Chapter 5
Chapter 5
Chapter 5
Estimation
1 Random sample
3 Estimation
Point estimation
Maximum likelihood estimation methods
Method of moments
Random sample
Example
Statistic
(X1 − X̄ )2 + . . . + (Xn − X̄ )2
Ŝ 2 =
n
The adjusted random sample variance
(X1 − X̄ )2 + . . . + (Xn − X̄ )2
S2 =
n−1
√
The adjusted random sample standard deviation S = S2
The Z -statistic:
X̄ − µ
Z= √
σ/ n
The T -statistic:
X̄ − µ
T = √
S/ n
X̄ − µ
T = √ ∼ tn−1 .
S/ n
Theorem 5.5 (The central limit theorem + Slutsky’s theorem): For all
distribution of X :
X̄ − µ n→+∞
T = √ −−−−→ N(0, 1)
S/ n
Introduction
Consider a random sample (X1 , X2 , . . . , Xn ) taken from a population
X.
Suppose that the population X follows a distribution F (x; θ) that
depends on a unknown parameter θ.
The parameter θ is unknown since we usually cannot observe all the
population.
Problem of estimation: it is necessary to estimate the parameter θ
based on the random sample (X1 , X2 , . . . , Xn ).
Definition 5.4: A point estimator of θ is a statistic
θ̂ = h(X1 , X2 , . . . , Xn ).
A confidence interval estimation of θ with a confidence level 1 − α is
a random interval [θ̂1 ; θ̂2 ] = [h1 (X1 , X2 , . . . , Xn ); h2 (X1 , X2 , . . . , Xn )]
such that:
P(θ̂1 ≤ θ ≤ θ̂2 ) = 1 − α
NV HANH Probability and statistics Second semester, 2022-2023 12 / 60
Estimation Point estimation
Example
Example
Example
Example
Modelling: We can suppose that the electricity bills of households in
this region follows a normal distribution with parameter θ = (µ, σ 2 )
and the probability density function:
1 (x − µ)2
f (x; θ) = √ exp −
2πσ 2 2σ 2
The parameter µ is the population mean (the mean electricity bill of
all households) and the parameter σ 2 is the populaiton variance.
A point estimator of µ is the random sample mean
1
(X1 + X2 + . . . + Xn )
X̄ =
n
For the given sample, the sample mean
1
x̄ = (x1 + x2 + . . . + xn ) = 236.78
n
is also called a point estimate of µ.
NV HANH Probability and statistics Second semester, 2022-2023 16 / 60
Estimation Maximum likelihood estimation methods
Method of moments
Definition 5.5: Let X be a random variable. The k th moment of X is
E [X k ], for k ∈ N ∗ .
Definition 5.6: Let X be a random variable and (X1 , X2 , ..., Xn ) be a
random sample drawn from the population X . The k th sample
moment of X is
n
1 k 1X k
(X1 + ... + Xnk ) = Xi
n n
i=1
Method of moments
Example 5.2: Let X be the lifetime of a type of batteries produced by a
factory and suppose that X follows an exponential distribution with a
parameter λ > 0. Find the estimator of λ by the method of moments.
The parameter λ is in R+∗ , so the dimension r = 1.
The 1 moment of X is E [X ] = λ1 .
st
Unbiased estimator
X̄ − µ
Z= √ ≈ N(0; 1)
σ/ n
to find an interval [θˆ1 , θˆ2 ] such that P[θˆ1 < θ < θˆ2 ] = 1 − α (where µ
and σ are functions of θ).
We have
S S
P X̄ − tn−1;α/2 √ ≤ µ ≤ X̄ + tn−1;α/2 √ =1−α
n n
Then a 1 − α confidence interval (CI) estimation of µ is:
h S S i
X̄ − tn−1;α/2 √ ; X̄ + tn−1;α/2 √ = X̄ ∓ ,
n n
31.3, 28.8, 30.8, 29.6, 32.5, 30.1, 28.6, 32.2, 30.8, 32.6,
31.8, 28.5, 29.9, 27.2, 36.0, 30.6, 29.2, 30.9, 31.0, 30.8
Solution of Example:
The point estimator of µ and σ 2 by the maximum likelihood
estimation method are:
2
µ̂MLE = X̄ and σ̂MLE = Ŝ 2 .
2 1
σ̂MLE = ŝ 2 = (31.32 + ... + 30.82 − 20 ∗ 30.662 ) = 3.4234
20
We have
(n − 1)S 2
P(χ2n−1;1−α/2 ≤ ≤ χ2n−1;α/2 ) = 1 − α
σ2
Then
(n − 1)S 2 (n − 1)S 2
P ≤ σ2 ≤ =1−α
χ2n−1;α/2 χ2n−1;1−α/2
X̄ − µ X̄ − 1/λ √
Z= √ = √ = (X̄ λ − 1) n ≈ N(0; 1)
σ/ n (1/λ)/ n
or
1 − Z√α/2 Z
1 + √α/2
n n
P ≤λ≤ =1−α
X̄ X̄
NV HANH Probability and statistics Second semester, 2022-2023 48 / 60
Confidence interval estimation General problem
Solution:
Then a 1 − α confidence interval estimation of λ is
Zα/2 Zα/2
h1 − √ 1+ √ i
n n
;
X̄ X̄
For the given sample, we have n = 50; 1 − α = 0.9 then
Zα/2 = Z0.05 = 1.645;
x̄ = (20 ∗ 0.5 + 12 ∗ 1.5 + ... + 2 ∗ 6.5)/50 = 1.92.
So the 90% CI of λ is
1.645
1∓ √
50
= [0.4; 0.64]
1.92
We are 90% confident that the parameter λ is between 0.4 and 0.64.
X̄ − µ X̄ − 1/λ
T = √ = √ ≈ N(0; 1)
S/ n S/ n
Solution:
Then a 1 − α confidence interval estimation of λ is
h 1 1 i
;
X̄ + Zα/2 √Sn X̄ − Zα/2 √Sn
We are 90% confident that the parameter λ is between 0.43 and 0.65.
Example 5.7: Let X be the number of accidents per week in a small city.
Suppose that X follows a Poisson distribution with a mean parameter of
λ.
Find the point estimator of λ by the method of moment and by the
MLE method.
Construct a 1 − α confidence interval estimation of λ.
Given the following sample:
X 0 1 2 3 4
o
N of weeks 7 15 10 12 6
Find a 90% confidence interval estimate of λ for this sample.
X̄ − µ X̄ − λ √
Z= √ = √ n ≈ N(0; 1)
σ/ n λ
From the equation
|X̄ − λ| √
P √ n ≤ Zα/2 = 1 − α
λ
or
P n(X̄ − λ)2 ≤ λZα/2
2
=1−α
2n
Solution:
For the given sample, we have n = 50; 1 − α = 0.9 then
Zα/2 = Z0.05 = 1.645;
x̄ = (7 ∗ 0 + 15 ∗ 1 + 10 ∗ 2 + 21 ∗ 3 + 6 ∗ 4)/50 = 1.9.
So the 90% CI of λ is
√
2 ∗ 50 ∗ 1.9 + 1.6452 ∓ 1.645 4 ∗ 50 ∗ 1.9 + 1.6452
= [1.61; 2.25]
2 ∗ 50
We are 90% confident that the parameter λ is between 1.61 and 2.25.
X̄ − µ X̄ − λ √
Z= √ = n ≈ N(0; 1)
S/ n S
Solution:
Then a 1 − α confidence interval estimation of λ is
S
X̄ ∓ Zα/2 √
n