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Lecture 3 - Mathematical Statistics

Mathematical Statistics, Probability, Convergence of Distribution, Convergence in Probability, Prove, Parameter, Properties of Convergence in Probability, Expectation, Consistency, Unbiasedness, Family Distribution, Exponential, Poisson, Binomial, Bernoulli, Weak Law of Large Number, WLOG, magnify

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Ida Khairina Kamaruddin
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82 views4 pages

Lecture 3 - Mathematical Statistics

Mathematical Statistics, Probability, Convergence of Distribution, Convergence in Probability, Prove, Parameter, Properties of Convergence in Probability, Expectation, Consistency, Unbiasedness, Family Distribution, Exponential, Poisson, Binomial, Bernoulli, Weak Law of Large Number, WLOG, magnify

Uploaded by

Ida Khairina Kamaruddin
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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Mathematical Statistics A. Convergence in Probability WLLN: , ( ) a) b) [ ] Properties of Convergence in Probability: 1) 3) 4) 5) 6) Variance Example: , , , ( ) ( ) 2) Suppose * ( ) ( ) + ( ( ) ( .

) )

Lecture 3

, ,

, , -

- -

* ( )

( ) ( )

+ ( )
The summation of the sum is the sum of the summation.

GR: estimator sample variance, 1. Is consistent for Var(X)? ( ) ( ( P ( ) ( ) ( ) )

( ) ) ( )

( ) P , ( )-

consistent.

Mathematical Statistics 2. Is , unbiased? [ ( [ (( [ ( [ ( ,( ( ) ( ) ( ) ( )( , ( ) ( ) ) ] ) ) ) ) ( ) ( ) ( ) ) ( ( ( ,( ( ) )) ] ) ) ( ( ) )( )] ) ( , )]

Lecture 3

A corrected sample variance: Use P ( ) ( ).

B. Convergence in (of) Distribution (Definition) Let { + be a sequence of random variables (rvs) and let X be a rv. Let and ( ) be, respectively the cdfs of and X. For all at which at x is continuous, we say that the distribution of converges to the distribution of X as if ( ) We denote this convergence by

Mathematical Statistics Example: * (

Lecture 3

(If goes to 0, how fast? Must magnify)

estimator error Claim ( Proof: )

Random variable ( ) [ ( ) ] [ ] [

] ) )} }

( (

{ {

( ) ( )

{ ( ) : ( ) ( )

( )

Example: Poisson Limit Theorem (

) ( ) ( )

) ( ).

Claim:

Mathematical Statistics Proof: ( ) ( ( ( ) ( ) ( ( )) ( ). ) )

Lecture 3

( )

Example: Fix , divide each minute into n seconds and then perform one Bernoulli second. Let = # trials till first success ( ) Let = # minutes till first success

trial per

Claim: Proof: Let t > 0 (WLOG), consider ( ) ( ) ( ) ( ) ( ( [( ( ) ( ( )

) )
, -

) ]

{ ( )) : ( )

( )

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