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Summary

Data: x1 , . . . , xn

Basic statistics: sample mean, sample variance, sample median

Likelihood, maximum likelihood estimate (MLE)

Bayesian updating: prior, likelihood, posterior, predictive

discrete or continuous

and type 2 errors, p-values.

Basic statistics

Data: x1 , . . . , xn .

x1 + . . . + xn

sample mean = x̄ =

n

n

2 − x̄)2

i=1 (xi

sample variance = s =

n−1

sample median = middle value

Example. Data: 6, 3, 8, 1, 2

4+1+16+9+4

x̄ = 4, s2 = 4

= 8.5, median = 3.

Likelihood

x = data

θ = parameter of interest or hypotheses of interest

Likelihood:

f (x | θ) (continuous distribution)

Log likelihood :

ln(p(x | θ)).

ln(f (x | θ)).

Likelihood examples

2. Wait time follows exp(λ). In 5 independent trials wait 3, 5, 4, 5, 2

3. Usual 5 dice. Two independent rolls, 9, 5. (Likelihood given in a

table)

4. Independent x1 , . . . , xn ∼ N(µ, σ 2 )

5. x = 6 drawn from uniform(0, θ)

6. x ∼ uniform(0, θ)

MLE

Discrete hypotheses: maximum is obvious

Continuous parameter: compute derivative (often use log

likelihood)

Continuous parameter: maximum is obvious

Examples. Find the MLE for each of the examples in the previous

slide.

Bayesian updating: discrete prior-discrete likelihood

twenty-sided dice. He picks one at random and rolls a 7.

1 For each type of die, ﬁnd the posterior probability Jon chose that

type.

2 What are the posterior odds Jon chose the 20-sided die?

Bayesian updating: conjugate priors

1. Beta prior, binomial likelihood

Data: x ∼ binomial(n, θ). θ is unknown.

Prior: f (θ) ∼ beta(a, b)

Posterior: f (θ | x) ∼ beta(a + x, b + n − x)

Data: x

Normal-normal

1 n

a= 2

b=

σprior σ2

aµprior + bx̄ 2 1

µpost = , σpost = .

a+b a+b

θ ∼ N(100, 152 ).

An IQ test ﬁnds a person’s ‘true’ IQ + random error ∼ N(0, 102 ).

Someone takes the test and scores 120.

Find the posterior pdf for this person’s IQ:

Bayesian updating: continuous prior-continuous likelihood

with the given data. Graph the prior and posterior in each case.

1. Romeo is late:

likelihood: x ∼ U(0, θ), prior: U(0, 1).

data: 0.3, 0.4. 0.4

2. Waiting times:

likelihood: x ∼ exp(λ), prior: λ ∼ exp(2).

data: 1, 2

3. Waiting times:

likelihood: x ∼ exp(λ), prior: λ ∼ exp(2).

data: x1 , x2 , . . . , xn

NHST: Steps

1 Specify H0 and HA .

5 Collect data.

6 Compute p-value or check if test statistic is in the rejection

region.

7 Reject or fail to reject H0 .

NHST: probability tables

NHST: One-sample t-test

x1 , x2 , . . . , xn ∼ N(µ, σ 2 ).

Test statistic:

x − µ0

t= √

s/ n

where n

1 n

s2 = (xi − x)2 .

n − 1 i=1

Null distribution: t(n − 1)

Example: z and one-sample t-test

Take H0 : µ = 0; HA : µ = 0.

Two-sample t-test: equal variances

x1 , . . . , xn ∼ N(µx , σ 2 ), y1 , . . . , ym ∼ N(µy , σ 2 )

Null hypothesis H0 : µx = µy .

(n − 1)sx2 + (m − 1)sy2 1 1

Pooled variance: sp2 = + .

n+m−2 n m

x̄ − ȳ

Test statistic: t=

sp

Null distribution: f (t | H0 ) is the pdf of T ∼ t(n + m − 2)

x − ȳ − µ0

More generally we can test H0 : µx − µy = µ0 using t =

sp

Example: two-sample t-test

(i) medical reasons or through (ii) unbooked emergency admission.

The duration of pregnancy is measured in complete weeks from the

beginning of the last menstrual period.

(i) Medical: 775 obs. with x̄ = 39.08 and s 2 = 7.77.

(ii) Emergency: 633 obs. with x̄ = 39.60 and s 2 = 4.95

duration diﬀers for the two groups.

2. What assumptions did you make?

Chi-square test for goodness of ﬁt

yielding the following data:

Cured 50 30 12

Not cured 100 80 18

Use a chi-square test to compare the cure rates for the three

treatments

F -test = one-way ANOVA

Like t-test but for n groups of data with m data points each.

yi,j ∼ N(µi , σ 2 ), yi,j = j th point in ith group

Assumptions: data for each group is an independent normal sample

with (possibly) diﬀerent means but the same variance.

Null-hypothesis is that means are all equal: µ1 = · · · = µn

MSB

Test statistic is MSW

where:

m n

MSB = between group variance = (ȳi − ȳ )2

n−1

MSW = within group variance = sample mean of s12 , . . . , sn2

Idea: If µi are equal, this ratio should be near 1.

Null distribution is F-statistic with n − 1 and n(m − 1) d.o.f.:

MSB

∼ Fn−1, n(m−1)

MSW

January 1, 2017 18 /21

ANOVA example

The table shows recovery time in days for three medical treatments.

1. Set up and run an F-test.

2. Based on the test, what might you conclude about the treatments?

T1 T2 T3

6 8 13

8 12 9

4 9 11

5 11 8

3 6 7

4 8 12

NHST: some key points

of being wrong if the null hypothesis is true.

probability of being write if a particular alternate hypothesis is true.

MIT OpenCourseWare

https://ocw.mit.edu

Spring 2014

For information about citing these materials or our Terms of Use, visit: https://ocw.mit.edu/terms .

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