ESE 523 Information Theory

Size: px
Start display at page:

Download "ESE 523 Information Theory"

Transcription

1 ESE 53 Iformato Theory Joseph A. O Sullva Samuel C. Sachs Professor Electrcal ad Systems Egeerg Washgto Uversty Urbauer Hall 0E Gree Hall jao@wustl.edu 09// J. A. O'Sullva, ESE 53, Lecture -6

2 Etropy Bary Etropy Fucto 0.8 Outle p, p H p p log p plog p Probablty of Oe Etropy Jot Etropy Codtoal Etropy Relatve Etropy Mutual Iformato H p log p H, Y p, ylog p, y yy H Y p, ylog p y yy p D p q p log q p, y I ; Y p, ylog p p y yy 09// J. A. O'Sullva, ESE 53, Lecture -6

3 Notato : Radom varable R.V. Alphabet dscrete: Probablty mass fucto: P = p p p p log=log 0, p = {,, } 09// J. A. O'Sullva, ESE 53, Lecture -6 Based co flp: ={h,t}; p=p,-p Two dce: ={,3,4,5,6,7,8,9,0,,}; p=,,3,4,5,6,5,4,3,,/36 Powerball: 59 p , 49, 054 3

4 Measure of Iformato: Etropy The etropy of, H s: H p log p Uts are bts Measure of ucertaty of a R.V. H E log p log E p the eerly self-referetal epectato Cover ad Thomas, p. 4 09// J. A. O'Sullva, ESE 53, Lecture -6 4

5 Etropy Eample : Determstc R.V. p ad p j 0 H 0 j No formato gaed from observg the outcome log log 0 lm log 0 0 Proof uses l'hoptal's ˆ rule: log/ / lm log lm lm log e 0 / / // J. A. O'Sullva, ESE 53, Lecture -6 5

6 Etropy Eample : Flp a far co = {h,t}; ph pt H log log bt 09// J. A. O'Sullva, ESE 53, Lecture -6 6

7 Etropy Eample 3: Flp a far co tmes = {h,h, h,h,h, t, t,t, t} p,, H log bts 09// J. A. O'Sullva, ESE 53, Lecture -6 7

8 Etropy Eample 4: Powerball, or ay other uform dstrbuto. = {,,..., M}; p, for all M M H log M log M M H Powerball log // J. A. O'Sullva, ESE 53, Lecture -6 8

9 Etropy Eample 5: Flp a far co tmes ad add the umber of heads = {0,,}; p0 p, p 4 H log log log bts 09// J. A. O'Sullva, ESE 53, Lecture -6 9

10 Propertes ad Remarks Etropy s the epected umber of bary questos oe eeds to ask to determe the value of a R.V. Last eample: o average how may yes-o questos to determe outcome? Aswer:.5 questos Etropy s oegatve Base chage: other uts H b Elog b p log b a Elog a p ats for base e at = log e bts =.44 bts 09// J. A. O'Sullva, ESE 53, Lecture -6 0

11 Etropy Bary Etropy Fucto = {0,}; p p H plog p plog p H p Bary Etropy Fucto Probablty of Oe 09// J. A. O'Sullva, ESE 53, Lecture -6

12 Matlab Fucto etropy.m fucto et=etropyp p=szep; f legthp>, p=reshapep,prodp,; ed p=fdadp>0,p<; pp=pp/sumpp; hhp=-pp.*logpp; et=sumhhp; 09// J. A. O'Sullva, ESE 53, Lecture -6

13 Matlab Fucto plotbetropy.m p=0.005:0.005:-0.005; oep=-p; et=-p.*logp-oep.*logoep; et=[0 et 0]; p=[0 p ]; fgure=fgure; aes = aes'fotsze',6,'paret',fgure; ttleaes,'bary Etropy Fucto'; labelaes,'probablty of Oe'; ylabelaes,'etropy'; boaes,'o'; holdaes,'all'; plotp,et,'lewdth', 09// J. A. O'Sullva, ESE 53, Lecture -6 3

14 Eample 6: Etropy as Aswer to Combatorcs Questo, Lecture Assume = m. There are trals. How may ways are there to get k, k, k m of the elemets k +k + +k m =? Operatoal role of etropy for a combatorcs questo.! kk... km k! k!... km! k k k k km km log log... log o k k km h,,..., o Theorem: log h p, p,..., p kk... k m k k km f p, p,..., p m m 09// J. A. O'Sullva, ESE 53, Lecture -6 4

15 Deftos The jot etropy of R.V. s ad Y s: H,Y yy E log p,y p,ylog p,y The codtoal etropy of Y gve s: HY p py log py yy E log py 09// J. A. O'Sullva, ESE 53, Lecture -6 5

16 Etropes Theorem: Proof: p,y ppy H,Y H HY HY H Y log p,y log p log py p,ylog p,y p,ylog p p,ylog py,y,y,y p,ylog p,y plog p p,ylog py,y H,Y H HY,y 09// J. A. O'Sullva, ESE 53, Lecture -6 6

17 Defto The relatve etropy betwee probablty dstrbuto fuctos p ad q s: p p D p q p log Ep log q q Not a true dstace: Dp q Dq p 09// J. A. O'Sullva, ESE 53, Lecture -6 7

18 Matlab Fucto reletropy.m fucto relet=reletropyp,q p=szep; q=szeq; f p~=q, errormess='matlab fucto reletropy error: dm msmatch' retur ed f legthp>, p=reshapep,prodp,; q=reshapeq,prodp,; ed p=fdadp>0,q>0; rpq=pp.*logpp./qp; % Gves the wrog aswer f qk=0 ad pk~=0 relet=sumrpq; 09// J. A. O'Sullva, ESE 53, Lecture -6 8

19 Relatve Etropy Dp q Matlab Fucto plotreletropy.m fucto re=plotreletropyq; p=0.005:0.005:-0.005; oep=-p; re=p.*logp/q+oep.*logoep/-q; re=[-log-q re -logq]; p=[0 p ]; fgure=fgure; aes = aes'fotsze',6,'paret',fgure; ttleaes,strcat'bary Relatve Etropy q=',umstrq; labelaes,'probablty p'; ylabelaes,'relatve Etropy Dp q'; boaes,'o'; 0.8 holdaes,'all'; plotp,re,'lewdth', 0.6 grd 0.4 Bary Relatve Etropy q= // J. A. O'Sullva, ESE 53, Lecture Probablty p

20 Image of Relatve Etropy Fucto 09// J. A. O'Sullva, ESE 53, Lecture -6 0

21 Defto The mutual formato betwee ad Y s: I ; Y D p, y p p y yy p, y p, ylog p p y Some Propertes: I ; Y H H Y H Y H Y I ; Y H H Y H, Y 3 I ; Y I Y; 4 I ; Y 0 09// J. A. O'Sullva, ESE 53, Lecture -6

22 Propertes of Mutual Iformato Proof: I;Y H H Y HY HY p, Y I ; Y E log p p Y E log E log p Y p Elog E log p p Y H H Y 09// J. A. O'Sullva, ESE 53, Lecture -6

23 Matlab Fucto mutualformato.m fucto fo=mutualformatop p=p/sumsump; p=sump,; py=sump,; fo=etropyp+etropypy-etropyp; I ; Y H H Y H H, Y H Y H H Y H, Y 09// J. A. O'Sullva, ESE 53, Lecture -6 3

24 Etropy Last Class Outle p, p H p p log p plog p Bary Etropy Fucto Probablty of Oe Etropy Jot Etropy Codtoal Etropy Relatve Etropy Mutual Iformato H p log p H, Y p, ylog p, y yy H Y p, ylog p y yy p D p q p log q p, y I ; Y p, ylog p p y yy 09// J. A. O'Sullva, ESE 53, Lecture -6 4

