1.

9 Special Types of Probability Distributions

We have seen from the previous section that a random variable can be described by some
specific characteristics of probability distribution such as expected value and variances.
However, this presumes that the PDF of the corresponding R.V is known. In practice, PDF of
some of the R.V have already been established by statistician. Hence in the following section,
we expect to discuss just few examples of some probability distributions and these are,
Binomial distribution, Poisson distribution, Normal distribution, t-distribution and also the
sampling distribution of the sample statistics that will be discussed in the next chapter.

1.9.1 Binomial Distribution

[Link] Definition of key terms

[Link] Binomial experiment

A binomial experiment is a statistical experiment which consist of 𝑛 repeated trials. Each trial
can result in just two possible outcomes. We call one of these outcomes a success and the
other, a failure. The probability of success, denoted by P, is expected to be constant on every
trial.

Examples of binomial experiment

• An experiment of tossing a fair coin

• An experiment of selecting a defective item from a given sample
• Asking 10 people if they have ever been to South Africa

[Link] Binomial Random Variable

This is the number of successes denoted by a letter X in n repeated trials of a binomial

experiment.

Binomial Probability Distribution

To understand binomial distributions and binomial probability, it helps to understand
binomial experiments and some associated notation. A binomial experiment (also known
as the outcome of Bernoulli Process) as also explicated from previous section, is a random
experiment that has the following properties:

i) The experiment consists of a finite number (n) of repeated trials.

ii) Each trial can result in just two mutually exclusive possible outcomes. We call one of
these outcomes a success and the other, a failure.
iii) The probability of success, denoted by P, is the same (constant) on every trial.
 iv) The trials are independent; that is, the outcome on one trial does not affect the outcome
on other trials.

Consider the following random experiment. You flip a coin 10 times and count the number of
times the coin lands on tails. This is a binomial experiment because:

• The experiment consists of repeated trials. We flip a coin 10 times.

• Each trial can result in just two possible outcomes – it's either heads or tails.
• The probability of success is constant, i.e. 0.5 on every trial.
• The trials are independent; that is, getting tails on one trial does not affect whether we
get tails on other trials.

Notation: Now, let us suppose that, we have:

• x = the number of successes that result from the binomial experiment.
• n = the number of trials in the binomial experiment.
• p = the probability of success on an individual trial.
• q = the probability of failure on an individual trial (This is equal to 1 - p.)
• b(x; n, p) = Binomial probability - the probability that an n-trial binomial experiment
results in exactly x successes, when the probability of success on an individual trial is
p.
Then, the model for specifying the probability of obtaining exactly x successes in a given
number of trials, n is given by

n
b( x; n, p) = P( X = x) =   p x q n − x for x = 0, 1, 2,    , n
 x
 n n n!
Note:  = Cx =
 x x!(n − x)!
1.12.2 Mean, Variance, and Standard Deviation for a Binomial Random Variable
The expected value (mean) of binomial random variable is given by 𝐸(𝑋) = 𝑛𝑝, and the
standard deviation is given by 𝑆𝐷(𝑋) = √𝑛𝑝(1 − 𝑝. That is,

i. Mean: 𝜇 = 𝑛𝑝
ii. Variance: 𝜎 2 = 𝑛𝑝𝑞
iii. Standard Devition: 𝜎 = √𝑛𝑝𝑞

Examples 1.12
Given that the expected value of a binomial distribution is 40 and standard deviation is 6.
Required:
Calculate n, p and q.

Solution:
From
 = np = 40
and
 2 = npq = 36
Put 1 into 2, we have
40q = 36
q = 0.9  p + q = 1  p = 0.1
Thus p = 0.1, q = 0.9, and n = 400
Example 1.13
Assume that on an average one telephone number out of 15 is busy.
Required:
What is the probability that if six randomly selected telephone numbers are dialled
a) Not more than three will be busy?
b) At least three of them will be busy?

