Stat UN1201- Intro.

to Statistics and Probability

Instructor: Dr. Banu Baydil
TAs: Audrey Yang, ay2658
Kian Saraf Poor, ks4291
Seonghun Lee, sl4836

In Stat UN1201, we will use the textbook:

“Probability and Statistics for Engineering and the
Sciences, 9th ed. Jay Devore, Brooks/Cole”
ISBN: 9781305251809
Some of the lecture slides are adapted/modified from textbook slides (Copyright ©
Cengage Learning. All rights reserved.) based on the needs of the course and might
cover additional material that is not in the course textbook.
You should make sure to read the corresponding chapters in the book as the topics are
covered in class, as well as the lecture slides, and take notes of any additional material
that might be covered during the lectures but might not be either in the course textbook
or in the lecture slides.
1
 Basic Properties of Confidence Intervals
The basic concepts and properties of confidence intervals (CIs) are most
easily introduced by first focusing on a simple, albeit somewhat unrealistic,
problem situation.

Suppose that the parameter of interest is a population mean  and that

1. The population distribution is normal
2. The value of the population standard deviation  is known

(Normality of the population distribution is often a reasonable assumption.

However, if the value of  is unknown, it is typically implausible that the
value of  would be available.)

The actual sample observations x1, x2, …, xn are assumed to be the result
of a random sample X1, …, Xn from a normal distribution with mean value 
and standard deviation .
Irrespective of the sample size n, the sample mean X is normally distributed
with expected value  and standard deviation
Standardizing X, yields the standard normal variable
2
 Basic Properties of Confidence Intervals
As the area under the standard normal curve between –1.96 and 1.96 is .95,

Manipulating the inequalities inside the parentheses above by multiply

through by , subtracting X from each term, and multiply through by –1
to eliminate the minus sign in front of  (which reverses the direction of each
inequality) yields

The event inside the parentheses, that the unknown constant  is in the
Interval , involves a random interval.

3
 Basic Properties of Confidence Intervals
The interval’s width is 2  (1.96)  , which is not random; however, the
location of the interval (its midpoint X) is random.

The random interval

(7.4) centered at X

Therefore, the probability

can be paraphrased as “the probability that this random interval includes or
covers the true value of  is .95.”

Definition
If, after observing X1 = x1, X2 = x2, … , Xn = xn, we compute the observed
sample mean x and then substitute x into the expression above in place of
X, the resulting fixed interval is called a 95% confidence interval for .
4
Basic Properties of Confidence Intervals

1) This CI can be expressed either as

2) or as

3) or a concise expression for the interval is x  1.96  ,

where – gives the left endpoint (lower limit) and + gives the
right endpoint (upper limit).

5
Interpreting a Confidence Level
Consider 100 such constructed intervals. In the figure below the vertical
line cuts the measurement axis at the true (but unknown) value of .
Notice that 7 of the 100 intervals shown fail to
contain .
*In the long run, only 5% of the intervals so
constructed would fail to contain .
According to this interpretation, the confidence
level 95% is not so much a statement about
any particular interval such as (79.3, 80.7).
Instead it pertains to what would happen if a
very large number of like intervals were to be
constructed using the same CI formula.
One hundred 95% CIs (asterisks identify
intervals that do not include ).
6
Other Levels of Confidence
Definition
A 100(1 – )% confidence interval for the mean  of a normal population
when the value of  is known is given by

(7.5)

(or, equivalently, by )

Figure below shows that a probability of 1 –  is achieved by using z/2 in

place of 1.96.

P(–z/2  Z < z/2) = 1 – 

7
Confidence Level, Precision, and Sample Size
Why settle for a confidence level of 95% when a level of 99% is
achievable? The price paid for the higher confidence level is a wider
interval.
The width of the 95% interval is 2(1.96)  = 3.92  .
The width of the 99% interval is 2(2.58)  = 5.16  .
One has more confidence in the 99% interval because it is wider.
The width of the interval can be thought as specifying its precision or
accuracy. *Then the confidence level (or reliability) of the interval is
inversely related to its precision.
A highly reliable interval estimate may be imprecise, whereas a precise
interval may entail relatively low reliability.
Thus it cannot be said unequivocally that a 99% interval is to be
preferred to a 95% interval. *An appealing strategy is to specify both
the desired confidence level and interval width and then determine the
necessary sample size. 8
Confidence Level, Precision, and Sample Size

A general formula for the sample size n necessary to ensure an interval

width, w, is obtained from equating w to 2  z/2  and solving for n.

The sample size necessary for the CI (7.5) to have a width w is

*Note that:
1) The smaller the desired width w, the larger n must be.
2) n is an increasing function of  (more population variability
necessitates a larger sample size)
3) n is an increasing function of the confidence level 100(1 – ) (as 
decreases, z/2 increases).

9
 Large-Sample Confidence Intervals for a Population Mean and Proportion

Earlier we have come across the CI for  which assumed that the population
distribution is normal with the value of  known.

We now present a large-sample CI for  whose validity does not require

these assumptions.

Let X1, X2, . . . , Xn be a random sample from a population having a mean 

and standard deviation . Provided that n is large, the Central Limit Theorem
(CLT) implies that has approximately a normal distribution whatever the
nature of the population distribution. Then it follows that
has approximately a standard normal distribution, and

Similarly as before, we can argue that a large-sample CI for  with a

confidence level of approximately 100(1 – )% is given by .
However, computation of this CI requires the unknown value of .
* For large n, one can the substitute the unknown  with its estimate S.
10
 A Large-Sample Interval for 
Proposition
If n is sufficiently large, the standardized variable has
approximately a standard normal distribution. This implies that a large-
sample confidence interval for  with confidence level approximately
100(1 – )% is given by
.

