Download Basic Statistical Concepts

Survey
yes no Was this document useful for you?
   Thank you for your participation!

* Your assessment is very important for improving the work of artificial intelligence, which forms the content of this project

Document related concepts

History of statistics wikipedia, lookup

Student's t-test wikipedia, lookup

Taylor's law wikipedia, lookup

Bootstrapping (statistics) wikipedia, lookup

Resampling (statistics) wikipedia, lookup

Misuse of statistics wikipedia, lookup

Degrees of freedom (statistics) wikipedia, lookup

Foundations of statistics wikipedia, lookup

Gibbs sampling wikipedia, lookup

Statistical inference wikipedia, lookup

Sampling (statistics) wikipedia, lookup

Transcript
Some Basic Statistical
Concepts
Dr. Tai-Yue Wang
Department of Industrial and Information Management
National Cheng Kung University
Tainan, TAIWAN, ROC
1/33
Outline





Introduction
Basic Statistical Concepts
Inferences about the differences in Means,
Randomized Designs
Inferences about the Differences in Means,
Paired Comparison Designs
Inferences about the Variances of Normal
Distribution
2/33
Introduction





Formulation of a cement mortar
Original formulation and modified formulation
10 samples for each formulation
One factor  formulation
Two formulations:
 two treatments
 two levels of the factor formulation
3
Introduction
Results:
4
Introduction
Dot diagram
5
Basic Statistical Concepts

Experiences from above example





Run – each of above observations
Noise, experimental error, error – the individual runs
difference
Statistical error– arises from variation that is
uncontrolled and generally unavoidable
The presence of error means that the response variable
is a random variable
Random variable could be discrete or continuous
6
Basic Statistical Concepts

Describing sample data

Graphical descriptions



Dot diagram—central tendency, spread
Box plot –
Histogram
7
Basic Statistical Concepts
8
Basc Statistical Concepts
9
Basic Statistical Concepts
•Discrete vs continuous
10
Basic Statistical Concepts

Probability distribution

Discrete
0  p( y j )  1 all values of y j
P( y  y j )  p( y j ) all values of y j
 p( y )  1
j
all values
of y j

Continuous
0  f ( y)
b
p ( a  y  b)   f ( y )dy
a



f ( y )dy  1
11
Basic Statistical Concepts

Probability distribution

Mean—measure of its central tendency
  yf ( y )dy y continuous
 

y yp( y ) y discrete
 all


Expected value –long-run average value
  yf ( y )dy y continuous

  E( y)  
y yp( y ) y discrete
 all

12
Basic Statistical Concepts

Probability distribution

Variance —variability or dispersion of a
distribution
  ( y   ) 2 f ( y )dy y continuous
 
 
2
(
y


)
p( y ) y discrete

 all y (

or
 2  E[( y   ) 2 ]
or
V ( y)   2
13
Basic Statistical Concepts

Probability distribution

Properties: c is a constant







E(c) = c
E(y)= μ
E(cy)=cE(y)=cμ
V(c)=0
V(y)= σ2
V(cy)=c2 σ2
E(y1+y2)= μ1+ μ2
14
Basic Statistical Concepts

Probability distribution

Properties: c is a constant





V(y1+y2)= V(y1)+V(y2)+2Cov(y1, y2)
V(y1-y2)= V(y1)+V(y2)-2Cov(y1, y2)
If y1 and y2 are independent, Cov(y1, y2) =0
E(y1*y2)= E(y1)*V(y2)= μ1* μ2
E(y1/y2) is not necessary equal to E(y1)/V(y2)
15
Basic Statistical Concepts

Sampling and sampling distribution



Random samples -if the population contains N elements and a
sample of n of them is to be selected, and if
each of N!/[(N-n)!n!] possible samples has
equal probability being chosen
Random sampling – above procedure
Statistic – any function of the observations in a
sample that does not contain unknown
parameters
16
Basic Statistical Concepts

Sampling and sampling distribution

Sample mean
n
y

y
i 1
i
n
Sample variance
n
s2 
2
(
y

y
)
 i
i 1
n 1
17
Basic Statistical Concepts

Sampling and sampling distribution




Estimator – a statistic that correspond to an
unknown parameter
Estimate – a particular numerical value of an
estimator
Point estimator: y to μ and s2 to σ2
Properties on sample mean and variance:


The point estimator should be unbiased
An unbiased estimator should have minimum
variance
18
Basic Statistical Concepts

Sampling and sampling distribution

Sum of squares, SS
in
 n
2
  ( yi  y )
E ( S 2 )  E  i 1
 n 1





Sum of squares, SS, can be defined as
n
SS   ( yi  y )2
i 1
19
Basic Statistical Concepts

