Intro To Probability and Statistics
Intro To Probability and Statistics
Intro To Probability and Statistics
MAT 210
Introduction to Probability and Statistics
Course Content.
Topic 1: Data Analysis
Topic 2: Probability
Topic 3: Random Variables and Discrete Distributions
Topic 4: Continuous Probability Distributions
Topic 5: Sampling Distributions
Topic 6: Point and Interval Estimation
Topic 7: Large Sample Estimation
Topic 8: Large-Sample Tests of Hypothesis
Topic 9: Inferences From Small Sample
Topic 10: Simple Linear Regression and Correlation
Contents
1 Data Analysis
1
Introduction . . . . . . . . .
2
Graphical Methods . . . . .
3
Numerical methods . . . . .
4
Percentiles . . . . . . . . . .
5
Sample Mean and Variance
For Grouped Data . . . . .
6
z-score . . . . . . . . . . . .
2 Probability
1
Sample Space and Events
2
Probability of an event . .
3
Laws of Probability . . . .
4
Counting Sample Points .
5
Random Sampling . . . .
6
Modeling Uncertainty . . .
3 Discrete Random Variables
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29
29
31
35
38
42
43
51
1
2
3
4
Random Variables . . . . . . .
Expected Value and Variance
Discrete Distributions . . . . .
Markov Chains . . . . . . . .
4 Continuous Distributions
1
Introduction . . . . . . .
2
The Normal Distribution
3
Uniform: U[a,b] . . . . .
4
Exponential . . . . . . .
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51
54
55
59
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71
71
72
76
76
5 Sampling Distributions
82
1
The Central Limit Theorem (CLT) . . . . . . . . . 82
2
Sampling Distributions . . . . . . . . . . . . . . . . 83
6 Large Sample Estimation
1
Introduction . . . . . . . . . . . . . . .
2
Point Estimators and Their Properties
3
Single Quantitative Population . . . .
4
Single Binomial Population . . . . . .
5
Two Quantitative Populations . . . . .
6
Two Binomial Populations . . . . . . .
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102
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130
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. 137
. 139
. 139
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. 142
Chapter 1
Data Analysis
Chapter Content.
Introduction
Statistical Problems
Descriptive Statistics
Graphical Methods
Frequency Distributions (Histograms)
Other Methods
Numerical methods
Measures of Central Tendency
Measures of Variability
Empirical Rule
Percentiles
Introduction
Descriptive statistics
Descriptive statistics covers Graphical and Numerical Methods.
Graphical Methods
Loss
15.6
5.4
23.3
19.2
20.8
Data
24.1
17.0
11.8
9.2
12.6
9.9
28.6
18.4
16.8
15.9
rel.
freq, f /n
3/25 (.12)
5/25 (.20)
7/25 (.28)
6/25 (.24)
3/25 (.12)
1/25 (.04)
1.00
w = class width
Rule of thumb:
-The number of classes chosen is usually between 5 and 20.
(Most of the time between 7 and 13.)
-The more data one has the larger is the number of classes.
Formulas:
k = 1 + 3.3log10 (n);
w=
Note: w =
28.65.4
6
max min
.
k
= 4.0 (why?)
w = 295
6
Graphs: Graph the frequency and relative frequency distributions.
10
Exercise. Repeat the above example using 12 and 4 classes respectively. Comment on the usefulness of each including k = 6.
Steps in Constructing a Frequency Distribution (Histogram)
1. Determine the number of classes
2. Determine the class width
3. Locate class boundaries
4. Proceed as above
Possible shapes of frequency distributions
1. Normal distribution (Bell shape)
2. Exponential
3. Uniform
4. Binomial, Poisson (discrete variables)
Important
-The normal distribution is the most popular, most useful,
easiest to handle
- It occurs naturally in practical applications
- It lends itself easily to more in depth analysis
Other Graphical Methods
-Statistical Table: Comparing dierent populations
- Bar Charts
- Line Charts
- Pie-Charts
- Cheating with Charts
11
Numerical methods
Measures of Central
Measures of Dispersion
Tendency
(Variability)
1. Sample mean
1. Range
2. Sample median
2. Mean Absolute Deviation (MAD)
3. Sample mode
3. Sample Variance
4. Sample Standard Deviation
or
n
x = x1 +x2 ++x
n
x
x = n
x = 90
+ 95 + 80 + 60 + 75 = 400
x
x
= n = 400
= 80.
5
Example 2: Let x = age of a randomly selected student sample:
12
x = 20
+ 18 + 22 + 29 + 21 + 19 = 129
x
x
= n = 129
= 21.5
6
2. Sample Median
The median of a sample (data set) is the middle number when
the measurements are arranged in ascending order.
Note:
If n is odd, the median is the middle number
If n is even, the median is the average of the middle two numbers.
Example 1: Sample (9, 2, 7, 11, 14), n = 5
Step 1: arrange in ascending order
2, 7, 9, 11, 14
Step 2: med = 9.
Example 2: Sample (9, 2, 7, 11, 6, 14), n = 6
Step 1: 2, 6, 7, 9, 11, 14
= 8.
Step 2: med = 7+9
2
Remarks:
(i) x is sensitive to extreme values
(ii) the median is insensitive to extreme values (because median is a measure of location or position).
3. Mode
The mode is the value of x (observation) that occurs with the
greatest frequency.
Example: Sample: (9, 2, 7, 11, 14, 7, 2, 7), mode = 7
13
14
MAD =
|x x|
n
x=
x
= 80
n
x x x |x x|
90
10
10
85
5
5
65
-15
15
75
-5
5
70
-10
10
95
15
15
Totals 480
0
60
MAD =
|x x|
60
=
= 10.
n
6
Remarks:
15
(x x)2
n1
s =
s = s2
or
s =
(xx)2
n1
Therefore
x=
x
480
=
= 80
n
6
2
s =
(x x)2
700
=
= 140
n1
5
16
2
s = s = 140 = 11.83
Computational Formula for Calculating s2 and s
2
2
( x)
x n
s2 =
n1
s=
2
x2 ( x )
n
n1
(or s = s2 ).
Example: Same sample
x
x2
90
8100
85
7225
65
4225
75
5625
70
4900
95
9025
Totals 480 39,100
s2 =
2
2
2
( x)
x n
39, 100 (480)
6
=
n1
5
39, 100 38, 400
700
=
=
= 140
5
5
2
s =
s = 140 = 11.83.
