STAT 135 Lab 7 Distributions derived from the normal distribution, and comparing independent samples.

Transcription

1 STAT 135 Lab 7 Distributions derived from the normal distribution, and comparing independent samples. Rebecca Barter March 16, 2015

2 The χ 2 distribution

3 The χ 2 distribution We have seen several instances of test statistics which follow a χ 2 distribution, for example, the generalized likelihood ratio, Λ 2 log(λ) χ 2 df and the Pearson χ 2 goodness-of-fit test statistic X 2 = n (O i E i ) 2 E i i=1 χ 2 n 1 dim(θ) It turns out that the χ 2 distribution is very related to the N(0, 1) distribution.

4 The χ 2 distribution The χ 2 distribution can be generated from the sum of squared normals: If Z N(0, 1), then Z 2 χ 2 1 and more generally, if Z i N(0, 1), then Z Z 2 n χ 2 n from which it is easy to conclude that if U χ 2 n and V χ 2 m, then U + V χ 2 m+n that is, to get the distribution of the sum of χ 2 random variables, just add the degrees of freedom.

5 The χ 2 distribution The χ 2 n distribution is also related to the gamma distribution: ( n U χ 2 n U Gamma 2, 1 ) 2 so we can write the density of the χ 2 n distribution as f (x) = 1 2 n/2 Γ( n 2 )x n 2 1 e x 2, x 0

6 The t distribution

7 The t distribution If Z N(0, 1) is independent of U χ 2 n, then Z U n t n The t n distribution has density f n (x) = ( ) (n+1)/2 Γ((n + 1)/2) 1 + t2 nπγ(n/2) n

8 The t distribution Note that if X i N(µ, σ 2 ), then X n µ σ/ n N(0, 1) However, if we don t know σ, we can estimate it by s 2 = 1 n 1 and our distribution becomes n (X i X ) 2 i=1 X n µ s/ n t n 1

9 The F -distribution

10 The F-distribution If U χ 2 m and V χ 2 n are independent, then The F m,n distribution has density f (w) = F = U/m V /n F m,n Γ((m + n)/2) ( m ) ( m/2 w m/ m ) (m+n)/2 Γ(m/2)Γ(n/2) n n w

11 Moment generating functions

12 Moment generating functions The moment generating function (MGF) for a random variable X is given by M(t) = E (e ) tx and the MGF of a random variable uniquely determines the corresponding distribution.

13 Moment generating functions The MGF of X is defined by M(t) = E (e ) tx A useful formula: The kth derivative of the MGF of X, evaluated at zero, is equal to the kth moment of X : E ( X k) = d k M dt k t=0

14 Moment generating functions Some nice properties of the moment generating function (show them yourself!): If X has MGF M X (t), and Y = a + bx, then Y has MGF M Y (t) = e at M X (bt) If X and Y are independent with MGF s M X and M Y and Z = X + Y, then M Z (t) = M X (t)m Y (t)

15 Exercise

16 Exercise: moment generating functions For each of the following distributions, calculate the moment generating function, and the first two moments. 1. X Poisson(λ) 2. Z = X + Y, where X Poisson(λ) and Y Poisson(µ) are independent 3. Z N(0, 1)

17 Comparing Independent Samples from two normal populations with common but unknown variance t-test

18 Comparing independent samples So far, we have been working towards making inferences about parameters from a single population. For example, we have looked at conducting hypothesis tests for the (unknown) population mean µ, such as H 0 : µ = 0 H 1 : µ > 0 Given a sample X 1,..., X n from our population of interest, we would look at the sample mean, X n, to see if we have enough evidence against H 0 in favor of H 1 (for example, by calculating a p-value)

19 Comparing independent samples What if we were instead interested in comparing parameters from two different populations? Suppose that: the first population has (unknown) mean µ 1, and the second population has (unknown) mean µ 2. Then we might test the hypothesis: against H 0 : µ 1 = µ 2 H 1 : µ 1 > µ 2 or H 1 : µ 1 < µ 2 or H 1 : µ 1 µ 2

20 Comparing independent samples from two normal populations with common but unknown variance Suppose that we have observed samples: X 1 = x 1,..., X n = x n from pop 1 with unknown variance σx 2 Y 1 = y 1,..., Y m = y m from pop 2 with unknown variance σy 2 Assume common variance: σx 2 = σ2 Y We might want to test against H 0 : µ 1 = µ 2 H 1 : µ 1 > µ 2 What test statistic might we look at to see if we have evidence against H 0 in favor of H 1?

21 Comparing independent samples from two normal populations with common but unknown variance If H 0 was true, we might expect X n Ȳm 0 if H 1 was true, we might expect X n Ȳm > 0. Note that our p-value (the probability, assuming H 0 true, of seeing something at least as extreme as what we have observed) would be given by P H0 ( X Ȳ > x ȳ) To calculate this probability, we need to identify the distribution of X Ȳ.

