Elements of Statistical Methods Lots of Data or Large Samples (Ch 8)

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1 Elemets of Statistical Methods Lots of Data or Large Samples (Ch 8) Fritz Scholz Sprig Quarter 2010 February 26, 2010

2 x ad X We itroduced the sample mea x as the average of the observed sample values x = {x 1,...,x }, usig the plug-i priciple. I parallel, we ca also cosider the average of the radom variables X 1,...,X X = X X ad view it as a radom variable X : S R. = 1 X i i=1 X is just the average of such fuctios X i : S R. Sice the x i are just the observed values of the X i, we ca view x = 1 x i as the observed value of X = 1 i=1 X i i=1 X, viewed as a radom variable, has a distributio. Let us experimet! R makes it very easy to get hads o experiece. 1

3 Behavior of X whe Samplig χ 2 (3) Take a sample of size = 5 from χ 2 (3) via x <- rchisq(5,3) ad the compute its mea mea(x). X χ 2 (3) µ = EX = 3. Repeat this several times, i.e., get several observed values x 5 of X. > x <- rchisq(5,3) > mea(x) [1] > x <- rchisq(5,3) > mea(x) [1] > x <- rchisq(5,3) > mea(x) [1] These values scatter widely aroud µ = 3, samplig variability! 2

4 Samplig Variability of X 5 To get a less haphazard view of this samplig variability, we repeat this process N sim = 1000 times ad look at these 1000 observed sample meas usig a kerel desity plot. This is best implemeted i a fuctio with a loop. chi2averagesim <- fuctio(nsim=1000,=5,k=3){ Xbar <- umeric(nsim) for( i i 1:Nsim ){ x <- rchisq(,k); Xbar[i] <- mea(x) } plot(desity(xbar),xlim=c(0,9),ylim=c(0,1.4),mai="") ablie(h=0) } 3

5 Samplig Variatio of X 5 : X i χ 2 (3) Desity N = 1000 Badwidth =

6 Samplig Variatio of X 20 : X i χ 2 (3) Desity N = 1000 Badwidth =

7 Samplig Variatio of X 80 : X i χ 2 (3) Desity N = 1000 Badwidth =

8 Commets All three kerel desity plots are o the same horizotal ad vertical scale. We see that they are all cetered more or less o µ = 3. The samplig variability of X, as we go from = 5 to = 20 to = 80, decreases visibly, almost by a factor of 2 = 4 each time (for a reaso). The mild skew to the right for = 5 seems to disappear as gets larger. The distributios start to look more ormal for larger. Experimet with chi2averagesim(nsim=1000,=5,k=3), replacig = 5 by = 20 ad = 80. 7

9 Averagig Decreases Variatio i X Distributio What we saw experimetally, whe samplig from χ 2 (3), we will ow geeralize. Let X,...,X be i.i.d. F, some cdf with fiite mea µ = EX i ad fiite variace σ 2 = varx i. ( ) 1 E X = E X i = 1 i=1 EX i = 1 i=1 µ = µ (idepedece ot used) i.e., the mea of the X populatio is the same as that of the sampled populatio. var X = var ( 1 ) X i = 1 i=1 2 varx i = 1 i=1 2 σ2 = σ2 (idepedece is used) σ( X ) = σ/, i.e., quadruplig cuts σ( X ) by a factor 2: 1/ 4 = 1/(2 ). 8

10 The Weak Law of Large Numbers (WLLN) Recall our previous defiitio of covergece: y c as iff for ay ε > 0 we ca fid a atural umber N such that y (c ε,c + ε) for all N We ow replace the umber sequece y by a sequece Y of radom variables. Defiitio: A sequece of radom variables {Y } coverges i probability to a P costat c, writte Y c, iff for ay ε > 0, lim P(Y (c ε,c + ε)) = 1 i.e., Y gets arbitrarily close to c with probability closer ad closer to 1 as. I the cotiuous case, deotig the desity of Y by f Z c+ε c ε f (x)dx = Area (c ε,c+ε) ( f ) 1 as 9

11 Desity f (x) of X f (x) = 5 = 20 = 80 = 320 c ε c c + ε 10

12 The Weak Law of Large Numbers (WLLN) Theorem (WLLN): Let X 1,X 2,... be a sequece of idepedet, idetically distributed radom variables with fiite mea µ ad fiite variace σ 2. The X P µ or equivaletly X µ P 0 as The average X of more ad more observatios X i will get closer ad closer to the mea µ of the sampled populatio with probability tedig to 1. Large sample sizes are good! That is why it is importat to report the sample size used i surveys. 11

