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475概率困难derivationlong

CLT with Estimated Variance via Slutsky's Theorem

题目

Let X1,,XnX_1, \ldots, X_n be i.i.d.\ with mean μ\mu and finite variance σ2>0\sigma^2 > 0. Define the sample variance Sn2=1n1i=1n(XiXˉn)2S_n^2 = \frac{1}{n-1}\sum_{i=1}^n (X_i - \bar{X}_n)^2 and the studentized statistic Tn=n(Xˉnμ)Sn.T_n = \frac{\sqrt{n}\,(\bar{X}_n - \mu)}{S_n}.

(a) Using the LLN and Slutsky's theorem, show that TndN(0,1)T_n \xrightarrow{d} N(0,1).

(b) In a study with n=100n = 100 observations, you find Xˉ100=12.5\bar{X}_{100} = 12.5 and S100=3.0S_{100} = 3.0. Assuming the true mean is μ0=12\mu_0 = 12, approximate P(Xˉ100>12.5)P(\bar{X}_{100} > 12.5) using TnT_n.

You may use Φ(1.67)0.9525\Phi(1.67) \approx 0.9525.

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你的答案

b