MAT 2379 (Spring 2016)

Sampling Distribution
Definition : Let X1 , . . . , Xn be a collection of random variables. We say
that they are identically distributed if they have a common distribution.

Definition : Let X1 , . . . , Xn be random variables. We say that X1 , . . . , Xn

is a random sample, if they are independent and identically distributed.
Remarks :
We will model an experiment with n independent trial as a random
sample.
The common distribution is called the population.
The mean of this common distribution is called the population mean
and is denoted , in other words E(Xi ) = , for i = 1, 2, . . . , n.
The variance of this common distribution is called the population
variance and it is denoted 2 , in other words V (Xi ) = 2 for i =
1, 2, . . . , n.

Definition : A function of the random sample is called a statistic. A

statistic is a random variable and its probability distribution is called its
sampling distribution.

Remark : In these notes, we will discuss some results concerning the

sampling distribution of the sample mean X for a sample of size n from a
population with a mean and a variance 2 .
Theorem : Let X and Y be random variables. A linear combination of
X and Y is
W = a X + b Y,
where a and b are real numbers. The expectation of the linear combination
is
E[W ] = a E[X] + b E[Y ].

Furthermore, if X and Y are independent, then the variance of the linear

combination is
V [W ] = a2 V [X] + b2 B[Y ].

Example 28 : Use the above result to show that for a random sample
of size n from a population of mean and standard deviation , we have
(a)
E(X) =

and

Var(X) =

2
.
n

(b) Show that E[S 2 ] = 2 , where

P
P
n
( ni=1 Xi2 ) ( ni=1 Xi )2 /n
1 X
2
(Xi X) =
.
S =
n 1 i=1
n1
2

Remark : Since E[X] = and E[S 2 ] = 2 , we say that X and S 2 are

unbiased estimators of and 2 , respectively.

So now we know that mean and the variance of X. But what is the
sampling distribution of X ? Here a few results that we help us answer this
question.
Theorem : Let X1 , . . . , Xn be independent normal random variables
such that Xi N (i , i2 ) for i = 1, . . . , n. Let
Y = a1 X 1 + a2 X 2 + . . . + an X n ,
that is Y is a linear combination of X1 , . . . , Xn . Then, Y has a the following
normal distribution :
!
n
n
X
X
N (E[Y ], Var[Y ]) = N
ai i ,
a2i i2 .
i=1

i=1

Consequence : Consider a random sample X1 , . . . , Xn from a normal

population with a mean and a variance 2 . The mean of the n normal
random variables,
X1 + . . . + Xn
X=
,
n
is a normal random variable. That is, X N (, 2 /n). Thus,
X E(X)
X
N (0, 1).
Z= q
=
/ n
V (X)

Example 29 : If uric acid values in healthy adult men are normally

distributed with a mean of 5.7 mg/dL and a standard deviation of 1 mg/dL,
calculate the probability that a random sample of nine healthy adult men
will have an average uric acid value between 5 and 6.

Question : If the population is not normal, then what is the sampling

distribution of X ? A partial answer is giving in the following theorem.

Cental Limit Theorem : Consider a random sample X1 , . . . , Xn from

a population with a mean and a variance 2 . Let be the cumulative
distribution function for the standard normal distribution N (0, 1). If
Zn =

X
,
/ n

then
lim FZn = .

Remark : As long as n is sufficiently large, then we can approximate the

sampling distribution of the sample mean with a normal distribution. We
will use the following rule-of-thumb : if n 30 then
X
N (0, 1)approximately.
/ n

Example 30 : The daily sodium intake in men and women aged 60 or

more has mean of 2,940 mg and a standard deviation 1,476 mg. We have
random sample of 75 men and women aged over 60 years. What is the probability that the average daily sodium intake for these 75 individuals will be
more than 3100 mg ?