Module 4: Point Estimation Statistics (OA3102)

Transcription

1 Module 4: Point Estimation Statistics (OA3102) Professor Ron Fricker Naval Postgraduate School Monterey, California Reading assignment: WM&S chapter Revision:

2 Goals for this Module Define and distinguish between point estimates vs. point estimators Discuss characteristics of good point estimates Unbiasedness and minimum variance Mean square error Consistency, efficiency, robustness Quantify and calculate the precision of an estimator via the standard error Discuss the Bootstrap as a way to empirically estimate standard errors Revision:

3 Welcome to Statistical Inference! Problem: We have a simple random sample of data We want to use it to estimate a population quantity (usually a parameter of a distribution) In point estimation, the estimate is a number Issue: Often lots of possible estimates x x E.g., estimate E(X) with,, or??? This module: What s a good point estimate? Module 5: Interval estimators Module 6: Methods for finding good estimators Revision:

4 Point Estimation A point estimate of a parameter q is a single number that is a sensible value for q I.e., it s a numerical estimate of q We ll use q to represent a generic parameter it could be m, s, p, etc. The point estimate is a statistic calculated from a sample of data The statistic is called a point estimator Using hat notation, we will denote it as qˆ For example, we might use x to estimate m, so in this case ˆ m x Revision:

5 Definition: Estimator An estimator is a rule, often expressed as a formula, that tells how to calculate the value of an estimate based on the measurements contained in a sample Revision:

6 An Example You re testing a new missile and want to estimate the probability of kill (against a particular target under specific conditions) You do a test with n=25 shots The parameter to be estimated is p k, the fraction of kills out of the 25 shots Let X be the number of kills In your test you observed x=15 A reasonable estimator and estimate is estimator: pˆ k X n x 15 estimate: pˆ k 0.6 n 25 Revision:

7 A More Difficult Example On another test, you re estimating the mean time to failure (MTTF) of a piece of electronic equipment Measurements for n=20 tests (in units of 1,000 hrs): Turns out a normal distribution fits the data quite well So, what we want to do is to estimate m, the MTTF How best to do this? Revision:

8 Example, cont d Here are some possible estimators for m and their values for this data set: 20 1 (1) ˆ m X, so x xi i (2) ˆ m X, so x min( Xi) max( Xi) (3) ˆ m Xe, so xe (4) ˆ m X tr(10), so xtr (10) x( i) i3 Which estimator should you use? I.e., which is likely to give estimates closer to the true (but unknown) population value? Revision:

9 Another Example In a wargame computer simulation, you want to estimate a scenario s run-time variability (s 2 ) The run times (in seconds) for eight runs are: Two possible estimates: 1 n 1 n (1) ˆ s S X X, so s n i1 X 2 i X 2 i n 2 (2) ˆ s, so estimate i1 Why prefer (1) over (2)? Revision:

10 Bias Definition: Let qˆ ˆ q E ˆ q q, ˆ q be a point estimator for a q is an unbiased estimator if E ˆ q If is said to be biased q Definition: The bias of a point estimator given by B ˆ q E ˆ q q qˆ is E.g.: Revision: * Figures from Probability and Statistics for Engineering and the Sciences, 7 th ed., Duxbury Press, 2008.

11 Proving Unbiasedness Proposition: Let X be a binomial r.v. with parameters n and p. The sample proportion ˆp X n is an unbiased estimator of p. Proof: Revision:

12 Remember: Rules for Linear Combinations of Random Variables For random variables X 1, X 2,, X n Whether or not the X i s are independent E a X a X a X n n a E X a E X a E X If the X 1, X 2,, X n are independent Var a X a X a X n n a Var X a Var X a Var X n n n n Revision:

13 Example 8.1 Let Y 1, Y 2,, Y n be a random sample with E(Y i )=m and Var(Y i )=s 2. Show that n 2 1 S ' Y Y is a biased estimator for s 2, while S 2 is an unbiased estimator of s 2. Solution: 2 i n i 1 Revision:

