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5.1 Basic Concepts of Random Samples: N N I N

(a) A random sample is a collection of random variables that are independent and identically distributed (iid), each having the same probability distribution as the population. The joint probability distribution of a random sample is the product of the individual probability distributions. (b) For a random sample from a parametric population, the joint probability distribution uses the same parameter value for each random variable. (c) Random samples can be drawn from infinite populations, finite populations with replacement, or finite populations without replacement. Samples drawn without replacement are not strictly iid but are approximately iid if the population size is much larger than the sample size.

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13 views

5.1 Basic Concepts of Random Samples: N N I N

(a) A random sample is a collection of random variables that are independent and identically distributed (iid), each having the same probability distribution as the population. The joint probability distribution of a random sample is the product of the individual probability distributions. (b) For a random sample from a parametric population, the joint probability distribution uses the same parameter value for each random variable. (c) Random samples can be drawn from infinite populations, finite populations with replacement, or finite populations without replacement. Samples drawn without replacement are not strictly iid but are approximately iid if the population size is much larger than the sample size.

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epra8011
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© © All Rights Reserved
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Download as PDF, TXT or read online on Scribd
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5.

1 Basic Concepts of Random Samples


Definition 5.1.1
The random variables X1 , . . . , Xn are called a random sample of size n from the population
f (x) if X1 , . . . , Xn are mutually independent random variables and the marginal pdf or
pmf of each Xi is the same function f (x). Alternatively, X1 , . . . , Xn are called independent
and identically distributed (iid) random variables with pdf or pmf f (x). This is commonly
abbreviated to iid random variables.

If the population pdf or pmf is a member of a parametric family with pdf or pmf given by
f (x|θ), then the joint pdf or pmf is
n
Y
f (x1 , . . . , xn |θ) = f (xi |θ),
i=1

where the same parameter value θ is used in each of the terms in the product.

Example Let X1 , . . . , Xn be a random sample from an exponential(β) population. Specif-


ically, X1 , . . . , Xn might correspond to the times (measured in years) until failure for n
identical circuit boards that are put on test and used until they fail. The joint pdf of the
sample is
n
Y 1 − Pni=1 xi /β
f (x1 , . . . , Xn |β) = f (xi |β) = e .
i=1
βn
This pdf can be used to answer questions about the sample. For example, what is the
probability that all the boards last more than 2 years?

P (X1 > 2, . . . , Xn > 2) = P (X1 > 2) · · · P (Xn > 2)

= [P (X1 > 2)]n = (e−2/β )n = e−2n/β .

Random sampling models

(a) Sampling from an infinite population. The samples are iid.

(b) Sampling with replacement from a finite population. The samples are iid.

1
(c) Sampling without replacement from a finite population. This sampling is sometimes
called simple random sampling. The samples are not iid exactly. However, if the popu-
lation size N is large compared to the sample size n, the samples will be approximately
iid.

Example 5.1.3 (Finite population model)


Suppose {1, . . . , 1000} is the finite population, so N = 1000. A sample of size n = 10 is
drawn without replacement. What is the probability that all ten sample values are greater
than 200? If X1 , . . . , X10 were mutually independent we would have

800 10
P (X1 > 200, . . . , X10 > 200) = ( ) = .107374.
1000

Without the independent assumption, we can calculate as follows.


¡800¢¡200¢
10
P (X1 > 200, . . . , X10 > 200) = ¡1000¢0 = .106164.
10

Thus, the independence assumption is approximately correct.

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