Summary. Recap. Last Lecture. .1 If you know MLE of θ, can you also know MLE of τ(θ) for any function τ?

Similar documents
5. Best Unbiased Estimators

x satisfying all regularity conditions. Then

14.30 Introduction to Statistical Methods in Economics Spring 2009

STAT 135 Solutions to Homework 3: 30 points

Lecture 9: The law of large numbers and central limit theorem

ECON 5350 Class Notes Maximum Likelihood Estimation

Parametric Density Estimation: Maximum Likelihood Estimation

Topic 14: Maximum Likelihood Estimation

5 Statistical Inference

Asymptotics: Consistency and Delta Method

Lecture 5 Point Es/mator and Sampling Distribu/on

Solutions to Problem Sheet 1

Exam 1 Spring 2015 Statistics for Applications 3/5/2015

Math 312, Intro. to Real Analysis: Homework #4 Solutions

Combining imperfect data, and an introduction to data assimilation Ross Bannister, NCEO, September 2010

4.5 Generalized likelihood ratio test

Maximum Empirical Likelihood Estimation (MELE)

Topic-7. Large Sample Estimation

Unbiased estimators Estimators

Rafa l Kulik and Marc Raimondo. University of Ottawa and University of Sydney. Supplementary material

Introduction to Probability and Statistics Chapter 7

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

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

EXERCISE - BINOMIAL THEOREM

Sequences and Series

Lecture 4: Parameter Estimation and Confidence Intervals. GENOME 560 Doug Fowler, GS

FINM6900 Finance Theory How Is Asymmetric Information Reflected in Asset Prices?

1. Suppose X is a variable that follows the normal distribution with known standard deviation σ = 0.3 but unknown mean µ.

18.S096 Problem Set 5 Fall 2013 Volatility Modeling Due Date: 10/29/2013

AY Term 2 Mock Examination

Bayes Estimator for Coefficient of Variation and Inverse Coefficient of Variation for the Normal Distribution

The Limit of a Sequence (Brief Summary) 1

1 Random Variables and Key Statistics

A Bayesian perspective on estimating mean, variance, and standard-deviation from data

Exam 2. Instructor: Cynthia Rudin TA: Dimitrios Bisias. October 25, 2011

SELECTING THE NUMBER OF CHANGE-POINTS IN SEGMENTED LINE REGRESSION

0.1 Valuation Formula:

Monetary Economics: Problem Set #5 Solutions

Estimating Proportions with Confidence

Chapter 8. Confidence Interval Estimation. Copyright 2015, 2012, 2009 Pearson Education, Inc. Chapter 8, Slide 1

INTERVAL GAMES. and player 2 selects 1, then player 2 would give player 1 a payoff of, 1) = 0.

Inferential Statistics and Probability a Holistic Approach. Inference Process. Inference Process. Chapter 8 Slides. Maurice Geraghty,

1 Estimating sensitivities

Chapter 10 - Lecture 2 The independent two sample t-test and. confidence interval

Outline. Populations. Defs: A (finite) population is a (finite) set P of elements e. A variable is a function v : P IR. Population and Characteristics

Simulation Efficiency and an Introduction to Variance Reduction Methods

The material in this chapter is motivated by Experiment 9.

Sampling Distributions and Estimation

r i = a i + b i f b i = Cov[r i, f] The only parameters to be estimated for this model are a i 's, b i 's, σe 2 i

Problem Set 1a - Oligopoly

Statistics for Economics & Business

Chpt 5. Discrete Probability Distributions. 5-3 Mean, Variance, Standard Deviation, and Expectation

EVEN NUMBERED EXERCISES IN CHAPTER 4

Introduction to Econometrics (3 rd Updated Edition) Solutions to Odd- Numbered End- of- Chapter Exercises: Chapter 2

Today: Finish Chapter 9 (Sections 9.6 to 9.8 and 9.9 Lesson 3)

= α e ; x 0. Such a random variable is said to have an exponential distribution, with parameter α. [Here, view X as time-to-failure.

Hopscotch and Explicit difference method for solving Black-Scholes PDE

. (The calculated sample mean is symbolized by x.)