Sampling and sampling distribution

Degree of freedom, v, number of independent
elements in a sum of square
in
 n
2
  ( yi  y ) 
E ( S 2 )  E  i 1

 n 1 


Degree of freedom, v , can be defined as
v  n 1
20
Basic Statistical Concepts

Sampling and sampling distribution

Normal distribution, N
1
(1 / 2 )[( y   ) /  ]2
f ( y) 
e
-  y  
 2
21
Basic Statistical Concepts

Sampling and sampling distribution

Standard Normal distribution, z, a normal
distribution with μ=0 and σ2=1
z
y

i.e.,
z~N( 0 ,1 )
22
Basic Statistical Concepts

Sampling and sampling distribution

Central Limit Theorem–
If y1, y2, …, yn is a sequence of n independent
and identically distributed random variables
with E(yi)=μ and V(yi)=σ2 and x=y1+y2+…+yn,
then the limiting form of the distribution of
zn 
x  n
n 2
as n∞, is the standard normal distribution
23
Basic Statistical Concepts

Sampling and sampling distribution

Chi-square, χ2 , distribution–
If z1, z2, …, zk are normally and independently
distributed random variables with mean 0 and
variance 1, NID(0,1), the random variable
x  z12  z22  ...  zk2
follows the chi-square distribution with k
degree of freedom.
1
f ( x)  k / 2
x ( k / 2 )1e x / 2
2 (k / 2)
24
Basic Statistical Concepts

Sampling and sampling distribution

Chi-square distribution– example
If y1, y2, …, yn are random samples from N(μ, σ2),
distribution,
n
SS
2


 ( y  y)
i 1
i
2
2
~  n21
Sample variance from NID(μ, σ2),
SS
S 
i.e., S 2 ~ [ 2 /( n  1)]  n21
n 1
2
25
Basic Statistical Concepts

Sampling and sampling distribution

t distribution–
If z and  k2 are independent standard normal and
chi-square random variables, respectively, the
random variable
tk 
z
 k2 / k
follows t distribution with k degrees of freedom
26
Basic Statistical Concepts

Sampling and sampling distribution

pdf of t distribution–
[( k  1) / 2]
1
f (t ) 
k (k / 2) [( t 2 / k )  1]( k 1) / 2
t 
μ =0, σ2=k/(k-2) for k>2
27
Basic Statistical Concepts
28
Basic Statistical Concepts

Sampling and sampling distribution

If y1, y2, …, yn are random samples from N(μ, σ2),
the quantity
y
t
S/ n
is distributed as t with n-1 degrees of freedom
29
Basic Statistical Concepts

Sampling and sampling distribution
F distribution—
If  u2 and  v2 are two independent chi-square
random variables with u and v degrees of
freedom, respectively

 u2 / u
Fu ,v  2
v / v
follows F distribution with u numerator degrees of
freedom and v denominator degrees of freedom
30
Basic Statistical Concepts

Sampling and sampling distribution

pdf of F distribution–
[( u  v ) / 2]( u / v )u / 2 x ( u / 2 )1
h( x ) 
(u / x )(v / 2)[( u / v ) x  1]( uv ) / 2
0 x
31
Basic Statistical Concepts

Sampling and sampling distribution
F distribution– example
Suppose we have two independent normal
distributions with common variance σ2 , if y11,
y12, …, y1n1 is a random sample of n1
observations from the first population and y21,
y22, …, y2n2 is a random sample of n2
observations from the second population

S12
~ Fn1 1, n2 1
2
S2
32
The Hypothesis Testing Framework



Statistical hypothesis testing is a useful
framework for many experimental
situations
Origins of the methodology date from the
early 1900s
We will use a procedure known as the twosample t-test
33
Two-Sample-t-Test

Suppose we have two independent normal, if y11,
y12, …, y1n1 is a random sample of n1 observations
from the first population and y21, y22, …, y2n2 is a
random sample of n2 observations from the second
population
34
Two-Sample-t-Test

A model for data
i  1,2
yij  i   ij{
,  ij ~ NID(0,  i2 )
j  1,2,..., n j
ε is a random error
35
Two-Sample-t-Test


Sampling from a normal distribution
Statistical hypotheses: H :   
0
1
2
H1 : 1   2
36
Two-Sample-t-Test




H0 is called the null hypothesis and H1 is call
alternative hypothesis.
One-sided vs two-sided hypothesis
Type I error, α: the null hypothesis is rejected
when it is true
Type II error, β: the null hypothesis is not rejected
when it is false
  P( type I error )  P( reject H 0 | H 0 is true )
  P( type II error )  P(fail to reject H 0 | H 0 is false)
37
Two-Sample-t-Test

