7α[±−.331 , 0).025 (7 +.688) ] +
11 1 1 1 1 IF σ is unknown, replace it by S .
95% C.I. for µx - µy : X .−371
. 661 8.t160
.m714 1 . 366
2 tS13pool
, +4. 331
8m 7 n 8 7

3
 Population Proportion Population Proportion
X − nπ
~ N (0,1)
.
Large Population For large n nπ (1 − π )
Virus carriers
 
1−π π π Population proportion Pr − Z α 2 ≤
X − nπ
≤ Zα 2  ≈ 1 − α

 nπ (1 − π ) 

X = number of virus carriers in the sample
Approximate 100(1-α)% C.I. for π :
X ~ b(n, π ) 
2π + Z α2 2 ± (2π + Z n ) − 4π (1 + Z
2
α 2
2 2 2
α 2 n )
Point estimator for π : 2(1 + Z n) 2
α 2

 
Random sample of size n  X
π=  π (1 − π )
n
Sample proportion ≈ π ± Zα 2
n

Population Proportion Two Samples Problem

Example : 41 people out of 500 persons were unemployed Population 1 Population 2

K 41
π= = 0.082 π2
500 π1
Approximate 95% C.I. for π :
K K
K π (1 − π ) (0.082)(0.918)
π ± Z 0.025 = 0.082 ± (1.96) X Y
n 500
= 0.082 ± 0.024
Sample with size n1 Sample with size n2
= [5.8% , 10.6%]

Estimated unemployment rate is 8.2% with margin of error 2.4% . Compare π1 and π2 by : π1 − π 2 unknown

Two Samples Problem Two Samples Problem

 X  Y Example : ability of detergents to remove stains
Point estimators π1 = π2 =
n1 n2
Detergent Successes Failures Total K 63 9
π1 = = = 69.23%
X − n1π 1 Y − n 2π 2
~ N (0,1) ~ N (0,1)
. . 91 13
For large n1, n2 1 63 28 91
n1π 1 (1 − π 1 ) n2π 2 (1 − π 2 ) K
π2 =
42
= 53.16%
2 42 37 79 79

Approximate 100(1-α)% C.I. for π1 - π2 : Approximate 90% C.I. for π1 - π2 :

   
π 1 (1 − π 1 ) π 2 (1 − π 2 ) π 1π−1 π>2π>2 0
   
π 1 (1 − π 1 ) π 2 (1 − π 2 ) (π1 − π 2 ) ± Z 0.05 +
(π1 − π 2 ) ± Z α 2 + n1 n2
n1 n2
 9 42 
=  −  ± (1.645)
(9 13)(4 13) + (42 79 )(37 79 )
 13 79  91 79

= 0.1607 ± 0.1219 = [3.88% , 28.26%]

4
Sample Size Determination Sample Size Determination
σ
100(1-α)% C.I. for µ : X ± Zα 2 Example : survey on entertainment expenses
n

Zα 2
σ
Zα 2
σ σ σ
Zα 2 Zα 2 Zα 2
σ
Zα 2
σ σ
Zα 2 Zα 2
σ σ = $400 from past surveys
n n n n n n n n

Precision requirement :
X µ X X X
95% confidence that estimation error is at most $120
D : precision requirement

Z α 2σ Z α2 2σ 2 With probability 1-α, Z 02.025σ 2 (1.96)2 (400 )2

D= ⇔n= n= = = 42.68 ≈ 43
n D2 estimation error is at most D. D2 (120 )2

π (1 − π ) Z α2 2π (1 − π )
D = Zα 2 ⇔n=
n D2