MAK211E Probability and Statistics

Applied Statistics and

Probability for Engineers
Sixth Edition
Douglas C. Montgomery • George C. Runger

Chapter 8

İTÜ MAK211E Probability and Statistics 2023 Fall 1

Statistical Intervals for a Single Sample (Chap 8)
• Confidence Interval
• Tolerance Interval
• Prediction Interval
• Confidence Interval on the Mean, Variance Known
• Confidence Interval on the Mean, Variance Unknown
• Confidence Interval on the Variance
• Large-Sample Conf. Inter. for a Population Proportion
• Guidelines for Constructing Confidence Intervals

İTÜ MAK211E Probability and Statistics 2023 Fall 2

Confidence Interval
An interval estimate for a population parameter

Example: Average height of a population

Use small number of people and estimate an interval
with a given probability

Average height will be between 173 and 181 cm with

95% probability

İTÜ MAK211E Probability and Statistics 2023 Fall 3

Tolerance Interval
Bounds a selected proportion of a distribution

Example: Average height of a population

Use small number of people and estimate an interval
with a given probability

80% of people will be between 168 and 186 cm

İTÜ MAK211E Probability and Statistics 2023 Fall 4

Prediction Interval

Bounds future observations from the population or distribution

Example: Average height of a population

Use small number of people and estimate an interval with a given probability

The next person will be between 168 and 186 cm with 80% probability

The Prediction interval for large sample size goes to the Tolerance interval

İTÜ MAK211E Probability and Statistics 2023 Fall 5

Confidence Interval on the Mean, Variance Known
Random sample 𝑋1 , 𝑋2 , … , 𝑋𝑛 from a normal distribution with unknown mean μ and known
variance σ2 . The sample mean 𝑋ത is normally distributed with mean μ and variance σ2 /𝑛

𝑋ത − μ
𝑍=
σ/ 𝑛
is the Standard Normal Distribution

Confidence Interval

𝑃 𝐿 ≤μ≤𝑈 =1−α 𝑤ℎ𝑒𝑟𝑒 0 ≤ α ≤ 1

1 − α is confidence coefficient
𝑋ത − μ
𝑃 −𝑧α/2 ≤ ≤ 𝑧α/2 = 1 − α
σ/ 𝑛

𝑃 𝑋ത − 𝑧α/2 σ/ 𝑛 ≤ μ ≤ 𝑋ത + 𝑧α/2 σ/ 𝑛 = 1 − α

İTÜ MAK211E Probability and Statistics 2023 Fall 6

Confidence Interval on the Mean, Variance Known
Example: Sample heights 170, 172,175, 177, 177, 177, 179, 182, 184 cm

Population mean μ is not known but population standard deviation σ = 6 cm

Sample size 𝑛 = 9
Sample mean 𝑋ത = 177 𝑐𝑚
Sample standard deviation 𝑆 = 4.4 cm

α = 0.05 → 𝑧α/2 = 1.96

𝑃 𝑋ത − 𝑧α/2 σ/ 𝑛 ≤ μ ≤ 𝑋ത + 𝑧α/2 σ/ 𝑛 = 1 − α

𝑃 177 − 1.96 ∗ 2 ≤ μ ≤ 177 + 1.96 ∗ 2 = 0.95

Average height of the population will be between 173 and 181 cm with 95% probability

İTÜ MAK211E Probability and Statistics 2023 Fall 7

Confidence Interval on the Mean, Variance Known
To calculate 95% Confidence Interval
from standard normal distribution

