Confidence Interval

An interval between two numbers with an

associated probability p which is generated
from a random sample of an underlying
population, such that if the sampling was
repeated numerous times and the confidence
interval recalculated from each sample
according to the same method, a proportion p
of the confidence intervals would contain the
population parameter in question
Confidence Intervals
(For the mean and variance)

Confidence Interval Confidence Interval

Gives an estimated range of values which is Confidence interval
likely to include an unknown population
parameter, the estimated range being
calculated from a given set of sample data

A very wide interval may indicate that more
data should be collected before anything very
definite can be said about the parameter

Lower Upper
limit limit

Confidence Interval for the mean Confidence Interval for the mean

Specifies a range of values within which the
Recall that the normal random variable X can
unknown population mean may lie be transformed into the standard normal

Practical Applications: random variable Z using the relationship:



Determining the range of acceptable values for a
certain measurement (ex. Distance between two X −µ
stations) Z=
σ

Estimating the mean daily output for a business

Estimating the mean response by patients to a new

drug

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 Case 1: Population standard
Confidence Interval for the mean
deviation is known
Standard normal distribution


If a sample of size n is drawn from a normally
distributed population with mean µ and variance σ22,
– a special case of the normal the sample mean X has a normal distribution with
distribution mean µ and variance σ22/n.



Therefore,
– mean = 0; standard deviation = 1 X −µ
– provides a convenient way of Z=
σ
evaluating probabilities associated with n
any normal distribution
has a standard normal distribution with zero mean and
variance equal to 1.

Case 1: Population standard Case 1: Population standard

deviation is known deviation is known

The probability for the standardization is:


This can be rearranged into the form:

   zσ zσ 
X −µ P X − <µ<X+  = 2φ ( z ) − 1
P − z < < z  = 2φ ( z ) − 1  n n
 σ 
 n  where:
zσ and zσ are the confidence limits
X+ X−
n n
Where: 2φ ( z ) − 1 is the degree of confidence/confidence level
Φ(z) = value of the standard normal ** interval between the confidence limits is the confidence
distribution function interval
= can be obtained from the table

Example Solution
2Φ(z) – 1 = 0.95
Given the sample mean for 20
Φ(z) = 1.95/2 = 0.975
independent measurements to be Interpolating from the table, z = 1.96
537.615 m and the standard deviation The limits are therefore,
of the population is 0.033 m, construct zσ 1.96(0.033)
X− = 537.615 − = 537.601 m
a 95% confidence interval for the n 20
population mean (µ). zσ 1.96(0.033)
X+ = 537.615 + = 537.629 m
n 20

This means we can say with 95% confidence that µ lies

within the interval 537.601 m to 537.629 m.

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 Case 2: Population standard Case 2: Population standard
deviation is unknown deviation is unknown

Most of the time, only the sample
The relationship is therefore,
standard deviation is known
X −µ

The population standard deviation must T=
S
be estimated using the sample n
standard deviation
Where T has a t-distribution with n-1 degrees of
freedom

Case 2: Population standard

Example
deviation is unknown



The probability for this becomes: Given the sample mean for 20
 tS tS  independent measurements to be
P X − <µ<X +  = 2 F (t ) − 1
 n n 537.615 m and the standard deviation
of the sample is 0.035 m, construct a
95% confidence interval for the
where: population mean (µ).
tS and tS are the confidence limits
X+ X−
n n
2 F (t ) − 1 is the degree of confidence/confidence level

Solution
2F(t) – 1 = 0.95
If the population distribution is not normal,
F(t) = 1.95/2 = 0.975
but the sample size is large, the sample
Degrees of freedom = n – 1 = 20 – 1 = 19
Interpolating from the table, t0.975,19
mean will still have an approximately normal
0.975,19 = 2.09

The limits are therefore, distribution

tS 2.09(0.035)  the equations for the probability will
X− = 537.615 − = 537.599 m still hold true
n 20

As the sample size increases, values of t
X+
tS
= 537.615 +
2.09(0.035)
= 537.631 m approach corresponding values of z
n 20  that is, for a sample size of 30 or
larger, the standard normal distribution is
This means we can say with 95% confidence that µ lies within the
interval 537.599 m to 537.631 m. approximately equal to the t-distribution

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Confidence Interval for the Confidence Interval for the
Variance Variance

Specifies a range of values within which the
When a random sample of size n is drawn
unknown population variance may lie from a normal population, the relationship

Practical application:



Estimating a pattern of variability of students’ scores (n − 1) S 2
in different exams σ2

Observing the annual variability of temperature by


comparing monthly temperature variances within which has a chi-square distribution with n-1
each year degrees of freedom, can be used to construct
a confidence interval for the population
variance (σ22).

Confidence Interval for the Confidence Interval for the

Variance Variance

The probability of the chi-square distribution
This can be transformed into:
is therefore:
 (n − 1) S 2 (n − 1) S 2 
P <σ2 <  =b−a
 (n − 1) S 2 
 χ b ,n −1 χ a2,n−1 
2
P  χ a2,n −1 < < χ b2,n −1  = b − a
 σ 2


where: where:
χ b2,n −1 and χ a2,n−1 are the ath and bth (n − 1) S 2 and (n − 1) S 2 are the confidence limits
percentile of the chi-square distribution with χ a2,n −1 χ b2,n −1
n-1 degrees of freedom b – a is the degree of confidence

Confidence Interval for the

Example
Variance

To construct an appropriate confidence Given the sample mean for 20
interval for σ2, the custom is to make independent measurements to be
the percentiles complementary 537.615 m and the sample variance is
a+b=1 0.00121 m, construct a 95%

If the confidence interval for the
confidence interval for the population
standard deviation is desired (instead variance (σ2) and the corresponding
of the variance), simply take the confidence interval for the population
positive square roots of the original standard deviation (σ).
confidence limits

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 Solution
b – a = 0.95
Since a + b =1, a = 0.025 and b = 0.975
Degrees of freedom = n – 1 = 19
From the table, χ 0.025,19 = 8.91 and χ 0.975,19 = 32.9
2 2

The limits are therefore,

(n − 1) S 2 (19)(0.00121)
= = 0.00070 m 2
χ 0.975,19
2
32.9

(n − 1) S 2 (19)(0.00121)
= = 0.00258 m 2
χ 0.025,19
2
8.91
This means we can say with 95% confidence that σ22 lies
within the interval 0.0007 m22 to 0.00258 m22.
For the standard deviation, the interval is from 0.026 m22 to
0.051 m22