Solution:
1 14
p= , q = , n = 6 , then
15 15
a) p( x  3) = p( x = 0) + p( x = 1) + p( x = 2) + p( x = 3) = 0.9997 (Use the
Binomial distribution formula)

b) P( x  3) = 1 − P( x  3) = 1 − P( x = 0) + P( x = 1) + P( x = 2) = 0.0051 (use the

same approach as in part a)

Example 1.14

The probability that a student is accepted to a prestigious college is 0.3. If 5 students from
the same school apply, what is the probability that at most 2 are accepted?

Data Given:

𝑝 = 0.3 𝑛 = 5
Find 𝑃(𝑋 ≤ 2)
𝑃(𝑋 ≤ 2) = 𝑃(𝑋 = 0) + 𝑃(𝑋 = 1) + 𝑃(𝑋 = 2)
From
𝑛
𝑃(𝑋 = 𝑥) = ( ) 𝑝 𝑥 (1 − 𝑝)𝑛−𝑥
𝑥
𝑛!
= 𝑝 𝑥 (1 − 𝑝)𝑛−𝑥
(𝑛 − 𝑥)! 𝑥!
5!
𝑃(𝑋 = 0) = × 0.30 × 0.75
(5 − 0)! 4!
5!
= × 0.30 × 0.75
5! 0!
= 𝟎. 𝟏𝟔𝟖𝟎𝟕
5!
𝑃(𝑋 = 1) = × 0.31 × 0.74
(5 − 1)! 1!
5!
= × 0.31 × 0.74
5! 1!
= 𝟎. 𝟑𝟔𝟎𝟏𝟓
5!
𝑃(𝑋 = 2) = × 0.32 × 0.73
(5 − 2)! 2!
5!
= × 0.32 × 0.73
5! 2!
= 𝟎. 𝟑𝟎𝟖𝟕

Therefore:

𝑃(𝑋 ≤ 2) = 0.16807 + 0.36015 + 0.3087

= 𝟎. 𝟖𝟑𝟔𝟗𝟐

1.10.2 Poisson Probability Distribution

A Poisson experiment is a random (statistical) experiment that has the following
properties:
• The occurrence of events is independent
• The average number of successes (𝜆) that occurs in a specified region is known.
• There is a possibility of infinite number of occurrences of events in a specified region
• The probability that a success will occur is proportional to the size of the region.

Note: the specified region could take many forms. For instance, it could be a length, an area,
a volume, a period of time, etc.
[Link] Application (Examples) of Poisson Distribution
• The number of deaths by COVID-19 in the global in 2020
• The number of birth defects and genetic mutations
 • The number of bodaboda accidents in Dar es Salaam city
• The number of typing errors on a page
• The spread of an endangered animal in Sub Saharan Africa
• The number of failures of a machine in one month

Notation
The following notation is helpful, when we talk about the Poisson distribution.
• 𝑒: A constant equal to approximately 2.71828. (Actually, e is the base of the natural
logarithm system.)
• λ: The mean number of successes that occur in a specified region.
• x : The actual number of successes that occur in a specified region.
• P ( x,  ) : The Poisson probability that exactly x successes occur in a Poisson
experiment, when the mean number of successes is .
The probability distribution of the Poisson random variable X, representing the number of
outcomes occurring in a given time interval or a specified region of space is:

e − x
P ( x,  ) = for x = 0,1,2...
x!
Or
𝑒 −𝜆 𝜆𝑥 𝑥 = 0,1,2, ⋯ 𝑛
𝑃(𝑋 = 𝑥) =
𝑥!

Where λ represent the average number of outcomes occurring in the specified time or
region. Furthermore, if X has a Poisson distribution, then 𝐸(𝑋) = 𝜆 and 𝑆𝐷(𝑋) = √𝜆

Examples 1.15
The average number of days a school is closed due to snow during winter in a certain City in
USA is 4. Calculate the probability that the schools in this city will close for 6 days during a
winter?

Solution:

Given  =4, x = 6 using Poisson distribution

e −4 4 6
p( x = 6) = = 0.1042
6!
Note: When the value of 𝑛 in a binomial distribution is very large and the value
of probability 𝑝 is very small, the binomial distribution can be approximated by a Poisson
distribution. More specifically, if 𝑛 > 20, 𝑛𝑝 ≤ 10, and 𝑝 ≤ 0.01 then the Poisson is a good
approximation.

