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Formally, if $Y_i\sim \mathrm{Exp}(\lambda)$, then $2\sum_{i=1}^n Y_i \sim \Gamma(n,2)$, which is the chi-squared distribution with $2n$ degrees of freedom.

Intuitively, however, I think of degrees of freedom as the number of variables that are free to vary minus the number of constraints. In other words, the degrees of freedom of a problem, such as a hypothesis test, is like the dimension of the space that the data lives in. And this is, in fact, how most of the webpages I have visited suggest we think about degrees of freedom. But in many tests $2n$ degrees of freedom are used for sample size $n$ without much explanation except the formal one above. An example is a one sided test of the mean of $n$ independent exponential variables or confidence intervals on failure times.

So I'm having a hard time trying to attach a meaning to the extra $n$ degrees. I'm thinking that even though there are $n$ variables there is some underlying geometry that is higher dimensional. There has to be an intuitive explanation for the extra "wiggle room" in these problems.

This question arose from a specific question from a review sheet in my class. The question is if $X_1, X_2, \ldots, X_n$ are iid $N(0,1)$, find a Uniformly Most Powerful test of size $\alpha$ for $H_0: \sigma^2=\sigma_0^2$ vs. $H_1: \sigma^2>\sigma_0^2$. I found that the family of distributions has a monotone likelihood ratio in $Y(X)=\sum X_i^2$ so that a UMP is \begin{align*} T(X)=\begin{cases} 1 & Y(X)>c, \\ 0 & Y(X)<c. \end{cases} \end{align*} Thus, $\alpha=\mathrm{P}_0\left(\frac{Y(X)}{\sigma_0^2}>c/\sigma_0^2\right)$, and since the sum of squares of standard normal variables has a $\chi^2$ distribution with $n$ degrees of freedom, I would have said $c=\sigma_0^2\chi^2_\alpha(n)$. The professor, however says that the notation for this is $c = \sigma_0^2 \chi^2_\alpha(2n)$. The professor is unavailable for comment, but she's used the same review sheet for years so think she means what she says.


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I wonder if your professor's assertion is getting through correctly here. Certainly $\sum_i X_i^2/\sigma_0^2\sim \chi^2_n$ if $H_0$ is true. And it's also true that the sum of $n$ i.i.d. exponential random variables each with expected value $2$ has a chi-square distribution with $2n$ degrees of freedom. – Michael Hardy Dec 31 '13 at 18:31
@Michael, She says "So, we have that $c/\sigma_0^2$ is the $\chi^2(n)$ critical value that cuts off area $\alpha$ to the right. Our notation for this is $\chi^2_\alpha(2n)$", and then writes out the test using $2n$. Could this just be weird notation? – cantorhead Dec 31 '13 at 18:39
up vote 2 down vote accepted

Unfortunatetly the term "degrees of freedom" has more than one meaning. If you have a bunch of data points $(x_i,y_i),\ i=1,\ldots,n$ and you fit a line $y = \hat a +\hat b x$ by least squares (where the "hats" indicate that these are estimates) then the residuals $\hat\varepsilon_i=\hat y_i - y_i$, where $\hat y_i=\hat a + \hat b x$, will satisfy two linear constraints: $\sum_{i=1}^n\hat\varepsilon_i = 0$ and $\sum_{i=1}^n\hat\varepsilon_i x_i = 0$, and one then says the vector of residuals has $n-2$ degrees of freedom.

When one speaks of the chi-square distribution with $k$ degrees of freedom, it means the distribution of $Z_1^2+\cdots+Z_k^2$ where $Z_1, \ldots, Z_k \sim \mathrm{i.i.d.}\ N(0,1)$. That is a different concept. There is a relationship between the two concepts: often a test statistic based on some vector that has $k$ degrees of freedom in the sense defined in the first paragraph above has asymptotically (i.e. as the sample size approaches $\infty$) a chi-square distribution with $k$ degrees of freedom, in the sense defined in this present paragraph.

It can be shown that an exponential distribution with expected value $2$ is a chi-square distribution with $2$ degrees of freedom. That doesn't mean it's a sum of two things; it means it has the same probability distribution as a certain sum of two things.

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Okay, thank you. So it seems that thinking in terms of the dimensionality of the data minus the number of constrains only works for a particular class of hypothesis. In general we should think of finding a statistic that can be used to distinguish the null and alternate hypothesis and using the cumulative distribution of that statistic, whatever it may be, to define the critical region. The term "degrees of freedom" in reference to the chi-square distribution has nothing to do with the distribution itself, just one particular type of problem that it has been used for. – cantorhead Dec 31 '13 at 20:07

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