Power of the test:
Power  1    P( reject H 0 | H 0 is false)


Type I error  significance level
1- α = confidence level
38
Two-Sample-t-Test

Two-sample-t-test

Hypothesis:
H 0 : 1  2
H1 : 1   2

Test statistic:
where
y1  y2
t0 
1 1
Sp

n1 n1
2
2
(
n

1
)
S

(
n

1
)
S
1
2
2
S p2  1
(n1  n2  2)
39
Two-Sample-t-Test
1 n
y   yi estimates the population mean 
n i 1
n
1
2
2
S 
( yi  y ) estimates the variance 

n  1 i 1
2
40
Two-Sample-t-Test
41
Example --Summary Statistics
Formulation 1
Formulation 2
“New recipe”
“Original recipe”
y1  16.76
y2  17.04
S  0.100
S22  0.061
S1  0.316
S2  0.248
n1  10
n2  10
2
1
42
Two-Sample-t-Test--How the TwoSample t-Test Works:
Use the sample means to draw inferences about the population means
y1  y2  16.76  17.04  0.28
Difference in sample means
Standard deviation of the difference in sample means
 
2
y
2
n
This suggests a statistic:
Z0 
y1  y2
 12
n1

 22
n2
43
Two-Sample-t-Test--How the TwoSample t-Test Works:
Use S and S to estimate  and 
2
1
2
2
2
1
The previous ratio becomes
2
2
y1  y2
2
1
2
2
S
S

n1 n2
However, we have the case where     
2
1
2
2
2
Pool the individual sample variances:
(n1  1) S  (n2  1) S
S 
n1  n2  2
2
p
2
1
2
2
44
Two-Sample-t-Test--How the
Two-Sample t-Test Works:
The test statistic is
y1  y2
t0 
1 1
Sp

n1 n2




Values of t0 that are near zero are consistent with the null
hypothesis
Values of t0 that are very different from zero are consistent
with the alternative hypothesis
t0 is a “distance” measure-how far apart the averages are
expressed in standard deviation units
Notice the interpretation of t0 as a signal-to-noise ratio
45
The Two-Sample (Pooled) t-Test
(n1  1) S12  (n2  1) S22 9(0.100)  9(0.061)
S 

 0.081
n1  n2  2
10  10  2
2
p
S p  0.284
t0 
y1  y2
16.76  17.04

 2.20
1 1
1 1
Sp

0.284

n1 n2
10 10
The two sample means are a little over two standard deviations apart
Is this a "large" difference?
46
Two-Sample-t-Test


P-value– The smallest level of significance that
would lead to rejection of the null hypothesis.
Computer application
Two-Sample T-Test and CI
Sample
N Mean StDev SE Mean
1
10 16.760 0.316 0.10
2
10 17.040 0.248 0.078
Difference = mu (1) - mu (2)
Estimate for difference: -0.280
95% CI for difference: (-0.547, -0.013)
T-Test of difference = 0 (vs not =): T-Value = -2.20 P-Value = 0.041 DF = 18
Both use Pooled StDev = 0.2840
47
William Sealy Gosset (1876, 1937)
Gosset's interest in barley cultivation led
him to speculate that design of
experiments should aim, not only at
improving the average yield, but also at
breeding varieties whose yield was
insensitive (robust) to variation in soil and
climate.
Developed the t-test (1908)
Gosset was a friend of both Karl Pearson
and R.A. Fisher, an achievement, for each
had a monumental ego and a loathing for
the other.
Gosset was a modest man who cut short
an admirer with the comment that “Fisher
would have discovered it all anyway.”
48
The Two-Sample (Pooled) t-Test




So far, we haven’t really
done any “statistics”
We need an objective
basis for deciding how
large the test statistic t0
really is
In 1908, W. S. Gosset
derived the reference
distribution for t0 …
called the t distribution
Tables of the t
distribution – see textbook
appendix
t0 = -2.20
49
The Two-Sample (Pooled) t-Test
t0 = -2.20



A value of t0
between –2.101 and
2.101 is consistent
with equality of
means
It is possible for the
means to be equal and
t0 to exceed either
2.101 or –2.101, but it
would be a “rare
event” … leads to the
conclusion that the
means are different
Could also use the
P-value approach
50
The Two-Sample (Pooled) t-Test
t0 = -2.20




