令样本的变量分布
X
X
X的均值为
μ
μ
μ,方差为
σ
2
σ^2
σ2。对其随机样本
{
x
1
,
.
.
.
,
x
n
}
\{x_1, ..., x_n\}
{x1,...,xn},其样本方差为
s
2
=
1
/
(
n
−
1
)
∑
i
=
1
n
(
x
i
−
x
ˉ
)
2
s^2 = 1 / (n - 1) \sum^n_{i = 1} (x_i - \bar{x})^2
s2=1/(n−1)i=1∑n(xi−xˉ)2其中
n
−
1
n - 1
n−1令
s
2
s^2
s2是样本的无偏估计,即
E
(
s
2
)
=
σ
2
E(s^2) = σ^2
E(s2)=σ2究其缘由,我们定义假设样本方差为
s
^
2
=
1
/
n
∑
i
=
1
n
(
x
i
−
x
ˉ
)
2
\hat{s}^2 = 1 / n \sum^n_{i = 1} (x_i - \bar{x})^2
s^2=1/ni=1∑n(xi−xˉ)2则有
s
^
2
=
1
/
n
∑
i
=
1
n
(
x
i
−
x
ˉ
)
2
=
1
/
n
∑
i
=
1
n
(
(
x
i
−
μ
)
−
(
x
ˉ
−
μ
)
)
2
=
1
/
n
∑
i
=
1
n
(
x
i
−
μ
)
2
+
1
/
n
∑
i
=
1
n
(
x
ˉ
−
μ
)
2
−
2
/
n
∑
i
=
1
n
(
x
i
−
μ
)
(
x
ˉ
−
μ
)
=
1
/
n
∑
i
=
1
n
(
x
i
−
μ
)
2
+
(
x
ˉ
−
μ
)
2
−
2
(
x
ˉ
−
μ
)
(
x
ˉ
−
μ
)
=
1
/
n
∑
i
=
1
n
(
x
i
−
μ
)
2
−
(
x
ˉ
−
μ
)
2
≤
1
/
n
∑
i
=
1
n
(
x
i
−
μ
)
2
\begin{aligned} \hat{s}^2 & = 1 / n\sum_{i = 1}^n (x_i - \bar{x}) ^ 2\\ & = 1 / n\sum_{i = 1}^n ((x_i - μ) - (\bar{x} - μ)) ^ 2\\ & = 1 / n\sum_{i = 1}^n (x_i - μ) ^ 2 + 1 / n\sum_{i = 1}^n (\bar{x} - μ) ^ 2 - 2 / n \sum_{i = 1}^n (x_i - μ)(\bar{x} - μ) \\ & = 1 / n\sum_{i = 1}^n (x_i - μ) ^ 2 + (\bar{x} - μ) ^ 2 - 2 (\bar{x} - μ)(\bar{x} - μ) \\ & = 1 / n\sum_{i = 1}^n (x_i - μ) ^ 2 - (\bar{x} - μ) ^ 2 \\ & \le 1 / n\sum_{i = 1}^n (x_i - μ) ^ 2 \end{aligned}
s^2=1/ni=1∑n(xi−xˉ)2=1/ni=1∑n((xi−μ)−(xˉ−μ))2=1/ni=1∑n(xi−μ)2+1/ni=1∑n(xˉ−μ)2−2/ni=1∑n(xi−μ)(xˉ−μ)=1/ni=1∑n(xi−μ)2+(xˉ−μ)2−2(xˉ−μ)(xˉ−μ)=1/ni=1∑n(xi−μ)2−(xˉ−μ)2≤1/ni=1∑n(xi−μ)2而
1
/
n
∑
i
=
1
n
(
x
i
−
μ
)
2
1 / n \sum_{i = 1}^n (x_i - μ) ^ 2
1/n∑i=1n(xi−μ)2是真实方差,即
s
^
≤
s
\hat{s} \le s
s^≤s当样本均值与分布均值一致时取等号,即该式非无偏估计。
为了得到无偏估计,考虑
E
[
s
^
2
]
=
E
[
1
/
n
∑
i
=
1
n
(
x
i
−
x
ˉ
)
2
]
=
E
[
1
/
n
∑
i
=
1
n
x
i
2
+
1
/
n
∑
i
=
1
n
x
ˉ
2
−
2
/
n
∑
i
=
1
n
x
i
x
ˉ
]
=
E
[
1
/
n
∑
i
=
1
n
x
i
2
+
x
ˉ
2
−
2
x
ˉ
/
n
∑
i
=
1
n
x
i
]
=
E
[
1
/
n
∑
i
=
1
n
x
i
2
+
x
ˉ
2
−
2
x
ˉ
2
]
=
E
[
1
/
n
∑
i
=
1
n
x
i
2
−
x
ˉ
2
]
=
E
[
1
/
n
∑
i
=
1
n
