Chapter 3 Common Families of Distributions. Definition 3.4.1: A family of pmfs or pdfs is called exponential family if it can be expressed as

Similar documents
Lecture Notes 6. Assume F belongs to a family of distributions, (e.g. F is Normal), indexed by some parameter θ.

Probability Theory and Simulation Methods. April 9th, Lecture 20: Special distributions

UQ, STAT2201, 2017, Lectures 3 and 4 Unit 3 Probability Distributions.

The Normal Distribution

Chapter 2. Random variables. 2.3 Expectation

continuous rv Note for a legitimate pdf, we have f (x) 0 and f (x)dx = 1. For a continuous rv, P(X = c) = c f (x)dx = 0, hence

Version A. Problem 1. Let X be the continuous random variable defined by the following pdf: 1 x/2 when 0 x 2, f(x) = 0 otherwise.

Normal Distribution. Definition A continuous rv X is said to have a normal distribution with. the pdf of X is

INDIAN INSTITUTE OF SCIENCE STOCHASTIC HYDROLOGY. Lecture -5 Course Instructor : Prof. P. P. MUJUMDAR Department of Civil Engg., IISc.

Tutorial 11: Limit Theorems. Baoxiang Wang & Yihan Zhang bxwang, April 10, 2017

Section 7.1: Continuous Random Variables

What was in the last lecture?

ECE 340 Probabilistic Methods in Engineering M/W 3-4:15. Lecture 10: Continuous RV Families. Prof. Vince Calhoun

STAT/MATH 395 PROBABILITY II

Point Estimation. Stat 4570/5570 Material from Devore s book (Ed 8), and Cengage

Continuous random variables

Definition 9.1 A point estimate is any function T (X 1,..., X n ) of a random sample. We often write an estimator of the parameter θ as ˆθ.

Random Variables Handout. Xavier Vilà

Two hours. To be supplied by the Examinations Office: Mathematical Formula Tables and Statistical Tables THE UNIVERSITY OF MANCHESTER

IEOR 165 Lecture 1 Probability Review

**BEGINNING OF EXAMINATION** A random sample of five observations from a population is:

STAT 111 Recitation 4

NORMAL APPROXIMATION. In the last chapter we discovered that, when sampling from almost any distribution, e r2 2 rdrdϕ = 2π e u du =2π.

ECON 214 Elements of Statistics for Economists 2016/2017

Continuous Distributions

Lecture Stat 302 Introduction to Probability - Slides 15

Central limit theorems

Section 7.5 The Normal Distribution. Section 7.6 Application of the Normal Distribution

Statistical Tables Compiled by Alan J. Terry

Basic notions of probability theory: continuous probability distributions. Piero Baraldi

Lecture 23. STAT 225 Introduction to Probability Models April 4, Whitney Huang Purdue University. Normal approximation to Binomial

MA 490. Senior Project

IEOR E4703: Monte-Carlo Simulation

Central Limit Theorem, Joint Distributions Spring 2018

Statistics for Business and Economics

4-2 Probability Distributions and Probability Density Functions. Figure 4-2 Probability determined from the area under f(x).

6. Continous Distributions

STATISTICS and PROBABILITY

Problems from 9th edition of Probability and Statistical Inference by Hogg, Tanis and Zimmerman:

Capital Allocation Principles

Random Variable: Definition

MATH 3200 Exam 3 Dr. Syring

Lecture 7: Computation of Greeks

5. In fact, any function of a random variable is also a random variable

. (i) What is the probability that X is at most 8.75? =.875

Statistics 6 th Edition

Exercise. Show the corrected sample variance is an unbiased estimator of population variance. S 2 = n i=1 (X i X ) 2 n 1. Exercise Estimation

Practice Exercises for Midterm Exam ST Statistical Theory - II The ACTUAL exam will consists of less number of problems.