25 Eample: Etropy ad Mutual Iformato p, y 0 ; values of colums, y rows p ; p y H H Y log log log log H, Y 4 log log // J. A. O'Sullva, ESE 53, Lecture -6 I ; Y H H Y H, Y log

26 Telescopg Sums: Etropy Theorem: Proof: E log E log E p Commets: p log Geeralzato of two varable case Eample for three varables, H,,..., H,... p,... p 09// J. A. O'Sullva, ESE 53, Lecture -6,..., p 3,... p,..., 6 H, H H H,, H H 3 H, 3

27 09// J. A. O'Sullva, ESE 53, Lecture -6 7 Telescopg Sums: Mutual Iformato Defto: Theorem: Proof:, ; Z Y H Z H Z Y I Y I Y I,... ; ;,...,,,...,...,,,...,...,, Y H Y H H H

28 l-+ l Towards Jese s Iequalty: Cove ad Cocave Fuctos Defto: A fucto f s cove over a,b f for ay, Є a,b ad λ Є [0,], f f f A fucto f s cocave f f s cove. f s strctly cove or cocave f the equaltes are strct for λ 0 or..4 Jeses Iequalty Jeses Iequalty // J. A. O'Sullva, ESE 53, Lecture -6 8

29 09// J. A. O'Sullva, ESE 53, Lecture -6 9 Towards Jese s Iequalty: Suffcet Codto for Covety Theorem: Suppose that f s twce cotuously dfferetable. If d f/d s oegatve postve everywhere, the f s cove strctly cove. Proof: Usg a Taylor seres appromato, where * s some value betwee ad 0. Take * 0 0 o o d f d d df f f f f f f d df f f d df f f

30 Fucto Values: l, -, -/, ep-- Cove ad Cocave Fucto Eamples f = log s strctly cocave. Proof: df/d = loge/ ; d f/d = - loge/ < 0 f = - log s strctly cocave. Proof: df/d = - log-loge ; d f/d = - loge/ < 0 Commet: Ths mples cocavty of etropy H=-Σ plogp m for m s cove for > 0 e s strctly cove Commet: several formato equaltes ca be derved from Relatve etropy s oegatve l p q D p q Ep log log ee p 0 q p 09// J. A. O'Sullva, ESE 53, Lecture Cove ad Cocave Fucto Eamples Varable t 30

31 Jese s Iequalty Theorem Jese s Iequalty: If f s cove over a,b ad s a radom varable takg values a,b, the E f f E If f s strctly cove, the equalty mples that =E[] wth probablty oe. 09// J. A. O'Sullva, ESE 53, Lecture -6 3

32 Proof of Jese s Iequalty Proof by ducto. Let,,. The 3 09// J. A. O'Sullva, ESE 53, Lecture -6 pf p f f p p, by defto. Assume k ad that for ay set of cardalty k- the theorem holds. The k p f p f p k k k k p f k p pk f k pk f, by ducto hypothess pk k p f pk k pk f E[ ], by defto. p k p k

33 Relatve Etropy s Noegatve Theorem: Dp q 0 wth equalty f ad oly f ff p = q. Proof uses Jese s equalty. The fucto log s strctly cocave so log s strctly cove. p q D p q Ep log Ep log q p q log Ep log 0 p Refemet: Need to restrct sums to A p 0 09// J. A. O'Sullva, ESE 53, Lecture -6 33

34 Relatve Etropy s Noegatve Theorem: Dp q 0 wth equalty ff p = q. Proof uses Jese s equalty. log s strctly cove. p q D p q Ep log p log q p A q log p log q p A A log 0 a b where A p 0, a follows from Jese's Iequalty, ad b follows from A 09// J. A. O'Sullva, ESE 53, Lecture -6 q. 34

35 Start Here Sept. 8, 0 Outle Cocavty of etropy Log-sum equalty Covety of relatve etropy Codtog reduces etropy Covety ad cocavty of mutual formato toward optmzato Data processg equalty Chapter 3: Asymptotc equpartto property 09// J. A. O'Sullva, ESE 53, Lecture -6 35

36 Etropy s Cocave ad Bouded Theorem: Etropy s cocave ad bouded above by the log of the cardalty of the set, wth equalty ff the radom varable s uformly dstrbuted. Proof: Cocavty follows from cocavty of log. p H Ep log log Ep log log p p p equalty ff costat p 09// J. A. O'Sullva, ESE 53, Lecture -6 36

37 Log Sum Iequalty Theorem: For ay oegatve umbers a, a,..., a ad b, b,..., b, a alog a log b b 09// J. A. O'Sullva, ESE 53, Lecture -6 0 wth b 0. Assume that f b 0 the a 0 0 log 0. The 0 Proof: By Jese's equalty b b b b b l b l bl l tlog t s cove l l Epected value a b a a b a b a log log. Equalty ff a /b = costat 37

38 Covety of Relatve Etropy Theorem: Dp q s cove the par p,q. Proof: By the log sum equalty p p D p p q q p p log q q p p p log p log = q q D p q D p q Log-sum equalty 09// J. A. O'Sullva, ESE 53, Lecture -6 38

39 Cocavty of Etropy Revsted Let u be a uform dstrbuto. The H p log D p u Proof: p D p u p log log p log p log H p Covety of relatve etropy mples cocavty of etropy. 09// J. A. O'Sullva, ESE 53, Lecture -6 39

40 Jese s Iequalty Summary Theorem Jese s Iequalty: If f s cove over a,b ad s a radom varable takg values a,b, the If f s strctly cove, the equalty mples that =E[] wth probablty oe. Corollary: Dp q 0 wth equalty ff p = q. Corollary: I;Y 0, wth equalty ff p,y = ppy; that s, ff ad Y are depedet. Corollary: Codtog reduces etropy. I;Y 0 H H Y. Commet: We ofte use ths corollary proofs. 09// J. A. O'Sullva, ESE 53, Lecture -6 E f f E 40

41 Mutual Iformato Cocavty ad Covety Motvato Chael capacty ad ts computato Mamze mutual formato over put probablty dstrbuto Mamzato problems are better-behaved for cocave fuctos To show: mutual formato s cocave the put probablty dstrbuto Rate-dstorto fuctos ad ther computato Mmze mutual formato over chael trasto probabltes Mmzato problems are better-behaved for cove fuctos To show: mutual formato s cove the chael probabltes Computatos ad propertes of mutual formato multtermal formato theory Curret research problems 09// J. A. O'Sullva, ESE 53, Lecture -6 4

42 Mutual Iformato Vew mutual formato as a fucto of p ad of py. The mutual formato s a cocave fucto of p for py fed ad a cove fucto of py for p fed. Proofs follows from cocavty of etropy ad covety of relatve etropy. I ; Y H Y p H Y I ; Y D p, y p p y Cosder p y = p y p y p, y p p y p y p, y p, y p y p y p y Cocavty of HY cocavty wrt p 09// J. A. O'Sullva, ESE 53, Lecture -6 Covety of relatve etropy log-sum equalty D p, y p p y D p y p p p y D p, y p p y 4

43 09// J. A. O'Sullva, ESE 53, Lecture Data Processg Iequalty Defto: The radom varables, Y, ad Z form a Markov cha that order f pz,y = pz y. The p,y,z = ppy pz y. Also, ad Z are codtoally depedet gve Y. Wrte Y Z.,, y z p y p y p y z p y p y z p

