Article | REF: R221 V1

Statistical testing of random variables

Author: Bernard DEMOULIN

Publication date: March 10, 2013, Review date: June 1, 2021

You do not have access to this resource.
Click here to request your free trial access!

Already subscribed? Log in!


Overview

Français

ABSTRACT

This article deals with the problem of the statistical testing of random variables collected from measurements or simulations. The calculation of the average values and standard deviations of these variables characterized be estimations and uncertainty margin is presented. This article then focuses on the practice of the c2 and Kolmogorov Smirnov tests as well as their theoretical formulation illustrated by a few examples. To conclude, random process simulations is presented via the Monte Carlo method.

Read this article from a comprehensive knowledge base, updated and supplemented with articles reviewed by scientific committees.

Read the article

AUTHOR

  • Bernard DEMOULIN: Professor Emeritus - University of Lille 1, IEMN TELICE Group, UMR CNRS 8520

 INTRODUCTION

Statistical analysis is used today in scientific fields as varied as applied mathematics, physics, chemistry, economics and many others. This article introduces the reader to statistical tests adapted to random variables established according to the most familiar laws of probability. It goes without saying that the subject can be explored in greater depth by consulting the articles [AF 168] and [AF 170] in Techniques de l'Ingénieur or the specialized literature, some of which is listed at the end of the text [Doc. R 221].

The presentation is divided into three sections, dealing with three families of problems: estimating averages, statistical testing and simulating experiments involving artificial random variables.

The first paragraph highlights the impact of the uncertainty encountered when calculating the mean value or variance of N variables. We will demonstrate, with examples, that uncertainty can be estimated using the law of large numbers coordinated by the Bienaymé Chebetchev inequality. We will also observe the natural tendency of estimators to evolve towards the normal probability distribution.

The second paragraph focuses on the comparison of populations of random variables with known probability laws. The problem is to find criteria for measuring the deviation of a histogram of probability densities, or distributions, from a theoretical law taken from the catalog. The criteria in question will be based on the calculation of statistical gauges, the transformation of which will enable us to decide whether to reject or accept the candidate probability law. This important part will be illustrated by setting up the χ 2 statistical test and the Kolmogorov Smirnov test. The second paragraph also deals with random variables expressed as complex numbers. Assuming that the real and imaginary components of these variables evolve according to the normal probability law, it will be shown that they can generate exponential, Rayleigh or Weibull probability laws.

The third paragraph deals with the simulation of physical systems through the generation of random variables produced by Monte Carlo draws. At this point, we briefly review the arithmetic congruence methods used in the architecture of algorithms for generating random numerical sequences. The analysis will continue with the development of examples...

You do not have access to this resource.

Exclusive to subscribers. 97% yet to be discovered!

You do not have access to this resource.
Click here to request your free trial access!

Already subscribed? Log in!


The Ultimate Scientific and Technical Reference

A Comprehensive Knowledge Base, with over 1,200 authors and 100 scientific advisors
+ More than 10,000 articles and 1,000 how-to sheets, over 800 new or updated articles every year
From design to prototyping, right through to industrialization, the reference for securing the development of your industrial projects

This article is included in

Instrumentation and measurement methods

This offer includes:

Knowledge Base

Updated and enriched with articles validated by our scientific committees

Services

A set of exclusive tools to complement the resources

Practical Path

Operational and didactic, to guarantee the acquisition of transversal skills

Doc & Quiz

Interactive articles with quizzes, for constructive reading

Subscribe now!

Ongoing reading
Statistics applied to physical variables
Outline