[Math] the joint distribution of sample mean and sample variance of normal distribution

normal distributionprobabilityprobability distributionsprobability theorystatistics

$X_i \sim N( \mu,\sigma^2)$, define $\overline X =\dfrac{1}{n} \sum\limits_{i = 1}^n X_i $, $S^2 = \dfrac{1}{n – 1}\sum\limits_{n = 1}^n \left( {X_i – \overline X} \right)^2$. What is the distribution of

$$
\sqrt n \left( \begin{array}{c}
\overline X – \mu \\
S^2 – \sigma ^2
\end{array} \right)
$$

Best Answer

The distribution of the mean and variance of a normal rv is very well known:

$$\sqrt n \left( \begin{array}{c} \overline X - \mu \\ {S^2} - {\sigma ^2} \end{array} \right) \sim \ \left(\begin{array}{c} \mathcal{N}(0,1) \\ \sigma^2\left(\frac{\sqrt{n}\chi^2_{n-1}}{n-1}-1\right) \end{array} \right)$$