See the following example

Example 1.16
Suppose that on average, 1 person in every 1000 is an alcoholic. Find the probability that a
random sample of 8000 people will yield fewer than 7 alcoholics.
Solution:
Let 𝑥 represent the number of alcoholic persons

1
p ( x) = = 0.001, n = 8000
1000
Since p is very small, and n is very large, then
𝜆 = 𝑛𝑝 = 0.001 × 8000 = 8
Now,

p( x  7) = p( x = 0) + p( x = 1) + p( x = 2) + ... + p( x = 6)
e −8 8 0 e −8 81 e −8 8 2 e −8 8 6
= + + + ... + = 0.3134
0! 1! 2! 6!

Example 1.17

The number of customers attended at CRDB bank follows Poisson distribution with a mean
of 10 customers per hour, find the probability that in any given hour

a) exactly 6 customers will be attended

b) No customer will be attended
c) At least 2 customers will be attended

Solution:
Data Given
𝜆 = 10
From:
𝑒 −𝜆 𝜆𝑥
𝑃(𝑋 = 𝑥) =
𝑥!
𝑒 −10 ×106
a) 𝑃(𝑋 = 6) = 6!
= 𝟎. 𝟎𝟔𝟑𝟎𝟓𝟓

𝑒 −10 ×100
b) 𝑃(𝑋 = 0) = 0!
 = 𝟎. 𝟎𝟎𝟎𝟎𝟒𝟓𝟒

c) 𝑃(𝑋 ≥ 2) = 1 − [𝑃(< 2)]

𝑒 −10 × 100 𝑒 −10 × 101
=1−[ + ]
0! 1!
= 1 − [0.0000454 + 0.000454]
= 𝟎. 𝟗𝟗𝟗𝟓

1.11 Continuous Probability Distributions

If a random variable is a continuous variable, its probability distribution is called a
continuous probability distribution commonly known as continuous probability
density function. This is a mathematical expression that defines the distribution of the values
for continuous random variable. There are different types of Continuous distribution such as
Normal Distribution, Uniform Distribution and Exponential Distribution; however, the
normal distribution is perhaps the single most used continuous distribution which will be
discussed in this lecture notes.
A continuous probability distribution differs from a discrete probability distribution in several
ways.
• The probability that a continuous random variable will assume a particular value is
zero.
• As a result, a continuous probability distribution cannot be expressed in Tabular form.

• Instead, an equation or formula f (x ) is used to describe a continuous probability

distribution function.

Most often, the equation used to describe a continuous probability distribution is called a
probability density function (PDF). Sometimes, it is referred to as a density function.
For a continuous probability distribution, the density function has the following properties:

1. 0  f ( x)  1
The continuous random variable is defined over a continuous range of values (called
the domain of the variable), the graph of the density function will also be continuous
over that range.

2.  f ( x)dx = 1
The area bounded by the curve of the density function and the x-axis is equal to 1, when
computed over the domain of the variable.
 b

3. A =  f ( x)dx
a

The probability that a random variable assumes a value between a and b is equal to the
area under the density function bounded by a and b.

1. 11 Normal Distribution
Normal distribution ( Sometimes referred to as the Gaussian distribution) is perhaps the
single most important probability distribution involving continuous random variable. This
is due to the following reasons:
▪ Numerous continuous random variables in the field of business and economics has
distributions that resembles normal distribution
▪ Normal Distribution can used to approximate various discrete probability
distributions
▪ Normal Distribution provides the basis for classical statistical inference
By definition, a continuous random variable X has a normal distribution if its probability
distribution function (PDF) is given by:
𝟏 𝑿−𝝁 𝟐
𝟏 − ( )
𝒇(𝒙) = 𝒆 𝟐 𝝈 , −∞ < 𝑋 < ∞
𝝈√𝟐𝝅

If X has a normal distribution, then 𝐸(𝑋) = 𝜇 and 𝑉𝑎𝑟(𝑋) = 𝜎 2

The common notation for a normal random variable is 𝑋~𝑁(𝜇, 𝜎 2 ). Where ~ means
distributed as, N stands for normal distribution, and the variables enclosed in brackets are the
parameters of the distribution, termed as population mean or expected value 𝜇 and variance
𝜎2

