设总体
X
X
X ~
N
(
μ
,
σ
2
)
N(μ, σ^2)
N(μ,σ2),
X
1
,
X
2
,
…
…
,
X
n
X_1,X_2,……,X_n
X1,X2,……,Xn是来自总体的样本,样本均值为
X
‾
\overline{X}
X,其中
X
‾
=
1
n
∑
i
=
1
n
X
i
\overline{X}=\frac{1}{n}\sum_{i=1}^{n}X_i
X=n1∑i=1nXi则:
E
[
∑
i
=
1
n
(
X
i
−
X
‾
)
2
]
=
E
(
∑
i
=
1
n
X
i
2
−
n
X
‾
2
)
=
(
n
−
1
)
σ
2
E \left[ \sum_{i=1}^{n}(X_i-\overline{X})^2 \right]=E(\sum_{i=1}^{n}X_i^2-n\overline{X}^2)=(n-1)σ^2
E[i=1∑n(Xi−X)2]=E(i=1∑nXi2−nX2)=(n−1)σ2
证明:
E
[
∑
i
=
1
n
(
X
i
−
X
‾
)
2
]
E \left[ \sum_{i=1}^{n}(X_i-\overline{X})^2 \right]
E[∑i=1n(Xi−X)2]
= E [ ∑ i = 1 n ( X i 2 − 2 X i X ‾ + X ‾ 2 ) ] =E \left[ \sum_{i=1}^{n}(X_i^2-2X_i\overline{X}+\overline{X}^2) \right] =E[∑i=1n(Xi2−2XiX+X2)]
= E [ ∑ i = 1 n X i 2 − 2 X ‾ ∑ i = 1 n X i + ∑ i = 1 n X ‾ 2 ] =E \left[ \sum_{i=1}^{n}X_i^2-2\overline{X} \sum_{i=1}^nX_i+ \sum_{i=1}^n\overline{X}^2 \right] =E[∑i=1nXi2−2X∑i=1nXi+∑i=1nX2]
∵
X
‾
=
1
n
∑
i
=
1
n
X
i
,
X
\overline{X}=\frac{1}{n}\sum_{i=1}^{n}X_i,X
X=n1∑i=1nXi,X ~
N
(
μ
,
σ
2
)
N(μ,σ^2)
N(μ,σ2)
∴
∑
i
=
1
n
X
i
=
n
X
‾
,
X
i
\sum_{i=1}^nX_i=n\overline{X},X_i
∑i=1nXi=nX,Xi ~
N
(
μ
,
σ
2
)
,
i
=
1
、
2
、
.
.
.
、
n
N(μ,σ^2),i=1、2、...、n
N(μ,σ2),i=1、2、...、n
∴
E
X
i
=
μ
,
D
X
i
=
σ
2
,
E
X
‾
=
1
n
E
∑
i
=
1
n
X
i
=
μ
,
D
X
‾
=
1
n
2
D
∑
i
=
1
n
X
i
=
σ
2
n
EX_i=μ,DX_i=σ^2, E\overline{X}=\frac{1}{n}E\sum_{i=1}^{n}X_i=μ,D\overline{X}=\frac{1}{n^2}D\sum_{i=1}^{n}X_i=\frac{σ^2}{n}
EXi=μ,DXi=σ2,EX=n1E∑i=1nXi=μ,DX=n21D∑i=1nXi=nσ2
∴上式
=
E
(
∑
i
=
1
n
X
i
2
−
2
n
X
‾
2
+
n
X
‾
2
)
=E(\sum_{i=1}^{n}X_i^2-2n\overline{X}^2+n\overline{X}^2)
=E(∑i=1nXi2−2nX2+nX2)
= E ( ∑ i = 1 n X i 2 − n X ‾ 2 ) =E(\sum_{i=1}^{n}X_i^2-n\overline{X}^2) =E(∑i=1nXi2−nX2)
= ∑ i = 1 n E X i 2 − n E X ‾ 2 =\sum_{i=1}^{n}EX_i^2-nE\overline{X}^2 =∑i=1nEXi2−nEX2
= ∑ i = 1 n ( D X i + E 2 X i ) − n ( D X ‾ + E 2 X ‾ ) =\sum_{i=1}^{n}(DX_i+E^2X_i)-n(D\overline{X}+E^2\overline{X}) =∑i=1n(DXi+E2Xi)−n(DX+E2X)
= n ( σ + μ 2 ) − n ( σ 2 n + μ 2 ) =n(σ+μ^2)-n(\frac{σ^2}{n}+μ^2) =n(σ+μ2)−n(nσ2+μ2)
= ( n − 1 ) σ 2 =(n-1)σ^2 =(n−1)σ2