6 Central Limit Theorem. (Chs 6.4, 6.5)

Tutorial 6. Sampling Distribution. ENGG2450A Tutors. 27 February The Chinese University of Hong Kong 1/6

Posterior Inference. , where should we start? Consider the following computational procedure: 1. draw samples. 2. convert. 3. compute properties

Exam M Fall 2005 PRELIMINARY ANSWER KEY

Class 16. Daniel B. Rowe, Ph.D. Department of Mathematics, Statistics, and Computer Science. Marquette University MATH 1700

Probability. An intro for calculus students P= Figure 1: A normal integral

Business Statistics 41000: Probability 3

Statistics 431 Spring 2007 P. Shaman. Preliminaries

Chapter 4 Continuous Random Variables and Probability Distributions

Normal Distribution. Notes. Normal Distribution. Standard Normal. Sums of Normal Random Variables. Normal. approximation of Binomial.

CS 237: Probability in Computing

Chapter 5. Continuous Random Variables and Probability Distributions. 5.1 Continuous Random Variables

ECSE B Assignment 5 Solutions Fall (a) Using whichever of the Markov or the Chebyshev inequalities is applicable, estimate

Probability Distributions II

Chapter 9: Sampling Distributions

The Normal Distribution

SYSM 6304 Risk and Decision Analysis Lecture 2: Fitting Distributions to Data

Chapter 4 Continuous Random Variables and Probability Distributions

ME3620. Theory of Engineering Experimentation. Spring Chapter III. Random Variables and Probability Distributions.

ECO220Y Continuous Probability Distributions: Normal Readings: Chapter 9, section 9.10

Engineering Statistics ECIV 2305

INSTITUTE AND FACULTY OF ACTUARIES. Curriculum 2019 SPECIMEN EXAMINATION

ASSIGNMENT - 1, MAY M.Sc. (PREVIOUS) FIRST YEAR DEGREE STATISTICS. Maximum : 20 MARKS Answer ALL questions.

Homework Assignments

Probability Theory. Mohamed I. Riffi. Islamic University of Gaza

Point Estimation. Some General Concepts of Point Estimation. Example. Estimator quality

Optimal reinsurance for variance related premium calculation principles

Chapter 7 - Lecture 1 General concepts and criteria

Lecture Note 8 of Bus 41202, Spring 2017: Stochastic Diffusion Equation & Option Pricing

Chapter 3 - Lecture 5 The Binomial Probability Distribution

2. The sum of all the probabilities in the sample space must add up to 1

Lecture 12. Some Useful Continuous Distributions. The most important continuous probability distribution in entire field of statistics.

MAS1403. Quantitative Methods for Business Management. Semester 1, Module leader: Dr. David Walshaw

IEOR 3106: Introduction to OR: Stochastic Models. Fall 2013, Professor Whitt. Class Lecture Notes: Tuesday, September 10.

Chapter 7 1. Random Variables

Black-Scholes Option Pricing

Chapter 4 Random Variables & Probability. Chapter 4.5, 6, 8 Probability Distributions for Continuous Random Variables

Chapter 7: Point Estimation and Sampling Distributions

BROWNIAN MOTION Antonella Basso, Martina Nardon

Point Estimators. STATISTICS Lecture no. 10. Department of Econometrics FEM UO Brno office 69a, tel

Lecture 10: Point Estimation

GPD-POT and GEV block maxima

Lecture 5: Fundamentals of Statistical Analysis and Distributions Derived from Normal Distributions

Math489/889 Stochastic Processes and Advanced Mathematical Finance Homework 5

Random Samples. Mathematics 47: Lecture 6. Dan Sloughter. Furman University. March 13, 2006

Conjugate Models. Patrick Lam

Two hours UNIVERSITY OF MANCHESTER. 23 May :00 16:00. Answer ALL SIX questions The total number of marks in the paper is 90.

EE641 Digital Image Processing II: Purdue University VISE - October 29,

Statistics for Business and Economics: Random Variables:Continuous

Ch4. Variance Reduction Techniques

Point Estimation. Copyright Cengage Learning. All rights reserved.