17
Numerical methods(Summary)
Data: {x1 , x2 , , xn }
(i) Measures of central tendency
Sample mean: x = n i
Sample median: the middle number when the measurements
are arranged in ascending order
Sample mode: most frequently occurring value
(ii) Measures of variability
Range: r = max min
(xi x)2
n1
Sample Variance: s =
Population mean: =
Population variance:
xi
N
(xi )2
=
N
(xi )2
N
18
19
s
x
Percentiles
20
21
x2 f
147
605
1,575
2,166
1,587
729
6,809
x2 f
xf
n
xg =
s2g
2
x f ( xf )2 /n
n1
22
Exercise: Use the grouped data formulas to calculate the sample mean, sample variance and sample standard deviation of the
grouped data in the weight loss example. Compare with the raw
data results. (x = 16; xg = 15.64; s2 = 29.; s2g = 28.9.)
z-score
For bell-shaped data.
1. The sample z-score for a measurement x is
z=
xx
s
23
24
class
frequency relative frequency
.70-.75.75-.80.80-.85.85-.90.90-.95.95-1.001.00-1.05
Totals
(vi) Graph the frequency and relative frequency distributions
and state your conclusions. (Vertical axis must be clearly labeled)
2. Given the following data set (weight loss per week)
(9, 2, 5, 8, 4, 5)
(i) Find the sample mean.
(ii) Find the sample median.
(iii) Find the sample mode.
(iv) Find the sample range.
(v) Find the mean absolute dierence.
(vi) Find the sample variance using the dening formula.
(vii) Find the sample variance using the short-cut formula.
(viii) Find the sample standard deviation.
(ix) Find the rst and third quartiles, Q1 and Q3 .
(x) Repeat (i)-(ix) for the data set (21, 24, 15, 16, 24).
Answers: x = 5.5, med =5, mode =5 range = 7, MAD=2,
ss , 6.7, s = 2.588, Q3 = 8.25.
25
3. Grades for 50 students from a previous MAT test are summarized below.
class
frequency, f xf x2 f
40 -504
50 -606
60-7010
70-8015
80-9010
90-100
5
Totals
(i) Complete all entries in the table.
(ii) Graph the frequency distribution. (Vertical axis must be
clearly labeled)
(iii) Find the sample mean for the grouped data
(iv) Find the sample variance and standard deviation for the
grouped data.
Answers: xf = 3610, x2 f = 270, 250, x = 72.2, s2 = 196, s =
14.
4. Refer to the raw data in the uoride problem.
(i) Find the sample mean and standard deviation for the raw
data.
(ii) Find the sample mean and standard deviation for the
grouped data.
(iii) Compare the answers in (i) and (ii).
26
27
28
Chapter 2
Probability
Contents.
Sample Space and Events
Probability of an Event
Equally Likely Outcomes
Conditional Probability and Independence
Laws of Probability
Counting Sample Points
Random Sampling
Modeling Uncertainity
Denitions
Random experiment: involves obtaining observations of some
kind
29
30
Probability of an event
31
the probability of A is
P (A)
nA
n
Interpretation
n = # of trials of an experiment
nA = frequency of the event A
nA
= relative frequency of A
n
P (A)
nA
n
if n is large enough.
P (Ei ) = 1,
Ei
p(Ei )
E1
E2
E3
E4
E5
E6
E7 E8 E9 E10
1/20 1/20 1/20 1/20 1/20 1/20 1/5 1/5 1/5 1/10
33
NA
sample points in A
#(A)
=
=
N
sample points in S
#(S)
34
Laws of Probability
Conditional Probability
The conditional probability of the event A given that event B
has occurred is denoted by P (A|B). Then
P (A|B) =
P (A B)
P (B)
P (A B)
P (A)
Independent Events
Denitions. (i) Two events A and B are said to be independent
if
P (A|B) = P (A).
(ii) Two events A and B that are not independent are said to
be dependent.
Remarks. (i) If A and B are independent, then
P (A B) = P (A)P (B); and
P (B|A) = P (B).
(ii) If A is independent of B then B is independent of A.
Probability Laws
Complementation law:
P (A) = 1 P (Ac )
35
Additive law:
P (A B) = P (A) + P (B) P (A B)
Moreover, if A and B are mutually exclusive, then P (AB) = 0
and
P (A B) = P (A) + P (B)
Multiplicative law (Product rule)
P (A B) = P (A|B)P (B)
= P (B|A)P (A)
Moreover, if A and B are independent
P (AB) = P (A)P (B)
Example Let S = {E1 , E2 , . . . , E6 }; A = {E1 , E3 , E5 }; B =
{E1 , E2 , E3 , E4 }; C = {E2 , E4 , E6 };D = {E6 }. Suppose that all
elementary events are equally likely.
(i) What does it mean that all elementary events are equally
likely?
(ii) Find P (A), P (B), and P (A B)
(iii) Use the complementation rule to nd P (Ac ).
(vi) Find P (A B).
(v) Find P (A|B) and P (B|A)
(vi) Are A and B independent?
(vii) Exercise: Repeat (ii)-(vi) for events C and D.
36
P (A|B)P (B)
P (AB)
=
.
P (A)
P (A|B)P (B) + P (A|B c )P (B c )
Remarks.
(i) The events of interest here are B, B c , P (B) and P (B c ) are
called prior probabilities, and
(ii) P (B|A) and P (B c |A) are called posterior (revised) probabilities.
(iii) Bayes Law is important in several elds of applications.
Example 1. A laboratory blood test is 95 percent eective in detecting a certain disease when it is, in fact, present. However, the
test also yields a false positive results for 1 percent of healthy
persons tested. (That is, if a healthy person is tested, then, with
probability 0.01, the test result will imply he or she has the disease.) If 0.5 percent of the population actually has the disease,
what is the probability a person has the disease given that the
test result is positive?
37
Solution Let D be the event that the tested person has the disease
and E the event that the test result is positive. Then the we have
the data summary: P (E|D) = 0.95, P (E|Dc ) = 0.01, P (D) =
0.005, P (Dc ) = 0.995.
The desired probability P (D|E) is obtained by
P (D|E) =
P (D E)
P (E)
P (E|D)P (D)
P (E|D)P (D) + P (E|Dc )P (Dc )
(.95)(.005)
(.95)(.005) + (.01)(.995)
95
.323.