1.11.1 Properties of normal distribution

1) It is bell-shaped ranging from negative to positive infinity
2) It is symmetric around its mean value 𝜇 (see figure 1)
3) The area under the curve is unity
4) Its measures of central tendency are equal (i.e. Mean = Median = Mode)
Figure 1: Normal Distribution Curve

1.11.2 Standard Normal distribution

PDF of a normal random variable is to some extent complicated to use. Therefore, in order to
find probability of a normal random variable let say X, we normally use the so called standard
normal variable Z defined as indicated below.
𝑋−𝜇
𝑍=
𝜎
Where Z has a zero mean and a unit variance. The common notion of expressing a standard
normal random variable is as indicated below:
𝑍~𝑁(0,1)

The corresponding standardized normal probability density function is given by:

𝟏 𝟏 𝟐
(𝒁)
𝒇(𝒁) = 𝒆 −𝟐
𝝈√𝟐𝝅
Therefore, a normally distributed random variable with a given mean and variance can be
converted to a standard normal variable (aka normal deviate), which greatly simplifies our
task of computing probabilities.

1.11.3 The Standard Normal Distribution Table

A standard normal distribution Table shows a cumulative probability associated with a
particular z-score. Table rows show the whole number and tenths place of the z-score. Table
columns show the hundredths place.

Example 1.18
Find the probability that a 𝑍-score will be greater than 3.00 from the standard normal Table.
Solution:
Required to find 𝑃(𝑍 > 3.00)
𝑃(𝑍 > 3.00) = 0.5 − 𝑃(0 ≤ 𝑍 ≤ 3.00)
 = 0.5 − 0.4987
= 0.0013

Example 1.19
It is given that, the daily sale of bread in a bakery, follows the normal distribution with a mean
of 70 loaves and variance of 9, i.e 𝑋~𝑁(70,9). What is the probability that on any given day the
sale of bread is greater than 75 loaves?
Solution:
Data Given:
𝜇 = 70, 𝜎 2 = 9, 𝜎 = 3
Let 𝑋 represent the daily sale of the bread in a bakery, then:

𝑋 − 𝜇 75 − 70
𝑃(𝑋 > 75) = 𝑃 ( > )
𝜎 3
= 𝑃(𝑍 > 1.67)
= 𝑃(𝑍 > 1.67)
= 0.5 − 𝑃(0 ≤ 𝑍 ≤ 1.67)
= 0.5 − 0.4525
= 𝟎. 𝟎𝟒𝟕𝟓

Example 1.20
An investor is considering to purchase a stock whose monthly return is approximately
normally distributed with an expected return of 0.01 and a standard deviation of 0.02. Use the
standard normal distribution table to find the probability that the stock return is positive.
Data Given:
𝜇 = 0.01, 𝜎 = 0.02
Let 𝑋 represent the stock return, then required to find:
𝑋 − 𝜇 0 − 0.01
𝑃(𝑋 ≥ 0) = 𝑃 ( ≥ )
𝜎 0.02
= 𝑃(𝑍 ≥ −0.5)
= 𝑃(𝑍 ≥ −0.5)
≅ 𝑃(𝑍 ≤ 0.5)
= 0.5 + 𝑃(0 ≤ 𝑍 ≤ 0.5)
= 0.5 + 0.1915
= 𝟎. 𝟔𝟗𝟏𝟓
Example 1.21
The income in thousands of dollars of a given company are normally distributed with the mean
20 and the standard deviation of 5. Find the probability that a selected income will be
a) More than twenty-five thousand dollars
b) Anywhere between eighteen twenty-four thousand dollars
Data Given:
𝜇 = 20, 𝜎 = 5
Let 𝑋 represent the income of the company, then required to find:

