1 interval estimation

1.1 confidence interval (CI)

Let h(X_1, \cdots, X_n, \theta) is a random variable with a known distribution not depending on \theta.

For any \alpha \in (0; 1) constants a and b can be found that satisfies

\begin{aligned} P(a < h(X_1, \cdots, X_n, \theta) < b) = 1 - \alpha \\ P(l(X_1, \cdots, X_n) < \theta < u(X_1, \cdots, X_n)) = 1 - \alpha \\ \end{aligned}

Then the confidence interval is

CI_{1 - \alpha}(\theta) = (l(X_1, \cdots, X_n); u(X_1, \cdots, X_n))

1.1.1 standard normal

1.1.1.1 for \mu

For the standard normal we can define the confidence interval for a sample as

Known \sigma

CI_{1 - \alpha}(\mu) = (\bar X - \frac{\sigma}{\sqrt{n}} Z_{1 - \frac{\alpha}{2}}; \bar X + \frac{\sigma}{\sqrt{n}} Z_{1 - \frac{\alpha}{2}})

Unknown \sigma

CI_{1 - \alpha}(\mu) = (\bar X - \frac{s}{\sqrt{n}} t_{1 - \frac{\alpha}{2}, n-1}; \bar X + \frac{s}{\sqrt{n}} t_{1 - \frac{\alpha}{2}, n-1})

1.1.1.2 for \sigma

CI_{1 - \alpha}(\sigma^2) = (\frac{(n-1)s^2}{\chi^2_{1- \frac{\alpha}{2}, n-1}}; \frac{(n-1)s^2}{\chi^2_{\frac{\alpha}{2}, n-1}})

1.1.2 any large sample

Using CLT, it is approximately

CI_{1 - \alpha}(\mu) = (\bar X - \frac{s}{\sqrt{n}} Z_{1 - \frac{\alpha}{2}}; \bar X + \frac{s}{\sqrt{n}} Z_{1 - \frac{\alpha}{2}})

1.1.2.1 proportion

X_1, \cdots, X_n \sim Ber(p)

CI_{1-\alpha}(p) = (\hat p - \sqrt{\frac{\hat p(1-\hat p)}{n}}Z_{1 - \frac{\alpha}{2}}; \hat p + \sqrt{\frac{\hat p(1-\hat p)}{n}}Z_{1 - \frac{\alpha}{2}})

1.2 one sided confidence interval

Confidence bounded by an upper or lower bound.