294
Thus only 32 percent of those persons whose test results are positive actually have the disease.
Probabilities in Tabulated Form
Note that 230 109 = one billion, 240 1012 = one thousand
billion, 250 1015 = one trillion.
38
Coin Tosses
Coins sample-points Coins sample-points
1
2
2
4
3
8
4
16
5
32
6
64
10
1024
20
1,048,576
30
109
40
1012
50
1015
64
1019
39
40
n!
).
(nr)!
Combinations
For r n, we dene
41
n
n!
=
r
(n r)!r!
n
r
20
3
20!
3!17!
20.19.18
3.2.1
= 1140 possible
committees.
(ii) From a group of 5 men and 7 women, how many dierent
committees consisting of 2 men and 3 women can be formed?
Solution:
5
2
7
3
Random Sampling
42
size n is
N
n
N = 28 and n = 4 is
28
4
= 20, 475.
Modeling Uncertainty
5
(0.5)2 (1 .5)3
2
5!
=
(0.5)2 (.5)3 = 0.3125
2!3!
P (2Heads) =
43
45
(vi) A C
(vii) A C
(viii) Find the probabilities in (i)-(vii).
(ix) Refer to problem 2., and answer questions (i)-(viii).
5. The following probability table gives the intersection probabilities for four events A, B, C and D where B = Ac and D = C c :
C
D
A
B
.06 0.31
.55 .08
1.00
10!
6!4!
47
48
4 ng/ml):
Prostate Cancer No Prostate Cancer
Positive PSA Test
800
1132
Negative PSA Test
130
558
Using the data given in the above contingency table, compute and interpret the following probabilities. For a man aged 40
and older selected at random, let even A be that he has prostate
cancer, and even B be that he has positive PSA test. Find the
probability that he:
(i) has prostate cancer? does not have prostate cancer?
(ii) has a positive PSA test? has a negative PSA test?
(iii) has a positive PSA test, given that he has prostate cancer?
(sensitivity of the test)
(iv) has a positive PSA test, given that he does not have
prostate cancer? (false-positive rate)
(v) has a negative PSA test, given that he has prostate cancer?
(false-negative rate)
(vi) has a negative PSA test, given that he does not have
prostate cancer? (specicity of the test)
(vii) has prostate cancer given he has a positive PSA test?
(positive-predictive value of the test)
(viii) does not have prostate cancer, given that he has a negative PSA test? (this is called the negative predictive value)
49
(ix) Suppose the PSA test has been oered to your friend.
What advice or information might you oer your friend as he
makes a decision about testing? Justify your recommendations.
12. Answer by True of False . (Circle your choice).
T F (i) An event is a specic collection of simple events.
T F (ii) The probability of an event can sometimes be negative.
T F (iii) If A and B are mutually exclusive events, then they
are also dependent.
T F (iv) The sum of the probabilities of all simple events in
the sample space may be less than 1 depending on circumstances.
T F (v) A random sample of n observations from a population
is not likely to provide a good estimate of a parameter.
T F (vi) A random sample of n observations from a population
is one in which every dierent subset of size n from the population
has an equal probability of being selected.
T F (vii) The probability of an event can sometimes be larger
than one.
T F (viii) The probability of an elementary event can never be
larger than one half.
T F (ix) Although the probability of an event occurring is .9,
the event may not occur at all in 10 trials.
T F (x) If a random experiment has 5 possible outcomes, then
the probability of each outcome is 1/5.
T F (xi) If two events are independent, the occurrence of one
event should not aect the likelihood of the occurrence of the other
event.
50
Chapter 3
Random Variables and
Discrete Distributions
Contents.
Random Variables
Expected Values and Variance
Binomial
Poisson
Hypergeometric
Eaxample of Markov Chains
Random Variables
51
52
x
0
1
2
p(x) 0.60 0.50 -0.10
x
-1
1
2
p(x) 0.30 0.40 0.20
(ii) Continuous distributions arise when the r.v. X is continuous (quantitative data)
Remarks. (i) In data analysis we described a set of data (sample)
by dividing it into classes and calculating relative frequencies.
(ii) In Probability we described a random experiment (population) in terms of events and probabilities of events.
(iii) Here, we describe a random experiment (population) by
using random variables, and probability distribution functions.
xp(x).
(x )2 p(x)
x
2
Notation: Sometimes we use 2 = V (X) (or X
).
Computational Formula
2 =
2
x p(x) 2
54
Denition 2.3 If X is a rv with mean , then the standard deviation of X, denoted by X , (or simply ) is dened by
V (X) =
(x )2 p(x)
Computational Formula
=
x2 p(x) 2
Discrete Distributions
Binomial.
The binomial experiment (distribution) arises in following situation:
(i) the underlying experiment consists of n independent and
identical trials;
(ii) each trial results in one of two possible outcomes, a success
or a failure;
(iii) the probability of a success in a single trial is equal to p
and remains the same throughout the experiment; and
(iv) the experimenter is interested in the rv X that counts the
number of successes observed in n trials.
A r.v. X is said to have a binomial distribution with parameters n and p if
p(x) =
n x nx
p q
(x = 0, 1, . . . , n)
x
55
where q = 1 p.
Mean: = np
1
p
Mean: = p
Variance: 2 = pq, = pq
Binomial Tables.
Cumulative probabilities are given in the table.
Example. Suppose X has a binomial distribution with n =
10, p = .4. Find
(i) P (X 4) = .633
(ii) P (X < 6) = P (X 5) = .834
(iii) P (X > 4) = 1 P (X 4) = 1 .633 = .367
(iv) P (X = 5) = P (X 5) P (X 4) = .834 .633 = .201
Exercise: Answer the same question with p = 0.7
Poisson.
The Poisson random variable arises when counting the number of events that occur in an interval of time when the events
56
are occurring at a constant rate; examples include number of arrivals at an emergency room, number of items demanded from an
inventory; number of items in a batch of a random size.
A rv X is said to have a Poisson distribution with parameter
> 0 if
p(x) = e x /x!, x = 0, 1, . . . .
Graph.
Mean: =
Variance: 2 = , =
Note: e 2.71828
Example. Suppose the number of typographical errors on a single
page of your book has a Poisson distribution with parameter =
1/2. Calculate the probability that there is at least one error on
this page.
Solution. Letting X denote the number of errors on a single
page, we have
P (X 1) = 1 P (X = 0) = 1 e0.5 0.395
Rule of Thumb. The Poisson distribution provides good approximations to binomial probabilities when n is large and = np is
small, preferably with np 7.