14 Example 8.1 (continued) Revision:

15 Example 8.1 (continued) Revision:

16 Another Biased Estimator Let X be the reaction time to a stimulus with X~U[0,q], where we want to estimate q based on a random sample X 1, X 2,, X n Since q is the largest possible reaction time, consider the estimator However, unbiasedness implies that we can observe values bigger and smaller than q Why? Thus, qˆ must be a biased estimator 1 ˆ 1 max X1, X 2,, X n q Revision:

17 Fixing the Biased Estimator For the same problem consider the estimator ˆ max 2 X,,, 1 X 2 X n q n 1 n Show this estimator is unbiased Revision:

18 Revision:

19 One Criterion for Choosing Among Estimators Principle of minimum variance unbiased estimation: Among all estimators of q that are unbiased, choose the one that has the minimum variance The resulting estimator is called the minimum variance unbiased estimator (MVUE) of q qˆ Estimator ˆ q is preferred to ˆ q 1 2 Revision: * Figure from Probability and Statistics for Engineering and the Sciences, 7 th ed., Duxbury Press, 2008.

20 Example of an MVUE Let X 1, X 2,, X n be a random sample from a normal distribution with parameters m and s. Then the estimator ˆ is the MVUE for m m X Proof beyond the scope of the class Note this only applies to the normal distribution When estimating the population mean E(X)=m for other distributions, X may not be the appropriate estimator E.g., for Cauchy distribution E(X)=! Revision:

21 How Variable is My Point Estimate? The Standard Error The precision of a point estimate is given by its standard error The standard error of an estimator is its standard deviation s ˆ q Var ˆ q If the standard error itself involves unknown parameters whose values are estimated, substitution of these estimates into s qˆ yields the estimated standard error The estimated standard error is denoted by s or Revision: qˆ ˆqˆ s ˆ q

22 Deriving Some Standard Errors (1) Proposition: If Y 1, Y 2,, Y n are distributed iid with variance s 2 then, for a sample of size n, Var Y s n. Thus. Proof: 2 s Y s n Revision:

23 Deriving Some Standard Errors (2) Proposition: If Y i ~Bin(n,p), i=1,,n, then, where q=1-p and. s pq n ˆp Y n ˆp Proof: Revision:

24 If populations are independent Expected Values and Standard Errors of Some Common Point Estimators Target Parameter q Sample Size(s) Point Estimator ˆ E qˆ m n Y m Y p n pˆ p n m 1 -m 2 n 1 and n 2 Y Y m 1 -m 2 p 1 -p 2 n 1 and n 2 pˆ pˆ p 1 -p 2 q Standard Error s n p q n s ˆ q s n pq n s n p q n Revision:

25 However, Unbiased Estimators Aren t Always to be Preferred Sometimes an estimator with a small bias can be preferred to an unbiased estimator Example: More detailed discussion beyond scope of course just know unbiasedness isn t necessarily required for a good estimator Revision:

26 Mean Square Error Definition: The mean square error (MSE) of a point estimator qˆ is MSE MSE of an estimator qˆ variance and its bias ˆ q E ˆ q q 2 is a function of both its I.e., it can be shown (extra credit problem) that 2 MSE ˆ q E ˆ q q Var ˆ q B ˆ q 2 So, for unbiased estimators MSE ˆ q Var ˆ q Revision:

27 Error of Estimation Definition: The error of estimation e is the distance between an estimator and its target parameter: e ˆ q q Since qˆ is a random variable, so it the error of estimation, e But we can bound the error: Pr ˆ q q b Pr b ˆ q q b Pr q b ˆ q q b Revision:

28 Bounding the Error of Estimation Tchebysheff s Theorem. Let Y be a random variable with finite mean m and variance s 2. Then for any k > 0, Pr Y m ks 11 k 2 Note that this holds for any distribution It is a (generally conservative) bound E.g., for any distribution we re guaranteed that the probability Y is within 2 standard deviations of the mean is at least 0.75 So, for unbiased estimators, a good bound to use on the error of estimation is b 2s Revision: ˆ q