This formula is valid regardless of the shape of the population distribution.

In words, the above CI is

(point estimate of  )  (z critical value) *(estimated standard
error of the mean)

*Generally speaking, n > 40 will be sufficient to justify the use of this

interval. This is somewhat more conservative than the rule of thumb for the
CLT because of the additional variability introduced by using S in place of .
11
 A General Large-Sample Confidence Interval
Suppose that is an estimator satisfying the following properties:
(1) It has approximately a normal distribution;
(2) it is (at least approximately) unbiased; and
(3) an expression for , the standard deviation of , is available.
Standardizing yields the rv , which has approximately a
standard normal distribution.
(If involves unknown parameters, let be the estimate of obtained by
using estimates of the unknown parameters (e.g. estimates ).
Under general conditions (essentially that be close to for most samples),
a valid CI is

In words: (point estimate of  )  (z critical value) *(estimated standard

error of the estimator)
(eg. The large-sample interval .) 12
 A Confidence Interval for a Population Proportion
Let p denote the proportion of “successes” in a population, where success
identifies an individual or object with a specified property (e.g., individuals
who graduated from college, computers that do not need warranty service).

A random sample of n individuals is to be selected. Let X be the number of

successes in the sample. Assume n is small compared to the population size.
Then, X can be viewed as a binomial rv with E(X) = np and .

Furthermore, when the sample size n is very large and both np  10 and
nq  10, (q = 1 – p), the natural estimator of p, ( = X/n, the sample fraction
of successes), has approximately a normal distribution.

Recalling that E( ) = p (unbiasedness) and , one can

construct a large-sample confidence interval for p with confidence level
approximately 100(1 – )% as

13
Intervals Based on a Normal Population Distribution

The CLT cannot be invoked when n is small. In this case, one way to
proceed is to make a specific assumption about the form of the
population distribution and then derive a CI tailored to that assumption.

Assumption
The population of interest is normal, so that X1, … , Xn constitutes a
random sample from a normal distribution with both  and  unknown.

The key result in earlier section was that for large n, S was close to σ,
and the rv had approximately a standard normal
distribution.

When n is small, S is likely not to be close to σ, so the variability in the

distribution of Z arises from randomness in both the numerator and the
denominator. As a result the probability distribution of
will be more spread out than the standard normal distribution.

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Intervals Based on a Normal Population Distribution
The result on which inferences are based introduces a new family of
probability distributions called t distributions.

Theorem
When is the mean of a random sample of size n from a normal
distribution with mean , the rv
(7.13)

has a probability distribution called a t distribution with n – 1 degrees of

freedom (df).

* Although the variable of interest is still , we now

denote it by T to emphasize that it does not have a standard normal
distribution when n is small.

*Any particular t distribution results from specifying the value of a single

parameter, n , (taking positive integer values), called the number of degrees of
freedom, abbreviated df. 15
Properties of t Distributions
Properties of t Distributions
Let tn denote the t distribution with n df.

1. Each tn curve is bell-shaped and centered at 0.

2. Each tn curve is more spread out than the standard

normal (z) curve.

3. As n increases, the spread of the corresponding tn curve

decreases.

4. As n → , the sequence of tn curves approaches the

standard normal curve (so the z curve is often called the
t curve with df = ).
16
Properties of t Distributions
The figure below illustrates several of these properties for
selected values of n.

tn and z curves

17
Properties of t Distributions
Notation
Let t,n = the number on the measurement axis for which the area under
the t curve with n df to the right of t,n is ; t,n is called a t critical
value.

Illustration of a t,n critical value

Because t curves are symmetric about zero, –t,n captures lower-tail

area . Appendix Table A.5 gives t,n for selected values of  and n.

The columns of the table correspond to different values of . To obtain

t.05,15, go to the  =.05 column, look down to the n = 15 row, and read
t.05,15 = 1.753.

18
 The One-Sample t Confidence Interval
Proposition
Let and s be the sample mean and sample standard deviation computed
from the results of a random sample from a normal population with mean
. Then a 100(1 – )% confidence interval for  is

or, more compactly

19
Confidence Intervals for the Variance and Standard Deviation of a Normal Population

Although inferences concerning a population variance 2 or standard

deviation  are usually of less interest than those about a mean or
proportion, there are occasions when such procedures are needed.
In the case of a normal population distribution, inferences are based on
the following result concerning the sample variance S2.

Theorem
Let X1, X2, … , Xn be a random sample from a normal distribution with
parameters  and 2. Then the rv

has a chi-squared ( 2) probability distribution with n – 1 df.

20
Confidence Intervals for the Variance and Standard Deviation of a Normal Population

The graphs of several 2 probability density functions

(pdf’s) are illustrated in the figure below.

Graphs of chi-squared density functions

21
Confidence Intervals for the Variance and Standard Deviation of a Normal Population

Notation
Let called a chi-squared critical value, denote the number on the
horizontal axis such that  of the area under the chi-squared curve with
v df lies to the right of
The chi-squared distribution is not symmetric, so Appendix Table A.7
contains values of both for  near 0 and near 1:

(a) (b)
notation illustrated
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Confidence Intervals for the Variance and Standard Deviation of a Normal Population

*A 100(1 – )% confidence interval for the variance 2 of

a normal population has lower limit

and upper limit

*A confidence interval for the standard deviation  has

lower and upper limits that are the square roots of the
corresponding limits in the interval for 2.

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