Example. Suppose that the probability that an item produced
by a certain machine will be defective is 0.1. Find the probability
that a sample of 10 items will contain at most 1 defective item.
57
10
10
(0.1)0 (0.9)10 +
(0.1)1 (0.9)9 = 0.7361
0
1
f (x) =
10
x
Formula:
25
8
15
8x
f (x) =
D
x
0x8.
N D
nx
N
n
58
The
N n
N 1
D
))
N
Markov Chains
59
Brand 1
Brand 2
Brand 1
90/100
40/200
Brand 2
10/100
160/200
So
P =
0.9 0.1
0.2 0.8
0.9 0.1
0.2 0.8
= (1.3/3, 1.7/3)
Solution:
We need to solve = P , and i i = 1, that is
(1 , 2 ) = (1 , 2 )
0.9 0.1
0.2 0.8
and
1 + 2 = 1
Matrix multiplication gives
1 = 0.91 + 0.22
2 = 0.11 + 0.82
1 + 2 = 1
One equation is redundant. Choose the rst and the third equations. We obtain
0.11 = 0.22
and 1 + 2 = 1
which gives
(1 , 2 ) = (2/3, 1/3)
Brand 1 will eventually capture two thirds of the market, i.e.
200, 000 customers.
Example 2. On any particular day Rebecca, while on medication, is either cheerful (c) or gloomy (g). Data is collected to study
the eect of the medication on behaviour. If Rebecca is cheerful
today then she will be cheerful tomorrow with probability 0.7.
61
-1 0 1 3.5
.6 .1 .1 .2
(ii)
x
p(x)
-1 1 3.5
.6 .6 -.2
(ii)
63
x
p(x)
-2 1 4 6
.2 .2 .2 .1
1
2
3
4
5
.05 .10 .15 .45 .25
10 15 20 25
.2 .3 .4 .1
64
65
(ii)
x
p(x)
-2 -1 2 4
.2 .3 .3 .2
66
7!
3!4!
(iii) Within what limits would you expect X to fall with 95%
probability. (Use the empirical rule). Answers: = 500, = 22.3
69
70
Chapter 4
Continuous Distributions
Contents.
1. Standard Normal
2. Normal
3. Uniform
4. Exponential
Introduction
RECALL: The continuous rv arises in situations when the population (or possible outcomes) are continuous (or quantitative).
Example. Observe the lifetime of a light bulb, then
S = {x, 0 x < }
Let the variable of interest, X, be observed lifetime of the light
bulb then relevant events would be {X x}, {X 1000}, or
71
{1000 X 2000}.
The relevant question is to nd the probability of each these
events.
Important. For any continuous pdf the area under the curve is
equal to 1.
Standard Normal.
A normally distributed (bell shaped) random variable with
= 0 and = 1 is said to have the standard normal distribution.
It is denoted by the letter Z.
pdf of Z:
1
2
f (z) = ez /2 ; < z < ,
2
Graph.
Tabulated Values.
Values of P (0 Z z) are tabulated in the appendix.
Critical Values: z of the standard normal distribution are given
by
P (Z z ) =
which is in the tail of the distribution.
Examples.
(i) P (0 Z 1) = .3413
(ii) P (1 Z 1) = .6826
(iii) P (2 Z 2) = .9544
72
(iv) P (3 Z 3) = .9974
Examples. Find z0 such that
(i) P (Z > z0 ) = .10; z0 = 1.28.
(ii) P (Z > z0 ) = .05; z0 = 1.645.
(iii) P (Z > z0 ) = .025; z0 = 1.96.
(iv) P (Z > z0 ) = .01; z0 = 2.33.
(v) P (Z > z0 ) = .005; z0 = 2.58.
(vi) P (Z z0 ) = .10, .05, .025, .01, .005. (Exercise)
Normal
A rv X is said to have a Normal pdf with parameters and
if
Formula:
1
2
2
f (x) = e(x) /2 ; < x < ,
2
where
< < ; 0 < < .
Properties
Mean: E[X] =
Variance: V (X) = 2
Graph: Bell shaped.
Area under graph = 1.
Standardizing a normal r.v.:
Z-score:
X X
Z=
X
73
OR (simply)
Z=
Conversely,
X = + Z .
Example If X is a normal rv with parameters = 3 and 2 = 9,
nd (i) P (2 < X < 5), (ii) P (X > 0), and (iii) P (X > 9).
Solution (i)
P (2 < X < 5) = P (0.33 < Z < 0.67)
= .3779.
(ii)
P (X > 0) = P (Z > 1) = P (Z < 1)
= .8413.
(iii)
P (X > 9) = P (Z > 2.0)
= 0.5 0.4772 = .0228
Exercise Refer to the above example, nd P (X < 3).
Example The length of life of a certain type of automatic washer
is approximately normally distributed, with a mean of 3.1 years
and standard deviation of 1.2 years. If this type of washer is
guaranteed for 1 year, what fraction of original sales will require
replacement?
74
1 3.1
= 1.75
1.2
Therefore
P (X < 1) = P (Z < 1.75) =
Exercise: Complete the solution of this problem.
Normal Approximation to the Binomial Distribution.
When and how to use the normal approximation:
1. Large n, i.e. np 5 and n(1 p) 5.
2. The approximation can be improved using correction factors.
Example. Let X be the number of times that a fair coin, ipped
40, lands heads. (i) Find the probability that X = 20. (ii) Find
P (10 X 20). Use the normal approximation.
Solution Note that np = 20 and np(1 p) = 10.
P (X = 20) = P (19.5 < X < 20.5)
= P(
X 20
20.5 20
19.5 20
<
<
)
10
10
10
40
P (X = 20) =
(0.5)20 (0.5)20 = .1268
20
75
Uniform: U[a,b]
Formula:
1
a<x<b
ba
= 0 elsewhere
f (x) =
Graph.
Mean: = (a + b)/2
Exponential
The exponential pdf often arises, in practice, as being the distribution of the amount of time until some specic event occurs.
Examples include time until a new car breaks down, time until an
arrival at emergency room, ... etc.
76
(i) What is the probability that a computer will function between 50 and 150 hours before breaking down?
(ii) What is the probability that it will function less than 100
hours?
Solution.