44 09// J. A. O'Sullva, ESE 53, Lecture Data Processg Iequalty Theorem: If Y Z, the I;Y I;Z. Note that ths says Y gves more formato about tha Z does. Proof: But I;Z Y = 0, so I;Y I;Z. Commet: ; ; ; ;, ; Z Y I Z I Y Z I Y I Z Y I Y H Z H Z H H Y H H

45 Chapter 3: Asymptotc Equpartto Property Strog law of large umbers weak law Asymptotc equpartto property AEP All hghly lkely sequeces are equally lkely The set of hghly lkely sequeces s the typcal set The cardalty of the typcal set s determed by etropy Data compresso result: Number of bts requred to represet sequeces o average equals etropy tmes the legth of the sequece Number of bts per symbol, o average, equals etropy 09// J. A. O'Sullva, ESE 53, Lecture -6 46

46 09// J. A. O'Sullva, ESE 53, Lecture Theorem Strog Law of Large Numbers Let,,, be a sequece of..d. RVs. Let f: R be a arbtrary fucto such that E[ f ] s fte. The wth probablty oe. If the varace of f s fte, ths covergece s the mea also. Commet: I ether evet, we get covergece probablty I fact 3. lm f E f var where 0 as f f E f P f E f P

47 Theorem If,,, are..d. wth dstrbuto p, the log p,,..., H probablty. Proof: p,,, = p p p Set f = -log p the prevous theorem. E p f E log H. Commet: Aga log p s a fucto of the realzato. 09// J. A. O'Sullva, ESE 53, Lecture -6 48

48 Typcal Sets Defto: The typcal set s A,,..., : log p,,..., H Commet: Ths s the set of sequeces whose ormalzed log-probablty s close to etropy. Theorem H H p A for P A A A H for suffcetly large 09// J. A. O'Sullva, ESE 53, Lecture -6 H for suffcetly large 49

49 Typcal Sets 09// Defto: The typcal set s A,,..., : log p,,..., H Commet: Ths s the set of sequeces whose ormalzed log-probablty s close to etropy. Theorem H H p A for P A A A H for suffcetly large H for suffcetly large J. A. O'Sullva, ESE 53, Lecture -6 50

50 Proof Frst le s defto of typcal set. Secod le follows from prevous theorem. Thrd ad fourth les: p p A A H 09// J. A. O'Sullva, ESE 53, Lecture -6 H A A H For the fourth le, P A for suffcetly large H p A A 5

51 Typcal Sets ad the AEP Theorem Commets: H H p A for P A A A H for suffcetly large H The typcal set has probablty arbtrarly close to. The log-cardalty of the typcal set s upper bouded by etropy plus ε for suffcetly large The log-cardalty s lower bouded by etropy mus ε for large eough H log A H log H 09// J. A. O Sullva, ESE 53, Lectures -5 5

52 Data Compresso Idea: Partto all outcomes to the typcal ad otypcal sets for some ε. Desg a reasoable code for the typcal set ad do aythg else for the rest. Defto: A bary code s a mappg from to bary sequeces. Theorem: Let be..d. wth probablty dstrbuto p ad let ε>0. The there ests a bary code that s oe-to-oe ad E l H for suffcetly large, where l s the legth of a bary codeword assged to. 09// J. A. O'Sullva, ESE 53, Lecture -6 53

53 Proof To every sequece the typcal set, assg a codeword of legth less tha or equal to H+ε+. To every sequece ot the typcal set, assg a codeword of legth less tha or equal to log + The the epected legth satsfes E l H log H log 09// J. A. O'Sullva, ESE 53, Lecture -6 54

54 Chapter 4 Outle Etropy Rates of Stochastc Processes Two epressos: equal for statoary processes Markov chas etropy rates Net Class: Markov chas decreasg codtoal etropy secod law of thermodyamcs 09// J. A. O'Sullva, ESE 53, Lecture -6 55

55 Etropy Rates of a Stochastc Process Etropy rates bts per symbol Stochastc process:,,,, a radom sequece s a RV; ; possbly cofusg otato P Structure of the radom sequece must be assumed to make progress Defto: A stochastc process,,,, s statoary f the jot dstrbuto s varat to shfts; for all l 0, P,..., P,,...,, l l l 09// J. A. O'Sullva, ESE 53, Lecture -6 56

56 Etropy Rates Defto: The etropy rate of a stochastc process { } s H lm H,,..., whe the lmt ests. Proposto: If are..d., the Proof: H Commets:,,..., H H If are depedet, but ot detcally dstrbuted, the frst equalty holds. However the lmt lm H may or may ot est H H A secod possble defto for etropy rate s H lm H,,...,, whe the lmt ests. 09// J. A. O'Sullva, ESE 53, Lecture -6 57

57 Etropy Rates Theorem: For a statoary stochastc process, H ad H est ad are equal. Proof: There are three parts: H ests; a techcal result Cesáro mea; ad H ests ad equals H. H ests: 0 H H H H,,,... by statoarty Thus s a ocreasg sequece of oegatve umbers. Thus t has a lmt. 09// J. A. O'Sullva, ESE 53, Lecture -6,,...,... 3,,... codtog reduces etropy 58

58 Proof cotued Cesáro mea: If a a ad b =a +a + a /, the b a. Completo: H,,..., H,,..., Thus, H lm H,,..., lm H,,..., H 09// J. A. O'Sullva, ESE 53, Lecture -6 b a 59

59 09// J. A. O'Sullva, ESE 53, Lecture Applcatos All results from Chapter 3 hold ths cotet, cludg deftos of typcal sets, the AEP, ad the data compresso. Also,...,,,...,,,...,,,...,,,...,, H H H H H

60 Outle September 5, 0 Markov Cha Propertes, Classfcato Etropy rate of Markov chas Markov chas Decreasg codtoal etropy Secod law of thermodyamcs 09// J. A. O'Sullva, ESE 53, Lecture -6 6

61 Iformato Dverso of the Day James Gleck: The Iformato: A Hstory, a Theory, a Flood 03/0/the-formato-by-james-gleckrevew-by-cholas-carr.html revew/book-revew-the-formato-byjames-gleck.html?pagewated=all 09// J. A. O'Sullva, ESE 53, Lecture -6 The Iformato s so ambtous, llumatg ad sely theoretcal that t wll amout to aspratoal readg for may of those who have the mettle to tackle t. Do t make the mstake of readg t quckly. Image luuratg o a W-F-equpped desert slad wth Mr. Gleck s book, a search ege ad o dstractos. The Iformato s to the ature, hstory ad sgfcace of data what the beach s to sad. Jaet Masl, The New York Tmes 6

62 Markov Chas Defto: A stochastc process { } s a Markov cha f P,..., P For a Markov cha, p,,..., p p... p Defto: A Markov cha s tme-varat f the trasto probabltes do o deped o. S 0 S S 09// J. A. O'Sullva, ESE 53, Lecture -6 63

63 09// J. A. O'Sullva, ESE 53, Lecture Markov cha otato: tme-varat case s called the state at tme. If =m s fte, the probablty trasto matr s statoary stochastc process. a the the M arkovcha s,, for all If a statoary dstrbuto. s the, If... m j P P P P p p p P p p p P S 0 S S

64 Markov Cha Propertes S 0 S S Defto: If for all ad j, there s a k such that k P 0, j the Markov cha s rreducble coected. If there s a k such that k P 0, j for all ad j, the Markov cha s strogly coected rreducble ad aperodc. Commet: strogly coected rreducble coected 09// J. A. O'Sullva, ESE 53, Lecture -6 66

65 Three-State Eample q=r=rreducble, perodc wth perod 3 q=;r=0.5 rreducble ad aperodc strogly coected S 0 S S 0 q q P r 0 r q r P 0 0 ; P P P 0 0 ; P 0 0 ; q P ; r P 0 ; P 0 ; ; P ; P // J. A. O'Sullva, ESE 53, Lecture

