Lectures Series 8a - Point Estimators
Lectures Series 8a - Point Estimators
etc. Method
Outline
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Introduction - Statistical Inference Appropriate Statistics for Estimation of Population Mean, Variance and Proportion
etc. Method
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Introduction - Statistical Inference Appropriate Statistics for Estimation of Population Mean, Variance and Proportion
etc. Method
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Introduction - Statistical Inference Appropriate Statistics for Estimation of Population Mean, Variance and Proportion
etc. Method
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Introduction - Statistical Inference Appropriate Statistics for Estimation of Population Mean, Variance and Proportion
etc. Method
Example
1
Suppose X1 , ..., Xn is a random sample of heights of
people to be drawn. Let X be a random variable
representing the height of a randomly selected
individual following a normal distribution with unknown
mean µ and unknown variance σ2 , i.e. − µ
1 —1 ( x )
fX (x ; µ, σ 2 ) = √2π e 2
2 σ .
σ
Then the form of the density is obviously known to be
a normal distribution. The population parameters for
which statistical inference has to be made are θ1 = µ
and θ2 = σ2 so that
θ = (θ1 , θ2 )T .
If the heights of n=10 randomly selected people gave the
following realisations (in cm):
one
160,can calculate
157,188, 201,estimates
188, 173,of170, the 187,
parameters on the
165, 169 8/
Introduction - Statistical Inference Appropriate Statistics for Estimation of Population Mean, Variance and Proportion
etc. Method
Example
2
Let X1, X2, ..., Xn be a random sample representing the
number of telephone calls received by a secretary per
an eight hour working day. If X is believed to be
modeled by a Poisson distribution with unknown
λ, =
−λ x
fparameter
X (x ) = P(X i.e.x ) = xe λ , then, obviously, the form
distribution
of the of X is known.
! However, inference has to
be drawn about λ which is unknown.
If the numbers of telephone calls in a sample of 12 1
hour intervals gave the following realisations :
16, 15,18, 20, 8, 3, 25, 6, 8, 45, 7, 6
then one can calculate an estimate of the parameter λ on
the basis of the sample data.
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Introduction - Statistical Inference Appropriate Statistics for Estimation of Population Mean, Variance and Proportion
etc. Method
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Introduction - Statistical Inference Appropriate Statistics for Estimation of Population Mean, Variance and Proportion
etc. Method
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Introduction - Statistical Inference Appropriate Statistics for Estimation of Population Mean, Variance and Proportion
etc. Method
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Introduction - Statistical Inference Appropriate Statistics for Estimation of Population Mean, Variance and Proportion
etc. Method
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Introduction - Statistical Inference Appropriate Statistics for Estimation of Population Mean, Variance and Proportion
etc. Method
Example 4
Consider a random sample X1 , · · · , Xn obtained
from an exponential distribution with unknown
X i ∼ Expo(θ).
parameter θ, i.e.Then the first moment (i.e. k = ′11), µθ =
1
the second moment (k =
and
2),
1 1
µ 2′2 = var (X ) + [E (X )] =
2
+ θ2 = θ2
θ2
Example 5
Consider a random variable X ∼ N(θ1, θ2). Then the first
moment (i.e. k = 1), µ1′ = θ1 and the second moment (k
= 2),
µ 2′ = var(X) + [E (X )]2 = θ2 + θ1 2 , etc.
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Introduction - Statistical Inference Appropriate Statistics for Estimation of Population Mean, Variance and Proportion
etc. Method
Definition 2
Sample Moments Let X1 , ..., Xn be a sample of size n
and n
1Σ
M j′ = Xij . (6
n
i )
=1
Then Mj′ is called the j-th sample moment of the random
sample (about the origin).
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Introduction - Statistical Inference Appropriate Statistics for Estimation of Population Mean, Variance and Proportion
etc. Method
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Introduction - Statistical Inference Appropriate Statistics for Estimation of Population Mean, Variance and Proportion
etc. Method
Example 6
Let X1 , ..., Xn be a random sample obtained from a
uniform distribution over the interval [θ − 2, θ +
3]. Derive a
method-of-moments estimator of the parameter θ. Hence,
estimate the parameter θ using the method of moments
estimator for the data:
25.66, 27.33, 25.89, 26.35, 26.82, 23.65, 25.05, 25.98,
24.27 that E [X ] = θ2
shown
Now, . using
Solution:
+ 1 thepopulation
The first samplehasmoment about θ. It can be
one parameter,
the origin
easily as the
estimator for the first population moment
about the origin, we 1
θˆ +have
=X¯ ⇒ ˆθ = X − .
¯ 1 2
2
Thus, the method-of-moments estimate
ˆ =θx¯
for
θ is −12 = 25.67 −2 =
1
25.17. 20 /
Introduction - Statistical Inference Appropriate Statistics for Estimation of Population Mean, Variance and Proportion
etc. Method
Remark
Example 8
Let X1, ..., Xn be a random sample from N(µ, σ 2 ).
Find method-of-moments estimators of µ and
σ2 .
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Introduction - Statistical Inference Appropriate Statistics for Estimation of Population Mean, Variance and Proportion
etc. Method
] 1Σ
2
2
n Xi
2 2 n
⇒ σˆ + µˆ = i
! !
= 1n
1 Σ 2 n− 1 1 Σn
⇒ σˆ2 2
Xi − nX (Xi − X )2
n n n−
= i = i
=1 1 =1
= n− 1S
n
2
.
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Introduction - Statistical Inference Appropriate Statistics for Estimation of Population Mean, Variance and Proportion
etc. Method
Example 9
Let X1, X2, ..., Xn be a random sample from a gamma
distribution with parameters λ and r (where r is known),
that is
r−1 −λx
(8
fX (x ) = r x I(0,∞ ) (x )
Γ(r
λ ) )
e
Find a method-of-moments estimator
of λ. Solution:
∫ ∞ ∫
λr ∞ r −λx
E [X ] = −∞
x.f X (x )dx = x e dx
∫ ∞ Γ(r )
0 1 Γ(r +
λ r v e
r −v dv
=
Γ(r )λ r 0 == 1)
r λ λ Γ(r )
= .
λ