α
= 0.025
2

1 − 0.025 = 0.975

𝑧α/2 = 1.96

ϕ 1.96 = 0.975002

İTÜ MAK211E Probability and Statistics 2023 Fall 8

Confidence Interval on the Mean, Variance Known
Choice of Sample Size n

Error
𝐸 = |𝑋ത − μ|

2
𝑛 = 𝑧α/2 σ/𝐸

Example:
𝐸 = 2 𝑐𝑚 σ = 6 𝑐𝑚 α = 0.05 → 𝑧α/2 = 1.96

𝑛 = 1.96 ∗ 6/2 2 = 34.57 ~ 35

𝐸 = 4 𝑐𝑚 σ = 6 𝑐𝑚 α = 0.05 → 𝑧α/2 = 1.96

𝑛 = 1.96 ∗ 6/4 2 = 8.64 ~ 9

İTÜ MAK211E Probability and Statistics 2023 Fall 9

Confidence Interval on the Mean, Variance Known
One sided Confidence Bounds

Upper Confidence Bound

𝑃 μ ≤ 𝑋ത + 𝑧α σ/ 𝑛 = 1 − α

Lower Confidence Bound

𝑃 𝑋ത − 𝑧α σ/ 𝑛 ≤ μ = 1 − α

Example: Sample heights 170, 172,175, 177, 177, 177, 179, 182, 184 cm

Population mean μ is not known but population standard deviation σ = 6 cm

Sample size 𝑛 = 9
Sample mean 𝑋ത = 177 𝑐𝑚
α = 0.05 → 1 − α = 0.95 → 𝑧α = 1.64

𝑃 μ ≤ 177 + 1.64 ∗ 2 = 0.95

Average height is less than 180.28 cm with 95% probability

İTÜ MAK211E Probability and Statistics 2023 Fall 10

Confidence Interval on the Mean, Variance Known
General Method for Confidence Interval for an unknown parameter θ

Consider random sample 𝑋1 , 𝑋2 , … , 𝑋𝑛 and a statistic g(𝑋1 , 𝑋2 , … , 𝑋𝑛 , θ) whose probability distribution

does not depend on θ or any other unknown parameter.
Example:
𝑋ത − μ
θ=μ g 𝑋1 , 𝑋2 , … , 𝑋𝑛 , θ =
σ/ 𝑛

𝑃 𝐶𝐿 ≤ g 𝑋1 , 𝑋2 , … , 𝑋𝑛 , θ ≤ 𝐶𝑈 = 1 − α
Example:
𝐶𝐿 = −𝑧α/2 𝐶𝑈 = 𝑧α/2

𝑃 L(𝑋1 , 𝑋2 , … , 𝑋𝑛 ) ≤ θ ≤ U(𝑋1 , 𝑋2 , … , 𝑋𝑛 ) = 1 − α

Example:
𝑃 𝑋ത − 𝑧α/2 σ/ 𝑛 ≤ μ ≤ 𝑋ത + 𝑧α/2 σ/ 𝑛 = 1 − α

İTÜ MAK211E Probability and Statistics 2023 Fall 11

Confidence Interval on the Mean, Variance Known(?)
Large Sample Confidence Interval for μ

𝑆 Sample Standard Deviation

𝑋ത − μ
𝑍=
𝑆/ 𝑛

𝑃 𝑋ത − 𝑧α/2 𝑆/ 𝑛 ≤ μ ≤ 𝑋ത + 𝑧α/2 𝑆/ 𝑛 = 1 − α

Good approximation when

𝑛 > 40

İTÜ MAK211E Probability and Statistics 2023 Fall 12

Confidence Interval on the Mean, Variance Unknown
Random sample 𝑋1 , 𝑋2 , … , 𝑋𝑛 from a normal distribution with unknown mean μ and unknown variance σ2 .

𝑛 small
𝑋ത Sample Mean
𝑆 Sample Standard Deviation
𝑋ത − μ
𝑇=
𝑆/ 𝑛

t distribution with 𝑘 = 𝑛 − 1 degrees of freedom.

𝑘+1
Г 1
2
𝑓 𝑥 = 𝑘+1 −∞<𝑥 <∞
𝑘
π𝑘Г 2 𝑥2 2
+1
𝑘

İTÜ MAK211E Probability and Statistics 2023 Fall 13

Student’s t distribution
t distribution with 𝑘 degrees of freedom.

1
Г is Gamma function: Г 𝑛 = 𝑛−1 ! Г = π
2

𝑘+1
Г 1
2
𝑓 𝑥 = 𝑘+1 −∞<𝑥 <∞
𝑘
π𝑘Г 2 𝑥2 2
+1
𝑘

E 𝑋 =0 𝑘>1

𝑘
V 𝑋 = 𝑘>2
𝑘−2

İTÜ MAK211E Probability and Statistics 2023 Fall 14

Student’s t distribution
t distribution with 𝑘 degrees of freedom.
𝑘+1
Г 1
2
𝑓 𝑥 = 𝑘+1 −∞<𝑥 <∞
𝑘
π𝑘Г 2 𝑥2 2
+1
𝑘

1
𝑘=1 𝑓 𝑥 =
π(𝑥 2 + 1)

3
1 2
𝑘=2 𝑓 𝑥 =
𝑥2 + 2

Standard normal distribution in the limit

𝑥2
−2
𝑒
𝑘→∞ 𝑓 𝑥 →
2π

İTÜ MAK211E Probability and Statistics 2023 Fall 15

Student’s t distribution
t distribution with 𝑘 degrees of freedom.