66 Two-State Eample Let P If ether α=0 or β=0, the Markov cha s ot coected. For α 0 ad β 0, the statoary dstrbuto s If α=β=, the Markov cha s coected, but ot strogly coected. 09// J. A. O'Sullva, ESE 53, Lecture -6 68

67 Etropy rates of Markov chas Theorem: Let { } be a statoary Markov cha. The the etropy rate s H P logp Proof: j j j H lm H,..., H P P j log P j j j P logp j j 09// J. A. O'Sullva, ESE 53, Lecture -6 69

68 Etropy rates of Markov chas Theorem: Let { } be a tme-varat Markov cha that s rreducble ad aperodc. The the etropy rate s H Pj logpj j where μ s the statoary dstrbuto. Proof: H lm H,..., lm H lm P P log P j j j 09// J. A. O'Sullva, ESE 53, Lecture -6 70

69 log log log Thus,. ad. or, as m j j j m j m j m j m j m j m j j j j D P p P P P p P P p D P p p P P p p p 09// J. A. O'Sullva, ESE 53, Lecture -6 7 Proof cotued All that remas to be show s that Note that The equalty s the log sum equalty; get equalty ff μ P j =p - P j for all ad j, or μ =p - for P strogly coected. Ths s a formatotheoretc proof of covergece.

70 Markov Chas ad Tme Let,,, be a Markov cha. Suppose that p - does ot deped o tme. Let μ be a dstrbuto at tme. The. The relatve etropy betwee two dstrbutos decreases wth. The relatve etropy betwee a dstrbuto ad a statoary dstrbuto decreases wth 3. Etropy creases wth f the statoary dstrbuto s uform d Law of Thermodyamcs 09// J. A. O'Sullva, ESE 53, Lecture -6 7

71 The relatve etropy betwee two dstrbutos decreases wth. Suppose two possble probablty dstrbutos at tme are gve p P ad. There are two correspodg probablty dstrbutos at tme m p j p P ad j P. j j The goal s to prove that D p D p. To show ths, 09// J. A. O'Sullva, ESE 53, Lecture -6 m m m j j j j j Pj D p P P p P log p log m m Pj p D p j D p P P j j D p p P p Pj m m p Pj p j p j p j log log j p j P j j j 73

72 The relatve etropy betwee a dstrbuto ad a statoary dstrbuto decreases wth Let be the statoary dstrbuto. The j P ad from the prevous j j result, D p D p. m 09// J. A. O'Sullva, ESE 53, Lecture -6 74

73 d Law of Thermodyamcs: Etropy creases wth f the statoary dstrbuto s uform Let = be the statoary dstrbuto. The p D p p log log H p D p D p H p H p 09// J. A. O'Sullva, ESE 53, Lecture -6 75

3. Basic Concepts: Consequences and Properties

3. Basic Concepts: Consequences and Properties : 3. Basc Cocepts: Cosequeces ad Propertes Markku Jutt Overvew More advaced cosequeces ad propertes of the basc cocepts troduced the prevous lecture are derved. Source The materal s maly based o Sectos.6.8

More information

Parameter, Statistic and Random Samples

Parameter, Statistic and Random Samples Parameter, Statstc ad Radom Samples A parameter s a umber that descrbes the populato. It s a fxed umber, but practce we do ot kow ts value. A statstc s a fucto of the sample data,.e., t s a quatty whose

More information

Entropies & Information Theory

Entropies & Information Theory Etropes & Iformato Theory LECTURE II Nlajaa Datta Uversty of Cambrdge,U.K. See lecture otes o: http://www.q.damtp.cam.ac.uk/ode/223 quatum system States (of a physcal system): Hlbert space (fte-dmesoal)

More information

( ) = ( ) ( ) Chapter 13 Asymptotic Theory and Stochastic Regressors. Stochastic regressors model

( ) = ( ) ( ) Chapter 13 Asymptotic Theory and Stochastic Regressors. Stochastic regressors model Chapter 3 Asmptotc Theor ad Stochastc Regressors The ature of eplaator varable s assumed to be o-stochastc or fed repeated samples a regresso aalss Such a assumpto s approprate for those epermets whch

More information

Chain Rules for Entropy

Chain Rules for Entropy Cha Rules for Etroy The etroy of a collecto of radom varables s the sum of codtoal etroes. Theorem: Let be radom varables havg the mass robablty x x.x. The...... The roof s obtaed by reeatg the alcato

More information

Chapter 5 Properties of a Random Sample

Chapter 5 Properties of a Random Sample Lecture 6 o BST 63: Statstcal Theory I Ku Zhag, /0/008 Revew for the prevous lecture Cocepts: t-dstrbuto, F-dstrbuto Theorems: Dstrbutos of sample mea ad sample varace, relatoshp betwee sample mea ad sample

More information

X ε ) = 0, or equivalently, lim

X ε ) = 0, or equivalently, lim Revew for the prevous lecture Cocepts: order statstcs Theorems: Dstrbutos of order statstcs Examples: How to get the dstrbuto of order statstcs Chapter 5 Propertes of a Radom Sample Secto 55 Covergece

More information

5. Data Compression. Review of Last Lecture. Outline of the Lecture. Course Overview. Basics of Information Theory: Markku Juntti

5. Data Compression. Review of Last Lecture. Outline of the Lecture. Course Overview. Basics of Information Theory: Markku Juntti : Markku Jutt Overvew The deas of lossless data copresso ad source codg are troduced ad copresso lts are derved. Source The ateral s aly based o Sectos 5. 5.5 of the course book []. Teleco. Laboratory

More information

Lecture 3 Probability review (cont d)

Lecture 3 Probability review (cont d) STATS 00: Itroducto to Statstcal Iferece Autum 06 Lecture 3 Probablty revew (cot d) 3. Jot dstrbutos If radom varables X,..., X k are depedet, the ther dstrbuto may be specfed by specfyg the dvdual dstrbuto

More information

Basics of Information Theory: Markku Juntti. Basic concepts and tools 1 Introduction 2 Entropy, relative entropy and mutual information

Basics of Information Theory: Markku Juntti. Basic concepts and tools 1 Introduction 2 Entropy, relative entropy and mutual information : Markku Jutt Overvew Te basc cocepts o ormato teory lke etropy mutual ormato ad EP are eeralzed or cotuous-valued radom varables by troduc deretal etropy ource Te materal s maly based o Capter 9 o te

More information

Detection and Estimation Theory

Detection and Estimation Theory ESE 54 Detecto ad Estmato heory Joseph A. O Sullva Samuel C. Sachs Professor Electroc Systems ad Sgals Research Laboratory Electrcal ad Systems Egeerg Washgto Uversty Urbauer Hall 34-935-473 (Lyda aswers

More information

Simulation Output Analysis

Simulation Output Analysis Smulato Output Aalyss Summary Examples Parameter Estmato Sample Mea ad Varace Pot ad Iterval Estmato ermatg ad o-ermatg Smulato Mea Square Errors Example: Sgle Server Queueg System x(t) S 4 S 4 S 3 S 5

More information

Law of Large Numbers

Law of Large Numbers Toss a co tmes. Law of Large Numbers Suppose 0 f f th th toss came up H toss came up T s are Beroull radom varables wth p ½ ad E( ) ½. The proporto of heads s. Itutvely approaches ½ as. week 2 Markov s

More information

ρ < 1 be five real numbers. The

ρ < 1 be five real numbers. The Lecture o BST 63: Statstcal Theory I Ku Zhag, /0/006 Revew for the prevous lecture Deftos: covarace, correlato Examples: How to calculate covarace ad correlato Theorems: propertes of correlato ad covarace

More information

Special Instructions / Useful Data

Special Instructions / Useful Data JAM 6 Set of all real umbers P A..d. B, p Posso Specal Istructos / Useful Data x,, :,,, x x Probablty of a evet A Idepedetly ad detcally dstrbuted Bomal dstrbuto wth parameters ad p Posso dstrbuto wth

More information

Discrete Mathematics and Probability Theory Fall 2016 Seshia and Walrand DIS 10b

Discrete Mathematics and Probability Theory Fall 2016 Seshia and Walrand DIS 10b CS 70 Dscrete Mathematcs ad Probablty Theory Fall 206 Sesha ad Walrad DIS 0b. Wll I Get My Package? Seaky delvery guy of some compay s out delverg packages to customers. Not oly does he had a radom package

More information

Likewise, properties of the optimal policy for equipment replacement & maintenance problems can be used to reduce the computation.

