:9 )(

Chapter 9 Section 9.6

ML

)(

 ) (Estimation .
).(Direction Finding

:
x ) ( . f(x; ) :
) ( ) ( .
) (.

 ):(Point Estimation
x1
x = g( x ) , x = : n

x n
x1
= g(x) , x = :

x n
) g( x ) (.
) ) i.i.d.(
) (Statistic(.
)( :
E( ) =
) E( ) (.

 ):(Method of Moments
k x :

) m k = E( x k
:
n

1
=k
m
xik
n i =1

) ( .

 :1 x :

fx (x; ) = e x : x > 0
:
1

= ) m 1 = E( x

1
m1

x i :
1
1
=
=
1 1 n
m
xi
n i =1

 :2 dc ) N(0,:

xi = + ni
:
E( x ) = + E( n ) =
n

1
=1
= m
xi
n i =1

 :3 x .
. :

= m 1 , 2 = m 2 m 12
:
n

1
=
xi
n i =1

n
1 n
1
1
2
2
=
xi
= xi
(xi )2
n i =1
n i =1
n i =1

s (.

q( ) ) q( .

 ):(Method of Maximum Likelihood

.
. .
) f(x; )) (Likelihood Function (.
x f(x; )dx x
) f(x; )( ) x ML = xmod : mse mae
( . x . x
:
=
) : f(x; ) f(x;
ML

ML

:
)f(x;
= 0 ML

ML )) f(x; x ( ) (.

) [g()]ML = g( ML

) )) f(x;g( )) f(x;g( ) g = g( g(.

 : b = 2:
x2
c
(x; c) = cxe 2

)f (x
fx

x
x = x c ML

2
x2

= = 0 c ML

1
c

)f (x

:
x2
c
)e 2

)fx (x; c
x
= (x c
c
2

2
x2

c x ML ) (Prediction:

)fx (x; c
1
= = 0 x ML
x
c
9

 : i.i.d.:

x1
x1
x = x = :


x n
x n
) fx (x; . i.i.d. x i :
n

) f(xi ;
i =1

= )fx (x;
n

f(xi ; ) = 0 ML
i =1

ln :
n

) ln f(xi ;
i =1

= )ln fx (x;

)f(xi ;

= )ln fx (x;
= 0 ML
)f(xi ;

i =1
n

10

:
n

fx (x; ) = c (

xi )e

c n 2
xi
2 i =1

i =1

c
ln fx (x; ) = n ln c + ln xi
xi2
2 i =1
i =1

:
ln fx (x; )
c

n 1
2n
xi2 = 0 c ML = n
=
c 2 i =1
xi2

i =1

11

 : ML n :
(xi )2

2
e 2

1
2 2

i =1

= ) f(xi ; , 2
n

i =1

= ) fx (x; , 2

1
(xi )2
2
ln fx (x; , ) = ln(2 )

2
2
2

i =1

n
n (xi )2

1
ln fx
=0
xi

= ML
2
0
=
n i =1

i =1

n
n
2
ln
f

x
1
1
1
(x
)

2
2
i
0
=

(x
)

=s
0

+
=

i
ML
ML n
2
2 2 2( 2 )2

i =1

i =1

2 . n + )
n1 2
2(n 1) 4
(.

= ) E(s 2
= ) , var(s 2
n
n2
ML n + .
12

 ):(Interval Estimation
x ) g(x
. x
. ) 1 = g 1 (x ) 2 = g 2 (x .
1 2 . 1 2 :
) 1 = g 1 ( x

) 2 = g 2 ( x
) x ( .

P{1 < < 2 } = 1 ) (1 , 2 (Confidence Interval) 1

) (Confidence Level . %5 %1 %0/1 .

13

 ) = q( } { 1 < < 2 } { 1 < < 2 ) 1 = q(1 ) 2 = q(2

:
P{ 1 < < 2 } = P{1 < < 2 } = 1

(1 , 2 ) ) (q( 1 ),q( 2 )) q( .

1 2 P{1 < < 2 } = 1 : 2 1

. .

14

 :
(i = 1, 2, , n) x i i.i.d.

x 2
:

2
n

x2

E( x ) =

1
=x
x i :
n i =1

1
=x
xi :
n i =1

) ( x a, x + a 1 .

15

 x n x ) :
x
z z = : )( :
n
)fz (z

1
z1
2

2
n

. x N( ,

P{ z < z < z} = 1 z = z1
2

z1
2

= 0.05 :

G 1 (0.975) = D 1 (0.95) = 1.960

:

z0.975 = 1.960

16

 :
x
P{ z1 < < z1 } = 1
2
2
n
P{ x z1 < < x + z1 } = 1 :
n
n
2
2

P{ z1 < x < + z1 } = 1 :
n
n
2
2

1 :

x z 1 < < x + z 1
n
n
2
2

: = 4 mm . %95
30 101mm.

