定理2.4
简单随机样本的方差
s 2 = 1 n − 1 ∑ i = 1 n ( y i − y ˉ ) 2 s^2=\frac{1}{n-1}\displaystyle\sum^{n}_{i=1}{(y_i-\bar{y})^2} s2=n−11i=1∑n(yi−yˉ)2
是总体方差 S 2 S^2 S2的无偏估计
证明:
对于总体中每个单元
Y
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Y_i
Yi,引入示性变量
a
i
a_i
ai
a
i
=
{
1
若
Y
i
入样
0
若
Y
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不入样
a_i= \begin{cases} 1 &\text{若}Y_i\text{入样}\\ 0 &\text{若}Y_i\text{不入样} \end{cases}
ai={10若Yi入样若Yi不入样
E ( s 2 ) = E ( 1 n − 1 ∑ i = 1 n ( y i − y ˉ ) 2 ) = 1 n − 1 E ( ∑ i = 1 n ( y i − y ˉ ) 2 ) = 1 n − 1 E ( ∑ i = 1 n y i 2 − n y ˉ 2 ) = 1 n − 1 [ E ( ∑ i = 1 n y i 2 ) − E ( n y ˉ 2 ) ] = 1 n − 1 [ E ( ∑ i = 1 N Y i 2 a i ) − n E ( y ˉ 2 ) ] = 1 n − 1 [ E ( a i ) ∑ i = 1 N Y i 2 − n V ( y ˉ ) − n ( E ( y ˉ ) ) 2 ] = 1 n − 1 ( n N ∑ i = 1 N Y i 2 − n ⋅ 1 − f n S 2 − n Y ˉ 2 ) = 1 n − 1 ( n N ∑ i = 1 N Y i 2 − ( 1 − n N ) S 2 − n N ⋅ N Y ˉ 2 ) = 1 n − 1 ( n N ( ∑ i = 1 N Y i 2 − N Y ˉ 2 ) − ( 1 − n N ) S 2 ) = 1 n − 1 ( n ( N − 1 ) N S 2 − N − n N S 2 ) = 1 n − 1 ⋅ ( n − 1 ) N N ⋅ S 2 = S 2 \begin{aligned} E(s^2)&=E\left(\frac{1}{n-1}\displaystyle\sum^{n}_{i=1}{(y_i-\bar{y})^2}\right)\\ &=\frac{1}{n-1}E\left(\displaystyle\sum^{n}_{i=1}{(y_i-\bar{y})^2}\right)\\ &=\frac{1}{n-1}E\left(\displaystyle\sum^{n}_{i=1}{y_i^2}-n\bar{y}^2\right)\\ &=\frac{1}{n-1}\left[E\left(\displaystyle\sum^{n}_{i=1}{y_i^2}\right)-E(n\bar{y}^2)\right]\\ &=\frac{1}{n-1}\left[E\left(\displaystyle\sum^{N}_{i=1}{Y_i^2a_i}\right)-nE(\bar{y}^2)\right]\\ &=\frac{1}{n-1}\left[E(a_i)\displaystyle\sum^{N}_{i=1}{Y_i^2}-nV(\bar{y})-n(E(\bar{y}))^2\right]\\ &=\frac{1}{n-1}\left(\frac{n}{N}\displaystyle\sum^{N}_{i=1}{Y_i^2}-n·\frac{1-f}{n}S^2-n\bar{Y}^2\right)\\ &=\frac{1}{n-1}\left(\frac{n}{N}\displaystyle\sum^{N}_{i=1}{Y_i^2}-\left(1-\frac{n}{N}\right)S^2-\frac{n}{N}·N\bar{Y}^2\right)\\ &=\frac{1}{n-1}\left(\frac{n}{N}\left(\displaystyle\sum^{N}_{i=1}{Y_i^2}-N\bar{Y}^2\right)-\left(1-\frac{n}{N}\right)S^2\right)\\ &=\frac{1}{n-1}\left(\frac{n(N-1)}{N}S^2-\frac{N-n}{N}S^2\right)\\ &=\frac{1}{n-1}·\frac{(n-1)N}{N}·S^2\\ &=S^2 \end{aligned} E(s2)=E(n−11i=1∑n(yi−yˉ)2)=n−11E(i=1∑n(yi−yˉ)2)=n−11E(i=1∑nyi2−nyˉ2)=n−11[E(i=1∑nyi2)−E(nyˉ2)]=n−11[E(i=1∑NYi2ai)−nE(yˉ2)]=n−11[E(ai)i=1∑NYi2−nV(yˉ)−n(E(yˉ))2]=n−11(Nni=1∑NYi2−n⋅n1−fS2−nYˉ2)=n−11(Nni=1∑NYi2−(1−Nn)S2−Nn⋅NYˉ2)=n−11(Nn(i=1∑NYi2−NYˉ2)−(1−Nn)S2)=n−11(Nn(N−1)S2−NN−nS2)=n−11⋅N(n−1)N⋅S2=S2