Kernel Density Estimation. Let X be a random variable with continuous distribution F (x) and density f(x) = d

. The firm makes different types of furniture. Let x ( x1,..., x n. If the firm produces nothing it rents out the entire space and so has a profit of

SUPPLEMENTAL MATERIAL

CHAPTER 8: CONFIDENCE INTERVAL ESTIMATES for Means and Proportions

Notes on Expected Revenue from Auctions

Basic formula for confidence intervals. Formulas for estimating population variance Normal Uniform Proportion

point estimator a random variable (like P or X) whose values are used to estimate a population parameter

Solution to Tutorial 6

ST 305: Exam 2 Fall 2014

Sampling Distributions and Estimation

CHAPTER 8 Estimating with Confidence

Lecture 5: Sampling Distribution

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.

Online appendices from Counterparty Risk and Credit Value Adjustment a continuing challenge for global financial markets by Jon Gregory

Sampling Distributions & Estimators

An Empirical Study of the Behaviour of the Sample Kurtosis in Samples from Symmetric Stable Distributions

Monopoly vs. Competition in Light of Extraction Norms. Abstract

1 Basic Growth Models

ii. Interval estimation:

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

Chapter 8: Sampling distributions of estimators Sections

Chapter 4: Asymptotic Properties of MLE (Part 3)

Standard Deviations for Normal Sampling Distributions are: For proportions For means _

Confidence Intervals. CI for a population mean (σ is known and n > 30 or the variable is normally distributed in the.

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.

Chapter 3 - Lecture 3 Expected Values of Discrete Random Va

Estimation of Parameters of Three Parameter Esscher Transformed Laplace Distribution

Control Charts for Mean under Shrinkage Technique

FOUNDATION ACTED COURSE (FAC)

Policy Improvement for Repeated Zero-Sum Games with Asymmetric Information

B = A x z

Binomial Model. Stock Price Dynamics. The Key Idea Riskless Hedge

SCHOOL OF ACCOUNTING AND BUSINESS BSc. (APPLIED ACCOUNTING) GENERAL / SPECIAL DEGREE PROGRAMME

ASYMPTOTIC MEAN SQUARE ERRORS OF VARIANCE ESTIMATORS FOR U-STATISTICS AND THEIR EDGEWORTH EXPANSIONS

11.7 (TAYLOR SERIES) NAME: SOLUTIONS 31 July 2018

Chapter 3 - Lecture 4 Moments and Moment Generating Funct

Math 124: Lecture for Week 10 of 17

CHAPTER 8: CONFIDENCE INTERVAL ESTIMATES for Means and Proportions

CAUCHY'S FORMULA AND EIGENVAULES (PRINCIPAL STRESSES) IN 3-D

The Valuation of the Catastrophe Equity Puts with Jump Risks

1 The Power of Compounding

A New Constructive Proof of Graham's Theorem and More New Classes of Functionally Complete Functions

Transcription:

Last Lecture Biostatistics 60 - Statistical Iferece Lecture Cramer-Rao Theorem Hyu Mi Kag February 9th, 03 If you kow MLE of, ca you also kow MLE of τ() for ay fuctio τ? What are plausible ways to compare betwee differet poit estimators? 3 What is the best ubiased estimator or uiformly ubiased miimium variace estimator (UMVUE)? 4 What is the Cramer-Rao boud, ad how ca it be useful to fid UMVUE? Hyu Mi Kag Biostatistics 60 - Lecture February 9th, 03 / 4 Hyu Mi Kag Biostatistics 60 - Lecture February 9th, 03 / 4 : Cramer-Rao iequality : Cramer-Rao boud i iid case Theorem 739 : Cramer-Rao Theorem Let X,, X be a sample with joit pdf/pmf of f X (x ) Suppose W(X) is a estimator satisfyig EW(X) ] τ(), Ω VarW(X) ] < For h(x) ad h(x) W(x), if the differetiatio ad itegratios are iterchageable, ie d d Eh(x) ] d h(x)f X (x )dx h(x) d x X x X f X(x )dx Corollary 730 If X,, X are iid samples from pdf/pmf f X (x ), ad the assumptios i the above Cramer-Rao theorem hold, the the lower-boud of VarW(X) ] becomes VarW(X) ] τ ()] E { log f X(X )} ] The, a lower boud of VarW(X) ] is τ ()] VarW(X) ] E { log f X(X )} ] Hyu Mi Kag Biostatistics 60 - Lecture February 9th, 03 3 / 4 Hyu Mi Kag Biostatistics 60 - Lecture February 9th, 03 4 / 4

