Wikipedia:Reference desk/Archives/Mathematics/2018 November 27

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November 27

Calculating the probability for difference between two samples

I have two samples of different sizes on which I'm measuring a certain variable. On one sample I get $x_{1}\pm \sigma _{1}$ and on the other one $x_{2}\pm \sigma _{2}$. Now there are some rules of thumb I can use when the standard deviations are the same, and when one of the standard deviations is much smaller than the other and than the difference between the means, I can also get a close enough result for my needs by assuming that it's zero which turns it into a z-value problem. How to solve the general case? Assuming that we're trying to prove that the true expectancies of the two samples differ, as opposed to the hypothesis that the different results were caused by random noise.

In my particular case, $\sigma _{1}\approx 2\sigma _{2},\left\vert x_{1}-x_{2}\right\vert \approx {\frac {4}{3}}\sigma _{1}$ 93.139.59.187 (talk) 09:03, 27 November 2018 (UTC)

According to our article on the normal distribution, "if X₁ and X₂ are two independent normal random variables, with means μ₁, μ₂ and standard deviations σ₁, σ₂, then their sum X₁ + X₂ will also be normally distributed, with mean μ₁ + μ₂ and variance σ₁² + σ₂²." Then, since X₂ will have mean −μ₂ and s.d. μ₂, X=X₁−X₂ will have mean μ₁−μ₂ and s.d. √(σ₁² + σ₂²). So you can apply your hypothesis testing machinery on μ(X) = 0 with σ(X) given as √(σ₁² + σ₂²). I'm assuming normally distributed variables here; you didn't explicitly say so but it seemed like you were assuming that implicitly. --RDBury (talk) 10:19, 27 November 2018 (UTC)

Ah yes of course, summing the variances! A little ashamed I didn't think of that :-) 93.139.59.187 (talk) 11:06, 27 November 2018 (UTC)