(i) The probability that a computer will function between 50
and 150 hours before breaking down is given by
P (50 X 150) = e50/100 e150/100
= e1/2 e3/2 .384
(ii) Exercise.
Memoryless Property
FACT. The exponential rv has the memoryless property.
Converse The exponential distribution is the only continuous
distribution with the memoryless property.
Review Exercises: Normal Distribution
78
79
80
81
Chapter 5
Sampling Distributions
Contents.
The Central Limit Theorem
The Sampling Distribution of the Sample Mean
The Sampling Distribution of the Sample Proportion
The Sampling Distribution of the Dierence Between Two
Sample Means
The Sampling Distribution of the Dierence Between Two
Sample Proportions
X X
X
82
p p
p
Sampling Distributions
X = S.E.(X) =
n
(iii) What is the sampling distribution of the sample mean X?
Answer: The distribution of X is a normal distribution with
X X
X
=
X
/ n
83
P = S.E.(P ) =
pq
n
pq
,
n
equivalently
Z=
P P
P p
=
pq
P
n
p =
pq
=
n
0.3 0.7
= .023
400
X 1 X 2 =
Z=
12 22
+
n1 n2
X 1 X 2 (1 2 )
12
n1
22
n2
provided n1 , n2 30.
IV. Comparing two Sample Proportions
E(P1 P2 ) = p1 p2
P1 P2 =
Z=
p1 q1 p2 q2
+
n1
n2
P1 P2 (p1 p2 )
p1 q 1
n1
p2 q 2
n2
86
(ii) Find the probability that the sample mean, X, does not
exceed 9. (Answer: z = 2.33, .01)
(iii) Find the probability that the sample mean, X, does not
exceed 11. (Answer: z = 2.33, .99)
3. When a random sample of size n is drawn from a normal
population with mean and variance 2 , the sampling distribution of the sample mean X will be
(a) exactly normal.
(b) approximately normal
(c) binomial
(d) none of the above
4. Answer by True of False . (Circle your choice).
T F (i) For a large sample the central limit theorem applies
regardless of the shape of the population frequency distribution.
T F (ii) The central limit theorem is important because it
explains why some estimators tend to possess, approximately, a
normal distribution.
88
Chapter 6
Large Sample Estimation
Contents.
1. Introduction
2. Point Estimators and Their Properties
3. Single Quantitative Population
4. Single Binomial Population
5. Two Quantitative Populations
6. Two Binomial Populations
7. Choosing the Sample Size
Introduction
Types of estimators.
1. Point estimator
2. Interval estimator: (L, U)
Desired Properties of Point Estimators.
89
Point estimator:
Estimator mean: = (Unbiased)
90
=
Standard error: SE()
Parameter of interest:
Sample data: n, x, s
Other information:
Point estimator: x
Estimator mean: x =
x z/2
n
Condence level: (1 )100% which is the probability that the
interval estimator contains the parameter.
Margin of Error. ( or Bound on the Error of Estimation)
B = z/2
n
91
Assumptions.
1. Large sample (n 30)
2. Sample is randomly selected
Example 1. We are interested in estimating the mean number
of unoccupied seats per ight, , for a major airline. A random
sample of n = 225 ights shows that the sample mean is 11.6 and
the standard deviation is 4.1.
Data summary: n = 225; x = 11.6; s = 4.1.
Question 1. What is the point estimate of ( Do not give the
margin of error)?
x = 11.6
Question 2. Give a 95% bound on the error of estimation (also
known as the margin of error).
4.1
= 0.5357
B = z/2 = 1.96
n
225
Question 3. Find a 90% condence interval for .
x z/2
n
4.1
11.6 1.645
225
11.6 0.45 = (11.15, 12.05)
Question 4. Interpret the CI found in Question 3.
The interval contains with probability 0.90.
OR
92
W = 2z/2
n
W = 2(0.45) = 0.90
OR
W = 12.05 11.15 = 0.90
Question 6. If n, the sample size, is increased what happens to
the width of the CI? what happens to the margin of error?
The width of the CI decreases.
The margin of error decreases.
Sample size:
(z/2 )2 2
n
B2
where is estimated by s.
Note: In the absence of data, is sometimes approximated by
R
where R is the range.
4
Example 2. Suppose you want to construct a 99% CI for so
that W = 0.06. You are told that preliminary data shows a range
from 13.3 to 13.7. What sample size should you choose?
A. Data summary: = .01; R = 13.7 13.3 = .4;
so .4/4 = .1. Now
93
x + z
n
Lower Condence Limit for :
x z
n
94
Point estimator: p
Estimator mean: p = p
Standard error: p =
pq
n
p z/2
pq
n
B = z/2
pq
n
Assumptions.
1. Large sample (np 5; nq 5)
2. Sample is randomly selected
Example 3. A random sample of n = 484 voters in a community
produced x = 257 voters in favor of candidate A.
= 0.531.
Data summary: n = 484; x = 257; p = nx = 257
484
Question 1. Do we have a large sample size?
n
p = 484(0.531) = 257 which is 5.
n
q = 484(0.469) = 227 which is 5.
Therefore we have a large sample size.
Question 2. What is the point estimate of p and its margin of
error?
257
x
= 0.531
p = =
n
484
95
B = z/2
pq
(0.531)(0.469)
= 1.96
= 0.044
n
484
p z/2
pq
n
0.531 1.645
(0.531)(0.469)
484
W = 2z/2
pq
= 2(0.037) = 0.074
n
p + z
pq
n
p z
97
pq
n
12
n1
22
n2
Condence Interval.
(x1 x2 ) z/2
12 22
+
n1 n2
Assumptions.
1. Large samples ( n1 30; n2 30)
2. Samples are randomly selected
3. Samples are independent
Sample size.
(z/2 )2 (12 + 22 )
n
B2
x2
n2
98
p1 p2 (unknown parameter)
(signicance level)
Point estimator: p1 p2
Estimator mean: p1 p2 = p1 p2
Estimated standard error: p1 p2 =
p1 q1
n1
p2 q2
n2
Condence Interval.
(
p1 p2 ) z/2
p1 q1 p2 q2
+
n1
n2
Assumptions.
1. Large samples,
(n1 p1 5, n1 q1 5, n2 p2 5, n2 q2 5)
2. Samples are randomly and independently selected
Sample size.