: Score Fuctio : Fisher Iformatio Number Defiitio: Score or Score Fuctio for X X,, X iid f X (x ) S(X ) log f X(X ) E S(X )] 0 S (X ) log f X(X ) Defiitio: Fisher Iformatio Number { } ] I() E log f X(X ) E S (X ) ] { } ] I () E log f X(X ) { } ] E log f X(X ) I() The bigger the iformatio umber, the more iformatio we have about, the smaller boud o the variace of ubiased estimates Hyu Mi Kag Biostatistics 60 - Lecture February 9th, 03 5 / 4 Hyu Mi Kag Biostatistics 60 - Lecture February 9th, 03 6 / 4 : Simplified Fisher Iformatio - Normal Distributio Lemma 73 If f X (x ) satisfies the two iterchageability coditios d f X (x )dx d x X x X d d f X(x )dx x X x X f X(x )dx f X(x )dx which are true for expoetial family, the { } ] ] I() E log f X(X ) log f X(X ) X,, X iid N (µ, σ ), where σ is kow I(µ) µ µ ] µ log f X(X µ) { ( µ log exp πσ { log(πσ ) { }] (X µ) σ σ )}] (X µ) σ }] (X µ) σ The Cramer-Rao boud for µ is I(µ)] σ Var(X) Therefore X attais the Cramer-Rao boud ad thus the best ubiased estimator for µ Hyu Mi Kag Biostatistics 60 - Lecture February 9th, 03 7 / 4 Hyu Mi Kag Biostatistics 60 - Lecture February 9th, 03 8 / 4

Example of Cramer-Rao lower boud attaimet Solutio (cot d) Problem iid X,, X Beroulli(p) Is X the best ubiased estimator of p? Does it attai the Cramer-Rao lower boud? Solutio E(X) p Var(X) p( p) Var(X) { } ] I(p) E log f X(X ) p ] log f X(X ) p Hyu Mi Kag Biostatistics 60 - Lecture February 9th, 03 9 / 4 f X (x ) p x ( p) x log f X (x ) x log p + ( x) log( p) p log f X(x p) x p x p p log f X(x p) x p x ( p) I(p) X p X ] ( p) p p p + p ( p) p + p p( p) Therefore, the Cramer-Rao boud is I(p) p( p) VarX, ad X attais the Cramer-Rao lower boud, ad it is the UMVUE Hyu Mi Kag Biostatistics 60 - Lecture February 9th, 03 0 / 4 Regularity coditio for Cramer-Rao Theorem d h(x)f X (x )dx h(x) d x X x X f X(x )dx This regularity coditio holds for expoetial family How about o-expoetial family, such as iid X,, X Uiform(0, )? Usig Leibitz s Rule Leibitz s Rule d b() f(x )dx f(b() )b () f(a() )a () + d a() Applyig to Uiform Distributio d h(x) d 0 f X (x ) / ) dx h() ( 0 d d h(0)f X(0 ) d0 d + ( ) h(x) dx 0 b() a() f(x )dx ( ) h(x) dx The iterchageability coditio is ot satisfied Hyu Mi Kag Biostatistics 60 - Lecture February 9th, 03 / 4 Hyu Mi Kag Biostatistics 60 - Lecture February 9th, 03 / 4

