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MA2001D Mathematics III: Lecture 23

Module-2

Instructor: Vibhuti Arora

Department of Mathematics
National Institute of Technology Calicut

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1 Chi-squared (χ2 ) Distribution

2 Sampling Distribution of Variance

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Chi-squared (χ2 ) Distribution

Definition
The square of a standard normal variate is known as a
chi-squared variate with 1 degree of freedom (d.f.).

X−µ
Thus, if X ∼ N(µ, σ 2 ), then Z = ∼ N(0, 1) and
σ
X−µ 2
 
2
Z =
σ

is a chi-squared variate with 1 d.f.

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Chi-squared (χ2 ) Distribution

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Chi-squared (χ2 ) Distribution

If X1 , X2 are independent normal variate with means µ1 , µ2 and

variances σ12 , σ22 . Then Z1 , Z2 ∼ N(0, 1) and
2 2
X1 − µ1 X2 − µ2
 
X= Z12 + Z22 = +
σ1 σ2

is a chi-squared variate with 2 degrees of freedom (or χ2 (2)).

In general
The chi-squared distribution with k degrees of freedom (or
χ2 (k)) is the distribution of the random variable

X = Z12 + · · · + Zk2

where Z1 , . . . , Zk are independent standard normal variate.

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Chi-squared (χ2 ) Distribution

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Chi-squared (χ2 ) Distribution

Probability Density function of χ2 distribution

The probability density function of Chi-squared variate is given

by
1
f (x) = k/2 xk/2−1 e−x/2
2 Γ(k/2)
for x > 0.

Degree of Freedom
The number of independent variates which make up the
statistic is known as the degree of freedom (d.f.).

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Chi-squared (χ2 ) Distribution

Properties
Let X be a chi-squared random variable with k degrees of freedom (or
X ∼ χ2 (k)). Then

Total area under the curve is 1.

Degree of freedom (d.f.) is only parameter of χ2 -distribution.

A χ2 -distribution is actually a special case of a gamma distribution

with a fractional value for χ2 (k) = Gamma(α, β) where α = k/2 and
β = 2.

The mean of X is the number of degrees of freedom (k).

The variance of X is V(X) = σ 2 = 2k

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Chi-squared (χ2 ) Distribution

Application
χ2 -distributions are used in statistics to make inferences on the
population variance when the population is assumed to be
normally distributed.

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Sampling Distribution of Variance

Theorem: Sampling distribution of variance

Suppose X1 , X2 , . . . , Xn are observations of a random sample of size n
from the normal distribution.
Let X is the sample mean of the n observation and
If S2 is the variance of a random sample of size n taken from a
normal population having the variance σ 2 .
Then
1 X and S2 are independent.
2
n
(n − 1)S2 X (Xi − X)2
=
σ2 σ2
i=1

has a chi-squared distribution with n − 1 degree of freedom.

This way, χ2 -distribution is used to describe the sampling distribution

of S2 .
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Sampling Distribution of Variance

Example
Let Xi ’s denote the Intelligence Quotient (IQ) of a randomly
selected individual, i = 1, . . . , 8. Recalling that IQs are normally
distributed with mean µ = 100 and variance σ 2 = 162 , what is
2
the distribution of (n−1)S
σ2
?

Ans.
Sample size=8. Thus, 7S2 /σ 2 follows a chi-square distribution
with 7 degrees of freedom.

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– End –

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