(z/2 )2 (
p1 q1 + p2 q2 )
n
B2
For unkown parameters:
(z/2 )2 (0.5)
n
B2
Review Exercises: Large-Sample Estimation
99
100
101
Chapter 7
Large-Sample Tests of
Hypothesis
Contents.
1. Elements of a statistical test
2. A Large-sample statistical test
3. Testing a population mean
4. Testing a population proportion
5. Testing the dierence between two population means
6. Testing the dierence between two population proportions
7. Reporting results of statistical tests: p-Value
102
Test statistic:
Rejection region : reject H0 if .....
Graph:
Decision: either Reject H0 or Do no reject H0
Conclusion: At 100% signicance level there is (in)sucient
statistical evidence to favor Ha .
Comments:
* H0 represents the status-quo
* Ha is the hypothesis that we want to provide evidence to
justify. We show that Ha is true by showing that H0 is false, that
is proof by contradiction.
Type I error { reject H0 |H0 is true }
Type II error { do not reject H0 |H0 is false}
= P rob{Type I error}
= P rob{Type II error}
Power of a statistical test:
Prob{reject H0 |H0 is false }= 1
Example 1.
H0 : Innocent
Ha : Guilty
= P rob{sending an innocent person to jail}
= P rob{letting a guilty person go free}
Example 2.
H0 : New drug is not acceptable
Ha : New drug is acceptable
= P rob{marketing a bad drug}
103
Parameter of interest:
Sample data: n, ,
Test:
Null hypothesis (H0 ) : = 0
Alternative hypothesis (Ha ): 1) > 0 ; 2) < 0 ; 3)
= 0
Test statistic (TS):
0
z=
Parameter of interest:
Sample data: n, x, s
Other information: 0 = target value,
Test:
H0 : = 0
Ha : 1) > 0 ; 2) < 0 ; 3)
= 0
T.S. :
x 0
z=
/ n
Rejection region (RR) :
1) Reject H0 if z > z
2) Reject H0 if z < z
3) Reject H0 if z > z/2 or z < z/2
Graph:
Decision: 1) if observed value is in RR: Reject H0
2) if observed value is not in RR: Do no reject H0
Conclusion: At 100% signicance level there is (in)sucient
statistical evidence to favor Ha .
Assumptions:
Large sample (n 30)
Sample is randomly selected
105
=
= 1.2
z=
s/ n
5/ 36
Critical value: z = 1.645
RR: Reject H0 if z > 1.645
Graph:
Decision: Do not reject H0
Conclusion: At 5% signicance level there is insucient statistical evidence to conclude that weight loss in a new diet program
exceeds 20 pounds per rst month.
Exercise: Test the claim that weight loss is not equal to 19.5.
106
T.S. :
p p0
z=
p0 q0 /n
RR:
1) Reject H0 if z > z
2) Reject H0 if z < z
3) Reject H0 if z > z/2 or z < z/2
Graph:
Decision:
1) if observed value is in RR: Reject H0
2) if observed value is not in RR: Do not reject H0
Conclusion: At ()100% signicance level there is (in)sucient
statistical evidence to favor Ha .
Assumptions:
1. Large sample (np 5, nq 5)
2. Sample is randomly selected
Example. Test the hypothesis that p > .10 for sample data:
n = 200, x = 26.
Solution.
26
= .13,
p = nx = 200
Now
H0 : p = .10
Ha : p > .10
TS:
.13 .10
p p0
=
= 1.41
z=
p0 q0 /n
(.10)(.90)/200
107
Parameter of interest: 1 2
Sample data:
Sample 1: n1 , x1 , s1
Sample 2: n2 , x2 , s2
Test:
H0 : 1 2 = D0
Ha : 1)1 2 > D0 ; 2) 1 2 < D0 ;
3) 1 2
= D0
T.S. :
(x1 x2 ) D0
z=
12
22
+
n1
n2
RR:
1) Reject H0 if z > z
2) Reject H0 if z < z
3) Reject H0 if z > z/2 or z < z/2
Graph:
108
Decision:
Conclusion:
Assumptions:
1. Large samples ( n1 30; n2 30)
2. Samples are randomly selected
3. Samples are independent
Example: (Comparing two weight loss programs)
Refer to the weight loss example. Test the hypothesis that
weight loss in the two diet programs are dierent.
1. Sample 1 : n1 = 36, x1 = 21, s21 = 25 (old)
2. Sample 2 : n2 = 36, x2 = 18.5, s22 = 24 (new)
D0 = 0, = 0.05
H0 : 1 2 = 0
Ha : 1 2
= 0,
T.S. :
(x1 x2 ) 0
= 2.14
z= 2
1
22
+ n2
n1
Critical value: z/2 = 1.96
RR: Reject H0 if z > 1.96 or z < 1.96
Graph:
Decision: Reject H0
Conclusion: At 5% signicance level there is sucient statistical evidence to conclude that weight loss in the two diet programs
are dierent.
Exercise: Test the hypothesis that weight loss in the old diet
program exceeds that of the new program.
109
Exercise: Test the claim that the dierence in mean weight loss
for the two programs is greater than 1.
x2
,
n2
p1 p2 (unknown parameter)
Common estimate:
p =
x1 + x2
n1 + n2
Test:
H0 : p1 p2 = 0
Ha : 1) p1 p2 > 0
2) p1 p2 < 0
3) p1 p2
= 0
T.S. :
(
p1 p2 ) 0
z=
pq(1/n1 + 1/n2 )
RR:
1) Reject H0 if z > z
2) Reject H0 if z < z
110
Denition. The p-value for a test of a hypothesis is the smallest value of for which the null hypothesis is rejected, i.e. the
statistical results are signicant.
111
112
114
Chapter 8
Small-Sample Tests of
Hypothesis
Contents:
1. Introduction
2. Students t distribution
3. Small-sample inferences about a population mean
4. Small-sample inferences about the dierence between two
means: Independent Samples
5. Small-sample inferences about the dierence between two
means: Paired Samples
6. Inferences about a population variance
7. Comparing two population variances
115
Introduction
When the sample size is small we only deal with normal populations.
For non-normal (e.g. binomial) populations dierent techniques are necessary
Students t Distribution
RECALL
For small samples (n < 30) from normal populations, we have
z=
/ n
s/ n
Parameter of interest:
Sample data: n, x, s
Other information: 0 = target value,
Point estimator: x
Estimator mean: x =
x
0
s/ n
RR:
1) Reject H0 if t > t,n1
2) Reject H0 if t < t,n1
3) Reject H0 if t > t 2 ,n1 or t < t 2 ,n1
Graph:
Decision: 1) if observed value is in RR: Reject H0
2) if observed value is not in RR: Do not reject H0
Conclusion: At 100% signicance level there is (in)sucient
statistical evidence to favor Ha .