𝑋 − 𝜇 25 − 20
𝑃(𝑋 > 25) = 𝑃 ( > )
𝜎 5
= 𝑃(𝑍 > 1)
= 𝑃(𝑍 > 1)
= 0.5 − 𝑃(0 ≤ 𝑍 ≤ 1)
= 0.5 − 0.0000393
= 𝟎. 𝟒𝟗𝟗𝟗
18 − 20 𝑋 − 𝜇 24 − 20
𝑃(18 ≤ 𝑋 ≤ 24) = 𝑃 ( ≤ ≤ )
5 𝜎 5
= 𝑃(−0.4 ≤ 𝑍 ≤ 0.8)
≅ 𝑃(0 ≤ 𝑍 ≤ 0.4) + 𝑃(0 ≤ 𝑍 ≤ 0.8)
= 0.1554 + 0.2881
= 𝟎. 𝟒𝟒𝟑𝟓
Example 1.22
Applicants for a certain job are given an aptitude test. Past experience shows that score from
the test are normally distributed with a mean of 60 points and a standard deviation of 12
points. What percentage of candidates would be expected to pass the test, if a minimum score
of 75 is required?
Data Given;
𝜇 = 60 𝜎 = 12
Let 𝑋 represent the scores of candidate, required to find 𝑃(𝑋 ≥ 75)
Solution:
𝑋 − 𝜇 75 − 60
𝑃(𝑋 ≥ 75) = 𝑃 ( ≥ )
𝜎 12
= 𝑃(𝑍 ≥ 1.25)
= 0.5 − 𝑃(0 ≤ 𝑍 ≤ 1.25)
= 0.5 − 0.3944
= 01056
Conclusion: Almost 10.56% of candidates would be expected to pass the test
Example 1.23

For a group of 1800 employees of a manufacturing company, IQ is approximately normally

distributed with mean 110 and standard deviation 12. It is known from experience that for a
particular job only persons with IQs of at least 95 are intelligent enough to do it, but those with
IQs greater than 120 soon become bored and unhappy with it. On the basis of IQ alone, how
many of the 1800 employees would you expect to be suitable for the work?
Data Given;
𝑁 = 1800, 𝜇 = 110 𝜎 = 12

Let 𝑋 represent the IQ of employees. Required to find 𝑃(95 ≤ 𝑋 ≤ 120)

Solution:
95 − 110 𝑋 − 𝜇 120 − 110
𝑃(95 ≤ 𝑋 ≤ 120) = 𝑃 ( ≤ ≤ )
12 𝜎 12
= 𝑃(−1.25 ≤ 𝑍 ≤ 0.833
= 𝑃(0 ≤ 𝑍 ≤ 1.25) + 𝑃(0 ≤ 𝑍 ≤ 0.833)
= 0.3944 + 0.2967
= 0.6911
≈ 66.11%
Then:
Find 66.11% of the total employees:
= 0.6611 × 1800
= 1244
Conclusion: The results indicates that 1244 candidates would be suitable for the work
based on IQ test alone

Review Questions:
1. Suppose that in one year the number of industrial accidents follows a Poisson distribution
with mean 3. What is the probability that in a given year there will be at least 1 accident?

2. A company owns 400 laptops. Each laptop has an 8% probability of not working. You
randomly select 20 laptops for your salespeople.
(a) What is the likelihood that 5 will be broken?
(b) What is the likelihood that they will all work?
(c) What is the likelihood that they will all be broken?
3. The LMB Company manufactures tires. They claim that only 0.007 of LMB tires are
defective. What is the probability of finding 2 defective tires in a random sample of 50 LMB
tires?

4. A study was conducted at Muhimbili National Hospital by the National Institute for
Medical Research (NIMR) to examine the national altitudes about “SP” drugs. The study
revealed that about 70% believe “SP” doesn’t really cure malaria; they just cover up the
real trouble. According to this study, what is the probability that at least 3 of the next 5
people selected at random will be of the opinion that SP doesn’t really cure the problem
but just cover it up?

5. On an average a certain intersection results in 3 traffic accidents per month. What is the
probability that in any given month at this intersection
i. Exactly 5 accidents will occur?
ii. Less than 3 accidents will occur?
iii. At least 2 accidents will occur?

6. An average light bulb manufactured by the Acme Corporation lasts 300 days with a
standard deviation of 50 days. Assuming that bulb life is normally distributed, what is the
probability that an Acme light bulb will last at most 365 days?

