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How to compute a confidence interval for the difference between two means when population variances are unknown (in Python, using NumPy and SciPy)

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Task

If we have samples from two independent populations and both of the population variances are unknown, how do we compute a confidence interval for the difference between the population means?

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Solution

We’re going to use some fake data here to illustrate how to make the confidence interval. Replace our fake data with your actual data if you use this code.

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sample1 = [15, 10, 7, 22, 17, 14]
sample2 = [9, 1, 11, 13, 3, 6]

We will need the sizes, means, and variances of each sample.

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import numpy as np
n_sample1 = len(sample1)
n_sample2 = len(sample2)
xbar1 = np.mean(sample1)
xbar2 = np.mean(sample2)
var_sample1 = np.var(sample1, ddof = 1)
var_sample2 = np.var(sample2, ddof = 1)

Before we can compute the confidence interval, we must ask, can we assume that the two population variances are equal?

IF YES: We compute the degrees of freedom and the radius of the confidence interval as follows.

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df = n_sample1 + n_sample2 - 2
pooled_var = ((n_sample1-1)*var_sample1 + (n_sample2-1)*var_sample2) / df
radius = pooled_var*(1/n_sample1 + 1/n_sample2)

IF NO: We replace the above code with the following code instead, which does not make the assumption that the population variances are equal.

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# ratio1 = var_sample1/n_sample1
# ratio2 = var_sample2/n_sample2
# df = (ratio1 + ratio2)**2 / (ratio1**2/(n_sample1-1) + ratio2**2/(n_sample2-1))
# radius = ratio1 + ratio2

Then, whichever of the two methods above was used, we compute the confidence interval as follows.

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from scipy import stats

# Find the critical value from the normal distribution
alpha = 0.05
critical_val = stats.t.ppf(q = 1-alpha/2, df = df)

# Find the lower and upper bound of the confidence interval
upper_bound = (xbar1 - xbar2) + critical_val*np.sqrt(radius)
lower_bound = (xbar1 - xbar2) - critical_val*np.sqrt(radius)
lower_bound, upper_bound

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(0.5980039236697818, 13.401996076330217)

The 95% confidence interval for the true difference between these population means is $[0.598,13.402]$. That was computed under the assumption that the variances were equal. See the alternative code above for if the variances were not assumed to be equal; in that case, we would get the slightly different result of $[0.5852, 13.4147]$ instead.

Content last modified on 24 July 2023.

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Contributed by Elizabeth Czarniak (CZARNIA_ELIZ@bentley.edu)