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pivotal quantity


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A function of the observations having a distribution that does not depend on any parameter other than the parameter of interest. For example, if a random sample of n observations is taken from a normal distribution with unknown mean μ and variance σ2 then a pivotal quantity for the parameter μ is the statistic t, given by where is the sample mean and s2 is the sample variance (calculated using the (n−1) divisor). The distribution of t (a t-distribution) does not depend on the value of σ2.

Subjects: Probability and Statistics.


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