4
4
1.96 < < 101 +
1.96 99.57 < < 102.43
30
30
17

101

 .
:
)fz (z

P{ z < z} = 1 z = z1
x
P{ < z1 } = 1
n

1
z 1

1 :

P{ > x z1 } = 1
n

1 :

P{ < x + z1 } = 1
n
) x n x
(.
: 1 .

40
1.645 > 99.80
30
18

> 101

 ) ( :
:
n

1
= s
(xi x)2
n 1 i =1

x s z 1 < < x + s z 1
n
n
2
2

n ) (n > 30 1 n
1 . 1 .
:
x
)s t(n 1
n

=T

)P{ t < T < t} = 1 t = t 1 (n 1

1
t1
2

t1
2

19

P{ x s t 1 (n 1) < < x + s t 1 (n 1)} = 1

n
n
2
2
1 :
)x s t 1 (n 1) < < x + s t 1 (n 1
n
n
2
2
: 3.91mm
%95 .
:
) 2.05 1.96( t 0.975 (29) = 2.05

3.91
3.91
2.05 < < 101 +
2.05 99.54 < < 102.46
30
30
) s (.

20

101

 :
A . P(A) = p : n k A .
p = k n + p .
n
p .
x - A :

x = p , x2 = pq

k
, x=n

pq

x = p , x2 = n

) n (:
pq
pq
<
<
x
+
z
p

n 1 2
n z1 2 } = 1

)p(1p

n

) ( . :

21

P{ x

 :
pq . 1 :
4

k 1 z <p< k + 1 z
n 2 n 1 2
n 2 n 1 2

) 1 (.

:
p . pq 1 ) p
4
1
p = x = k p . p p

n
2
:
) k (1 k
n
n z
1
2
n
) (.

22

) k (1 k
n
n z <p< k +
1
n
2
n

k
n

 :
pq
pq
z
p
<
<
x
+

n 1 2
n z1 2 } = 1

P{ x

p(1 p)} = 1

z12
2

< P{(p x )2

p(1 p) p1 ,p2

z12
2

k
< (p )2
n

p1 < p < p 2

23

 : 500 150 ) (%30 . %95

.

k = 150 , n = 500 , = 0.05

:

0.3 0.044 %30 %4.4

150
1.96

500 2 500

25/6 34/4 .
:

0.3 0.040 %30 %4.0

150
0.3 0.7
1.96
500
500

26 34 .
:

1.96 2
= )(p 0.3
p(1 p) p1 = 0.261,p2 = 0.342 0.261 < p < 0.342
500
24
2

 :
}F(x) = P{ x x

) F(x .
= x :
n
. :

nx
nx
(1

n
n )z
1
2
n
) F(x 1 )( .

nx
nx
(1

n
n ) z < F(x) < n x +
1
n
2
n

nx
n

x .

F(x) c} = 1
)P{max F(x
x

n ) :(100

ln
2n 2
25

 :
x y x y x2 y2 .
x y )
( . :

w=xy
w .
x y w :

< z1 } = 1

w w

< P{ z1

2
w
w w z 1 < w < w + w z 1
2

w=xy

26

( ) xi y i i ( :

2
, w
= x2 + y2 2 xy

= w

1 x y :

x2 + y2 2 xy
n

= x y z 1
2

w
n

x y z 1
2

w :
w w
)sw t(n 1
n

=T

sw
n

27

x y t 1
2

( n) x( m) y( x y
:

y2
m

1 x y :

y2
m

x2
n

x2
n

+ y2

= x2

2
w

x y z 1
2

x y ) n m( s x s y x y
.

28

 .
) (7.30 ) ls 2 ) x N(x , ) ( y N( y ,
: 2
n
n

1
2
2
(xi x ) + ( yi y )
=
n + m 2 i =1

i =1

(n 1)s2x + (m 1)s 2y
n+m2

= =

sp2

(n 1)s x2 + (m 1)s2y 1 1
1 1
) ( + ) = sp2 ( +
=
n+m2
n m
n m
w w
=T
) t(n + m 2
w

2
w

) (.

P{ t 1 < T < t 1 } = 1
2

P{ w w t 1 < w < w + w t 1 } = 1
2

1 x y :

1 1
+
n m
29

x y t 1 s p
2

 :
n

1
= v ) (.
( x i )2 :
n i =1

:
n

xi
2
=

)(n

i =1
< 12 (n)} = 1
2

nv

nv

< )P{ 2 (n
2

1 2 :
} = 1

nv
) 2 (n
2

< <2

nv
)12 (n
2

{P

) . (.