x
i
2
]
−
E
[
x
ˉ
2
]
=
E
[
x
i
2
]
−
E
[
x
ˉ
2
]
\begin{aligned} E[\hat{s}^2] & = E[1 / n\sum_{i = 1}^n (x_i - \bar{x}) ^ 2] \\ & = E[1 / n\sum_{i = 1}^n x_i ^ 2 + 1 / n\sum_{i = 1}^n \bar{x} ^ 2 - 2 / n \sum_{i = 1}^n x_i\bar{x}] \\ & = E[1 / n\sum_{i = 1}^n x_i ^ 2 + \bar{x} ^ 2 - 2 \bar{x} / n \sum_{i = 1}^n x_i] \\ & = E[1 / n\sum_{i = 1}^n x_i ^ 2 + \bar{x} ^ 2 - 2 \bar{x} ^ 2] \\ & = E[1 / n\sum_{i = 1}^n x_i ^ 2 - \bar{x} ^ 2] \\ & = E[1 / n\sum_{i = 1}^n x_i ^ 2] - E[\bar{x} ^ 2] \\ & = E[x_i ^ 2] - E[\bar{x} ^ 2] \end{aligned}
E[s^2]=E[1/ni=1∑n(xi−xˉ)2]=E[1/ni=1∑nxi2+1/ni=1∑nxˉ2−2/ni=1∑nxixˉ]=E[1/ni=1∑nxi2+xˉ2−2xˉ/ni=1∑nxi]=E[1/ni=1∑nxi2+xˉ2−2xˉ2]=E[1/ni=1∑nxi2−xˉ2]=E[1/ni=1∑nxi2]−E[xˉ2]=E[xi2]−E[xˉ2]考虑方差公式
D
X
=
E
[
X
2
]
−
E
X
2
DX = E[X^2] - EX^2
DX=E[X2]−EX2有均值的期望
E
[
x
ˉ
]
=
x
ˉ
E[\bar{x}] = \bar{x}
E[xˉ]=xˉ以及均值的方差
D
[
x
ˉ
]
=
D
[
1
/
n
∑
i
=
1
n
x
i
]
=
1
/
n
2
∑
i
=
1
n
D
[
x
i
]
=
1
/
n
D
[
x
i
]
D[\bar{x}] = D[1 / n\sum_{i = 1}^n x_i] = 1 / n^2\sum_{i = 1}^n D[x_i] = 1 / nD[x_i]
D[xˉ]=D[1/ni=1∑nxi]=1/n2i=1∑nD[xi]=1/nD[xi]故
E
[
s
^
2
]
=
E
[
x
i
2
]
−
E
[
x
ˉ
2
]
=
D
[
x
i
]
+
E
[
x
i
]
2
−
D
[
x
ˉ
]
−
E
[
x
ˉ
]
2
=
D
[
x
i
]
−
1
/
n
D
[
x
i
]
=
(
n
−
1
)
/
n
D
[
x
i
]
\begin{aligned} E[\hat{s}^2] & = E[x_i ^ 2] - E[\bar{x} ^ 2] \\ & = D[x_i] + E[x_i] ^ 2 - D[\bar{x}] - E[\bar{x}] ^ 2 \\ & = D[x_i] - 1/nD[x_i] \\ & = (n - 1) / nD[x_i] \end{aligned}
E[s^2]=E[xi2]−E[xˉ2]=D[xi]+E[xi]2−D[xˉ]−E[xˉ]2=D[xi]−1/nD[xi]=(n−1)/nD[xi]因此为了令
E
[
s
2
]
=
D
[
x
i
]
E[s^2] = D[x_i]
E[s2]=D[xi]有
s
2
=
n
/
(
n
−
1
)
s
^
2
s^2 = n / (n - 1) \hat{s}^2
s2=n/(n−1)s^2即
s
2
=
n
/
(
n
−
1
)
[
1
/
n
∑
i
=
1
n
(
x
i
−
x
ˉ
)
2
]
=
1
/
(
n
−
1
)
∑
i
=
1
n
(
x
i
−
x
ˉ
)
2
s^2 = n / (n - 1) [1 / n \sum^n_{i = 1} (x_i - \bar{x})^2] = 1 / (n - 1) \sum^n_{i = 1} (x_i - \bar{x})^2
s2=n/(n−1)[1/ni=1∑n(xi−xˉ)2]=1/(n−1)i=1∑n(xi−xˉ)2证毕。
概率统计——样本方差
最新推荐文章于 2023-05-31 23:38:21 发布