The P-value is the area (probability) in the tails of the t-distribution beyond -2.20 + the
probability beyond +2.20 (it’s a two-sided test)
The P-value is a measure of how unusual the value of the test statistic is given that the null
hypothesis is true
The P-value the risk of wrongly rejecting the null hypothesis of equal means (it measures
rareness of the event)
The P-value in our problem is P = 0.042
51
Checking Assumptions –
The Normal Probability Plot
52
Two-sample-t-test--Choice of
sample size


The choice of sample size and the probability of
type II error β are closely related connected
Suppose that we are testing the hypothesis
H 0 : 1  2


H1 : 1   2
And The mean are not equal so that δ=μ1-μ2
Because H0 is not true  we care about the
probability of wrongly failing to reject H0
 type II error
53/72
Two-sample-t-test--Choice of
sample size

Define

One can find the sample size by varying power
(1-β) and δ
1  2

d

2
2
54
Two-sample-t-test--Choice of
sample size
Testing mean 1 = mean 2 (versus not =)
Calculating power for mean 1 = mean 2 + difference
Alpha = 0.05 Assumed standard deviation = 0.25
Sample Target
Difference
Size
Power Actual Power
0.25
27
0.95 0.950077
0.25
23
0.90 0.912498
0.25
10
0.55 0.562007
0.50
8
0.95 0.960221
0.50
7
0.90 0.929070
0.50
4
0.55 0.656876
The sample size is for each group.
55
Two-sample-t-test--Choice of
sample size
56
An Introduction to Experimental
Design -How to sample?


A completely randomized design is an
experimental design in which the treatments
are randomly assigned to the experimental
units.
If the experimental units are heterogeneous,
blocking can be used to form homogeneous
groups, resulting in a randomized block
design.
57/54
Completely Randomized
Design -How to sample?


Recall Simple Random Sampling
Finite populations are often defined by lists
such as:



Organization membership roster
Credit card account numbers
Inventory product numbers
58/54
Completely Randomized
Design -How to sample?



A simple random sample of size n from a finite
population of size N is a sample selected such
that each possible sample of size n has the same
probability of being selected.
Replacing each sampled element before
selecting subsequent elements is called
sampling with replacement.
Sampling without replacement is the procedure
used most often.
59/54
Completely Randomized
Design -How to sample?



In large sampling projects, computer-generated
random numbers are often used to automate the
sample selection process.
Excel provides a function for generating
random numbers in its worksheets.
Infinite populations are often defined by an
ongoing process whereby the elements of the
population consist of items generated as though
the process would operate indefinitely.
60/54
Completely Randomized
Design -How to sample?

A simple random sample from an infinite
population is a sample selected such that the
following conditions are satisfied.


Each element selected comes from the same
population.
Each element is selected independently.
61/54
Completely Randomized
Design -How to sample?

Random Numbers: the numbers in the table
are random, these four-digit numbers are
equally likely.
62/54
Completely Randomized
Design -How to sample?


Most experiments have critical error on random
sampling.
Ex: sampling 8 samples from a production line
in one day

Wrong method:

Get one sample every 3 hours not random!
63/54
Completely Randomized
Design -How to sample?

Ex: sampling 8 samples from a production line

Correct method:


You can get one sample at each 3 hours interval but not
every 3 hours  correct but not a simple random
sampling
Get 8 samples in 24 hours




Maximum population is 24, getting 8 samples two digits
63, 27, 15, 99, 86, 71, 74, 45, 10, 21, 51, …
Larger than 24 is discarded
So eight samples are collected at:
15, 10, 21, … hour
64/54
Completely Randomized
Design -How to sample?


In Completely Randomized Design, samples are
randomly collected by simple random sampling
method.
Only one factor is concerned in Completely
Randomized Design, and k levels in this factor.
65/54
Importance of the t-Test


Provides an objective framework for simple
comparative experiments
Could be used to test all relevant hypotheses
in a two-level factorial design, because all
of these hypotheses involve the mean
response at one “side” of the cube versus
the mean response at the opposite “side” of
the cube
66
Two-sample-t-test—
Confidence Intervals



Hypothesis testing gives an objective statement
concerning the difference in means, but it doesn’t
specify “how different” they are
General form of a confidence interval
L    U where P( L    U )  1  
The 100(1- α)% confidence interval on the
difference in two means:
y1  y2  t / 2,n1  n2 2 S p (1/ n1 )  (1/ n2 )  1  2 
y1  y2  t / 2,n1  n2 2 S p (1/ n1 )  (1/ n2 )
67
Two-sample-t-test—
Confidence Intervals--example
68
Other Topics




Hypothesis testing when the variances are
known—two-sample-z-test
One sample inference—one-sample-z or
one-sample-t tests
Hypothesis tests on variances– chi-square
test
Paired experiments
69
Other Topics
70
Other Topics
71
Other Topics
72