) 12 (n

30

) 2 (n
2

 : 10 . %95
) = 0 2(.

0.067

-0.096

0.053

-0.026

-0.111

0.071

0.059

-0.178

-0.099

0.020

10

1
=v
xi2 = 0.0066
10 i =1

10 0.0066
10 0.0066
< <2
0.0032 < 2 < 0.0204
20.48
3.25

31

2
0.975
(10) = 20.48

2
0.025 (10) = 3.25

 2 :
n

1
= s
( x i x )2
n 1 i =1

:
) 2 (n 1

(n 1)s 2

:
< 12 (n 1)} = 1

(n 1)s 2

< )P{ 2 (n 1
2

1 2 :

(n 1)s 2
) 2 (n 1
2

32

< <

(n 1)s 2
)12 (n 1
2

 :
xy
x y

=r

) (xi x)(yi y
(xi x)2 (y i y)2

) (xi x)(yi y
(yi y)2

1
n1

1
(xi x)2
n1

1
n1

s xy
sxs y

= r

) xi y i ( r1 r2 :
P{r1 < r < r2 } = 1

) n( :

z 1
2
n3

z 1
2
n3

: 296.

33

)r1 = tanh tanh 1 (r

1
+
)r2 = tanh tanh (r

 ):(Bayesian Estimation
) ( .
f .
. . ) = g( x
:

R = E L( )
) R L ) (Loss Function(.
:
L( ) = ( )2

34

L(e) = e 2

 mse = E ( )2 ls

x1
x ) x ( x = :

x n
) = E(|x
ls

f (|x)d

= ) ls = E(|x

) f ( ) f ( |x .
) f ( |x ) f ( ) fx (x| ) ) fx (x|
) (Likelihood Function(.

35

)= fx (x|)f (

)fx (x|)f (

) (.
+

fx (x|)f ()d

)fx (x

= )f (|x

1
= f (|x)d

)fx (x

= ls

:
L(e) =|e| L( ) =| |2

) mae = E(| |2 :
) ) abs = median ( f (|x

f (|x)d
36

+
abs

= f (|x)d

abs

0 |e|<
0 | | <

L( ) =
L(e) =
1
otherwise
1 otherwise

.(Maximum Apestriori Probability) MAP ) f ( |x

:
=
: f (
)|x) f (|x

MAP

MAP

) = MAP : fx (x| MAP )f ( MAP ) fx (x|)f (

) ML ) f(x| ) f ( . MAP
) f(|x) = f(x|)f( (.
) abs ls (MAP )( ) f ( |x
.

37

 n likelihood likelihood .
.

ML

38

 :1 6 . ) x Binomial(n, p p ) u(0,1
x = k p ls.
? = p ls

)P{ x = k|p = p} fp (p
1

0 P{x = k|p = p} fp (p)dp

)P{ x = k|p = p} fp (p
}P{ x = k

= )fp (p|x = k

n k
n k
) k p (1 p) fp (p
=
1 n k
p (1 p)nk fp (p)dp

0 k

n k
n k
) k p (1 p
(n + 1)! k
=
=
) fp (p p (1 p)nk :0 p 1 :
1
!)k!(n k
n +1
k
) Beta(k + 1, n k + 1 n .
n

39

0.08

)(k = 60, n = 100

k
n

k
n

1 k +1
p (1 p)n k fp (p)dp
0
1 k
p (1 p)n k fp (p)dp
0

= p fp (p|x = k)dp

= )p ls = E(p|x = k

(n + 1)! (k + 1)!(n k)! k + 1

=
) fp (p :
!)k!(n k
!)(n + 2
n+2
k
k+1
1
n
) p = ( fp
n
n+2
2
.
=

k
) MAP (ML
n

.
40

 x1
) N( , i.i.d. x = :2

x n
N(0,2 ) ls . 2 :
2
2
2

1
2

= ) f (

(xi )2

i =1

2 2

n
2 2
) (2

) (xi
2 2

) fx (x| )f (

fx (x| )f ( )d

41

1
2

i =1

) fx (x| )f (
)fx (x

= ) fx (x|

= )f (|x

 :
)

2 2
n
2
2 + n

xi

2
n + 2

(f (|x) = N

:
x

n
2
n+2

= ls = abs = MAP

n + = x.
) |x ( :

< z 1 } = 1
2
2
0
P{ 0 z1 < < + 0 z1 } = 1
< P{ z1

42