1
𝑘=1 𝑓 𝑥 =
π(𝑥 2 + 1)

3
1 2
𝑘=2 𝑓 𝑥 =
𝑥2 + 2

𝑃 𝑇1 > 1.0 = 0.25

𝑃 𝑇2 > 1.88562 = 0.1

İTÜ MAK211E Probability and Statistics 2023 Fall 16

 Confidence Interval on the Mean, Variance Unknown
Small Sample Confidence Interval for μ
𝑋ത − μ
𝑇=
𝑆/ 𝑛

𝑃 𝑋ത − 𝑡α/2 𝑆/ 𝑛 ≤ μ ≤ 𝑋ത + 𝑡α/2 𝑆/ 𝑛 = 1 − α

Example:
{8.6, 9.4, 7.9, 6.8, 8.3, 7.3, 9.2, 9.6, 8.7, 11.4, 10.3, 5.4, 8.1, 5.5, 6.9}

𝑛 = 15, 𝑋ത = 8.227, 𝑆 = 1.672

1 − α = 0.95 α = 0.05 α/2 = 0.025
𝑘 = 𝑛 − 1 = 14, 𝑡α/2 = 2.145

𝑡𝛼 𝑆 2.145 ∗ 1.672
2
= = 0.926
𝑛 15
8.227 − 0.926 ≤ μ ≤ 8.227 + 0.926

7.301 ≤ μ ≤ 9.153
With 95% confidence
İTÜ MAK211E Probability and Statistics 2023 Fall 17
Confidence Interval on the Variance
Random sample 𝑋1 , 𝑋2 , … , 𝑋𝑛 from a normal distribution with mean μ, variance σ2 and sample variance 𝑆 2

Random variable
2
𝑛 − 1 𝑆2
𝑋 =
σ2

𝜒 2 distribution with 𝑘 = 𝑛 − 1 degrees of freedom

1 𝑘/2 −1 𝑒 −𝑥/2
𝑓 𝑥 = 𝑥 𝑥>0
2𝑘/2 Г 𝑘/2

E 𝑋2 = 𝑘

V 𝑋 2 = 2𝑘

İTÜ MAK211E Probability and Statistics 2023 Fall 18

 2
𝜒 distribution
1 𝑘/2 −1 𝑒 −𝑥/2
𝑓 𝑥 = 𝑥 𝑥>0
2𝑘/2 Г 𝑘/2

𝑒 −𝑥/2
𝑘=1→ 𝑓 𝑥 =
2π𝑥

𝑒 −𝑥/2
𝑘=2→ 𝑓 𝑥 =
2

İTÜ MAK211E Probability and Statistics 2023 Fall 19

Confidence Interval on the Variance
2
𝑛 − 1 𝑆2
𝑋 =
σ2
2 2
𝑃 𝜒1−α/2,𝑛−1 ≤ 𝑋 2 ≤ 𝜒α/2,𝑛−1 =1−α

2 𝑛 − 1 𝑆2 2
𝑃 𝜒1−α/2,𝑛−1 ≤ ≤ 𝜒α/2,𝑛−1 = 1−α
σ2

𝑛 − 1 𝑆2 2
𝑛 − 1 𝑆2
𝑃 2 ≤σ ≤ 2 =1−α
𝜒α/2,𝑛−1 𝜒1−α/2,𝑛−1

One sided
2
𝑛 − 1 𝑆
𝑃 σ2 ≤ 2 =1−α
𝜒1−α,𝑛−1

𝑛 − 1 𝑆2
𝑃 2 ≤ σ2 = 1 − α
𝜒α,𝑛−1

İTÜ MAK211E Probability and Statistics 2023 Fall 20

Confidence Interval on the Variance
Example:
𝑛 − 1 𝑆2
𝑃 σ2 ≤ 2 =1−α
𝜒1−α,𝑛−1

𝑛 = 20, 𝑆 2 = 0.0153,1 − α = 0.95

2
𝜒0.95,19 = 10.12

19 ∗ 0.0153
σ2 ≤ = 0.02872
10.12

σ ≤ 0.1695

İTÜ MAK211E Probability and Statistics 2023 Fall 21

Large-Sample Confidence Interval for a Population Proportion
Normal approximation for a binomial proportion

