[width=1.

5cm]nitm center National Institute of Technology Meghalaya

Laitumkharah, Shillong-793003 10th July 2020

Mr. Mantu Kumar(Roll N-S18MA006) MSc(4th

A Study
Semester)
on Estimation
under theofsupervision
the Coefficient
of Dr.
of Variation
Adarsha Kumar
for Normal
Jena
July
Distribution
Department
10, 2020 of Mathematics
1 / 16 National Institute of Tech
 A Study on Estimation of the Coefficient of Variation
for Normal Distribution

Mr. Mantu Kumar(Roll N-S18MA006)

MSc(4th Semester)
under the supervision of
Dr. Adarsha Kumar Jena
Department of Mathematics

National Institute of Technology Meghalaya

Laitumkharah, Shillong-793003
10th July 2020
Mr. Mantu Kumar(Roll N-S18MA006) MSc(4th
A Study
Semester)
on Estimation
under theofsupervision
the Coefficient
of Dr.
of Variation
Adarsha Kumar
for Normal
Jena
July
Distribution
Department
10, 2020 of Mathematics
1 / 16 National Institute of Tech

July 10, 2020

 Presentation Overview

1. Introduction
2. Point Estimate
3. Maximum Likelihood Estimator
4. Interval Estimation

Mr. Mantu Kumar(Roll N-S18MA006) MSc(4th

A Study
Semester)
on Estimation
under theofsupervision
the Coefficient
of Dr.
of Variation
Adarsha Kumar
for Normal
Jena
July
Distribution
Department
10, 2020 of Mathematics
2 / 16 National Institute of Tech
 Introduction

The coefficient of variation is dimensionless measure of the dispersion

of a probability distribution.
More specifically it is a measure of variability realative to the mean.
This measure can be used to make comparisons across several
populations those have different units of measurement.

Definition (What is the coefficient of variation?)

Let X be a random variable following certain distribution with mean µ and
variance σ 2 , the coefficient of variation is defined as
σ
κ= (1)
µ
where σ and µ are standard deviation and mean respectively.

Mr. Mantu Kumar(Roll N-S18MA006) MSc(4th

A Study
Semester)
on Estimation
under theofsupervision
the Coefficient
of Dr.
of Variation
Adarsha Kumar
for Normal
Jena
July
Distribution
Department
10, 2020 of Mathematics
3 / 16 National Institute of Tech
 Point Estimate

Definition
Let X ∼ N(µ, σ 2 ), then a point estimate is given by an approximate value for a
parameter in the distribution of X obtained from a sample. A sample mean
n
1X
X̄ = Xi (2)
n
i=1

is an estimator of mean µ of X, and the sample variance

n
2 1 X 2 1 h 2 2
i
S = (Xi − X̄ ) = (X1 − X̄ ) + ... + (Xn − X̄ ) (3)
n−1 n−1
i=1

is an estimator of variance σ 2 of X.

Mr. Mantu Kumar(Roll N-S18MA006) MSc(4th

A Study
Semester)
on Estimation
under theofsupervision
the Coefficient
of Dr.
of Variation
Adarsha Kumar
for Normal
Jena
July
Distribution
Department
10, 2020 of Mathematics
4 / 16 National Institute of Tech
 An Estimator of the Coefficient of Variation using Point
Estimate

Definition
Let Xi for i = 1, ..., n be an independent random sample with
Xi ∼ N(µ, σ 2 ) for each i. Then an estimator of the coefficient of variation
is given by
S
κ̂ = (4)
X̄
where S and X̄ are sample standard deviation and sample mean
respectively.

Mr. Mantu Kumar(Roll N-S18MA006) MSc(4th

A Study
Semester)
on Estimation
under theofsupervision
the Coefficient
of Dr.
of Variation
Adarsha Kumar
for Normal
Jena
July
Distribution
Department
10, 2020 of Mathematics
5 / 16 National Institute of Tech
 Maximum Likelihood Estimator

Definition
Let f be a function defined on identically independent random variables
and θ be a parameter,

L(x1 , x2 , ..., xn , θ) = f (x1 , θ)f (x2 , θ)...f (xn , θ) (5)

and if
∂L(x, θ)
=0 (6)
∂θ
∂ 2 L(x, θ)
<0 (7)
∂θ2
then the maximum among the values of θ for which (6) and (7) are
satisfied is called ’Maximum Likelihood Estimator’. L(θ) and logL(θ) have
their maxima at the same values of θ and hence, it is sometimes easier to
find the maximum of loglikelihood function.

