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Q18Section A (Section A)18 of 60

Distribution of a studentised difference of two observations

Let X1,…,Xn,Xn+1,Xn+2,…,Xn+mX_1,…,X_n,X_{n+1},X_{n+2},…,X_{n+m} (n>4n>4, m>4m>4) be a random sample from N(μ,σ2)N(\mu,\sigma^2); μ∈R\mu\in\mathbb R, σ>0\sigma>0. If X‾1=1n∑i=1nXi\overline X_1=\frac1n\sum_{i=1}^nX_i and X‾2=1m−2∑i=n+1n+m−2Xi\overline X_2=\frac1{m-2}\sum_{i=n+1}^{n+m-2}X_i, then the distribution of the random variable

T=Xn+m−Xn+m−1∑i=1n(Xi−X‾1)2+∑i=n+1n+m−2(Xi−X‾2)2T=\frac{X_{n+m}-X_{n+m-1}}{\sqrt{\sum_{i=1}^n(X_i-\overline X_1)^2+\sum_{i=n+1}^{n+m-2}(X_i-\overline X_2)^2}}

is

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