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Parameter Estimation Using Sample Mean: Doug Young Suh Media Lab

The document discusses parameter estimation using sample mean and defines key concepts like sample mean, sample variance, consistent estimators, unbiased estimators, and confidence intervals. It provides the formula to calculate a 1-α confidence interval for a Gaussian random variable and works through two examples calculating the sample size and confidence interval needed based on given values and a confidence coefficient of 0.99.

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Tôm Sú
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33 views6 pages

Parameter Estimation Using Sample Mean: Doug Young Suh Media Lab

The document discusses parameter estimation using sample mean and defines key concepts like sample mean, sample variance, consistent estimators, unbiased estimators, and confidence intervals. It provides the formula to calculate a 1-α confidence interval for a Gaussian random variable and works through two examples calculating the sample size and confidence interval needed based on given values and a confidence coefficient of 0.99.

Uploaded by

Tôm Sú
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PPTX, PDF, TXT or read online on Scribd
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Chapter 7 Parameter estimation using sample mean

Doug Young Suh Media Lab. suh@khu.ac.kr

Definition 7.1 Sample mean/variance For iid random variables X1,, Xn with PDF fX(x), the sample mean of X is the random 1 + + variable = .

Sample variance
=
1 =1(

())2

MediaLab , Kyunghee University

Definition 7.2-3 Consistency, unbias


Consistent estimator lim = 0

where estimate out of n samples and r is the real value. (consistent = not-fluctuating) Unbiased estimator [] =

MediaLab , Kyunghee University

Theorem 7.13 Confidence interval


Let X be a Gaussian(, ) random variable. A confidence interval estimate of of the form + has a confidence coefficient 1 where = = 1 2
[ [] + ] 1
2

= 1

MediaLab , Kyunghee University

Example 7.10
How many measurements of Z are needed to guarantee 2c=0.2 has confidence coefficient 1 0.99 where = 1? Sol)

10

= 1

10

= 0.005

= 0.995 2.58 666

MediaLab , Kyunghee University

Example 7.11
100 independent measurements of Y whose = 10 and 100 = 33.2. For confidence coefficient of 1 0.99, what is the interval estimate 2c? Sol)

10 10

= 1 10 = 0.005

10 = 0.995 10 2.58

MediaLab , Kyunghee University

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