2011 Pearson Education, Inc

Transcription:

Lecture 0 on BST 63: Statistical Theory I Kui Zhang, 09/9/008 Review for the previous lecture Definition: Several continuous distributions, including uniform, gamma, normal, Beta, Cauchy, double exponential Examples: mean, variance, mgf, relationship Examples: Applications of these distributions Chapter 3 Common Families of Distributions 34 Exponential Families Definition 34: A family of pmfs or pdfs is called exponential family if it can be expressed as (34) f ( x θ) = h( x) c( θ)exp( k wi( θ) ti( x)), where hx ( ) 0 and t ( x),, tk ( x) are real-valued functions of the observation x they cannot depend on θ, and c( θ ) and w ( ),, ( ) θ w k θ are real-valued functions of the possibly vector-valued parameter θ they cannot depend on x i= Important Notes: To verify that a family of pdfs or pmfs is an exponential family, Identify the functions hx ( ), c( θ ), t( x), and w( x ) and check that they satisfy the conditions Show that the family has the form of (34) i i

Lecture 0 on BST 63: Statistical Theory I Kui Zhang, 09/9/008 Example 34: Several examples for exponential families - Binomial, Poisson, Exponential, normal Solution: n x n x n n p x n n p n () f ( x n, p) = p ( p) ( p) ( ) ( p) exp( xlog( )) x = = x p x, then hx ( ) = p x, c( p) = ( p) n, tx ( ) = x, and wp ( ) = log( p/( p)) Note: 0 < p <, and f ( x p ) is different for p = 0, 0< p <, and p = The above formula must matches all x Therefore, f ( x n, p ) is an exponential family only if 0 < p < λ λ xe λ () f ( x λ) = = e exp( λlog( x)), then hx ( ) = / x!, c( λ) = e λ, tx ( ) = log( x), and w( λ) = λ x! x! x (3) f ( x β ) = exp( ), x 0 β β >, then hx ( ) =, c( β ) = / β,() tx= x,and w( β ) = β ( x μ) x xμ μ (4) f ( x μσ, ) = exp( ) = exp( + ), then hx ( ) =, πσ σ πσ σ σ σ μ c( μσ, ) = exp( ) πσ σ, t ( x) = x /, w ( μ, σ ) = / σ, t ( x) = x, and w ( μ, σ ) = μ/ σ Theorem 34: If is a random variable with pdf or pmf of the form (34), then k wi ( ) E( θ t ( )) log( ( )) i i = c θ = θ θ j j k wi( θ) k wi( θ) i i = θ = i= i θ j θ j θ j Var( t ( )) log( c( )) E( t ( ))

Lecture 0 on BST 63: Statistical Theory I Kui Zhang, 09/9/008 Proof: Omitted Example 343 (Binomial mean and variance) Solution: d wp ( ) = d log( p ) =, dp dp p p( p) d p wp ( ) = + = dp p ( p) p ( p) d log( c( p)) = d nlog( p) = n, dp dp p, d dp n log( c( p)) = ( p) Therefore, we have n E( ) E np p( p) = p =, n p Var( ) = E( ) Var( ) = np( p) p( p) ( p) p ( p) Example (Normal mean and variance) Solution: 3

Lecture 0 on BST 63: Statistical Theory I Kui Zhang, 09/9/008 w (, ) (/ ) μσ σ = = 0, μ μ w (, ) ( / ) μσ μ σ = = / σ, μ μ w (, ) (/ ) μσ σ 3 = = / σ, σ σ w (, ) ( / ) μσ μ σ 3 = = μ / σ, σ σ log( c( μ, σ )) = ( 05log( π) log( σ) μ /( σ )) = μ/ σ, μ μ 3 log( c( μ, σ )) = ( 05log( π) log( σ) μ /( σ )) = / σ + μ / σ σ σ Therefore, we have μ E( ) = and σ σ μ μ E( ( ) ) =, then we have 3 3 3 σ σ σ σ E = μ and E = σ + μ Definition 345: The indicator function of a set A, most often denoted by I ( x ), is the function A 4

Lecture 0 on BST 63: Statistical Theory I Kui Zhang, 09/9/008 Alternatively, we can use I( x A) I A, x A ( x) = 0, x A Example: Let have a pdf given by Show that this is not an exponential family Solution: f x = I x x ( θ ) θ [ θ, ) ( )exp( ( / θ)) f x x x ( θ) = θ exp( ( / θ)),0 < θ < < Example 34: Several examples for exponential families - Binomial, Poisson, Exponential, normal Solution: () f x n p = I n n p n p x p p I x p I x p x x = x = p x p n then hx ( ) = I{0,,, n} ( x) x, c( p) = ( p) n, tx ( ) = x, and wp ( ) = log( p/( p)) Note: 0 < p <, and f ( x p ) is different for p = 0, 0< p <, and p = The above formula must matches all x Therefore, f ( x n, p ) is an exponential family only if 0 < p < x n x n x n (, ) {0,,, n} ( ) ( ) {0,,, n} ( ) ( ) ( ) {0,,, n} ( ) ( ) exp( log( )), 5