13 The Frequetist s Basis for Iterpretatio of Probability Corollary: Let A be a evet ad cosider a sequece of idepedet ad idetical experimets for which we record whether the evet A occurs or ot. Let p = P(A) ad defie i.i.d. Beroulli radom variables X i = { 1 A occurs 0 A c occurs The X is the relative frequecy with which the evet A occurs i trials. Sice µ = EX i = E X = p = P(A) WLLN = X P p as. Thus the axiomatic model of probability eriched by the cocept of idepedece proves the frequetist s iterpretatio of probability. 12

14 Empirical Probabilities ad Plug-I Priciple Recall that we defied the empirical probability of observig a radom variable X i with value x i i evet A R as ˆP (A) = #{x i A} ( = ˆp (A) may be more appropriate otatio.) Whe viewig this i terms of X i istead of x i we have ˆP (A) = #{X i A} P p = P(A) as. The WLLN gives us a justificatio for approximatig P(A) by ˆP (A). This is ofte referred to as the fudametal theorem of statistics, especially whe usig A = (,a] ad the ˆF (a) = #{X i a} P F(a) = P(X i a) as. 13

15 Stadardizatio of a Radom Variable A radom variable X with fiite mea µ = EX ad fiite variace σ 2 is i its stadardized form Z whe Z = (X µ)/σ EZ = E(X µ) σ = µ µ σ = 0 varz = 1 σ 2var(X µ) = 1 σ2 σ2var(x) = σ 2 = 1 The followig are the stadardized versios of X i, X X ad X radom expected stadard stadard variable value deviatio uits X i µ σ X i µ)/σ X X µ σ ( i=1 X i µ)/( σ) X µ σ/ ( X µ)/(σ/ ) Note the equivalece ( X µ)/(σ/ ) = ( i=1 X i µ)/( σ) 14

16 Commets o Stadardizatio The basic shape of the distributio remais uchaged by stadardizatio. X Beroulli(0.5) µ = p = 0.5 ad σ = p(1 p) = 0.5, the Z = (X 0.5)/0.5 = 2X 1 takes o the two values (1 0.5)/0.5 = 1 ad (0 0.5)/0.5 = 1 with equal probability p = 0.5. Stadardizatio the stadardized radom variable is ormally distributed. This miscoceptio may come from the frequet iterchageable laguage usage of stadardizatio ad ormalizatio (ormal i the sese of ormative). Stadardizatio oly turs X N (µ,σ 2 ) ito a Z = (X µ)/σ N (0,1) i.e., you start with ormality ad you ed up with ormality. Approximate distributioal ormality is due to differet effects. 15

17 We have X µ P 0 (Speed?) var [ ( X µ) ] = var( X µ) = var X = σ2 = σ2 X µ, multiplied by the factor a =, has mea zero ad fixed variace σ 2. Thus it appears that a = is just the right factor to couteract the collapse, i.e., we ca view 1/ as the rate of the collapse of X µ to zero. Aside from a stable mea zero ad variace σ 2 for ( X µ), ca we say more about its distributio as? This questio is addressed by the Cetral Limit Theorem (CLT). A mechaical display of the CLT, the Galto Board or quicux, is o display at the Pacific Sciece Ceter. 16

18 Galto Board N sim = 5000 = X X 17

19 The Cetral Limit Theorem Theorem: Let X 1,...,X i.i.d. F, with fiite mea µ ad fiite variace σ 2. Deote the cdf of the stadardized radom variables X ad X X, i.e., The for all z R Z = X µ σ/ = X X µ σ, by F P(Z z) = F (z) Φ(z) as The distributio F of the X i ca be ay distributio with fiite µ ad σ 2. We also write F (z) Φ(z) or Z N (0,1) to express this approximatio result. Note that Z = X µ σ/ = ( X µ) σ N (0,1) or X µ N (0,σ 2 /) the collapse 18

20 CLT for Biomial = Sum of Beroulli R.V.s X X 50 ~Biomial(50, 0.4) Desity blue lie: approximatig ormal desity Normal Q Q Plot Theoretical Quatiles Sample Quatiles 19

21 Speed of Covergece i CLT How fast is the covergece F (z) Φ(z) i relatio to? Uder mild coditios: max z F (z) Φ(z) 0, agai at a rate of about c/. A rule of thumb: the ormal approximatio is usually adequate whe 30. Ofte a much smaller, say = 5, is already quite adequate. It all depeds o what is meat by adequate. Whe z is large we have Φ(z) 0 or 1 ad the same will hold for F. The the relative errors F (z) Φ(z) /F (z) or F (z) Φ(z) /(1 F (z)) may be more relevat. 20