Assumptions.
1. Small sample (n < 30)
2. Sample is randomly selected
3. Normal population
4. Unknown variance
Example For the sample data given below, test the hypothesis
that weight loss in a new diet program exceeds 20 pounds per rst
month.
1. Sample data: n = 25, x = 21.3, s2 = 25, 0 = 20, = 0.05
Critical value: t0.05,24 = 1.711
H0 : = 20
Ha : > 20,
T.S.:
x 0
21.3 20
=
= 1.3
t=
s/ n
5/ 25
118
Parameter of interest: 1 2
Sample data:
Sample 1: n1 , x1 , s1
Sample 2: n2 , x2 , s2
Other information: D0 = target value,
Point estimator: X 1 X 2
Estimator mean: X 1 X 2 = 1 2
Assumptions.
1. Normal populations
2. Small samples ( n1 < 30; n2 < 30)
3. Samples are randomly selected
4. Samples are independent
119
s=
X 1 X 2 =
1
1
+
n1 n2
Reason:
X 1 X 2 =
12
n1
22
n2
2 2
+
n1 n2
1
1
+
n1 n2
Condence Interval:
1
1
+ )
n1 n2
T.S. :
t=
(x1 x2 ) D0
1
n1
1
n2
121
122
Assumptions.
1. Normal populations
2. Small samples ( n1 < 30; n2 < 30)
3. Samples are randomly selected
4. Samples are paired (not independent)
Sample standard deviation of the sample of n paired dierences
sd =
d)2
n1
n
i=1 (di
d t/2,n1 sd / n
Test.
H0 : 1 2 = D0 (equivalently, d = D0 )
Ha : 1)1 2 = d > D0 ; 2) 1 2 = d < D0 ;
3) 1 2 = d
= D0 ,
T.S. :
d D0
t=
sd / n
RR:
1) Reject H0 if t > t,n1
2) Reject H0 if t < t,n1
3) Reject H0 if t > t/2,n1 or t < t/2,n1
Graph:
123
Decision:
Conclusion:
Example. A manufacturer wishes to compare wearing qualities of
two dierent types of tires, A and B. For the comparison a tire of
type A and one of type B are randomly assigned and mounted on
the rear wheels of each of ve automobiles. The automobiles are
then operated for a specied number of miles, and the amount of
wear is recorded for each tire. These measurements are tabulated
below.
Automobile
Tire A
Tire B
1
10.6
10.2
2
9.8
9.4
3
12.3
11.8
4
9.7
9.1
5
8.8
8.3
x1 = 10.24 x2 = 9.76
Note. Using the test of independent samples we would have t =
0.57 resulting in an insignicant test which is inconsistent with
the data.
Automobile
Tire A
Tire B
d=A-B
1
10.6
10.2
.4
2
9.8
9.4
.4
3
12.3
11.8
.5
4
9.7
9.1
.6
5
8.8
8.3
.5
x1 = 10.24 x2 = 9.76 d = .48
124
125
on (n 1) degrees of freedom.
Graph:
Decision:
Conclusion:
Assumptions.
1. Normal population
2. Random sample
Example:
Use text
126
s21
s22
127
Example. (Investment Risk) Investment risk is generally measured by the volatility of possible outcomes of the investment.
The most common method for measuring investment volatility is
by computing the variance ( or standard deviation) of possible
outcomes. Returns over the past 10 years for rst alternative and
8 years for the second alternative produced the following data:
Data Summary:
Investment 1: n1 = 10, x1 = 17.8%; s21 = 3.21
Investment 2: n2 = 8, x2 = 17.8%; s22 = 7.14
Both populations are assumed to be normally distributed.
Q1: Do the data present sucient evidence to indicate that
the risks for investments 1 and 2 are unequal ?
Solution.
Test:
H0 : 12 = 22
Ha : 12
= 22 (two-tailed test).
T.S. :
7.14
s22
= 2.22
F = 2 =
s1
3.21
.
RR: Reject H0 if F > F/2 where
F/2,n2 1,n1 1 = F.025,7,9 = 4.20
Graph:
Decision: Do not reject H0
Conclusion: At 5% signicance level there is insucient statistical evidence to indicate that the risks for investments 1 and 2
are unequal.
128
129
Chapter 9
Simple Linear Regression
and Correlation
Contents.
1. Introduction: Example
2. A Simple Linear probabilistic model
3. Least squares prediction equation
4. Inferences concerning the slope
5. Estimating E(y|x) for a given x
6. Predicting y for a given x
7. Coecient of correlation
8. Analysis of Variance
9. Computer Printouts
130
Introduction
Linear regression is a statistical technique used to predict (forecast) the value of a variable from known related variables.
Example.( Ad Sales) Consider the problem of predicting the
gross monthly sales volume y for a corporation that is not subject to substantial seasonal variation in its sales volume. For the
predictor variable x we use the the amount spent by the company on advertising during the month of interest. We wish to
determine whether advertising is worthwhile, that is whether advertising is actually related to the rms sales volume. In addition
we wish to use the amount spent on advertising to predict the
sales volume. The data in the table below represent a sample of
advertising expenditures,x, and the associated sales volume, y, for
10 randomly selected months.
Remark. The data could represent other types of problems. For
example X can be the amount spent by a Co. on preventive health
care, and Y the savings in health care cost.
Denitions.
(i) Response: dependent variable of interest (sales volume)
(ii) Independent (predictor) variable ( Ad expenditure)
(iii) Linear equations (straight line): y = a + bx
Scatter diagram:
Best t straight line:
Equation of a straight line:
(y-intercept and slope)
131
Month
1
2
3
4
5
6
7
8
9
10
Ad Sales Data
y(y$10,000) x(x$10,000)
101
1.2
92
0.8
110
1.0
120
1.3
90
0.7
82
0.8
93
1.0
75
0.6
91
0.9
105
1.1
Model.
Y = 0 + 1 X +
where
x: independent variable (predictor)
y: dependent variable (response)
0 and 1 are unknown parameters.
132
SSE
n2
133
Remarks.
(i) 1 : is the slope of the estimated regression equation.