29 Example 8.2 In a sample of n=1,000 randomly selected voters, y=560 are in favor of candidate Jones. Estimate p, the fraction of voters in the population favoring Jones, and put a 2-s.e. bound on the error of estimation. Solution: Revision:

30 Example 8.2 (continued) Revision:

31 Example 8.3 Car tire durability was measured on samples of two types of tires, n 1 =n 2 =100. The number of miles until wear-out were recorded with the following results: s y 26, 400 miles y 25,100 miles s2 1, 440, 000 miles 1,960, 000 miles Estimate the difference in mean miles to wear-out and put a 2-s.e. bound on the error of estimation Revision:

32 Example 8.3 Solution: Revision:

33 Example 8.3 (continued) Revision:

34 Other Properties of Good Estimators An estimator is efficient if it has a small standard deviation compared to other unbiased estimators An estimator is robust if it is not sensitive to outliers, distributional assumptions, etc. That is, robust estimators work reasonably well under a wide variety of conditions An estimator qˆn is consistent if ˆ q q e 0 as n P n For more detail, see Chapter Revision:

35 A Useful Aside: Using the Bootstrap to Empirically Estimate Standard Errors x1 x2 Population ~F The Hard Way to Empirically Estimate Standard Errors xr Draw multiple (R) samples from the population, where x i ={x 1i,x 2i,,x ni } ˆ q x ˆ q x ˆ 1 2 i1 q x R R 1 s.e.[ q( X)] ˆ q( ) ˆ i q( ) R 1 x x Calculate multiple parameter estimates Estimate s.e. of the parameter using the std. dev. of the estimates Revision:

36 The Bootstrap The hard way is either not possible or is wasteful in practice Bootstrap is: Useful when you don t know or, worse, simply cannot analytically derive sampling distribution Provides a computer-intensive method to empirically estimate sampling distribution Only feasible recently with the widespread availability of significant computing power Revision:

37 Plug-in Principle We ve been doing this throughout the class If you need a parameter for a calculation, simply plug in the equivalent statistic For example, we defined 2 Var( X ) E X E( X ) and then we sometimes did the calculation using X for EX ( ) Relevant for the bootstrap as we will plug in the empirical distribution in place of the population distribution Revision:

38 Empirically Estimating Standard Errors Using the Bootstrap x x 1, x2,..., x n ˆ ~F s * x 1 * x 2 Revision: * x B ˆ * q x1 ˆ * q x2 ˆ * q x B 1 ˆ( ) B * * ˆ q i q q B 1 x i1 2 where q 1 ˆ Draw multiple (B) resamples from the data, where B * * q xi B i1 x Calculate multiple bootstrap estimates Estimate s.e. from bootstrap estimates x, x,... x * * * * i 1i 2i ni

39 Some Key Ideas Bootstrap samples are drawn with replacement from the empirical distribution So, observations can actually occur in the bootstrap sample more frequently than they occurred in the actual sample Empirical distribution substitutes for the actual population distribution Can draw lots of bootstrap samples from the empirical distribution to calculate the statistic of interest Make B as big as can run in a reasonable timeframe Bootstrap resamples are of same size as orignal sample (n) Because this is all empirical, don t need to analytically solve for the sampling distribution of the statistic of interest Revision:

40 What We Covered in this Module Defined and distinguished between point estimates vs. point estimators Discussed characteristics of good point estimates Unbiasedness and minimum variance Mean square error Consistency, efficiency, robustness Quantified and calculated the precision of an estimator via the standard error Discussed the Bootstrap as a way to empirically estimate standard errors Revision:

41 Homework WM&S chapter Required exercises: 2, 8, 21, 23, 27 Extra credit: 1, 6 Useful hints: Problem 8.2: Don t just give the obvious answer, but show why it s true mathematically Problem 8.8: Don t do the calculations for the estimator Extra credit problem 8.6: The a term is a constant with qˆ 4 0a 1 Revision: