Statistics Itcs.inf.kyushu-u.ac.jp/~kijima/GPS19/GPS19-08.pdfStatistics I June 12, 2019...
Transcript of Statistics Itcs.inf.kyushu-u.ac.jp/~kijima/GPS19/GPS19-08.pdfStatistics I June 12, 2019...
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Statistics I
June 12, 2019
来嶋 秀治 (Shuji Kijima)
Dept. Informatics,
Graduate School of ISEE
Todays topics
• estimating population mean
• estimating population variance
• consistent estimator (一致推定量)
• unbiased estimator (不偏推定量)
確率統計特論 (Probability & Statistics)
Lesson 8
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Statistical Inference
母分布(の特徴量を)を推定する
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Natural Science3
Strawberries in X farm is said to be sweeter than other farms.
Check degrees Brix (糖度) some samples using a machine.
1 2 3 4 5 6 7 8 9
A 7.2
B
population
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Operations Research4
We want to know the coefficient of restitution (反発係数)
of a ball made in a factory Y, where it is required to be
between 0.38 and 0.42.
We have checked 1000 random samples.
What is the expectation and variance of coeff. rest.
1 2 3 4 5 6 7 8 9
0.406 0.402 0.403 0.397 0.401 0.389 0.396 0.402 0.411
不良品の出現分布の推定
母集団:工場で作られるボール(106個/年)
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Engineering5
We have devised a new matter Z which is energy efficient.
To know the efficiency, we made trial productions.
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Voting6
Candidate T gets 47% votes of 1000 samples.
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Sample test7
We have developed new potato chips.
We want to decide its price.
We have asked “How much will you pay for it” 10 testers.
~300 301~350 351~400 JPY
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Statistics Inference (統計的推論)
Estimation (推定)
Statistical test (統計検定)
Regression (回帰)
Applications
Machine learning (機械学習),
Pattern recognition (パターン認識),
Data mining (データマイニング), etc.
Statistics / Data science8
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Statistical inference
統計的推論
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population (母集団)
sample (標本)
stochastic model (確率モデル)
sample vs population vs stochastic model 10
Example 1
We sample 6 accounts of twixxer at random. The following table
shows the numbers of followers.
1 2 3 4 5 6
#followers 372 623 89 781 3219 152
Suppose that the number of followers follows some
distribution (e.g., exponential distribution, Poisson
distribution, Zipf’s distribution etc.).
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Statistics (統計学)
population (母集団)
population distribution (母集団分布)
random sample (無作為標本)
sample value (標本値)
sample distribution (標本分布)
statistics (統計量)
sample mean (標本平均)
sample variance (標本分散)
etc.
Terminology (Statistics)11
statistical inference (統計的推論)
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Estimating the population mean
母平均の推定
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Population, sample, stochastic model13
Example 1
We sample 6 accounts of twixxer at random. The following table
shows the numbers of followers.
1 2 3 4 5 6
#followers 372 623 89 781 3219 152
Q. How large is the population mean of followers?
population (母集団)
sample (標本)
stochastic model (確率モデル)
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Population, sample, stochastic model14
Example 1
We sample 6 accounts of twixxer at random. The following table
shows the numbers of followers.
1 2 3 4 5 6
#followers 372 623 89 781 3219 152
Q. How large is the population mean of followers?
Suppose that the number of followers follows some
distribution (e.g., Ex 𝜆 ) with expectation 𝜇.
population (母集団)
sample (標本)
stochastic model (確率モデル)
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Population, sample, stochastic model15
Example 1
We sample 6 accounts of twixxer at random. The following table
shows the numbers of followers.
1 2 3 4 5 6
#followers 372 623 89 781 3219 152
Q. How large is the population mean of followers?
Suppose that the number of followers follows some
distribution (e.g., Ex 𝜆 ) with expectation 𝜇.
=> Sample mean ത𝑋 =𝑋1+⋯+𝑋𝑛
𝑛= 872. 7
population (母集団)
sample (標本)
stochastic model (確率モデル)
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Statistics Inference (統計的推論)
estimation (推定)
How good is the estimator?
consistent estimator (一致推定量)
unbiased estimator (不偏推定量)
Minimum mean square error (最小二乗誤差推定)
Techniques of estimation
Maximum likelihood (最尤推定)
Bayesian inference (ベイズ推定)
Statistical test (統計検定)
Regression
Advanced
Machine learning, Pattern recognition, Data mining, etc.
Statistics, Data science16
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Consistent estimator 17
Def.
𝑇 is a consistent estimator of 𝜃 if lim𝑛→∞
Pr 𝑇 = 𝜃 = 1.
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Sample mean18
Proposition
ത𝑋 =𝑋1+⋯+𝑋𝑛
𝑛is a consistent estimator of 𝜇.
sample mean
Proof.
By the law of large numbers.
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Unbiased estimator 19
Definition
Let 𝑋𝑖 be i.i.d. 𝐹𝜃.
Let 𝑇 𝑋 denote an estimator of a parameter 𝑔 𝜃 of 𝐹𝜃,
then we call 𝐸𝜃 𝑇 𝑋 − 𝑔 𝜃 bias.
Definition
𝑇(𝑋) is an unbiased estimator of 𝑔 𝜃
if 𝐸𝜃 𝑇 𝑋 − 𝑔 𝜃 = 0 holds.
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Sample mean20
Proposition
ത𝑋 =𝑋1+⋯+𝑋𝑛
𝑛is an unbiased estimator of 𝜇.
sample mean
Proof.
E 𝑋 = E𝑋1 +⋯+ 𝑋𝑛
𝑛
=1
𝑛
𝑖=1
𝑛
E 𝑋𝑖
=1
𝑛⋅ 𝑛 ⋅ 𝜇
= 𝜇
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Estimating the population variance
母分散の推定
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Population, sample, stochastic model22
Example 1
We sample 6 accounts of twixxer at random. The following table
shows the numbers of followers.
1 2 3 4 5 6
#followers 372 623 89 781 3219 152
Q. How large is the population variance of #followers?
Suppose that the number of followers follows some
distribution (e.g., Ex 𝜆 ) with expectation 𝜇 and variance 𝜎2
Recall Var 𝑋 ≔ E 𝑋 − 𝜇 2
population (母集団)
sample (標本)
stochastic model (確率モデル)
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Variance23
Proposition
σ𝑖=1𝑛 𝑋𝑖− ത𝑋 2
𝑛is NOT an unbiased estimator of 2 (in general)
𝜎2 = E[(𝑋 − 𝜇)2]
Eσ𝑖=1𝑛 𝑋𝑖 − 𝑋
2
𝑛
= E1
𝑛
𝑖=1
𝑛
𝑋𝑖 − 𝜇 − 𝑋 − 𝜇2
= E1
𝑛
𝑖=1
𝑛
𝑋𝑖 − 𝜇 2 − 2 𝑋𝑖 − 𝜇 𝑋 − 𝜇 + 𝑋 − 𝜇2
= E1
𝑛
𝑖=1
𝑛
𝑋𝑖 − 𝜇 2 − 2E1
𝑛
𝑖=1
𝑛
𝑋𝑖 − 𝜇 𝑋 − 𝜇 + E1
𝑛
𝑖=1
𝑛
𝑋 − 𝜇2
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Variance24
Proposition
σ𝑖=1𝑛 𝑋𝑖− ത𝑋 2
𝑛is NOT an unbiased estimator of 2 (in general)
𝜎2 = E[(𝑋 − 𝜇)2]
unless E 𝑍2 = 0.
(E 𝑍2 = 0 only when Pr 𝑍 = 0 = 1)
E1
𝑛
𝑖=1
𝑛
𝑋𝑖 − 𝜇 2
=1
𝑛
𝑖=1
𝑛
E 𝑋𝑖 − 𝜇 2
=1
𝑛𝑛E 𝑋𝑖 − 𝜇 2
= 𝜎2
−2E1
𝑛
𝑖=1
𝑛
𝑋𝑖 − 𝜇 𝑋 − 𝜇
= −2E 𝑋 − 𝜇σ𝑖=1𝑛 𝑋𝑖 − 𝜇
𝑛
= −2E 𝑋 − 𝜇σ𝑖=1𝑛 𝑋𝑖𝑛
− 𝑛𝜇
𝑛
= −2E 𝑋 − 𝜇2
E1
𝑛
𝑖=1
𝑛
𝑋 − 𝜇2
=1
𝑛
𝑖=1
𝑛
E 𝑋 − 𝜇2
=1
𝑛𝑛E 𝑋 − 𝜇
2
= E 𝑋 − 𝜇2
Eσ𝑖=1𝑛 𝑋𝑖 − 𝑋
2
𝑛= 𝜎2 − E 𝑋 − 𝜇
2
< 𝜎2
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Unbiased sample variance25
Proposition
σ𝑖=1𝑛 𝑋𝑖− ത𝑋 2
𝑛−1is an unbiased estimator of 2 (in general)
Exercise: Prove it.
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Consistency of a sample variance26
Proposition
σ𝑖=1𝑛 𝑋𝑖− ത𝑋 2
𝑛−1is a consistent estimator of 2 (if Var 𝑋 − 𝐸 𝑋 2 < ∞)
Proof sketch
Recall the proof of the law of large numbers
(using Chebyshev’s inequality)
Remark: Proposition
σ𝑖=1𝑛 𝑋𝑖− ത𝑋 2
𝑛is also a consistent estimator of 2 (if Var 𝑋 − 𝐸 𝑋 2 < ∞)
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Good estimator27
Proposition
If 𝑇 is an unbiased estimator, then 𝐸 𝑇 − 𝜃 2 = Var 𝑇 .
Def.
𝑇: estimator of a population parameter 𝜃.
𝐸 𝑇 − 𝜃 2 is called mean square error (平均二乗誤差)
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2E 𝑇 − E 𝑇 E 𝑇 − 𝜃 = 2 E 𝑇 − 𝜃 E 𝑇 − E 𝑇= 2 E 𝑇 − 𝜃 E 𝑇 − E 𝑇= 0
Good estimator28
Proposition
If 𝑇 is an unbiased estimator, then 𝐸 𝑇 − 𝜃 2 = Var 𝑇 .
Def.
𝑇: estimator of a population parameter 𝜃.
𝐸 𝑇 − 𝜃 2 is called mean square error (平均二乗誤差)
E 𝑇 − 𝜃 2 = E 𝑇 − E 𝑇 + E 𝑇 − 𝜃2
= E 𝑇 − E 𝑇 2 + 2 𝑇 − E 𝑇 E 𝑇 − 𝜃 + E 𝑇 − 𝜃 2
= E 𝑇 − E 𝑇 2 + 2E 𝑇 − E 𝑇 E 𝑇 − 𝜃 + E E 𝑇 − 𝜃 2
= Var 𝑇 + E 𝑇 − 𝜃 2
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i.i.d. (multivariate distribution)
Distribution of random variables X and Y of (Ω, F , P).
Ex1. two dice.
Ω ={(1,1),(1,2),…,(6,5),(6,6)}
X = sum of casts
Y = product of casts
例2. poker
choose five cards,
X = # of A’s
Y = # of spades
Remind: Probability III
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Prop.30
Prop.
Suppose discrete r.v. 𝑋1, 𝑋2, …𝑋𝑛 are i.i.d. w/pmf 𝑓.
Then 𝑓 𝑥1, 𝑥2, … , 𝑥𝑛 = 𝑓 𝑥1 𝑓 𝑥2 ⋯𝑓(𝑥𝑛).
Prop.
Suppose continuous r.v. 𝑋1, 𝑋2, …𝑋𝑛 are i.i.d. w/pdf 𝑓.
Then 𝑓 𝑥1, 𝑥2, … , 𝑥𝑛 = 𝑓 𝑥1 𝑓 𝑥2 ⋯𝑓(𝑥𝑛).
Pr 𝑋1 = 𝑥1 &(𝑋2 = 𝑥2)&⋯&(𝑋𝑛 = 𝑥𝑛)= Pr 𝑋1 = 𝑥1 Pr 𝑋2 = 𝑥2 ⋯Pr 𝑋𝑛 = 𝑥𝑛
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Prop.31
Prop.
Suppose continuous r.v. 𝑋 and 𝑌 are independent.
Then, 𝑓𝑋𝑌 𝑥, 𝑦 = 𝑓𝑋 𝑥 𝑓𝑌(𝑦).
Pr 𝑋 ≤ 𝑥 &(𝑌 ≤ 𝑦) = Pr 𝑋 ≤ 𝑥 Pr 𝑌 ≤ 𝑦i.e., 𝐹𝑋𝑌 𝑥, 𝑦 = 𝐹𝑋 𝑥 𝐹𝑌(𝑦)