概要
因为使用n作为分母会导致方差被低估,将分母替换为n-1可以保证样本方差是一种无偏估计
理想情况
首先,我们假定随机变量 X X X的数学期望 μ \mu μ是已知的,然而方差 σ 2 {{\sigma }^{2}} σ2未知。如果我们得到一组随机变量 X X X的样本 { X i , i = 1 , 2 , 3... n } \left\{ {{X}_{i}},i=1,2,3...n \right\} {Xi,i=1,2,3...n}。
在这个条件下,根据方差的定义我们有:
E [ ( X i − μ ) 2 ] = σ 2 , ∀ i = 1 , … , n E\left[ {{\left( {{X}_{i}}-\mu \right)}^{2}} \right]={{\sigma }^{2}},\quad \forall i=1,\ldots ,n E[(Xi−μ)2]=σ2,∀i=1,…,n
由此可得:
E [ 1 n ∑ i = 1 n ( X i − μ ) 2 ] = σ 2 E\left[ \frac{1}{n}\sum\limits_{i=1}^{n}{{{\left( {{X}_{i}}-\mu \right)}^{2}}} \right]={{\sigma }^{2}} E[n1i=1∑n(Xi−μ)2]=σ2
因此, 1 n ∑ i = 1 n ( X i − μ ) 2 \frac{1}{n}\sum\limits_{i=1}^{n}{{{\left( {{X}_{i}}-\mu \right)}^{2}}} n1i=1∑n(Xi−μ)2是方差 σ 2 {{\sigma }^{2}} σ2的一个无偏估计。此时,除的分母仍然是 n n n。
使用样本均值代替数学期望
现在,假定随机变量 X X X的数学期望 μ \mu μ是未知的,我们使用样本数据来估计数学期望 μ \mu μ:
X ˉ = 1 n ∑ i = 1 n X i \bar{X}=\frac{1}{n}\sum\limits_{i=1}^{n}{{{X}_{i}}} Xˉ=n1i=1∑nXi
如果我们直接使用上式,代替数学期望 μ \mu μ,则会导致低估方差,如下所示:
E ( 1 n ∑ i = 1 n ( X i − X ˉ ) 2 ) = E ( 1 n ∑ i = 1 n [ ( X i − μ ) + ( μ − X ˉ ) ] 2 ) = E ( 1 n ∑ i = 1 n ( X i − μ ) 2 + 2 n ∑ i = 1 n ( X i − μ ) ( μ − X ˉ ) + 1 n ∑ i = 1 n ( μ − X ˉ ) 2 ) = E ( 1 n ∑ i = 1 n ( X i − μ ) 2 + 2 ( X ˉ − μ ) ( μ − X ˉ ) + ( μ − X ˉ ) 2 ) = E ( 1 n ∑ i = 1 n ( X i − μ ) 2 − ( μ − X ˉ ) 2 ) ≤ E ( 1 n ∑ i = 1 n ( X i − μ ) 2 ) = σ 2 \begin{array}{l} E\left(\frac{1}{n} \sum_{i=1}^{n}\left(X_{i}-\bar{X}\right)^{2}\right)=E\left(\frac{1}{n} \sum_{i=1}^{n}\left[\left(X_{i}-\mu\right)+(\mu-\bar{X})\right]^{2}\right) \\ =E\left(\frac{1}{n} \sum_{i=1}^{n}\left(X_{i}-\mu\right)^{2}+\frac{2}{n} \sum_{i=1}^{n}\left(X_{i}-\mu\right)(\mu-\bar{X})+\frac{1}{n} \sum_{i=1}^{n}(\mu-\bar{X})^{2}\right) \\ =E\left(\frac{1}{n} \sum_{i=1}^{n}\left(X_{i}-\mu\right)^{2}+2(\bar{X}-\mu)(\mu-\bar{X})+(\mu-\bar{X})^{2}\right) \\ =E\left(\frac{1}{n} \sum_{i=1}^{n}\left(X_{i}-\mu\right)^{2}-(\mu-\bar{X})^{2}\right) \\ \leq E\left(\frac{1}{n} \sum_{i=1}^{n}\left(X_{i}-\mu\right)^{2}\right)=\sigma^{2} \end{array} E(n1∑i=1n(Xi−Xˉ)2)=E(n1∑i=1n[(Xi−μ)+(μ−Xˉ)]2)=E(n1∑i=1n(Xi−μ)2+n2∑i=1n(Xi−μ)(μ−Xˉ)+n1∑i=1n(μ−Xˉ)2)=E(n1∑i=1n(Xi−μ)2+2(Xˉ−μ)(μ−Xˉ)+(μ−Xˉ)2)=E(n1∑i=1n(Xi−μ)2−(μ−Xˉ)2)≤E(n1∑i=1n(Xi−μ)2)=σ2
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\begin{array}{l} E\left((\mu-\bar{X})^{2}\right)=E\left((\bar{X}-\mu)^{2}\right) \\ =E\left(\left(\frac{1}{n} \sum_{i=1}^{n} X_{i}-\mu\right)^{2}\right) \\ =E\left(\left(\frac{1}{n} \sum_{i=1}^{n}\left(X_{i}-\mu\right)\right)^{2}\right) \end{array}