Likewise, properties of the optimal policy for equipment replacement & maintenance problems can be used to reduce the computation. Whe solvg a vetory repleshmet problem usg a MDP model, kowg that the optmal polcy s of the form (s,s) ca reduce the computatoal burde. That s, f t s optmal to replesh the vetory whe the vetory level s,

More information

Introduction to Probability

Introduction to Probability Itroducto to Probablty Nader H Bshouty Departmet of Computer Scece Techo 32000 Israel e-mal: bshouty@cstechoacl 1 Combatorcs 11 Smple Rules I Combatorcs The rule of sum says that the umber of ways to choose

More information

Chapter 4 Multiple Random Variables

Chapter 4 Multiple Random Variables Revew for the prevous lecture: Theorems ad Examples: How to obta the pmf (pdf) of U = g (, Y) ad V = g (, Y) Chapter 4 Multple Radom Varables Chapter 44 Herarchcal Models ad Mxture Dstrbutos Examples:

More information

9 U-STATISTICS. Eh =(m!) 1 Eh(X (1),..., X (m ) ) i.i.d

9 U-STATISTICS. Eh =(m!) 1 Eh(X (1),..., X (m ) ) i.i.d 9 U-STATISTICS Suppose,,..., are P P..d. wth CDF F. Our goal s to estmate the expectato t (P)=Eh(,,..., m ). Note that ths expectato requres more tha oe cotrast to E, E, or Eh( ). Oe example s E or P((,

More information

Analysis of System Performance IN2072 Chapter 5 Analysis of Non Markov Systems

Analysis of System Performance IN2072 Chapter 5 Analysis of Non Markov Systems Char for Network Archtectures ad Servces Prof. Carle Departmet of Computer Scece U Müche Aalyss of System Performace IN2072 Chapter 5 Aalyss of No Markov Systems Dr. Alexader Kle Prof. Dr.-Ig. Georg Carle

More information

UNIVERSITY OF OSLO DEPARTMENT OF ECONOMICS

UNIVERSITY OF OSLO DEPARTMENT OF ECONOMICS UNIVERSITY OF OSLO DEPARTMENT OF ECONOMICS Postpoed exam: ECON430 Statstcs Date of exam: Jauary 0, 0 Tme for exam: 09:00 a.m. :00 oo The problem set covers 5 pages Resources allowed: All wrtte ad prted

More information

UNIVERSITY OF OSLO DEPARTMENT OF ECONOMICS

UNIVERSITY OF OSLO DEPARTMENT OF ECONOMICS UNIVERSITY OF OSLO DEPARTMENT OF ECONOMICS Exam: ECON430 Statstcs Date of exam: Frday, December 8, 07 Grades are gve: Jauary 4, 08 Tme for exam: 0900 am 00 oo The problem set covers 5 pages Resources allowed:

More information

Strong Convergence of Weighted Averaged Approximants of Asymptotically Nonexpansive Mappings in Banach Spaces without Uniform Convexity

Strong Convergence of Weighted Averaged Approximants of Asymptotically Nonexpansive Mappings in Banach Spaces without Uniform Convexity BULLETIN of the MALAYSIAN MATHEMATICAL SCIENCES SOCIETY Bull. Malays. Math. Sc. Soc. () 7 (004), 5 35 Strog Covergece of Weghted Averaged Appromats of Asymptotcally Noepasve Mappgs Baach Spaces wthout

More information

CHAPTER VI Statistical Analysis of Experimental Data

CHAPTER VI Statistical Analysis of Experimental Data Chapter VI Statstcal Aalyss of Expermetal Data CHAPTER VI Statstcal Aalyss of Expermetal Data Measuremets do ot lead to a uque value. Ths s a result of the multtude of errors (maly radom errors) that ca

More information

Q-analogue of a Linear Transformation Preserving Log-concavity

Q-analogue of a Linear Transformation Preserving Log-concavity Iteratoal Joural of Algebra, Vol. 1, 2007, o. 2, 87-94 Q-aalogue of a Lear Trasformato Preservg Log-cocavty Daozhog Luo Departmet of Mathematcs, Huaqao Uversty Quazhou, Fua 362021, P. R. Cha ldzblue@163.com

More information

Lecture 02: Bounding tail distributions of a random variable

Lecture 02: Bounding tail distributions of a random variable CSCI-B609: A Theorst s Toolkt, Fall 206 Aug 25 Lecture 02: Boudg tal dstrbutos of a radom varable Lecturer: Yua Zhou Scrbe: Yua Xe & Yua Zhou Let us cosder the ubased co flps aga. I.e. let the outcome

More information

THE ROYAL STATISTICAL SOCIETY 2016 EXAMINATIONS SOLUTIONS HIGHER CERTIFICATE MODULE 5

THE ROYAL STATISTICAL SOCIETY 2016 EXAMINATIONS SOLUTIONS HIGHER CERTIFICATE MODULE 5 THE ROYAL STATISTICAL SOCIETY 06 EAMINATIONS SOLUTIONS HIGHER CERTIFICATE MODULE 5 The Socety s provdg these solutos to assst cadtes preparg for the examatos 07. The solutos are teded as learg ads ad should

More information

Entropy, Relative Entropy and Mutual Information

Entropy, Relative Entropy and Mutual Information Etro Relatve Etro ad Mutual Iformato rof. Ja-Lg Wu Deartmet of Comuter Scece ad Iformato Egeerg Natoal Tawa Uverst Defto: The Etro of a dscrete radom varable s defed b : base : 0 0 0 as bts 0 : addg terms

More information

Econometric Methods. Review of Estimation

Econometric Methods. Review of Estimation Ecoometrc Methods Revew of Estmato Estmatg the populato mea Radom samplg Pot ad terval estmators Lear estmators Ubased estmators Lear Ubased Estmators (LUEs) Effcecy (mmum varace) ad Best Lear Ubased Estmators

More information

Complete Convergence and Some Maximal Inequalities for Weighted Sums of Random Variables

Complete Convergence and Some Maximal Inequalities for Weighted Sums of Random Variables Joural of Sceces, Islamc Republc of Ira 8(4): -6 (007) Uversty of Tehra, ISSN 06-04 http://sceces.ut.ac.r Complete Covergece ad Some Maxmal Iequaltes for Weghted Sums of Radom Varables M. Am,,* H.R. Nl

More information

ENGI 4421 Joint Probability Distributions Page Joint Probability Distributions [Navidi sections 2.5 and 2.6; Devore sections

ENGI 4421 Joint Probability Distributions Page Joint Probability Distributions [Navidi sections 2.5 and 2.6; Devore sections ENGI 441 Jot Probablty Dstrbutos Page 7-01 Jot Probablty Dstrbutos [Navd sectos.5 ad.6; Devore sectos 5.1-5.] The jot probablty mass fucto of two dscrete radom quattes, s, P ad p x y x y The margal probablty

