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Chi-Square and F Distribution

This document discusses Chi-square and F distributions. It defines the Chi-square distribution as the sum of squares of independent standard normal variables. Its probability density function and moments like mean and variance are provided. The F distribution is defined as the ratio of two independent Chi-square distributions. Important properties like the probability density function, moments, and relationships between Chi-square and F distributions are outlined.

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Sapna Meena
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© © All Rights Reserved
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Download as PDF, TXT or read online on Scribd
70 views

Chi-Square and F Distribution

This document discusses Chi-square and F distributions. It defines the Chi-square distribution as the sum of squares of independent standard normal variables. Its probability density function and moments like mean and variance are provided. The F distribution is defined as the ratio of two independent Chi-square distributions. Important properties like the probability density function, moments, and relationships between Chi-square and F distributions are outlined.

Uploaded by

Sapna Meena
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Distributions Arising from the Normal

Chi-Square and F-Distributions


Instructor: Dr. Gaurav Bhatnagar
22001: PROBABILITY AND STATISTICS
Chi-square Distribution
A randomvariable is having Chi-square distribution if it
can be written as the sumof squares of mutual independent
standard normal randomvariables, i.e.,
All
The number of standard normal randomvariable is called
the degree of freedomof the randomvariable.
Notation:
X
2 2 2 2
1 2 3
... (1)
n
X Z Z Z Z = + + + +
~ (0,1)
i
Z N
2
~
n
X _
PDF of Chi-square Distribution
Given:
Let be the MGF of X, then
where
2 2 2 2
1 2 3
...
n
X Z Z Z Z = + + + +
( )
2 2
2
1
( ) ( ) ( ) ( )
i i
n
n
X
Z Z
Z
i
M t M t M t M t
=
= = =

[
( )
X
M t
( )
( )
2 2
2
2
1
1 2 /2
2
( ) ( )
1 1
1 2 ,
2
2
i i
i
i
t z t z
i i
Z
t z
i
M t E e e f z dz
e dz t t
t

(
= =

= = <
}
}
( )
( )
2
2
1
( ) ( ) 1 2 , (2)
2
i
n
n
X
Z
M t M t t t

= = <
PDF of Chi-square Distribution
Recall the MGF of , which is given by
Comparing Eqns. (2) and (3)
~ ( , ) Y o
( ) (3)
Y
M t
t
o

| |
=
|

\ .
1
( ) ( ) iff and
2 2
1
~ ,
2 2
X Y
n
M t M t
n
X
o

= = =
| |

|
\ .
( )
( )
2
2
( ) ( ) 1 2 (2)
i
n
n
X
Z
M t M t t

= =
PDF of Chi-square Distribution
Since
Then the pdf of X is given by
1
~ ,
2 2
n
X
| |
|
\ .
1
2
2
1
2 2
( ) , 0 (4)
( / 2)
n
x
x
e
f x x
n

| |
|
\ .
= >
I
A randomvariable has the Chi-square distribution with
n degree of freedomif its pdf is given by Eqn. (4).
X
PDF of Chi-square Distribution
Chi-square Distribution
'
1
2 2
2
( ) ( )
1
2 ( / 2)
r r
r
n x
r
n
E X x f x dx
x e dx
n

= =
=
I
}
}
Moments:
Mean: r =1
Variance:
'
2 2
2
1
2 ( / 2)
n x
r
n
x e dx n
n

= =
I
}
( )
2
' 2 2
( ) ( ) ( 2) 2
r
E X E X n n n n = = + =
Chi-square Distribution
(1 2 )
1
2 2
0
2
2
( ) ( ) ( )
1
2 ( / 2)
1
(1 2) ,
2
xt xt
X
n t x
n
n
M t E e e f x dx
x e dx
n
t t

= =
=
I
= <
}
}
Moments Generating Function:
Let and be two independent Chi-square random
variables with degree of freedom n and m, respectively.
Then the sum is also a Chi-square random variable with
n+m degree of freedom.
Proof: The proof is straightforward using MGF.
1
X
1 2 1 2
/2 /2 ( )/2
2
1 2
( ) ( ) ( )
(1 2 ) (1 2 ) (1 2 )
~
X X X X
n m n m
n m
M t M t M t
t t t
X X _
+
+
+
=
= =
+
Chi-square Distribution
2
X
Probabilities with Chi-square distribution: Let be any
value between (0,1). Then there exist such that
o
2
,n
P X
o
_ o
(
> =

Chi-square Distribution
2
,n o
_
2
,n o
_
Find
2
0.01,21
0.01 P X _
(
> =

Chi-square Distribution
2
0.01,21
_
F Distribution
A random variable is having F distribution if it can be
written as the ratio of two mutual independent Chi-square
randomvariables, i.e.,
where and
The RV X is said to be of degree of freedomm and n.
Notation:
X
1
2
/
(6)
/
Q m
X
Q n
=
2
1
~
m
Q _
,
~
m n
X F
2
2
~
n
Q _
PDF of F Distribution
2
1
2
2
( ) , 0 (7)
,
1
2 2
m
m
m n
m
x
n
f x x
m n
m
B
x
n

+
| |
|
\ .
= >
| |
| |
|
+
|
\ .
\ .
A randomvariable has the F distribution with m and n
degree of freedomif its pdf is given by following equation.
X
F Distribution
Mean:
Variance:
Moment Generation Function: Does not exist (Check!!!)
'
1
, 2
2
n
n
n
= >

( )
2
2
2
2
2
2
2
( ) ( )
( 2)
( 2)( 4) 2
2 ( 2)
, 4
( 2) ( 4)
E X E X
n m n
m n n n
n n m
n
m n n
=
+
| |
=
|

\ .
+
= >

Probabilities with F distribution: Let be any value between
(0,1). Then there exist such that
o
, , m n
P X F
o
o ( > =

F Distribution
, , m n
F
o
, , m n
F
o
Important relation:
1
, , , ,
2
2 2
1 , , 1 , ,
2
1 , ,
/
/
/ / 1 1
1
/ /
/ 1
1 (8)
/
m n m n
m n m n
m n
Q m
P X F P F
Q n
Q n Q n
P P
Q m F Q m F
Q n
P
Q m F
o o
o o
o
o
o
(
( = > = >
(


( (
= < = >
( (
( (

(
> =
(
(

F Distribution
Important relation (Contd):
FromEqns. (8) and (9), we have
2
1 , ,
1
/
1 (9)
/
m n
Q n
P F
Q m
o
o

(
= >
(

F Distribution
1 , ,
, ,
1
(10)
m n
m n
F
F
o
o

=
This relation says:
F Distribution
0.9,5,7
0.1,7,5
1 1
0.2967
3.37
F
F
= = =

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