# 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)

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

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

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

\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}

\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}

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

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

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

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

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