22 Measuremet Example Nuclear magetic resoace (NMR) spectroscopy is used to measure the distace betwee earby hydroge atoms. Kow: The expected value of this measuremet is the actual distace (o bias) the stadard deviatio is σ = 0.5 agstroms. If the measuremet process is repeated 36 times, what is the chace that the average measured value X 36 falls withi 0.1 agstrom of the true value µ? P(µ 0.1 < X 36 < µ + 0.1) = P(µ 0.1 µ < X 36 µ < µ µ) ( 0.1 = P( 0.1 < X 36 µ < 0.1) = P σ/ < X 36 µ σ/ < 0.1 ) σ/ P( 0.1/(0.5/6) < Z < 0.1/(0.5/6)) = P( 1.2 < Z < 1.2) P( 1.2 < Z < 1.2) = Φ(1.2) Φ( 1.2) = porm(1.2) porm( 1.2) =

23 Measuremet Example ( cotiued) CLT = X i N (µ,σ 2 ) ad X N (µ,σ 2 /) i=1 X D(µ,σ 2 ) meas that X has some distributio with mea µ ad variace σ 2. If someoe else idepedetly replicates the previous experimet 64 times, what is the chace that the two averages are withi 0.1 agstroms of each other? X 1,...,X 36 D(µ,σ 2 ) = X 36 N (µ,σ 2 /36) Y 1,...,Y 64 D(µ,σ 2 ) = Ȳ 64 N (µ,σ 2 /64) = X 36 Ȳ 64 = X 36 + ( Ȳ 64 ) N (µ + ( µ),σ 2 /36 + σ 2 /64) = N (0,σ 2 /36 + σ 2 /64) = N (0,0.25 ( )/( )) = N (0,5 2 /48 2 ) ( 0.1 P( 0.1 < X 36 Ȳ 64 < 0.1) = P 5/48 < X 36 Ȳ 64 5/48 < 0.1 ) 5/48 = Φ(0.96) Φ( 0.96) = porm(.96) porm(.96) =

24 More Geeral CLT I our previous CLT we required the summads X i to be idetically distributed. Theorem: Let X i be idepedet radom variables with respective fiite meas µ i ad variaces σ 2 i, i = 1,...,. Uder additioal (techical) assumptios of which the followig is most relevat max(σ 2 1,...,σ2 ) σ σ2 we get that the stadardized sum 0 as (1) Z = X X (µ µ ) σ σ2 has cdf F such that P(Z z) = F (z) Φ(z) as 23

25 Sampled Desities X 1 µ X 2 µ X 3 µ X 4 µ X 5 µ 5

26 CLT i No-IID Case, = 5 X X 5 Frequecy Normal Q Q Plot Theoretical Quatiles X X 5 N sim =

27 Commets The variace coditio (1) makes sure that oe of the variaces domiate. All the variaces cotribute relatively small amouts to the total variability. For example, if X 1 Uiform(0,1000) with a very large variace ad all the other radom variables X i N (0,1), i = 2,...,, the for ot so large the sum X X will ot be well approximated by a ormal distributio, but will iherit maily the uiform distributio character of X 1 (see ext slide). 26

28 X 1 Uiform(0,1000) & X i N (0,1), i = 2,...,10 Frequecy X X 10 27

29 Further Commets o the CLT The iitial versio of the CLT i the iid case is useful i may situatios whe a experimet is repeated idepedetly may times ad we cosider the average X as or mai focus of iterest. The broader o-iid versio of the CLT is very useful it ratioalizig or modelig a ormal distributio for radom variables X i observed i experimets. This ratioalizatio cosists i probig to what extet X i ca be viewed as the sum of may radom effects that act more or less idepedetly. For example, the time to complete a task ca be viewed as the sum of the radom times to complete may subtasks ito which the mai task ca be decomposed. Ay measuremet ca be affected by may differet sources of small errors. 28

30 A Slight Extesio of the CLT Theorem: Let X 1,X 2... be a sequece of iid radom variables with fiite mea µ ad fiite variace σ 2. Suppose that D 1,D 2,... is a sequece of radom variables such that D 2 P σ 2 as ad let The for ay t R we have T = X µ D / = X µ σ/ σ D F (t) = P(T t) Φ(t) as Note that D /σ ad its reciprocal basically behave like the costat 1 as. I our previous measuremet example we assumed a kow σ = 0.5 agstrom. Typically σ is ot kow, but oe ca get a estimate of σ 2, say the plug-i sample estimate σ 2. 29

31 σ 2 P σ 2 Recall σ 2 = 1 (X i X ) 2 = 1 i=1 Xi 2 X 2 i=1 By the WLLN applied to the averages of the X i ad X 2 i X P µ = X 2 P µ 2 ad 1 Xi 2 i=1 P E(X 2 i ) = 1 Xi 2 X 2 i=1 P E(X 2 i ) µ2 = σ 2 While the above sequece of coclusios still require some techical details, P our uderstadig of should make them quite evidet. 30

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