Solvig the Uiform Distributio Example Whe is the Cramer-Rao Lower Boud Attaiable? If X,, X iid Uiform(0, ), the ubiased estimator of is T(X) + X () ] + E X () ] + Var X () ( + ) < The Cramer-Rao lower boud (if iterchageability coditio was met) is I() It is possible that the value of Cramer-Rao boud may be strictly smaller tha the variace of ay ubiased estimator Corollary 735 : Attaimet of Cramer-Rao Boud Let X,, X be iid with pdf/pmf f X (x ), where f X (x ) satisfies the assumptios of the Cramer-Rao Theorem Let L( x) i f X(x i ) deote the likelihood fuctio If W(X) is ubiased for τ(), the W(X) attais the Cramer-Rao lower boud if ad oly if log L( x) S (x ) a()w(x) τ()] for some fuctio a() Hyu Mi Kag Biostatistics 60 - Lecture February 9th, 03 3 / 4 Hyu Mi Kag Biostatistics 60 - Lecture February 9th, 03 4 / 4 Proof of Corollary 735 Proof of Corollary 735 (cot d) We used Cauchy-Schwarz iequality to prove that Cov{W(X), ] X(X )}] log f VarW(X)]Var log f X(X ) I Cauchy-Schwarz iequality, the equality satisfies if ad oly if there is a liear relatioship betwee the two variables, that is log f X(x ) log L( x) a()w(x) + b() ] E log f X(X ) E S (X )] 0 E a()w(x) + b()] 0 a()e W(X)] + b() 0 a()τ() + b() 0 b() a()τ() log L( x) a()w(x) a()τ() a() W(x) τ()] Hyu Mi Kag Biostatistics 60 - Lecture February 9th, 03 5 / 4 Hyu Mi Kag Biostatistics 60 - Lecture February 9th, 03 6 / 4

Revisitig the Beroulli Example Method Usig Corollary 735 Problem iid X,, X Beroulli(p) Is X the best ubiased estimator of p? Does it attai the Cramer-Rao lower boud? L(p x) p x i ( p) x i i log L(p x) log p x i ( p) x i i logp x i ( p) x i ] i x i log p + ( x i ) log( p)] i log p x i + log( p)( x i ) i i Hyu Mi Kag Biostatistics 60 - Lecture February 9th, 03 7 / 4 Hyu Mi Kag Biostatistics 60 - Lecture February 9th, 03 8 / 4 Method Usig Corollary 735 (cot d) log L(p x) p i x i i x i p p x ( x) p p ( p)x p( x) p( p) (x p) p( p) a(p)w(x) τ(p)] where a(p) p( p), W(x) x, τ(p) p Therefore, X is the best ubiased estimator for p ad attais the Cramer-Rao lower boud Normal distributio example Problem iid X,, X N (µ, σ ) Cosider estimatig σ, assumig µ is kow Is Cramer-Rao boud attaiable? Solutio ] I(σ ) (σ ) log f X(X µ, σ) p ] f(x µ, σ ) πσ exp (x µ) σ log f(x µ, σ ) log(πσ ) (σ ) log f(x µ, σ ) (x µ) + σ (σ ) (x µ) σ Hyu Mi Kag Biostatistics 60 - Lecture February 9th, 03 9 / 4 Hyu Mi Kag Biostatistics 60 - Lecture February 9th, 03 0 / 4

Solutio (cot d) Is Cramer-Rao lower-boud for σ attaiable? (σ ) log f(x µ, σ ) (x µ) (σ ) (σ ) 3 ] I(σ (x µ) ) σ4 σ 6 Cramer-Rao lower boud is ˆσ i (x i x), gives σ 4 + σ 6 E(x µ) ] σ 4 + σ 6 σ σ 4 I(σ ) σ4 Var( ˆσ ) The ubiased estimator of σ4 > σ4 So, ˆσ does ot attai the Cramer-Rao lower-boud Hyu Mi Kag Biostatistics 60 - Lecture February 9th, 03 / 4 L(σ x) i log L(σ x) log(πσ ) log L(σ x) σ exp (x i µ) ] πσ σ π πσ + σ + σ 4 i (x i µ) i (x i µ) (σ ) σ (x i µ) σ 4 i ( i (x i µ) ) σ a(σ )(W(x) σ ) Hyu Mi Kag Biostatistics 60 - Lecture February 9th, 03 / 4 Is Cramer-Rao lower-boud for σ attaiable? (cot d) Therefore, If µ is kow, the best ubiased estimator for σ is i (x i µ) /, ad it attais the Cramer-Rao lower boud, ie i Var (X i µ) ] σ4 If µ is ot kow, the Cramer-Rao lower-boud caot be attaied At this poit, we do ot kow if ˆσ i (x i x) is the best ubiased estimator for σ or ot Today : Cramero-Rao Theorem of Cramer-Rao Theorem ad Corollary Examples with Simple Distributios Next Lecture Rao-Blackwell Theorem Hyu Mi Kag Biostatistics 60 - Lecture February 9th, 03 3 / 4 Hyu Mi Kag Biostatistics 60 - Lecture February 9th, 03 4 / 4