ECE313.Lecture41

ECE313.Lecture41 - ECE 313 Probability with Engineering...

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Limit Theorems Professor Dilip V. Sarwate Department of Electrical and Computer Engineering © 2000 Dilip V. Sarwate, University of Illinois at Urbana-Champaign. All Rights Reserved ECE 313 Probability with Engineering Applications
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ECE 313 - Lecture 41 © 2000 Dilip V. Sarwate, University of Illinois at Urbana-Champaign, All Rights Reserved Slide 2 of 39 What are limit theorems? Limit theorems specify the probabilistic behavior of n random variables as n Possible restrictions on RVs: Independent random variables Uncorrelated random variables Have identical marginal CDFs/pdfs/pmfs Have identical means and/or variances
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ECE 313 - Lecture 41 © 2000 Dilip V. Sarwate, University of Illinois at Urbana-Champaign, All Rights Reserved Slide 3 of 39 The average of n RVs n random variables X 1 , X 2 , …, X n have finite expectations μ 1 , μ 2 , …, μ n Let Z = ( X 1 + X 2 + …+ X n )/n What is E[ Z ]? Expectation is a linear operator E[ Z ] = (E[ X 1 ] + E[ X 2 ] + …+ E[ X n ])/n Expected value of average of n RVs = numerical average of their expectations If E[ X i ] = μ for all i, then E[ Z ] = μ also
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ECE 313 - Lecture 41 © 2000 Dilip V. Sarwate, University of Illinois at Urbana-Champaign, All Rights Reserved Slide 4 of 39 The sample mean Model: An experiment is repeated n times X 1 , X 2 , … X n are the n observed values of a random variable X on the n independent trials of the experiment Random variable X has Fnite mean μ The X i ’s are said to be independent identically distributed (i.i.d. or iid) random variables Z = ( X 1 + X 2 + …+ X n )/n is called the sample mean
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ECE 313 - Lecture 41 © 2000 Dilip V. Sarwate, University of Illinois at Urbana-Champaign, All Rights Reserved Slide 5 of 39 Variance of the sample mean i.i.d. RVs X i with finite mean and variance Sample mean Z = ( X 1 + X 2 + …+ X n )/n E[ Z ] = E[ X ] = μ var( Z ) = n –2 •var( X 1 + X 2 + …+ X n ) = n –2 •[var( X 1 ) + var( X 2 ) + …+ var( X n )] = n –1 •var( X ) This is because the RVs are independent Hence, cov( X i , X j ) = 0 if i ≠ j
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ECE 313 - Lecture 41 © 2000 Dilip V. Sarwate, University of Illinois at Urbana-Champaign, All Rights Reserved Slide 6 of 39 Variance decreases as n increases Z is the average of the n observed values of a random variable X with mean μ and variance var( X ) E[ Z ] = μ and var( Z ) = n –1 •var( X ) If we wish to estimate the value of μ , then the value of the sample mean Z is a much better estimator than the value of any individual observation X i Application to experimental results
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ECE 313 - Lecture 41 © 2000 Dilip V. Sarwate, University of Illinois at Urbana-Champaign, All Rights Reserved Slide 7 of 39 Confidence interval for mean E[ Z ] = μ and var( Z ) = n –1 •var( X ) = n –1 σ 2 Assume var( X ) = σ 2 is known Chebyshev inequality: P{ X – µ ≥ a} ≤ (
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ECE313.Lecture41 - ECE 313 Probability with Engineering...

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