More information

Homework 1: Solutions Sid Banerjee Problem 1: (Practice with Asymptotic Notation) ORIE 4520: Stochastics at Scale Fall 2015

Homework 1: Solutions Sid Banerjee Problem 1: (Practice with Asymptotic Notation) ORIE 4520: Stochastics at Scale Fall 2015 Fall 05 Homework : Solutos Problem : (Practce wth Asymptotc Notato) A essetal requremet for uderstadg scalg behavor s comfort wth asymptotc (or bg-o ) otato. I ths problem, you wll prove some basc facts

More information

Lecture Notes Types of economic variables

Lecture Notes Types of economic variables Lecture Notes 3 1. Types of ecoomc varables () Cotuous varable takes o a cotuum the sample space, such as all pots o a le or all real umbers Example: GDP, Polluto cocetrato, etc. () Dscrete varables fte

More information

Random Variables and Probability Distributions

Random Variables and Probability Distributions Radom Varables ad Probablty Dstrbutos * If X : S R s a dscrete radom varable wth rage {x, x, x 3,. } the r = P (X = xr ) = * Let X : S R be a dscrete radom varable wth rage {x, x, x 3,.}.If x r P(X = x

More information

A tighter lower bound on the circuit size of the hardest Boolean functions

A tighter lower bound on the circuit size of the hardest Boolean functions Electroc Colloquum o Computatoal Complexty, Report No. 86 2011) A tghter lower boud o the crcut sze of the hardest Boolea fuctos Masak Yamamoto Abstract I [IPL2005], Fradse ad Mlterse mproved bouds o the

More information

1 Mixed Quantum State. 2 Density Matrix. CS Density Matrices, von Neumann Entropy 3/7/07 Spring 2007 Lecture 13. ψ = α x x. ρ = p i ψ i ψ i.

1 Mixed Quantum State. 2 Density Matrix. CS Density Matrices, von Neumann Entropy 3/7/07 Spring 2007 Lecture 13. ψ = α x x. ρ = p i ψ i ψ i. CS 94- Desty Matrces, vo Neuma Etropy 3/7/07 Sprg 007 Lecture 3 I ths lecture, we wll dscuss the bascs of quatum formato theory I partcular, we wll dscuss mxed quatum states, desty matrces, vo Neuma etropy

More information

CIS 800/002 The Algorithmic Foundations of Data Privacy October 13, Lecture 9. Database Update Algorithms: Multiplicative Weights

CIS 800/002 The Algorithmic Foundations of Data Privacy October 13, Lecture 9. Database Update Algorithms: Multiplicative Weights CIS 800/002 The Algorthmc Foudatos of Data Prvacy October 13, 2011 Lecturer: Aaro Roth Lecture 9 Scrbe: Aaro Roth Database Update Algorthms: Multplcatve Weghts We ll recall aga) some deftos from last tme:

More information

Summary of the lecture in Biostatistics

Summary of the lecture in Biostatistics Summary of the lecture Bostatstcs Probablty Desty Fucto For a cotuos radom varable, a probablty desty fucto s a fucto such that: 0 dx a b) b a dx A probablty desty fucto provdes a smple descrpto of the

More information

Laboratory I.10 It All Adds Up

Laboratory I.10 It All Adds Up Laboratory I. It All Adds Up Goals The studet wll work wth Rema sums ad evaluate them usg Derve. The studet wll see applcatos of tegrals as accumulatos of chages. The studet wll revew curve fttg sklls.

More information

Bounds on the expected entropy and KL-divergence of sampled multinomial distributions. Brandon C. Roy

Bounds on the expected entropy and KL-divergence of sampled multinomial distributions. Brandon C. Roy Bouds o the expected etropy ad KL-dvergece of sampled multomal dstrbutos Brado C. Roy bcroy@meda.mt.edu Orgal: May 18, 2011 Revsed: Jue 6, 2011 Abstract Iformato theoretc quattes calculated from a sampled

More information

CLASS NOTES. for. PBAF 528: Quantitative Methods II SPRING Instructor: Jean Swanson. Daniel J. Evans School of Public Affairs

CLASS NOTES. for. PBAF 528: Quantitative Methods II SPRING Instructor: Jean Swanson. Daniel J. Evans School of Public Affairs CLASS NOTES for PBAF 58: Quattatve Methods II SPRING 005 Istructor: Jea Swaso Dael J. Evas School of Publc Affars Uversty of Washgto Ackowledgemet: The structor wshes to thak Rachel Klet, Assstat Professor,

More information

,m = 1,...,n; 2 ; p m (1 p) n m,m = 0,...,n; E[X] = np; n! e λ,n 0; E[X] = λ.

,m = 1,...,n; 2 ; p m (1 p) n m,m = 0,...,n; E[X] = np; n! e λ,n 0; E[X] = λ. CS70: Lecture 21. Revew: Dstrbutos Revew: Idepedece Varace; Iequaltes; WLLN 1. Revew: Dstrbutos 2. Revew: Idepedece 3. Varace 4. Iequaltes Markov Chebyshev 5. Weak Law of Large Numbers U[1,...,] : Pr[X

More information

STK4011 and STK9011 Autumn 2016

STK4011 and STK9011 Autumn 2016 STK4 ad STK9 Autum 6 Pot estmato Covers (most of the followg materal from chapter 7: Secto 7.: pages 3-3 Secto 7..: pages 3-33 Secto 7..: pages 35-3 Secto 7..3: pages 34-35 Secto 7.3.: pages 33-33 Secto

More information

NP!= P. By Liu Ran. Table of Contents. The P versus NP problem is a major unsolved problem in computer

NP!= P. By Liu Ran. Table of Contents. The P versus NP problem is a major unsolved problem in computer NP!= P By Lu Ra Table of Cotets. Itroduce 2. Prelmary theorem 3. Proof 4. Expla 5. Cocluso. Itroduce The P versus NP problem s a major usolved problem computer scece. Iformally, t asks whether a computer

More information

The number of observed cases The number of parameters. ith case of the dichotomous dependent variable. the ith case of the jth parameter

The number of observed cases The number of parameters. ith case of the dichotomous dependent variable. the ith case of the jth parameter LOGISTIC REGRESSION Notato Model Logstc regresso regresses a dchotomous depedet varable o a set of depedet varables. Several methods are mplemeted for selectg the depedet varables. The followg otato s

More information

ENGI 3423 Simple Linear Regression Page 12-01

ENGI 3423 Simple Linear Regression Page 12-01 ENGI 343 mple Lear Regresso Page - mple Lear Regresso ometmes a expermet s set up where the expermeter has cotrol over the values of oe or more varables X ad measures the resultg values of aother varable

More information

{ }{ ( )} (, ) = ( ) ( ) ( ) Chapter 14 Exercises in Sampling Theory. Exercise 1 (Simple random sampling): Solution:

{ }{ ( )} (, ) = ( ) ( ) ( ) Chapter 14 Exercises in Sampling Theory. Exercise 1 (Simple random sampling): Solution: Chapter 4 Exercses Samplg Theory Exercse (Smple radom samplg: Let there be two correlated radom varables X ad A sample of sze s draw from a populato by smple radom samplg wthout replacemet The observed

More information

X X X E[ ] E X E X. is the ()m n where the ( i,)th. j element is the mean of the ( i,)th., then

X X X E[ ] E X E X. is the ()m n where the ( i,)th. j element is the mean of the ( i,)th., then Secto 5 Vectors of Radom Varables Whe workg wth several radom varables,,..., to arrage them vector form x, t s ofte coveet We ca the make use of matrx algebra to help us orgaze ad mapulate large umbers