7. The heights of 1000 students are normally distributed with a mean of 174.5 centimetres
and a standard deviation of 6.9 centimetres. Assuming that the heights are recorded to the
nearest half of a centimetre, how many of these students would you expect to have heights
i. Less than 160.0 centimetres?
ii. Between 171.5 and 182.0 centimetres inclusive?
iii. Greater than or equal to 188.0 centimetres?

8. A drug manufacturer claims that a certain drug cures a blood disease on the average 80%
of the time. To check the claim, government testers used the drug on a sample of 100
individuals and decide to accept the claim if 75 or more are cured.
i. What is the probability that the claim will be rejected when the cure probability
is in fact 0.8?
ii. What is the probability that the claim will be accepted by the government when
the cure probability is as low as 0.7?
9. A sampling scheme involves taking a sample of ten items from each batch produced and
rejecting the batch if more than two defectives are found. If in fact five per cent of all items
are defective, what is the probability that a batch will be rejected?

10. A batch of items is believed to contain 20 percent defectives. A sample of six items is taken
at random from the batch. Use binomial distribution to find the probability that the sample
contains:
(a) one defective;
(b) two or more defectives.
11. Each year a company selects a number of employees for a management-training program
given by a nearby university. On the average, 70% of those sent complete the program. Out
of seven people sent by the company, what is the probability that:
(a) Exactly five complete the program?
(b) Five or more complete the program?

12. Printing errors in the work produced by a particular firm occur randomly at an average
rate of 0.6 per page. What is the probability that a seven-page pamphlet prepared by the
firm contains more than three errors?

13. The proportion of articles produced by a company, which are defective, is 0.5 per cent.
They are sold in boxes of 100 and the company guarantees to replace any box containing
more than two defectives. The cost of this replacement is TZS 20,000. The company is
considering introducing a new inspection scheme, which will cost TZS 50 per box but
eliminate all defectives. Use the Poisson approximation to the binomial distribution to
decide whether this inspection is worthwhile.

14. In a certain large factory the mean number of stoppages per week is 1.5. What is the
probability that:
(a) In a given week there will be no stoppages
(b) In a given week there will be three or more than three
(c) In a given two-week period there will be at most one stoppage?

15. The mean life of a certain type of electric light bulb is 1400 hours, with a standard deviation
of 300 hours.
(a) If the manufacturer guarantees a life of 1000 hours, what percentage of bulbs can
he expect to have returned?
 (b) At what length of life should the guarantee be set in order for 95 per cent of bulbs
to be found satisfactory?

16. Applicants for a certain job are given an aptitude test. Past experience shows that score
from the test are normally distributed with a mean of 60 points and a standard deviation
of 12 points. What percentage of candidates would be expected to pass the test, if a
minimum score of 75 is required?

17. For a group of 1800 employees of a manufacturing company, IQ is approximately normally

distributed with mean 110 and standard deviation 12. It is known from experience that for
a particular job only persons with IQs of at least 95 are intelligent enough to do it, but those
with IQs greater than 120 soon become bored and unhappy with it. On the basis of IQ
alone, how many of the 1800 employees would you expect to be suitable for the work?

18. If 60 percent of the customers of a large department store charge all their purchases, what
is the probability that among 200 customers (randomly chosen), at least 125 charge all
their purchases?

19. An electrical appliance manufacturer claims that 20 percent of all appliance breakdowns
are caused by the failure of customers to follow operating instructions. If this claim is
correct, what is the probability that among 100 breakdowns, more than 25 are caused by
the failure of customers to follow operating instructions?

20. The annual salaries of employees in a large company are approximately normally
distributed with a mean of $5,000 and a standard deviation of $2,000.
(a) What percent of people earn less than $4,000?
(b) What percent of people earn between $4,500 and $6,500?
(c) What percent of people earn more than $7,000?
 CHAPTER TWO
SAMPLING DISTRIBUTION
2.1 Introduction
In Chapter One we discussed probability distributions of discrete and continuous random
variables. In this chapter we extend the concept of probability distribution of a random
variable to that of a sample statistic. We usually use inferential statistics methods to estimate
population parameter values of random variables by using findings from samples. In most
cases when conducting a certain investigation, we normally select some individuals to
represent the whole group of individuals at which an investigator is interested with. This is
due to factors related to cost of dealing with entire population, time-consuming, but also
statistical analysis based on sample data is somehow less cumbersome and more practical than
the analysis of dealing with the entire population. Sampling is the process of selecting a
representative group from the population under study. The target population is a collection
of all individuals from which the sample might be drawn. A sample is the group of people
who take part in the investigation or in other words, a sample is a subset of a given target
population.

