Meeth 235 w11

Estimetors
function of the random sample x,,....tu
Estimate
realized ô (x, x)
2
Ex 1; X...... Xn ~ N(4,0²)
u= £(X) = ( xfW! dx
û=x=ñŹ x
O=lm, og
8 Var (X)= (1+74) f(x) dx
2a = 5 E (x,-1)"
m
n-1
ial
Exe: Xqr ...,Xa w Parsson (al
O-
2= £ ()
î=
Î = x= ñ ¿xi
151
! How to
suggest an estimator?
Generel poceedure : Maximum Likelihood Estimator (Ch 12-15)
Properties of Estimators
1) Unbiased uess El@)= 6
2) how variance Var Câb small
3) Sampling distribution
Unbiaseduess.
Bias of ô:6(0)=E()-
Unbiased ô: 6(e)=0 <=> Elê) = 0
U = E(X)
Ex 2.2.1: X is always umbiared for u = E(X) for i det. distrib
sample
X, ..., Xn of
x = h ²x
ident. distrib. so its just
a
I
E (xi)
ñZN
Ž N = null
û=X
n
11
Ex2.2.2 : Sample variance is unbiented
Xu ... Xn uf Ex= u Var (xi) = 8²20
WTS : E(S)-
S²=
{(
(x - 2xið +ă?)
_a
2
2x8xit nx
L
2
2
2
N
ti
aux tnx
n-1
V.I
a iguore
na for now.
=
wita
SW.
- nxel
an
2
x-
• We showed (È xi-n7") = 2 (x-3)
*E( Exi - nä") = ECH) -E 18°)
Extile Var (Xi)+ Eldi)? 09+
E (8") = Yar (E)- E(X)*- ? + me?
Var () = var lite xa) on Vero xi
) - Van (xi).
o?
E(3) (& (0²74²) - 0 on - nou) -
man (not thy? 0²-nut) = (n-1) 0²-0²
idependence prop.
1
z
n
E(53) =
N-
N
Variance, MSE, Comistency
How do we
an
estimator ?
mean square error.
measure the quality of
Ell0-01)
El lê - E (@) + El 6) – 014) - Ell@–E()]*+2E (– El@) €(60)
E(E(@)-01) z Var (8) + bias (8)
2
+
as
hồ đo
Ô is consistent if reso:
Pcle-os)
ô (x,...,xn)
ĝ is unbiased, from Chebysber's. Greg.:
P(16-01>)
Ve).
<
E?
! Ô unbiased + vê) >0 as n - 0 => ê is consistent.
Sampling distrib.
In general it is dif cult to compute the sampling distrib of ô
i for xed n)
Ex: X, ..., xavf =E(x), oʻz Var K)
7- Èxi/n, frou curlê xi/n-M)/0, mahl, Now)
fi
fi
po, še mange Na Miño
Hypothesis testing
We want to "test"
Họ: 8 - .
(oo is known
(0, is known)
H,: 0= On
on osa
OLOO
o oo
01
We
use
data X.,.... In to decide between Ho and Hi
2
poss. error
our choice
Ho
HA
Ho
v
X Type
7
1 error
True
HA
V
X
2 error
Type
&:= P(typ I cerer)=P( reject to I Ho is true)
B:= P(typ I ever) - P(accept Ho ! Hy in true)
2
2
i=1
2012 (41)
in ixtul for X-2 atm-n

y y deally, we would like a & ß small but this canust happen

we x
alie. 9,05and try minimise for ß.
For simple hyp. test, this general testing problem in solved by
Neymon Pearson Leuma
One-sample test,
* Chi-square: Z, .. , Za~ N(0,1) then 2 ~ X E2 ~ X
yum Gamma ( 4 2 1 2
fx(x)=
22-1-
X
e (the dounity of Chi-square)
*+- distrubution : ZwN10,4), yn Xă211Y -
Ntn-distrib.
Vyln
X... Xn ~ N(N, 02)
X =ñÎ xivN Chin kasvih
popel ng coa)
&cx- )"
X45 (fact)
in (X-r)
X-
Y
pa
2) t:-
! (n-) 5 w Xman (fact
)
55 =
1
n-1
2
$:c
o
(n-1) s²
slun
Thi
n-1
fi
EX 1)
X. Xn ~ N(u, o); 8-(1, 02, in the unknown prometer
Ho: M = Mo
Hei Malo
Suppose, under Ho, x,..., Xn ~ Nl Mo, 02) is true
We reject the will h if t is an extreme
t=
ntnou value lin
the trashhold)
signi cance level x.
X-No
slun
what
↑
An-1, 1-2
0,95
Ę
Suppose a = 0,05
! We reject to iff t> tha, ta ( take it from tables, otherwise accept it,
Exa)
Ho : N=Mo Hernano
-No
! le reject Ho iff. tcture, &, otherwise accept.
t-
slun
LIT
fi
! We reject to ifte tn.1%)

Ex 3) Hoi N= No Hint No
Po
ta
X
Spin
4/2
t> tn-pt 9/2
/2
accept otherwise
1
1
An-1, 1-4/
p-value: minimum signi cance level we reject Ho
For Exni
p-value = P(tu-n>t)
P(Anne Lt)
Ex 3. p-value = P(+4 7+1)
Exa: p-value
fi