More information

1. BLAST (Karlin Altschul) Statistics

1. BLAST (Karlin Altschul) Statistics Parwse seuece algmet global ad local Multple seuece algmet Substtuto matrces Database searchg global local BLAST Seuece statstcs Evolutoary tree recostructo Gee Fdg Prote structure predcto RNA structure

More information

On generalized fuzzy mean code word lengths. Department of Mathematics, Jaypee University of Engineering and Technology, Guna, Madhya Pradesh, India

On generalized fuzzy mean code word lengths. Department of Mathematics, Jaypee University of Engineering and Technology, Guna, Madhya Pradesh, India merca Joural of ppled Mathematcs 04; (4): 7-34 Publshed ole ugust 30, 04 (http://www.scecepublshggroup.com//aam) do: 0.648/.aam.04004.3 ISSN: 330-0043 (Prt); ISSN: 330-006X (Ole) O geeralzed fuzzy mea

More information

The Occupancy and Coupon Collector problems

The Occupancy and Coupon Collector problems Chapter 4 The Occupacy ad Coupo Collector problems By Sarel Har-Peled, Jauary 9, 08 4 Prelmares [ Defto 4 Varace ad Stadard Devato For a radom varable X, let V E [ X [ µ X deote the varace of X, where

More information

Lecture 12 APPROXIMATION OF FIRST ORDER DERIVATIVES

Lecture 12 APPROXIMATION OF FIRST ORDER DERIVATIVES FDM: Appromato of Frst Order Dervatves Lecture APPROXIMATION OF FIRST ORDER DERIVATIVES. INTRODUCTION Covectve term coservato equatos volve frst order dervatves. The smplest possble approach for dscretzato

More information

best estimate (mean) for X uncertainty or error in the measurement (systematic, random or statistical) best

best estimate (mean) for X uncertainty or error in the measurement (systematic, random or statistical) best Error Aalyss Preamble Wheever a measuremet s made, the result followg from that measuremet s always subject to ucertaty The ucertaty ca be reduced by makg several measuremets of the same quatty or by mprovg

More information

Random Variables. ECE 313 Probability with Engineering Applications Lecture 8 Professor Ravi K. Iyer University of Illinois

Random Variables. ECE 313 Probability with Engineering Applications Lecture 8 Professor Ravi K. Iyer University of Illinois Radom Varables ECE 313 Probablty wth Egeerg Alcatos Lecture 8 Professor Rav K. Iyer Uversty of Illos Iyer - Lecture 8 ECE 313 Fall 013 Today s Tocs Revew o Radom Varables Cumulatve Dstrbuto Fucto (CDF

More information

Chapter 3 Sampling For Proportions and Percentages

Chapter 3 Sampling For Proportions and Percentages Chapter 3 Samplg For Proportos ad Percetages I may stuatos, the characterstc uder study o whch the observatos are collected are qualtatve ature For example, the resposes of customers may marketg surveys

More information

Lecture 9: Tolerant Testing

Lecture 9: Tolerant Testing Lecture 9: Tolerat Testg Dael Kae Scrbe: Sakeerth Rao Aprl 4, 07 Abstract I ths lecture we prove a quas lear lower boud o the umber of samples eeded to do tolerat testg for L dstace. Tolerat Testg We have

More information

A conic cutting surface method for linear-quadraticsemidefinite

A conic cutting surface method for linear-quadraticsemidefinite A coc cuttg surface method for lear-quadratcsemdefte programmg Mohammad R. Osoorouch Calfora State Uversty Sa Marcos Sa Marcos, CA Jot wor wth Joh E. Mtchell RPI July 3, 2008 Outle: Secod-order coe: defto

More information

n -dimensional vectors follow naturally from the one

n -dimensional vectors follow naturally from the one B. Vectors ad sets B. Vectors Ecoomsts study ecoomc pheomea by buldg hghly stylzed models. Uderstadg ad makg use of almost all such models requres a hgh comfort level wth some key mathematcal sklls. I

More information

Multivariate Transformation of Variables and Maximum Likelihood Estimation

Multivariate Transformation of Variables and Maximum Likelihood Estimation Marquette Uversty Multvarate Trasformato of Varables ad Maxmum Lkelhood Estmato Dael B. Rowe, Ph.D. Assocate Professor Departmet of Mathematcs, Statstcs, ad Computer Scece Copyrght 03 by Marquette Uversty

More information

1 Lyapunov Stability Theory

1 Lyapunov Stability Theory Lyapuov Stablty heory I ths secto we cosder proofs of stablty of equlbra of autoomous systems. hs s stadard theory for olear systems, ad oe of the most mportat tools the aalyss of olear systems. It may

More information

CODING & MODULATION Prof. Ing. Anton Čižmár, PhD.

CODING & MODULATION Prof. Ing. Anton Čižmár, PhD. CODING & MODULATION Prof. Ig. Ato Čžmár, PhD. also from Dgtal Commucatos 4th Ed., J. G. Proaks, McGraw-Hll It. Ed. 00 CONTENT. PROBABILITY. STOCHASTIC PROCESSES Probablty ad Stochastc Processes The theory

More information

Module 7. Lecture 7: Statistical parameter estimation

Module 7. Lecture 7: Statistical parameter estimation Lecture 7: Statstcal parameter estmato Parameter Estmato Methods of Parameter Estmato 1) Method of Matchg Pots ) Method of Momets 3) Mamum Lkelhood method Populato Parameter Sample Parameter Ubased estmato

More information

THE ROYAL STATISTICAL SOCIETY GRADUATE DIPLOMA

THE ROYAL STATISTICAL SOCIETY GRADUATE DIPLOMA THE ROYAL STATISTICAL SOCIETY 3 EXAMINATIONS SOLUTIONS GRADUATE DIPLOMA PAPER I STATISTICAL THEORY & METHODS The Socety provdes these solutos to assst caddates preparg for the examatos future years ad

More information

Feature Selection: Part 2. 1 Greedy Algorithms (continued from the last lecture)

Feature Selection: Part 2. 1 Greedy Algorithms (continued from the last lecture) CSE 546: Mache Learg Lecture 6 Feature Selecto: Part 2 Istructor: Sham Kakade Greedy Algorthms (cotued from the last lecture) There are varety of greedy algorthms ad umerous amg covetos for these algorthms.

More information

Functions of Random Variables

Functions of Random Variables Fuctos of Radom Varables Chapter Fve Fuctos of Radom Varables 5. Itroducto A geeral egeerg aalyss model s show Fg. 5.. The model output (respose) cotas the performaces of a system or product, such as weght,

More information

Arithmetic Mean and Geometric Mean

Arithmetic Mean and Geometric Mean Acta Mathematca Ntresa Vol, No, p 43 48 ISSN 453-6083 Arthmetc Mea ad Geometrc Mea Mare Varga a * Peter Mchalča b a Departmet of Mathematcs, Faculty of Natural Sceces, Costate the Phlosopher Uversty Ntra,

More information

NP!= P. By Liu Ran. Table of Contents. The P vs. NP problem is a major unsolved problem in computer

NP!= P. By Liu Ran. Table of Contents. The P vs. NP problem is a major unsolved problem in computer NP!= P By Lu Ra Table of Cotets. Itroduce 2. Strategy 3. Prelmary theorem 4. Proof 5. Expla 6. Cocluso. Itroduce The P vs. NP problem s a major usolved problem computer scece. Iformally, t asks whether