E((μ−Xˉ)2)=E((Xˉ−μ)2)=E((n1∑i=1nXi−μ)2)=E((n1∑i=1n(Xi−μ))2)
对多个独立随机变量,存在下述公式:
方差计算公式:
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D(X)=E(X2)−[E(X)]2
均值的均值:
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\begin{aligned} & E(X)=E\left( \frac{1}{n}\sum\limits_{i=1}^{n}{{{X}_{i}}} \right) \\ & =\frac{1}{n}E\left( \sum\limits_{i=1}^{n}{{{X}_{i}}} \right) \\ & =E\left( {{X}_{i}} \right) \\ & =\bar{X} \end{aligned}
E(X)=E(n1i=1∑nXi)=n1E(i=1∑nXi)=E(Xi)=Xˉ
均值的方差:
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\begin{aligned} D(\bar{X}) &=D\left(\frac{1}{n} \sum_{i=1}^{n} X_{i}\right) \\ &=\frac{1}{n^{2}} D\left(\sum_{i=1}^{n} X_{i}\right) \\ &=\frac{1}{n} D\left(X_{i}\right) \end{aligned}
D(Xˉ)=D(n1i=1∑nXi)=n21D(i=1∑nXi)=n1D(Xi)
所以:
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\begin{aligned} & E\left( {{(\mu -\bar{X})}^{2}} \right)=E\left( {{\left( \frac{1}{n}\sum\limits_{i=1}^{n}{\left( {{X}_{i}}-\mu \right)} \right)}^{2}} \right) \\ & \xrightarrow{A=\frac{1}{n}\sum\limits_{i=1}^{n}{\left( {{X}_{i}}-\mu \right)}}E\left( {{A}^{2}} \right) \\ & =D\left( A \right)-E{{\left( A \right)}^{2}} \\ & \xrightarrow{E(A)=0}\frac{1}{n}D\left( {{X}_{i}}-\mu \right) \\ & =\frac{1}{n}D\left( {{X}_{i}} \right) \\ & =\frac{1}{n}{{\sigma }^{2}} \end{aligned}
E((μ−Xˉ)2)=E⎝⎛(n1i=1∑n(Xi−μ))2⎠⎞A=n1i=1∑n(Xi−μ)E(A2)=D(A)−E(A)2E(A)=0n1D(Xi−μ)=n1D(Xi)=n1σ2
结合以上结果,可以知道:
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\begin{aligned} & E\left( \frac{1}{n}\sum\limits_{i=1}^{n}{{{\left( {{X}_{i}}-\bar{X} \right)}^{2}}} \right)=E\left( \frac{1}{n}\sum\limits_{i=1}^{n}{{{\left( {{X}_{i}}-\mu \right)}^{2}}}-{{(\mu -\bar{X})}^{2}} \right) \\ & =E\left( \frac{1}{n}\sum\limits_{i=1}^{n}{{{\left( {{X}_{i}}-\mu \right)}^{2}}} \right)-E\left( {{(\mu -\bar{X})}^{2}} \right) \\ & ={{\sigma }^{2}}-\frac{1}{n}{{\sigma }^{2}} \\ & =\frac{n-1}{n}{{\sigma }^{2}} \end{aligned}
E(n1i=1∑n(Xi−Xˉ)2)=E(n1i=1∑n(Xi−μ)2−(μ−Xˉ)2)=E(n1i=1∑n(Xi−μ)2)−E((μ−Xˉ)2)=σ2−n1σ2=nn−1σ2
要使样本方差的期望等于总体方差,就需要进行修正,也即给样本方差乘上
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所以得到样本方差为:
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\frac{n}{n-1}\cdot \frac{1}{n}\sum\limits_{i=1}^{n}{{{\left( {{X}_{i}}-\bar{X} \right)}^{2}}}=\frac{1}{n-1}\sum\limits_{i=1}^{n}{{{\left( {{X}_{i}}-\bar{X} \right)}^{2}}}
n−1n⋅n1i=1∑n(Xi−Xˉ)2=n−11i=1∑n(Xi−Xˉ)2