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The Mean Square Error (MSE):. Now, Examples: 1) 2)

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Presentation on theme: "The Mean Square Error (MSE):. Now, Examples: 1) 2)"— Presentation transcript:

1 The Mean Square Error (MSE):

2 Now,

3 Examples: 1) 2)

4 Efficiency Assume there are a number (finite or infinite) of unbiased point estimators for a particular parameter  :

5 Note that the variance of that estimator for which the relative efficiency should be calculated is in the denominator.

6 Example: Assume a sample x 1, …, x n from a population with p.d.f. f(x;  ), i.e. the mean  is the unknown parameter.

7 It is seldom (if ever) possible to overview all available point estimators of a particular parameter (or their variances) But we could learn which is the lowest possible variance (at least for a majority of all cases) Cramér-Rao inequality (Information inequality) The Fisher information measure for the parameter  :

8 An attempt to motivate why this is a measure of information about  :

9 Now if

10 Proof:


12 Extensions: Calculations and attainment of the bound:

13 Example:

14 Sufficiency Assume a random sample x = (x 1, …, x n ) from a distribution with p.d.f. f (x;  ) A statistic T = T(x 1, …, x n ) is sufficient for the parameter  if the conditional distribution of X 1, …, X n given T does not depend on . Tricky concept, not always so easy to assimilate but specific cases can be complex in investigation

15 What does it mean in practice? If T is sufficient for  then no more information about  than what is contained in T can be obtained from the sample.  It is enough to work with T when deriving point estimates of  In practice, most of the standard cases are such that an intuitive or from “reasonable relations” an indirectly derived point estimator is also sufficient for  What is the point then? It can be used to find the minimum variance unbiased point estimator

16 Example:


18 Minimal sufficient statistic:

19 How can sufficient statistics be obtained? Factorization criterion

20 Example

21 Example 2.9 in the textbook: x = (x 1,…, x n ) a sample from N( ,  2 )

22 A statistic defines a partition of the sample space of (X 1, …, X n ) into classes satisfying T(x 1, …, x n ) = t for different values of t. If such a partition puts the sample x = (x 1, …, x n ) and y = (y 1, …, y n ) into the same class if and only if then T is minimal sufficient for 

23 Example:

24 Rao-Blackwell’s theorem:

25 The Exponential families of distributions A random variable X belongs to the (k-parameter) exponential family of probability distributions if the p.d.f. of X can be written

26 For a random sample x = (x 1, …, x n ) from a distribution belonging to the exponential family

27 Exponential family written on the canonical form:

28 Completeness Let x 1, …, x n be a random sample from a distribution with p.d.f. f (x;  ) and T = T (x 1, …, x n ) a statistic Then T is complete for  if whenever h T (T ) is a function of T such that E[h T (T )] = 0 for all values of  then Pr(h T (T )  0) = 1 Important lemmas from this definition: Lemma 2.6: If T is a complete sufficient statistic for  and h (T ) is a function of T such that E[h (T ) ] = , then h is unique (there is at most one such function) Lemma 2.7: If there exists a Minimum Variance Unbiased Estimator (MVUE) for  and h (T ) is and unbiased estimator for , where T is a complete minimal sufficient statistic for , then h (T ) is MVUE Lemma 2.8: If a sample is from a distribution belonging to the exponential family, then (  B 1 (x i ), …,  B k (x i ) ) is complete and minimal sufficient for  1, …,  k

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