There are different techniques for selecting sample, these can be grouped into two main
categories; probability (random) sampling and non-probability (non-random) sampling
techniques.

̅
2.2 Distribution of the sample mean 𝐗

When a sample is selected from a normally distributed population, obviously it is also

normally distributed. Therefore, in this section we expect to study the sampling distribution
of the sample mean 𝑋̅ and the so-called sample proportion 𝑝̂ . Furthermore, it is anticipated
that since more than one samples can be selected from the given population, the
corresponding sample means are also expected to vary from one sample to the other, which
means sample mean can be treated as a random variable, which will have its own PDF.

If the random variables 𝑋1, 𝑋2, 𝑋3, ⋯ 𝑋𝑛 constitute independently and identically distributed
random sample variables of the size 𝑛, then recall that the mean of these random samples can
be denoted by

1
𝑋̅ = ∑ 𝑋𝑖
𝑛
 1
= (𝑋 + 𝑋2 + 𝑋3 + ⋯ + 𝑋𝑛 )
𝑛 1
Then the expected value of 𝑋̅ is given by


1 1
𝐸(𝑋̅) = 𝐸 (𝑛 ∑ 𝑋𝑖 ) = 𝑛 ∑ 𝐸(𝑋𝑖 ) by the properties of 𝐸 and operators

1
=((𝐸(𝑋1 ) + 𝐸(𝑋2 ) + 𝐸(𝑋3 ) + ⋯ + 𝐸(𝑋𝑛 )
𝑛
Then since 𝐸(𝑋𝑖 ) = 𝜇 for any 𝑖, then
1
𝐸(𝑋̅) = (𝜇 + 𝜇 + 𝜇 + ⋯ + 𝜇)
𝑛
1
= ∑𝜇
𝑛

1
= 𝑛𝜇
𝑛
=𝜇
Therefore 𝐸(𝑋̅) = 𝜇
Since 𝑉𝑎𝑟(𝑋𝑖 ) = 𝜎 2for each 𝑖 and that 𝑋𝑖 "𝑠 are independent, then the variance of 𝑋̅ is given by
1
𝑉𝑎𝑟(𝑋̅)=𝑛2 [𝑉𝑎𝑟(𝑋1 ) + 𝑉𝑎𝑟(𝑋2 ) + 𝑉𝑎𝑟(𝑋3 ) + ⋯ 𝑉𝑎𝑟(𝑋𝑛 )]
1
= (𝑛 × 𝜎 2 )
𝑛2
𝜎2
=
𝑛
𝜎 2
Therefore if 𝑋~𝑁(𝜇, 𝜎 2 ) then 𝑋̅~𝑁(𝜇, 𝑛 )

The square root of variance of 𝑋̅ is called the standard error of 𝑋̅ which is given by

𝜎
𝑆𝐸(𝑋̅) =
√𝑛
Therefore, the standardized normal variable 𝑍 in this case is given by
𝑋̅ − 𝜇𝑥̅ 𝑋̅ − 𝜇
𝑍= = 𝜎 ~𝑁(0,1)
𝑆𝐸(𝑋̅) ⁄ 𝑛
√
Central limit Theorem
The central limit theorem (CLT) states that the sampling distribution of the sample mean
will approximate a normal distribution as a sample size becomes large, regardless of the nature
of the distribution of the population. Normally, the theorem is employed when the sample is
taken from non-normal population’s regardless of the population actual distribution.
Mathematically, the theorem states that if 𝑋1 , 𝑋2 , ⋯ , 𝑋𝑛 constitute independently and
identically distributed random samples, then when the sample size is large (𝑛 ≥ 30) then the
 𝜎
arithmetic mean 𝑋̅ is approximately normally distributed with mean 𝜇 and variance where
√𝑛

𝜇 and 𝜎 are the mean and standard deviation of the population where the samples were drawn.

