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STATISTICS INTERVAL ESTIMATION Professor Ke-Sheng Cheng Department of Bioenvironmental Systems Engineering National Taiwan University.

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Presentation on theme: "STATISTICS INTERVAL ESTIMATION Professor Ke-Sheng Cheng Department of Bioenvironmental Systems Engineering National Taiwan University."— Presentation transcript:

1 STATISTICS INTERVAL ESTIMATION Professor Ke-Sheng Cheng Department of Bioenvironmental Systems Engineering National Taiwan University

2 Exponential distribution (negative exponential distribution) Mean rate of occurrence in a Poisson process. 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

3 Exponential distribution, =0.5 Sample size=10, 50 random samples 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

4 Exponential distribution, =0.5 Sample size=50, 50 random samples 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

5 Variation of sample means 6 random samples (sample size n= 50) of a normal density with unit variance and an unknown mean [N(, 1)]. 6 random samples (sample size n= 500) of a normal density with unit variance and the same unknown mean [N(, 1)]. Examine the variation of sample means. 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

6 n=50 n=500 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

7 Estimating the mean Point estimation – – Increasing the sample size reduces the standard deviation of our estimate. – If the sample size is given (we are given a random sample), how do we see (interpret) our sample estimate? How do we (or in what sense) judge whether our estimate is close to the population mean? Interval estimation 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

8 Distribution of sample means a=? n1n1 n2n2 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

9 Confidence Interval is called the confidence coefficient. 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

10 One-sided CI 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

11 Example 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

12 constitutes a random interval and is a confidence interval for. 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

13 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

14 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

15 Remarks 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

16 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

17 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

18 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

19 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

20 Let s recall the procedures of determining before drawing any random sample: 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

21 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

22 Methods of Finding Confidence Intervals - The Pivotal Quantity Method 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

23 Now, if for each possible sample value 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

24 Remarks 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

25 skipped 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

26 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

27 Definition of Location parameter 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

28 Example of location parameter 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

29 Definition of scale parameter 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

30 Example of scale parameter 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

31 Example 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

32 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

33 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

34 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

35 In the above example, the confidence coefficient is determined after the random sample is obtained. It is not pre-determined (out of our control). What if we want to find the confidence interval of Θ with a pre-determined confidence coefficient? 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

36 Review of sampling distributions 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

37 Normal distributions 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

38 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

39 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

40 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

41 Chi-square distribution 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

42 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

43 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

44 Standard normal and chi- square distributions 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

45 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

46 Student s t-distribution Students t distribution with k degrees of freedom 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

47 Back to discussion on confidence intervals 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

48 Confidence interval for the mean 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

49 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

50 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

51 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

52 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

53 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

54 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

55 Confidence interval for the variance Given a random sample from a normal distribution with mean and variance. We want to determine the confidence interval of. 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

56 (i) is unknown is a pivotal quantity and has a Chi-square distribution with d.o.f. n-1. 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

57 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

58 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

59 (ii) if is known is a pivotal quantity and has a Chi-square distribution with d.o.f. n. 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

60 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

61 Confidence Interval for Difference in Means 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

62 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

63 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

64 has a t-distribution with d.o.f. (m+n-2) 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

65 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

66 confidence interval of is 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

67 Some pivotal functions for samples of size n 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

68 Confidence interval for a population proportion, p Let X be a random variable with binomial density Binom(n, p). A random number of X, say x, is given, and we want to find a 95% confidence interval for p. As n approaches infinity, X can be approximated by a normal distribution with mean np and variance npq, i.e., 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

69 However, we cannot find since p is unknown. 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.

70 For large n, 12/6/ Laboratory for Remote Sensing Hydrology and Spatial Modeling, Dept of Bioenvironmental Systems Engineering, National Taiwan Univ.


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