22 Comparing independent samples from two normal populations with common but unknown variance It turns out that t = ( X n Ȳm) s 1 n + 1 m t n+m 2 where the denominator is an estimate of the standard deviation of X Ȳ (since the true variance is unknown), and s 2 = (n 1)s2 X + (m 1)s2 Y n + m 2 is the pooled variance of X 1,..., X n and Y 1,..., Y m

23 Comparing independent samples from two normal populations with common but unknown variance To test H 0 : µ 1 = µ 2 against H 1 : µ 1 > µ 2 Our p-value can be calculated by P H0 ( X Ȳ > x ȳ) = P ( X Ȳ ) ( x ȳ) > 1 s n m s n + 1 m = P t n+m 2 > ( x ȳ) 1 s n + 1 m This test is called a two-sample t-test

24 Exercise

25 Exercise: comparing independent samples from two normal populations with common but unknown variance Suppose I am interested in comparing the average delivery time for two pizza companies. To test this hypothesis, I ordered 7 pizzas from pizza company A and recorded the delivery times: (20.4, 24.2, 15.4, 21.4, 20.2, 18.5, 21.5) and 5 pizzas from pizza company B: (20.2, 16.9, 18.5, 17.3, 20.5) I know that the delivery times follow normal distributions, but I don t know the mean or variance. Do I have enough evidence to conclude that the average delivery times for each company are different?

26 A nonparametric test for comparing Independent Samples from two arbitrary populations Mann-Whitney test

27 Comparing Independent Samples from two arbitrary populations Suppose that we are interested in comparing two populations, but we don t have any information about the distribution of our two populations. We observe data X 1 = x 1,..., X n = x n IID with unknown cts distribution F Y 1 = y 1,..., Y m = y m IID with unknown cts distribution G Suppose that we want to test the null hypothesis H 0 : F = G We could test H 0 using a nonparametric test (a test that makes no distributional assumptions on the data) based on ranks.

28 Comparing independent samples from two arbitrary populations Let R i be the rank of X i (when the ranks are taken over all of the X i s and Y i s combined). What is the expected value of n i=1 R i under H 0? First note that since under H 0 all ranks are equally likely, P(R 1 = k) = 1 n + m Thus E(R 1 ) = 1P(R 1 = 1) + 2P(R 1 = 2) (n + m)p(r 1 = n + m) = 1 ( (n + m)) n + m = 1 ( ) (n + m)(n + m + 1) n + m 2 = n + m + 1 2

29 Comparing independent samples from two arbitrary populations We just showed that E(R 1 ) = n + m So that if H 0 : F = G is true, we have ( n ) n(n + m + 1) E R i = 2 i=1 Thus a value of n i=1 R i that is significantly larger or smaller than n(n+m+1) 2 would provide evidence against H 0 : F = G.

30 Example: Comparing independent samples from two arbitrary populations Suppose, for example, that we had X = (6.2, 3.7, 4.7, 1.3) Then our ranks are Y = (1.2, 0.8, 1.4, 2.5, 1.1) rank(x ) = (9, 7, 8, 4) rank(y ) = (3, 1, 5, 6, 2) and we have that the sum of the ranks of the X i s and Y i s are n sum of rank(x ) := R i = 28 i=1 m sum of rank(y ) = R i = 17 i=1

31 Comparing independent samples from two arbitrary populations In our example, we saw that the sums of the ranks of the X i s was larger than the sums of the ranks of the Y i s. But how can we tell if this difference is enough to conclude that H 0 : F = G is false (that the two samples came from different distributions)?

32 Comparing independent samples from two arbitrary populations Suppose that the rank of X i is R i the rank of Y i is R i Note that under H 0, if n = m, we would expect that Recall that n R i = i=1 ( n ) E R i = i=1 m i=1 R i n(n + m + 1) 2 similarly we should have that the expected sum of the R i s is ( m ) E R i m(n + m + 1) = 2 i=1

33 Comparing independent samples from two arbitrary populations Thus if H 0 were true, we would expect that n R i + i=1 m R i n 1 (n + m + 1) i=1 where n 1 is the sample size of the smaller population: n 1 = min(n, m). Based on this idea, we can use the Mann-Whitney test to test H 0.

34 Comparing independent samples from two arbitrary populations The Mann-Whitney test can be conducted as follows 1. Concatenate the X i and Y j into a single vector Z 2. Let n 1 be the sample size of the smaller sample 3. Compute R = sum of the ranks of the smaller sample in Z 4. Compute R = n 1 (m + n + 1) R 5. Compute R = min(r, R ) 6. Compare the value of R to critical values in a table: if the value is less than or equal to the tabulated value, reject the null that F = G

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37 Example: Comparing independent samples from two arbitrary populations Back to our example, where X = (6.2, 3.7, 4.7, 1.3) rank(x ) = (9, 7, 8, 4) Y = (1.2, 0.8, 1.4, 2.5, 1.1) rank(y ) = (3, 1, 5, 6, 2) Here n 1 = 4. The smaller sample is X and so the sum of the ranks of X are: R = sum of rank(x ) := n R i = 28 i=1 Next, we compute R = n 1 (m + n + 1) R = 4 ( ) 28 = 12

38 Example: Comparing independent samples from two arbitrary populations so that R = sum of rank(x ) := n R i = 28 i=1 R = n 1 (m + n + 1) R = 4 ( ) 28 = 12 R = min(r, R ) = 12 The critical value in the table for a two-sided test, with α = 0.05 (n 1 = 4, n 2 = 5) is 11. Thus, our value is not less than or equal to the critical value, so we fail to reject H 0.

39 Exercise

40 Exercise: Rice Chapter 11, Exercise 21 A study was done to compare the performances of engine bearings made of different compounds. Ten bearings of each type were tested. The times until failure (in units of millions of cycles) for each type are given below. Type I Type II Use normal theory to test the hypothesis that there is no difference between the two types of bearings. 2. Test the same hypothesis using a nonparametric method. 3. Which of the methods that of part (a) or that of part (b) do you think is better in this case?