GE 331-Lecture 19

GE 331-Lecture 19 - IE 300/GE 331 Lecture 19 Negar...

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Unformatted text preview: IE 300/GE 331 Lecture 19 Negar Kiyavash, UIUC 1 Probability Inequalities: Markov inequality: X is non-negative r.v., then for any a>0: Chebyshev inequality: If X is an r.v. with mean and variance 2, then Important trick: If we cannot calculate variance of a finite ranged r.v (it takes values in the range [a,b]), then we can use the bound V[X] <= (b-a) 2 /4 . ] [ ) ( P a X E a X . ) | (| P 2 2 c c X IE 300/GE 331 Lecture 19 Negar Kiyavash, UIUC 2 Limit Theorems Link statistics and probability theory. Why descriptive statistics such as sample mean are meaningful to look at. Why relative frequencies are good estimates of true probabilities. IE 300/GE 331 Lecture 19 Negar Kiyavash, UIUC 3 Law of Large Numbers (LLN): Let X 1 , , X n be independent identically distributed random variables with mean . W L L N : For every >0, we have: S L L N : Sample mean converges to true mean , with probability 1 (almost surely) : + + = n as ) |- n X ... X | ( P ) |- M | ( P n 1 n 1 ) n X ... X l ( P n 1 n = = + + im IE 300/GE 331 Lecture 19 Negar Kiyavash, UIUC 4 What does LLN imply? W L L N : Means that sample mean is a good estimator of the true mean in the sense that with enough samples it falls with high probability into an neighborhood of the true mean! S L L N : Says everything that WLLN says as WLLN follows if SSL holds and more....
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GE 331-Lecture 19 - IE 300/GE 331 Lecture 19 Negar...

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