04-DeltaMethod

04-DeltaMethod - THE "DELTA" METHOD The equations...

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THE "DELTA" METHOD The equations for N(t), L(t), W(t), and B(t) all assume that one set of parameters applies for all individuals in the population being modeled. It is more realistic to assume that characteristics vary among individuals and that the parameters in a model follow some distribution. If the parameters vary among individuals, how does this alter the results for the "average" individual? We can explore this question using a technique known as the delta method . It is a powerful and general method for exploring (approximately) how randomness in one or more parameters (or variables) might affect a function. With a linear model, such as Y = a + b·X where X is a random variable and (a,b) are constants, the following results apply, E Y ( ) a b E X ( ) + = E(Y) denotes the expectation or average value for X. Often the average of X is written as X with a bar over it, as in _ _ The average X is just the sum of the X values divided by the number of values. Y a b X + = The expectation operator is a linear operator , which means that if a and b are constants and X is a random variable, then E a b X + ( ) a b E X ( ) + = For example, suppose we have a school of fish all moving in the same direction with the same speed. The location for any individual fish at any point in time is given by Location t ( ) Location 0 ( ) Speed t + = Now suppose that each individual fish has a different starting location. In this hypothetical example Location(0) is a random variable but Speed is a constant. To determine the average location at time t all we need to know is the speed and the average starting location. E Location t ( ) ( ) E Location 0 ( ) ( ) Speed t + = At time 0. Location L 0 At time t. Location L 0 L t When the model is not linear with respect to the random variable, then exact results can be difficult to obtain. However, we can get approximate results by linearizing the model using its Taylor series expansion . This technique is sometimes called the delta method or the method of error propagation . It is a useful tool to have in your kit. FW431/531 Copyright 2008 by David B. Sampson Delta Method - Page 26
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The Taylor Series Expansion for a Function If a function has a valid Taylor series expansion, then the function can be written as the sum of a straight line, plus a parabola, plus a cubic, et cetera. The coefficients for the line are obtained from the first derivative of the function; the coefficients for the parabola are obtained from the second derivative of the function; and so on. For example, consider the following function f X ( ) 20 X 3 - ( ) 3 + exp X ( ) + = near the point X = 2 . The linear part of the expansion is
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04-DeltaMethod - THE "DELTA" METHOD The equations...

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