Lecture 0 on BST 63: Statistical Theory I Kui Zhang, 09/9/008 xe λ f ( x ) I ( x) I ( x) e exp( λlog( x)), then hx ( ) = I{0,, }( x)/ x!, c( λ) = e λ, tx ( ) = log( x), x! x! = λ λ λ () λ = {0,, } = {0,, } and w( λ) (3) x f ( x β ) = exp( ), x 0 β β >, then hx ( ) = I ( x) (0,, c( β ) = / β,() tx ) = x,and w( β ) = β ( x μ) x xμ μ (4) f ( x μσ, ) = exp( ) = exp( + ), then hx ( ) =, πσ σ πσ σ σ σ μ c( μσ, ) = exp( ) πσ σ, t ( x) = x /, w ( μ, σ ) = / σ, t ( x) = x, and w ( μ, σ ) = μ/ σ A Re-parameterization of Exponential Families (Canonical Form): f ( x η) = h( x) c( η*)exp( ηt ( x)), where hx ( ) and t ( x) are the same as in the original parameterization The set i k i= k H = { η = ( η,, η ): hx ( )exp( ηt( x)) dx < }, which is called the natural parameter space for the family i i k i = i i Example 346 (Re-parameterization of the Normal Distribution) Solution: f ( x η η η η, η ) = exp( )exp( x + x ), where η = μ/ σ and η = / σ η π η 6

Lecture 0 on BST 63: Statistical Theory I Kui Zhang, 09/9/008 Definition 347: A Curved exponential family is a family of densities of the form (34) for which the dimension of the vector θ is equal to d < k If d = k, the family is a full exponential family Example 348: Normal with mean μ and variance σ = μ Notes: Theorem 34 also applied to curved exponential families Exponential families have nice properties that are very useful in statistical inference Section 35: Location and Scale Families Three types of families of interest: location families scale families 3 location-scale families Notes: Each of these families is constructed from a single pdf (or pmf) known as the standard pdf (pmf) for the family All other pdfs (or pmfs) in the family are obtained by transforming the standard pdf (or pmf) in a prescribed way 7

Lecture 0 on BST 63: Statistical Theory I Kui Zhang, 09/9/008 Theorem 35: Let f ( x) be any pdf and let μ and σ > 0 be any given constants Then the function is a valid pdf Proof: x μ gx ( μσ, ) = f( ) 0 and σ σ x μ gx ( μσ, ) = f( ) σ σ x μ x μ gx ( μσ, ) dx= f( ) dx= f( ydy ) = ( y= ) σ σ σ Definition 35: Let f ( x ) be any pdf Then the family of pdfs f ( x μ), indexed by the parameter μ ( < μ < ), is called the location family with standard pdf f ( x) and μ is called the location parameter for the family Notes: The effect of location parameter shifts the density to the left or right but the shape remains unchanged If Z has a pdf f ( z ), then = Z + μ has density f ( x μ) x Example 353 (Exponential location family) Let f( x) = e, x 0, and f ( x) = 0, x< 0 To form a location family we replace x with x μ to obtain ( x μ) ( x μ) e, x μ 0 e, x μ f( x μ) = = 0, x μ < 0 0, x< μ 8

