5. Construction of Two Common Types of Estimators (Jan7,10,12,14,19)

5. Construction of Two Common Types of Estimators (Jan7,10,12,14,19)

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Unformatted text preview: Statistics 3858 : Construction of Two Common Types of Estimators Estimators are statistics used to estimate parameters or functions of parameters for a statistical model. Here we consider finite parameter models. Let Θ be the parameter space. Consider the typical setting of the random data X 1 ,X 2 ,...,X n being iid from a distribution that belongs to a statistical model. That is X i are iid with distribution f ( · ,θ ) where θ ∈ Θ, but unknown. 1 Method of Moments Let μ k = E( X k ). Notice this expectation depends on the parameter θ , and so we write μ k ( θ ) = E θ ( X k ). The subscript θ is denote the dependence on the parameter θ . Aside To help clarify this notation and idea recall, in the continuous r.v. case that we define, when finite, E( X k ) = ∫ ∞ −∞ x k f ( x ) dx . (1) In the case of a statistical model with parameter space Θ possible choices for the pdf f are f ( · ; θ ). Thus in (1) we have a possibly different value for this integral for each possible choice of θ . Thus we have E θ ( X ) = ∫ ∞ −∞ x k f ( x ; θ ) dx . which gives a mapping θ 7→ E θ ( X ) ≡ μ k ( θ ). In the case of a discrete r.v. we have a similar property. End of Aside Notice this gives a mapping θ 7→ μ k ( θ ), typically a many to one mapping. However we can often find a mapping θ 7→ ( μ 1 ( θ ) ,μ 2 ( θ ) ,...,μ K ( θ )) so that this mapping (or function) is a one to one function. Specifically this gives a function h : Θ 7→ R K . When we restrict the range appropriately this is a 1 to 1 function. Therefore, when using the domain Θ and suitable range, the function h has an inverse h − 1 . Usually K = d where d = dimension(Θ), but 1 Two Common Estimation Methods 2 sometimes we need to modify this to obtain a 1 to 1 function. Specifically we have θ = h − 1 ( μ 1 ( θ ) ,μ 2 ( θ ) ,...,μ K ( θ )) . Examples : (fill in details) Exponential , Bernoulli , Poisson , Normal, Gamma, N (0 ,σ 2 ) Bernoulli and Binomial If X ∼ Bernoulli( θ ) then E θ ( X ) = θ . Thus for a given value of μ 1 = E( X ) we can determine θ = μ 1 . If X ∼ Binom( m,θ ) then E θ ( X ) = mθ . Thus for a given value of μ 1 = E( X ) we can determine θ = μ 1 m . Notice that if X 1 ,...,X m are iid Bernoulli( θ ) then Y = X 1 + X 2 + ... + X m ∼ Binom( m,θ ). End of Example Exponential If X ∼ exponential ,θ then X has pdf f ( x ; θ ) = θe − θx I( x ≥ 0) The parameter θ belongs to the parameter space Θ = (0 , ∞ ). E θ ( X ) = 1 θ and E θ ( X 2 ) = 2 θ 2 . Thus we have a mapping θ 7→ E θ ( X ) = 1 θ . This produces a mapping h : Θ 7→ R + given by h ( θ ) = 1 θ . This has an inverse mapping h − 1 : R + 7→ Θ given by h − 1 ( x ) = 1 x . Thus for a given value μ = E( X ) we can determine θ = h − 1 ( μ ) = 1 μ ....
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This note was uploaded on 01/17/2012 for the course AM 1234 taught by Professor Qqqq during the Spring '11 term at UWO.

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5. Construction of Two Common Types of Estimators (Jan7,10,12,14,19)

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