证明容量为n的一维正态分布样本的离差平方和的总体方差等分服从自由度为n-1的卡方分布,即nS_n^2/σ^2~χ^2(n-1)

设一组样本(X1,X2,,Xn)N(μ,σ2)(X_1,X_2,\cdots,X_n)\sim N(\mu,\sigma^2),记其期望和离差平方和为

X=1ni=1nXiSS(X)=i=1n(XiX)2 \begin{gathered} \overline{X}=\frac{1}{n}\sum_{i=1}^n{X_i} \\ SS(X)=\sum_{i=1}^{n}(X_i-\overline{X})^2 \end{gathered}

证明

SS(X)σ2χ2(n1) \frac{SS(X)}{\sigma^2}\sim\chi^2(n-1)

证:对(XiX)2(X_i-\overline{X})^2,凑出(Xiμ)2(X_i-\mu)^2并还原

SS(X)=i=1n[(Xiμ)2+2Xiμμ22XiX+X2] SS(X)=\sum_{i=1}^n\left[(X_i-\mu)^2+2X_i\mu-\mu^2-2X_i\overline{X}+\overline{X}^2\right]

分解求和式并求和

SS(X)=i=1n(Xiμ)2+i=1n[X2μ2+2Xi(μX)]=i=1n(Xiμ)2+n(X2μ2)+2(μX)i=1nXi=i=1n(Xiμ)2+n(X+μ)(Xμ)+2n(μX)X=i=1n(Xiμ)2+n(Xμ)(X+μ2X)=i=1n(Xiμ)2n(Xμ)2 \begin{aligned} SS(X)&=\sum_{i=1}^n(X_i-\mu)^2+\sum_{i=1}^n\left[\overline{X}^2-\mu^2+2X_i(\mu-\overline{X})\right] \\ &=\sum_{i=1}^n(X_i-\mu)^2+n\left(\overline{X}^2-\mu^2\right)+2(\mu-\overline{X})\sum_{i=1}^nX_i \\ &=\sum_{i=1}^n(X_i-\mu)^2+n(\overline{X}+\mu)(\overline{X}-\mu)+2n(\mu-\overline{X})\overline{X} \\ &=\sum_{i=1}^n(X_i-\mu)^2+n(\overline{X}-\mu)(\overline{X}+\mu-2\overline{X}) \\ &=\sum_{i=1}^n(X_i-\mu)^2-n(\overline{X}-\mu)^2 \end{aligned}

两侧同除σ2\sigma^2

SS(X)σ2=i=1n(Xiμ)2n(Xμ)2σ2=i=1n(Xiμσ)2[nσ(Xμ)]2 \begin{aligned} \frac{SS(X)}{\sigma^2}&=\frac{\sum_{i=1}^n(X_i-\mu)^2-n(\overline{X}-\mu)^2}{\sigma^2} \\ &=\sum_{i=1}^n(\frac{X_i-\mu}{\sigma})^2-\left[\frac{\sqrt{n}}{\sigma}(\overline{X}-\mu)\right]^2 \end{aligned}

Xiμσ\frac{X_i-\mu}{\sigma}是对XiX_i的归一化,因此XiμσN(0,1)\frac{X_i-\mu}{\sigma}\sim N(0,1),故

i=1n(Xiμσ)2χ2(n) \sum_{i=1}^n(\frac{X_i-\mu}{\sigma})^2\sim\chi^2(n)

由于XN(μ,σ2n)\overline{X}\sim N\left(\mu,\frac{\sigma^2}{n}\right),因此

nσ(Xμ)N(0,1)[nσ(Xμ)]2χ2(1) \begin{gathered} \frac{\sqrt{n}}{\sigma}(\overline{X}-\mu)\sim N(0,1) \\ \left[\frac{\sqrt{n}}{\sigma}(\overline{X}-\mu)\right]^2\sim\chi^2(1) \end{gathered}

SS(X)σ2χ2(n1) \frac{SS(X)}{\sigma^2}\sim\chi^2(n-1)

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