Lecture 0 on BST 63: Statistical Theory I Kui Zhang, 09/9/008 If we use the indicator function to represent this, we have f ( x μ) = e I ( x μ) = e I ( x) ( x μ) ( x μ) [0, ) [ μ, ) Definition 354: Let f ( x) be any pdf Then for any σ > 0, the family of pdfs / σ f ( x / σ ), indexed by the parameter σ, is called the scale family with standard pdf f ( x) and σ is called the scale parameter of the family Note: The effect of scale parameter σ is either to stretch or to contract the graph f ( x ) maintaining the same basic shape of the graph Example (Normal Distribution): x f( x σ) = exp( ), x, σ 0 πσ σ < < > Definition 355: Let f ( x ) be any pdf Then for any μ( < μ < ), and any σ > 0, the family of pdfs / σ f (( x μ)/ σ), indexed by the parameter ( μ, σ ), is called the location-scale family with standard pdf f ( x ) ; μ is called the location parameter and σ is called the scale parameter Examples (Normal and double exponential distributions) ( x μ) f( x μσ, ) = exp( ), < x<, < μ<, σ> 0 πσ σ x μ f( x μσ, ) = exp( ), < x<, < μ<, σ> 0 σ σ 9

Lecture 0 on BST 63: Statistical Theory I Kui Zhang, 09/9/008 Theorem 356: Let f ( x ) be any pdf Let μ be any real number, and let σ be any positive real number Then is a random variable with pdf / σ f (( x μ)/ σ) if and only if there exists a random variable Z with pdf f ( z ) and = σ Z + μ Proof; To prove the if part, define gz ( ) = σ z+ μ and let = g( Z) gz ( ) is the a monotone function, d g ( x) = ( x μ)/ σ and g ( x ) = Thus by Theorem 5, we have dx σ μ f( x) = fz( g ( x)) g ( x) = f( ) dx σ σ = and let Z = g( ) It is similar to prove only if part: define gx ( ) ( x μ)/ σ d x Theorem 357: Let Z be a random variable with pdf f ( z ) Suppose EZ and VarZ exist If is a random variable with pdf / σ f (( x μ)/ σ), then E = EZ + μ and Var = σ VarZ Proof: = σ Z + μ Section 36 Inequalities and Identities Theorem 36 (Chebychev s Inequality): Let be a random variable and let g( x ) be a nonnegative function Then, for any r > 0, we have Eg( ) Pg ( ( ) r) r 0

Lecture 0 on BST 63: Statistical Theory I Kui Zhang, 09/9/008 Proof: {: xg( x) r} {: xg( x) r} Eg( ) = gxf ( ) ( xdx ) gxf ( ) ( xdx ) r f ( xdx ) = rpg ( ( ) r) Example 36: Let gx ( ) ( x μ) / σ =, where E μ = and Var = σ And let r = t for convenience Then ( μ) ( μ) P( t ) E = σ t σ t Therefore, it follows that P( μ tσ) and P( μ < tσ) t t For instance, if t = 3, then P( μ < 3 σ ) / 9 = 08889 Hence, the probability that any random variable will be within 3 standard deviation of its mean is at least 8889% Example 344 (A normal probability inequality) If Z ~ n (0,), then t / e P( Z t) ( t > 0) π t Proof: t x e = = π π t π t x / x / PZ ( t) e dx e dx t t /

Lecture 0 on BST 63: Statistical Theory I Kui Zhang, 09/9/008 Note: Chebychev s Inequality is widely applicable but very conservative For example, if ~ n (0,), and t =, then according to the Chebychev s Inequality, we have P( Z t) / = 05 According to this example, we / e have P( Z t) = 0054 While P( Z t) = 00455 Actually, you can prove that π t / e t / t / t e t e t π t π π Lemma 365 (Stein s Lemma): Let Then Proof: ~ n( μ, σ ), and let g be a differentiable function satisfying E g'( ) < E g Eg [ ( )( μ)] = σ '( ) ( x μ) Eg [ ( )( μ)] = gx ( )( x μ)exp( ) dx πσ σ ( x μ) ( x μ) = [ σ gx ( )exp( ) σ g'( x)exp( ) dx] + πσ σ σ = σ Eg '( ) Example 366 (Higher-order normal moments) If ~ n( μ, σ ), then E = E( μ + μ) = E( μ) + μ = μ, E = E ( μ + μ) = E ( μ) + μe = σ + μ,

Lecture 0 on BST 63: Statistical Theory I Kui Zhang, 09/9/008 E = E ( μ + μ) = E ( μ) + μe = σ E + μe 3 = + + = + 3 μσ μ( σ μ ) 3 μσ μ 3