Mr. Mantu Kumar(Roll N-S18MA006) MSc(4th

A Study
Semester)
on Estimation
under theofsupervision
the Coefficient
of Dr.
of Variation
Adarsha Kumar
for Normal
Jena
July
Distribution
Department
10, 2020 of Mathematics
6 / 16 National Institute of Tech
 An Estimator of the Coefficient of Variation using MLEs
of µ and σ

Definition
A random sample of size n from a normal distribution has the density
function:
1 1 x−µ 2
f (x, µ, σ) = √ e − 2 ( σ ) , −∞ < µ < ∞, σ > 0. (8)
σ 2π
If µ = 0 and σ = 1, f (x; µ, σ) is known as standard normal density
function. The likelihood function of (8) is given by

1 1 2
L(X1 , X2 , ..., Xn ; µ, σ) =Πni=1 √ e − 2σ2 (xi −µ)
σ 2π
 P n  (9)
1 − 12 (xi −µ)2
2σ
= e i=1

(2πσ 2 )n/2

Mr. Mantu Kumar(Roll N-S18MA006) MSc(4th

A Study
Semester)
on Estimation
under theofsupervision
the Coefficient
of Dr.
of Variation
Adarsha Kumar
for Normal
Jena
July
Distribution
Department
10, 2020 of Mathematics
7 / 16 National Institute of Tech
 An Estimator of the Coefficient of Variation using MLEs
of µ and σ

The logarithm of the likelihood function is

n
n n 1 X
2
logL = − log 2π − log σ − 2 (xi − µ)2 (10)
2 2 2σ
i=1

where σ > 0 and −∞ < µ < ∞.

To find the location of its maximum, we compute
n
∂logL 1 X
= 2 (xi − µ) (11)
∂µ σ
i=1

Mr. Mantu Kumar(Roll N-S18MA006) MSc(4th

A Study
Semester)
on Estimation
under theofsupervision
the Coefficient
of Dr.
of Variation
Adarsha Kumar
for Normal
Jena
July
Distribution
Department
10, 2020 of Mathematics
8 / 16 National Institute of Tech
 An Estimator of the Coefficient of Variation using MLEs
of µ and σ

n
∂logL n 1 X 2
= − + (xi − µ) (12)
∂σ 2 2σ 2 2σ 4
i=1

Putting these derivatives equal to zero and solving the resulting equations for µ
and σ 2 ,
n
1 X
(xi − µ) = 0
σ2
i=1
n
X
=⇒ xi − nµ = 0 (13)
i=1
n
1X
=⇒ µ̂ = xi
n
i=1

Equating (12) to 0,

Mr. Mantu Kumar(Roll N-S18MA006) MSc(4th

A Study
Semester)
on Estimation
under theofsupervision
the Coefficient
of Dr.
of Variation
Adarsha Kumar
for Normal
Jena
July
Distribution
Department
10, 2020 of Mathematics
9 / 16 National Institute of Tech
 An Estimator of the Coefficient of Variation using MLEs
of µ and σ
n
n 1 X
− + (xi − µ)2 = 0
2σ 2 2σ 4
i=1
n n 2
1 X 1 X
=⇒ −n + (xi − xi ) = 0(using (13)) (14)
σ2 n
i=1 i=1
n n
1 X 2 ˆ2 = 1
X
=⇒ −n + (xi − x̄) = 0 =⇒ σ (xi − x̄)2
σ2 n
i=1 i=1
Hence, an estimator of the CV using MLEs of µ and σ is
s
n
1 P
n (xi − x̄)2
σ̂ i=1
κ̂ = = n (15)
µ̂ 1 P
n xi
i=1

Mr. Mantu Kumar(Roll N-S18MA006) MSc(4th

A Study
Semester)
on Estimation
under theofsupervision
the Coefficient
of Dr.
of Variation
Adarsha Kumar
for Normal
Jena
July
Distribution
Department
10, 2020 of Mathematics
10 / 16 National Institute of Tech
 Interval Estimation
0.4

N(0,1)
0.3
P(Z)

0.2

1−α
0.1

P(Z < − Zα ) P(Z > Zα )