Random sample size 𝑛 from large population and 𝑋 observation belongs to a class

𝑋
𝑃෠ = 𝑖𝑠 𝑎𝑛 𝑒𝑠𝑡𝑖𝑚𝑎𝑡𝑜𝑟 𝑓𝑜𝑟 𝑝
𝑛

For large 𝑛
𝑋 − 𝑛𝑝 𝑋/𝑛 − 𝑝 𝑃෠ − 𝑝
𝑍= = =
𝑛𝑝 1 − 𝑝 𝑝 1 − 𝑝 /𝑛 𝑝 1 − 𝑝 /𝑛

Is approximately standard normal distribution

İTÜ MAK211E Probability and Statistics 2023 Fall 22

Large-Sample Confidence Interval for a Population Proportion
Approximate Confidence Interval for a binomial proportion

𝑃෠ − 𝑝
𝑍=
𝑝 1 − 𝑝 /𝑛
Confidence interval for 𝑝
𝑃 −𝑧α/2 ≤ 𝑍 ≤ 𝑧α/2 ≅ 1 − α

𝑃෠ − 𝑝
𝑃 −𝑧α/2 ≤ ≤ 𝑧α/2 ≅ 1 − α
𝑝 1 − 𝑝 /𝑛

𝑝 1−𝑝 𝑝 1−𝑝
𝑃 𝑃෠ − 𝑧𝛼 ≤ 𝑝 ≤ 𝑃෠ + 𝑧𝛼 ≅ 1−α
2 𝑛 2 𝑛

𝑃෠ 1 − 𝑃෠ 𝑃෠ 1 − 𝑃෠
𝑃 𝑃෠ − 𝑧𝛼 ≤ 𝑝 ≤ 𝑃෠ + 𝑧𝛼 ≅1−α
2 𝑛 2 𝑛
İTÜ MAK211E Probability and Statistics 2023 Fall 23
Large-Sample Confidence Interval for a Population Proportion

𝑃෠ 1 − 𝑃෠ 𝑃෠ 1 − 𝑃෠
𝑃 𝑃෠ − 𝑧𝛼 ≤ 𝑝 ≤ 𝑃෠ + 𝑧𝛼 ≅1−α
2 𝑛 2 𝑛
Example:

𝑛 = 85, 𝑋 = 10, 1 − α = 0.95

𝑋 10
𝑃෠ = =
𝑛 85

10 10 10 10
10 1 − 10 1 −
𝑃 − 1.96 85 85 ≤𝑝≤ + 1.96 85 85 ≅ 0.95
85 85 85 85

0.05 ≤ 𝑝 ≤ 0.22
With 95% confidence

İTÜ MAK211E Probability and Statistics 2023 Fall 24

Large-Sample Confidence Interval for a Population Proportion
One sided

𝑃෠ 1 − 𝑃෠
𝑃 𝑝 ≤ 𝑃෠ + 𝑧𝛼 ≅1−α
𝑛

𝑃෠ 1 − 𝑃෠
𝑃 𝑃෠ − 𝑧𝛼 ≤𝑝 ≅1−α
𝑛

İTÜ MAK211E Probability and Statistics 2023 Fall 25

Large-Sample Confidence Interval for a Population Proportion
Sample size for a specified error E

𝑝 1−𝑝 𝑧𝛼/2 2
𝐸 = 𝑧𝛼/2 → 𝑛= 𝑝 1−𝑝
𝑛 𝐸

If 𝑝 is unknown than we can use 𝑃෠

1
Or 𝑛𝑚𝑎𝑥 when 𝑝 = 2

𝑧𝛼/2 2
𝑛= 0.25
𝐸

İTÜ MAK211E Probability and Statistics 2023 Fall 26

Large-Sample Confidence Interval for a Population Proportion
Election Poll: How many people do I need to make less than 1% error with 95% confidence

𝛼 = 0.05 → 𝑧𝛼/2 = 1.96, 𝐸 = 0.01

1
a𝑠𝑠𝑢𝑚𝑖𝑛𝑔 𝑝 = 2

21 2
𝑧𝛼/2 1.96 1
𝑛= = = 9604
𝐸 4 0.01 4

𝐸 = 0.001 → 𝑛 = 960400

If you want to make less then 0.1% percent error with 95% confidence you need 1 million people!

İTÜ MAK211E Probability and Statistics 2023 Fall 27

Guidelines for Constructing Confidence Intervals

İTÜ MAK211E Probability and Statistics 2023 Fall 28