Example 2.1
A random variable X is normally distributed with a mean of 8 and variance 25. From a random
sample of 36 observations, find
a) Standard error of this sampling distribution
b) The probability that the sample mean is greater than 9

Data Given

𝜇 = 8, 𝜌2 = 25, 𝑛 = 36

Let 𝑋̅ be a random variable representing the sample mean calculated from a random sample
of 36 observation. Then
𝜎
a) 𝑆𝐸(𝑋̅) =
√𝑛
5
=
√36
= 𝟎. 𝟖𝟑𝟑
𝑋̅ −𝜇 9−8
b) 𝑃(𝑋̅ > 9) = 𝑃 ( ̅ ) > )
𝑆𝐸(𝑋 0.833
1
= 𝑃 (𝑍 > )
0.833
= 𝑃(𝑍 > 1.2)
= 0.5 − 𝑃(0 ≤ 𝑍 ≤ 1.2)
= 0.5 − 0.3849
= 𝟎. 𝟏𝟏𝟓𝟏

Example 2.2
Revenues collected from a certain firm in thousands of dollars are assumed to be normally
distributed with mean 20 and standard deviation 8. Suppose that a random sample of 100
revenues were selected, find
a) Standard error of the sampling distribution.
b) Probability that the mean revenue is less 21.6 thousand dollars.

Data Given

𝜇 = 20, 𝜎 = 8, 𝑛 = 100

Let 𝑋̅ be a random variable representing the average revenue collected from 100 samples.
Then
𝜎
a) 𝑆𝐸(𝑋̅) =
√𝑛
 8
=
√100
= 𝟎. 𝟖
𝑋̅ −𝜇 21.6−20
b) 𝑃(𝑋̅ < 21.6) = 𝑃 ( ̅ ) < )
𝑆𝐸(𝑋 0.8
1.6
= 𝑃 (𝑍 < )
0.8
= 𝑃(𝑍 < 2)
= 0.5 + 𝑃(0 ≤ 𝑍 ≤ 2)
= 0.5 + 0.04772
= 𝟎. 𝟗𝟕𝟕𝟐

2.3 Distribution of The Sample Proportion 𝐩

̂
Population proportion which is denoted by 𝑝 is obtained by taking the ratio of the number of
elements in a given population with a specific characteristic to the total number of elements
in the population. Correspondingly, the sample proportion 𝑝̂ gives a similar ratio for a
sample. Rules of sample proportion say that if both 𝑛𝑝 ≥ 10 and 𝑛(1 − 𝑝) ≥ 10, then the
sample proportion 𝑝̂ is approximately normally distributed with mean 𝑝 (population
𝑝(1−𝑝) 𝑝𝑞
proportion) and variance 𝑛
= 𝑛
where 𝑛 is the sample size. We write this statement as

𝑝(1 − 𝑝)
𝑝̂ ~𝑁 (𝑝, )
𝑛

Therefore, the standard variable Z becomes

𝑝̂ − 𝑝 𝑝̂ − 𝑝
𝑍= = ~𝑁(0,1)
𝑆𝐸(𝑝̂ )
√𝑝(1 − 𝑝)
𝑛
𝑥
Where sample proportion is given by 𝑝̂ = 𝑛, 𝑥 is the number of success

Example 2.3
Suppose the proportion of all college students who have used marijuana in the past 6 months
is 40%, suppose a random sample of 200 students representing the population of all students
who use marijuana was taken, what is the probability that the proportion of students who have
used marijuana is less than 32%?

Solution
Given 𝑝 = 0.4, 𝑛 = 200. Required to find 𝑃(𝑝̂ < 0.32)

𝑝̂ − 𝑝 0.32 − 0.4
𝑃(𝑝̂ < 0.32) = 𝑃 <
√𝑝(1 − 𝑝) √0.4 × 0.6
( 𝑛 200 )
= 𝑃(𝑍 < −2.31)
≅ 𝑃(𝑍 > 2.31)
= 0.5 − 𝑃(0 ≤ 𝑍 ≤ 2.31)
= 0.5 − 0.4896
= 0.0104