In statistics, Cochran's theorem, devised by William G. Cochran, is a theorem used to justify results relating to the probability distributions of statistics that are used in the analysis of variance.
can be written, where each Qi is a sum of squares of linear combinations of the Us. Further suppose that
where ri is the rank of Qi. Cochran's theorem states that the Qi are independent, and each Qi has a chi-squared distribution with ri degrees of freedom. Here the rank of Qi should be interpreted as meaning the rank of the matrix B(i), with elements Bj,k(i), in the representation of Qi as a quadratic form:
Less formally, it is the number of linear combinations included in the sum of squares defining Qi, provided that these linear combinations are linearly independent.
We first show that the matrices B(i) can be simultaneously diagonalized and that their non-zero eigenvalues are all equal to +1. We then use the vector basis that diagonalize them to simplify their characteristic function and show their independence and distribution.
Therefore B(i) and C(i) can be simultaneously diagonalized. This can be shown by first diagonalizing B(i). In this basis, it is of the form:
Thus the lower rows are zero. Since , it follows that these rows in C(i) in this basis contain a right block which is a unit matrix, with zeros in the rest of these rows. But since C(i) has rank N − ri, it must be zero elsewhere. Thus it is diagonal in this basis as well. It follows that all the non-zero eigenvalues of both B(i) and C(i) are +1. Moreover, the above analysis can be repeated in the diagonal basis for . In this basis is the identity of an vector space, so it follows that both B(2) and are simultaneously diagonalizable in this vector space (and hence also together B(1)). By iteration it follows that all B-s are simultaneously diagonalizable.
Thus there exists an orthogonal matrix S such that for all i, is diagonal with 1-s between .
Let denote the independent variable after transformation by S. Note that due to the length preservation of the orthogonal matrix S.
The characteristic function of Qi is:
Moreover, the characteristic function of the joint distribution of all the Qis is:
From this it follows that all the Qis are i.i.d.
Sample mean and sample variance
If X1, ..., Xn are independent normally distributed random variables with mean μ and standard deviation σ then
is standard normal for each i. It is possible to write
(here is the sample mean). To see this identity, multiply throughout by and note that
and expand to give
The third term is zero because it is equal to a constant times
and the second term has just n identical terms added together. Thus
Now the rank of Q2 is just 1 (it is the square of just one linear combination of the standard normal variables). The rank of Q1 can be shown to be n − 1, and thus the conditions for Cochran's theorem are met.
Cochran's theorem then states that Q1 and Q2 are independent, with chi-squared distributions with n − 1 and 1 degree of freedom respectively. This shows that the sample mean and sample variance are independent. This can also be shown by Basu's theorem, and in fact this property characterizes the normal distribution – for no other distribution are the sample mean and sample variance independent.
The result for the distributions is written symbolically as
Both these random variables are proportional to the true but unknown variance σ2. Thus their ratio does not depend on σ2 and, because they are statistically independent. The distribution of their ratio is given by
where F1,n − 1 is the F-distribution with 1 and n − 1 degrees of freedom (see also Student's t-distribution). The final step here is effectively the definition of a random variable having the F-distribution.
Estimation of variance
To estimate the variance σ2, one estimator that is sometimes used is the maximum likelihood estimator of the variance of a normal distribution
Cochran's theorem shows that
and the properties of the chi-squared distribution show that the expected value of is σ2(n − 1)/n.
The following version is often seen when considering linear regression. Suppose that is a standard multivariate normal random vector (here denotes the n-by-n identity matrix), and if are all n-by-n symmetric matrices with . Then, on defining , any one of the following conditions implies the other two:
- (thus the are positive semidefinite)
- is independent of for
|This article needs additional citations for verification. (July 2011)|
- Cochran, W. G. (April 1934). "The distribution of quadratic forms in a normal system, with applications to the analysis of covariance". Mathematical Proceedings of the Cambridge Philosophical Society 30 (2): 178–191. doi:10.1017/S0305004100016595.
- Bapat, R. B. (2000). Linear Algebra and Linear Models (Second ed.). Springer. ISBN 978-0-387-98871-9.
- Craig A.T. (1938) On The Independence of Certain Estimates of Variances. Ann. Math. Statist. 9, pp. 48–55
- Geary, R.C. (1936). "The Distribution of the "Student's" Ratio for the Non-Normal Samples". Supplement to the Journal of the Royal Statistical Society 3 (2): 178–184. doi:10.2307/2983669. JFM 63.1090.03. JSTOR 2983669.