P(− Zα 2 ≤ Z ≤ Zα )
2 2
2
0.0

−4 −2 0 2 4

Figure: A graph of the region which is normally distributed

Let X be a normally distributed random variable. If we define a new

Mr. Mantu Kumar(Roll N-S18MA006) MSc(4th
A Study
Semester)
on Estimation
under theofsupervision
the Coefficient
of Dr.
of Variation
Adarsha Kumar
for Normal
Jena
July
Distribution
Department
10, 2020 of Mathematics
11 / 16 National Institute of Tech
 Interval Estimation

X −µ x−µ
random variable Z as Z = σ and at X = x, Z = z, z = σ , then

P(−zα/2 ≤ Z ≤ zα/2 ) =1 − P(−zα/2 > Z ) + P(Z > zα/2 )
=1 − (α/2 + α/2) (16)
=1 − α.

( because α/2 is the area of the region falls left to −zα/2 as well as right
to zα/2 as shown in the figure)
If there is a sample of normally distributed random variables X1 , X2 , ..., Xn
then z is given by
x̄ − µ
z= √ (17)
σ/ n
where x̄ is sample mean, µ is normal mean, σ is standard deviation and n
is sample size.

Mr. Mantu Kumar(Roll N-S18MA006) MSc(4th

A Study
Semester)
on Estimation
under theofsupervision
the Coefficient
of Dr.
of Variation
Adarsha Kumar
for Normal
Jena
July
Distribution
Department
10, 2020 of Mathematics
12 / 16 National Institute of Tech
 Interval Estimation
The equation (17) can be written as
σ
µ = x̄ ± z √ (18)
n
Therefore,
σ σ
x̄ − z √ < µ < x̄ + z √ (19)
n n
Now, since as before zα/2 is the z-value leaving an area of α/2 to its right,
−zα/2 is the z-value leaving an area of α/2 to its left. Therefore, the
above equation can be simplified as
σ σ
x̄ − zα/2 √ < µ < x̄ + zα/2 √ (20)
n n
Therefore, an interval estimator for the mean is obtained as
" #
σ σ
µ̂ = x̄ − zα/2 √ , x̄ + zα/2 √ (21)
n n

Mr. Mantu Kumar(Roll N-S18MA006) MSc(4th

A Study
Semester)
on Estimation
under theofsupervision
the Coefficient
of Dr.
of Variation
Adarsha Kumar
for Normal
Jena
July
Distribution
Department
10, 2020 of Mathematics
13 / 16 National Institute of Tech
 Conclusions and Future Work

From the study, following conclusions are drawn:

1. In case a sample of random variables is finite, point estimator as well
as interval estimator for the coefficient of variation are obtained.
2. Due to the property of an unbiased estimator that an unbiased
estimator is difference between expectation of a paramter and itself
which yields the yardstick of precision, unbiased estimator is more
efficient estimator for the coefficient of variation.
Future Work:- Some other simulation techniques can be used to
obtain point estimator as well as the confidence interval of the CV.

Mr. Mantu Kumar(Roll N-S18MA006) MSc(4th

A Study
Semester)
on Estimation
under theofsupervision
the Coefficient
of Dr.
of Variation
Adarsha Kumar
for Normal
Jena
July
Distribution
Department
10, 2020 of Mathematics
14 / 16 National Institute of Tech
 References

Hwei P. HSU(1997), Theory and problems of probability, random variables

and random processes, McGraw-Hill, New York, pp. 247-250.
Vijay K Rohatgi, A.K MD. Ehsanes Saleh(2005), An introduction to
probability theory and mathematical statistics, John Wiley & Sons, New
York, pp. 353-486.
Murray R Spiegel, John Schiller, R Alu Srinivasan(2009), Probability and
statistics, McGraw-Hill, New York, pp. 311-433.

Mr. Mantu Kumar(Roll N-S18MA006) MSc(4th

A Study
Semester)
on Estimation
under theofsupervision
the Coefficient
of Dr.
of Variation
Adarsha Kumar
for Normal
Jena
July
Distribution
Department
10, 2020 of Mathematics
15 / 16 National Institute of Tech
 Thank You!

Mr. Mantu Kumar(Roll N-S18MA006) MSc(4th

A Study
Semester)
on Estimation
under theofsupervision
the Coefficient
of Dr.
of Variation
Adarsha Kumar
for Normal
Jena
July
Distribution
Department
10, 2020 of Mathematics
16 / 16 National Institute of Tech