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$$X_{i}:=\text{ith sample which was extracted from}~~\mathcal{N}(\mu,\sigma^2)\tag{1}$$

$$i\in\mathbb{N}_{n}^{*}~~\Leftrightarrow~~i\in\{1,2,\ldots,n\}\tag{2}$$

I assume these random variables are mutually independent.

$$Z_{i}:={X_{i}-\mu\over\sigma}~~\leftarrow~~\text{standardization}\tag{3}$$

$$\therefore~~Z_{i}\sim\mathcal N(0,1)\tag{4}$$

$$\sum_{i=1}^{n}Z_{i}^2=\sum_{i=1}^{n}\left({X_{i}-\mu\over\sigma}\right)^2~~\sim~~\chi_{n}^2\tag{5}$$

$$\bar{X}:={1\over n}\sum_{i=1}^{n}X_{i}\tag{6}$$

I've been confused to understand why the following can be said.

$$\sum_{i=1}^{n}\left({X_{i}-\bar X\over\sigma}\right)^2\sim\chi_{n-1}^2\tag{7}$$

The book says about it with following statements.

$$\sum_{i=1}^{n}\left({X_{i}-\bar X\over\sigma}\right)=0~\text{is held hence,}\tag{8}$$

$${X_{i}-\bar X\over\sigma}~\text{is linearly independent and,}\tag{9}$$

$$\text{number of degrees of freedom is substracted by 1 compared to}~\mu\tag{10}$$

I can't even derive eqn8 in the first place.

I need your idea.

ADD

I derived the eqn8. It was too trivial.

My this post is relavant with the following statements in the book.

$$\text{population}\sim\mathcal N(\mu,\sigma^2)\tag{11}$$

$$X_{1},\ldots,X_{n}:=\text{randomly extracted samples from the population}\tag{12}$$

$$U:={\bar X-\mu\over\sqrt{{S^2\over n}}}\tag{13}$$

$$U\sim\mathcal t_{n-1}\tag{14}$$

$$\left(\bar X={1\over n}\sum_{i=1}^{n}X_{i}~~,~~S^2={1\over n-1}\sum_{i=1}^{n}\left(X_{i}-\bar X\right)^2\right)\tag{15}$$

  • To prove (8), note that $\sum_{i=1}^n (X_i - \bar{X}) = \left(\sum_{i=1}^n X_i\right) - n\bar{X} = n\bar{X} - n\bar{X} = 0$. – angryavian Mar 22 '22 at 01:00
  • I don't think the statement (9) is correct, and the claim (7) requires more work to prove than what is shown here. – angryavian Mar 22 '22 at 01:01
  • Write $$K=\sum_{i=1}^{n}\left(\dfrac{X_i - \bar{X}}{\sigma}\right)^2 = \dfrac{1}{\sigma^2}\sum_{i=1}^{n}(X_i - \bar{X})^2 = \dfrac{1}{\sigma^2} \cdot (n-1)S^2 = \dfrac{(n-1)S^2}{\sigma^2}\text{.}$$ We wish to show that $K \sim \chi^2_{n-1}$. Various proofs of this result can be found in answers to the question at https://math.stackexchange.com/questions/47009/proof-of-fracn-1s2-sigma2-sim-chi2-n-1. – Clarinetist Mar 22 '22 at 01:34
  • @Clarinetist Thank you. I will read that article. – electrical apprentice Mar 22 '22 at 01:49

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