Chapter 7: Point Estimation and Sampling Distributions

Transcription

1 Chapter 7: Point Estimation and Sampling Distributions Seungchul Baek Department of Statistics, University of South Carolina STAT 509: Statistics for Engineers 1 / 20

2 Motivation In chapter 3, we learned the discrete probability distributions, including Bernoulli, Binomial, Geometric, Negative Binomial, Hypergeometric, and Poisson. In chapter 4, we learned the continuous probability distributions, including Exponential, Weibull, and Normal. In chapter 3 and 4, we always assume that we know the parameter of the distribution. For example, we know the mean µ and variance σ 2 for a normal distributed random variable, so that we can calculate all kinds of probabilities with them. 2 / 20

3 Motivation For example, suppose we know the height of 18-year-old US male follows N(µ = 176.4, σ 2 = 9) in centimeters. Let Y = the height of one 18-year-old US male. We can calculate P(Y > 180) = by R: 1-pnorm(180, 176.4, 3). However, it is natural that we do NOT know the population mean µ and population variance σ 2 in reality. What should we do? Statistical inference deals with making (probabilistic) statements about a population of individuals based on information that is contained in a sample taken from the population. 3 / 20

4 Terminology: population/sample A population refers to the entire group of individuals (e.g., people, parts, batteries, etc.) about which we would like to make a statement (e.g., height probability, median weight, defective proportion, mean lifetime, etc.). Problem: Population can not be measured (generally) Solution: We observe a sample of individuals from the population to make a decision i.e. statistical inference. We denote a random sample of observations by n is the sample size Y 1, Y 2,..., Y n Denote y 1, y 2,..., y n to be one realization. 4 / 20

5 Terminology: random sample The The random variables Y 1,..., Y n are a random sample of size n if (i) the Y i s are independent random variable and (ii) every Y i has the same probability distribution, which is called i.i.d. 5 / 20

6 Example BATTERY DATA: Consider the following random sample of n = 50 battery lifetimes y 1, y 2,..., y 50 (measured in hours): / 20

7 A histogram of battery lifetime data 7 / 20

8 Cont d on battery lifetime data The (empirical) distribution of the battery lifetimes is skewed to the right. Which continuous probability distribution seems to display the same type of pattern that we see in histogram? An exponential(λ) models seems reasonable here (based in the histogram shape). What is λ? In this example, λ is called a (population) parameter (generally unknown). It describes the theoretical distribution which is used to model the entire population of battery lifetimes. 8 / 20

9 Terminology: parameter A parameter is a numerical summary that describes a population. In general, population parameters are unknown. Some very common examples are: µ: population mean σ 2 : population variance σ: population standard deviation p: population proportion Connection: all of the probability distributions that we talked about in previous chapter are indexed by population parameters. 9 / 20

10 Terminology: statistic A statistic is a numerical summary that can be calculated from a sample. Suppose Y 1, Y 2,..., Y n is a random sample from a population, some very common examples are: sample mean: sample variance: Y = 1 n n i=1 Y i s 2 = 1 n 1 n (Y i Y ) 2 i=1 sample standard deviation: s = s 2 sample proportion: p = 1 n i=1 n Y i, if Y i s are binary. 10 / 20

11 Back to battery lifetime data With the battery lifetime data (a random sample of n = 50 lifetimes), R code: y = hours s 2 = (hours) 2 s hours > mean(battery) ## sample mean [1] > var(battery) ## sample variance [1] > sd(battery) ## sample standard deviation [1] / 20

12 Parameters and Statistics Cont d SUMMARY: The table below succinctly summarizes differences between a population and a sample (a parameter and a statistic): Comparison between parameters and statistics Statistics Parameters describes a sample describes a population always known usually unknown random fixed ex: X, s 2, s ex: µ, σ 2, σ 12 / 20

13 Statistical Inference Statistical inference deals with making (probabilistic) statements about a population of individuals based on information that is contained in a sample taken from the population. We do this by estimating unknown population parameters with sample statistics. quantifying the uncertainty (variability) that arises in the estimation process. 13 / 20

14 Point estimators and sampling distributions Let θ denote a population parameter. A point estimator ˆθ is a statistic that is used to estimate a population parameter θ. Common examples of point estimators are: θ = Y a point estimator for θ = µ θ = s 2 a point estimator for θ = σ 2 θ = s a point estimator for θ = σ Remark: In general, θ is a statistic, the value of θ will vary from sample to sample. Why? A statistic is a function of r.v. 14 / 20

15 Terminology: sampling distribution The distribution of a statistic is called a sampling distribution. A sampling distribution describes mathematically how a statistic would vary in repeated sampling. What is a good estimator? And good in what sense? 15 / 20

16 Evaluate an estimator Accuracy: We say that θ is an unbiased estimator of θ if and only if E( θ) = θ Note: If the estimator is not unbiased, then difference E( θ) θ is called the bias of the estimator θ. RESULT: When Y 1,..., Y n is a random sample, E(Y ) = µ E(s 2 ) = σ 2 Precision: Suppose that θ 1 and θ 2 are unbiased estimators of θ. We would like to pick the estimator with smaller variance, since it is more likely to produce an estimate close to the true value θ. 16 / 20

17 Evaluate an estimator: cont d SUMMARY: We desire point estimators θ which are unbiased (perfectly accurate) and have small variance (highly precise). TERMINOLOGY: The standard error of a point estimator θ is equal to se( θ) = var( θ). Note: smaller se( θ) θ more precise. 17 / 20

18 Evaluate an estimator: cont d Which estimator is better? Why? 18 / 20

19 Central Limit Theorem THE MOST IMPORTANT THEOREM IN STATISTICS! Central Limit Theorem: Suppose that Y 1, Y 2,..., Y n is a random sample from a population distribution with mean µ and variance σ 2. When the sample size n is large, we have ) Y AN (µ, σ2 n AN is read as Asymptotically Normal. It holds in a limiting sense, i.e. when n. 19 / 20

20 Simulation Study of CLT Cont d 20 / 20