The \(n\) quantities \(x_{1}, x_{2}, \ldots, x_{n}\) are statistically
independent; each has a Gaussian distribution with zero mean and a common
variance:
$$
\left\langle x_{i}\right\rangle=0 \quad\left\langle
x_{i}^{2}\right\rangle=\sigma^{2} \quad\left\langle x_{i} x_{j}\right\rangle=0
$$
(a) \(n\) new quantities \(y_{1}\) are defined by \(y_{i}=\sum_{j} M_{i j} x_{j}\),
where \(M\) is an orthogonal matrix. Show that the \(y_{i}\) have all the
statistical properties of the \(x_{l}\); that is, they are independent Gaussian
variables with
$$
\left\langle y_{i}\right\rangle=0 \quad\left\langle
y_{i}^{2}\right\rangle=\sigma^{2} \quad\left\langle y_{t} y_{j}\right\rangle=0
$$
(b) Choose \(y_{1}=\sqrt{\frac{1}{n}}\left(x_{1}+x_{2}+\cdots+x_{n}\right)\),
and the remaining \(y_{1}\) arbitrarily, subject only to the restriction that
the transformation be orthogonal. Show thereby that the mean
\(\bar{x}=\frac{1}{n}\left(x_{1}+\cdots+x_{n}\right)\) and the quantity
\(s=\sum_{i-1}^{n}\left(x_{i}-\bar{x}\right)^{2}\) are statistically independent
random variables. What are the probability distributions of \(\bar{x}\) and \(s
?\)
(c) One often wishes to test the hypothesis that the (unknown) mean of the
Gaussian distribution is really zero, without assuming anything about the
magnitude of \(\sigma .\) Intuition suggests \(\tau=\bar{x} / \sqrt{s}\) as a
useful quantity. Show that the probability distribution of the random variable
\(\tau\) is
$$
p(\tau)=\sqrt{\frac{n}{\pi}}
\frac{\Gamma\left(\frac{n}{2}\right)}{\Gamma\left(\frac{n-1}{2}\right)}
\frac{1}{\left(1+n \tau^{2}\right)^{n / 2}}
$$
The crucial feature of this distribution (essentially the so-called Student
\(t\)-distribufion \(^{\top}\) ) is that it does not involve the unknown parameter
\(\sigma\).