(ii) s2 provides a measure of spread of points (x, y) around the
regression line.
Ad Sales example
Question 1. Do a scatter diagram. Can you say that x and y
are linearly related?
Answer.
Question 2. Use the computational formulas to provide a data
summary.
Answer.
Data Summary.
x = 0.94; y = 95.9
SSxx = .444
SSxy = 23.34
SSyy = 1600.9
134
Optional material
Month
1
2
3
4
5
6
7
8
9
10
Sum
x=
Ad Sales Calculations
x
y
x2
1.2
101
1.44
0.8
92
0.64
1.0
110
1.00
1.3
120
1.69
0.7
90
0.49
0.8
82
0.64
1.0
93
1.00
0.6
75
0.36
0.9
91
0.81
1.1
105
1.21
2
x
y
x
9.4
959
9.28
x = 0.94 y = 95.9
x/n = 0.94; y =
SSxx =
SSxy =
SSyy =
xy
121.2
73.6
110.0
156.0
63.0
65.6
93.0
45.0
81.9
115.5
xy
924.8
y/n = 95.9
2
2
x ( x)2 /n = 9.28 (9.4)
= .444
10
(9.4)(959)
xy (
x)(
y2
10,201
8,464
12,100
14,400
8,100
6,724
8,649
5,625
8,281
11,025
2
y
93,569
y)/n = 924.8
10
= 23.34
2
2
y ( y)2 /n = 93, 569 (959)
= 1600.9
10
135
SSE
373.97
=
= 46.75
n2
8
= / SSxx
Test.
H0 : 1 = 10 (no linear relationship)
Ha : 1
= 10 (there is linear relationship)
T.S. :
1 10
t=
s/ SSxx
RR:
Reject H0 if t > t/2,n2 or t < t/2,n2
Graph:
Decision:
Conclusion:
Question 8. Determine whether there is evidence to indicate a
linear relationship between advertising expenditure, x, and sales
volume, y.
137
Answer.
Test.
H0 : 1 = 0 (no linear relationship)
Ha : 1
= 0 (there is linear relationship)
T.S. :
1 0
52.57 0
t=
=
= 5.12
6.84/ .444
s/ SSxx
RR: ( critical value: t.025,8 = 2.306)
Reject H0 if t > 2.306 or t < 2.306
Graph:
Decision: Reject H0
Conclusion: At 5% signicance level there is sucient statistical evidence to indicate a linear relation ship between advertising
expenditure, x, and sales volume, y.
Condence interval for 1 :
s
1 t/2,n2
SSxx
Question 9. Find a 95% condence interval for 1 .
Answer.
s
1 t/2,n2
SSxx
6.84
52.57 2.306
.444
52.57 23.57 = (28.90, 76.24)
138
y t/2,n2
s2 [
1 (xp x)2
+
]
n
SSxx
y t/2,n2
s2 [1
1 (xp x)2
+ +
]
n
SSxx
Coecient of Correlation
139
Remarks.
(i) 1 r 1.
(ii) The population coecient of correlation is .
(iii) r > 0 indicates a positive correlation (1 > 0)
(iv) r < 0 indicates a negative correlation (1 < 0)
(v) r = 0 indicates no correlation (1 = 0)
Question 10. Find the coecient of correlation, r.
Answer.
23.34
SSxy
=
r=
= 0.88
SSxx SSyy
0.444(1, 600.9)
Coecient of determination
Algebraic manipulations show that
r2 =
SSyy SSE
SSyy
Question 11. By what percentage is the sum of squares of deviations of y about the mean (SSyy ) is reduced by using y rather
than y as a predictor of y?
Answer.
SSyy SSE
= 0.882 = 0.77
r2 =
SSyy
r2 = is called the coecient of determination
140
Analysis of Variance
Notation:
T SS := SSyy = (y y)2 (Total SS of deviations).
y y)2 (SS of deviations due to regression or exSSR = (
plained deviations)
SSE = (y y)2 (SS of deviations for the error or unexplained
deviations)
T SS = SSR + SSE
Question 12. Give the ANOVA table for the AD sales example.
Answer.
ANOVA Table
Source df
SS
MS
F
p-value
Reg.
1 1,226.927 1,226.927 26.25 0.0001
Error 8
373.973
46.747
Totals 9 1,600.900
Source df
Reg.
1
Error n-2
Totals n-1
ANOVA Table
SS
MS
SSR MSR=SSR/(1)
SSE MSE=SSE/(n-2)
TSS
141
F
p-value
MSR/MSE
M SR
M SE
= 26.25
142
R-sq=76.6%
P
0.000
0.000
R-sq(adj)=73.7%
Analysis of Variance
Source df
SS
MS
F
p-value
Reg.
1 1,226.927 1,226.927 26.25 0.000
Error 8
373.973
46.747
Totals 9 1,600.900
143
Coef
0
1
s = M SE
Source df
Reg.
1
Error n-2
Totals n-1
Stdev
0
1
R sq = r2
t-ratio
TS: t
TS: t
P
p-value
p-value
R-sq(adj)
Analysis of Variance
SS
MS
F
p-value
SSR MSR=SSR/(1) MSR/MSE
SSE MSE=SSE/(n-2)
TSS
144
r = .943, r2 = .889)
2. A study of middle to upper-level managers is undertaken to
investigate the relationship between salary level,Y , and years of
work experience, X. A random sample sample of 20 managers is
chosen with the following results (in thousands of dollars): xi =
235; yi = 763.8; SSxx = 485.75; SSyy = 2, 236.1; and SSxy =
886.85. It is further assumed that the relationship is linear.
(i) Find 0 , 1 , and the estimated regression equation.
(Answer: y = 16.73 + 1.826x)
(ii) Find the correlation coecient, r.(Answer: r = .85)
(iii) Find r2 and interpret it value.
3. The Regress Minitabs command has been applied to data
on family income, X, and last years energy consumption, Y , from
a random sample of 25 families. The income data are in thousands
of dollars and the energy consumption are in millions of BTU. A
portion of a linear regression computer printout is shown below.
Predictor Coef
Constant 82.036
X
0.93051
s=
R-sq=92.0%
Analysis of Variance
Source
DF SS
Regression
Error
23
Total
8291
stdev
t-ratio P
2.054
39.94 0.000
0.05727
16.25 0.000
R-sq(adj)=91.6%
MS
F
P
7626.6 264.02 0.000
145
146