More information

Entropy ISSN by MDPI

Entropy ISSN by MDPI Etropy 2003, 5, 233-238 Etropy ISSN 1099-4300 2003 by MDPI www.mdp.org/etropy O the Measure Etropy of Addtve Cellular Automata Hasa Aı Arts ad Sceces Faculty, Departmet of Mathematcs, Harra Uversty; 63100,

More information

Lecture 4 Sep 9, 2015

Lecture 4 Sep 9, 2015 CS 388R: Radomzed Algorthms Fall 205 Prof. Erc Prce Lecture 4 Sep 9, 205 Scrbe: Xagru Huag & Chad Voegele Overvew I prevous lectures, we troduced some basc probablty, the Cheroff boud, the coupo collector

More information

VARIABLE-RATE VQ (AKA VQ WITH ENTROPY CODING)

VARIABLE-RATE VQ (AKA VQ WITH ENTROPY CODING) VARIABLE-RATE VQ (AKA VQ WITH ENTROPY CODING) Varable-Rate VQ = Quatzato + Lossless Varable-Legth Bary Codg A rage of optos -- from smple to complex a. Uform scalar quatzato wth varable-legth codg, oe

More information

= 2. Statistic - function that doesn't depend on any of the known parameters; examples:

= 2. Statistic - function that doesn't depend on any of the known parameters; examples: of Samplg Theory amples - uemploymet househol cosumpto survey Raom sample - set of rv's... ; 's have ot strbuto [ ] f f s vector of parameters e.g. Statstc - fucto that oes't epe o ay of the ow parameters;

More information

The Mathematical Appendix

The Mathematical Appendix The Mathematcal Appedx Defto A: If ( Λ, Ω, where ( λ λ λ whch the probablty dstrbutos,,..., Defto A. uppose that ( Λ,,..., s a expermet type, the σ-algebra o λ λ λ are defed s deoted by ( (,,...,, σ Ω.

More information

Pseudo-random Functions

Pseudo-random Functions Pseudo-radom Fuctos Debdeep Mukhopadhyay IIT Kharagpur We have see the costructo of PRG (pseudo-radom geerators) beg costructed from ay oe-way fuctos. Now we shall cosder a related cocept: Pseudo-radom

More information

Johns Hopkins University Department of Biostatistics Math Review for Introductory Courses

Johns Hopkins University Department of Biostatistics Math Review for Introductory Courses Johs Hopks Uverst Departmet of Bostatstcs Math Revew for Itroductor Courses Ratoale Bostatstcs courses wll rel o some fudametal mathematcal relatoshps, fuctos ad otato. The purpose of ths Math Revew s

More information

Chapter 14 Logistic Regression Models

Chapter 14 Logistic Regression Models Chapter 4 Logstc Regresso Models I the lear regresso model X β + ε, there are two types of varables explaatory varables X, X,, X k ad study varable y These varables ca be measured o a cotuous scale as

More information

18.657: Mathematics of Machine Learning

18.657: Mathematics of Machine Learning 8.657: Mathematcs of Mache Learg Lecturer: Phlppe Rgollet Lecture 3 Scrbe: James Hrst Sep. 6, 205.5 Learg wth a fte dctoary Recall from the ed of last lecture our setup: We are workg wth a fte dctoary

More information

Johns Hopkins University Department of Biostatistics Math Review for Introductory Courses

Johns Hopkins University Department of Biostatistics Math Review for Introductory Courses Johs Hopks Uverst Departmet of Bostatstcs Math Revew for Itroductor Courses Ratoale Bostatstcs courses wll rel o some fudametal mathematcal relatoshps, fuctos ad otato. The purpose of ths Math Revew s

More information

D. VQ WITH 1ST-ORDER LOSSLESS CODING

D. VQ WITH 1ST-ORDER LOSSLESS CODING VARIABLE-RATE VQ (AKA VQ WITH ENTROPY CODING) Varable-Rate VQ = Quatzato + Lossless Varable-Legth Bary Codg A rage of optos -- from smple to complex A. Uform scalar quatzato wth varable-legth codg, oe

More information

QR Factorization and Singular Value Decomposition COS 323

QR Factorization and Singular Value Decomposition COS 323 QR Factorzato ad Sgular Value Decomposto COS 33 Why Yet Aother Method? How do we solve least-squares wthout currg codto-squarg effect of ormal equatos (A T A A T b) whe A s sgular, fat, or otherwse poorly-specfed?

More information

Lecture 7. Confidence Intervals and Hypothesis Tests in the Simple CLR Model

Lecture 7. Confidence Intervals and Hypothesis Tests in the Simple CLR Model Lecture 7. Cofdece Itervals ad Hypothess Tests the Smple CLR Model I lecture 6 we troduced the Classcal Lear Regresso (CLR) model that s the radom expermet of whch the data Y,,, K, are the outcomes. The

More information

5 Short Proofs of Simplified Stirling s Approximation

5 Short Proofs of Simplified Stirling s Approximation 5 Short Proofs of Smplfed Strlg s Approxmato Ofr Gorodetsky, drtymaths.wordpress.com Jue, 20 0 Itroducto Strlg s approxmato s the followg (somewhat surprsg) approxmato of the factoral,, usg elemetary fuctos:

More information

Algorithms Design & Analysis. Hash Tables

Algorithms Design & Analysis. Hash Tables Algorthms Desg & Aalyss Hash Tables Recap Lower boud Order statstcs 2 Today s topcs Drect-accessble table Hash tables Hash fuctos Uversal hashg Perfect Hashg Ope addressg 3 Symbol-table problem Symbol

More information

. The set of these sums. be a partition of [ ab, ]. Consider the sum f( x) f( x 1)

. The set of these sums. be a partition of [ ab, ]. Consider the sum f( x) f( x 1) Chapter 7 Fuctos o Bouded Varato. Subject: Real Aalyss Level: M.Sc. Source: Syed Gul Shah (Charma, Departmet o Mathematcs, US Sargodha Collected & Composed by: Atq ur Rehma (atq@mathcty.org, http://www.mathcty.org

More information

Regression and the LMS Algorithm

Regression and the LMS Algorithm CSE 556: Itroducto to Neural Netorks Regresso ad the LMS Algorthm CSE 556: Regresso 1 Problem statemet CSE 556: Regresso Lear regresso th oe varable Gve a set of N pars of data {, d }, appromate d b a

More information

Generalization of the Dissimilarity Measure of Fuzzy Sets

Generalization of the Dissimilarity Measure of Fuzzy Sets Iteratoal Mathematcal Forum 2 2007 o. 68 3395-3400 Geeralzato of the Dssmlarty Measure of Fuzzy Sets Faramarz Faghh Boformatcs Laboratory Naobotechology Research Ceter vesa Research Isttute CECR Tehra

More information

CS 2750 Machine Learning. Lecture 8. Linear regression. CS 2750 Machine Learning. Linear regression. is a linear combination of input components x

CS 2750 Machine Learning. Lecture 8. Linear regression. CS 2750 Machine Learning. Linear regression. is a linear combination of input components x CS 75 Mache Learg Lecture 8 Lear regresso Mlos Hauskrecht mlos@cs.ptt.edu 539 Seott Square CS 75 Mache Learg Lear regresso Fucto f : X Y s a lear combato of put compoets f + + + K d d K k - parameters

More information

Part 4b Asymptotic Results for MRR2 using PRESS. Recall that the PRESS statistic is a special type of cross validation procedure (see Allen (1971))

Part 4b Asymptotic Results for MRR2 using PRESS. Recall that the PRESS statistic is a special type of cross validation procedure (see Allen (1971)) art 4b Asymptotc Results for MRR usg RESS Recall that the RESS statstc s a specal type of cross valdato procedure (see Alle (97)) partcular to the regresso problem ad volves fdg Y $,, the estmate at the

More information

1 0, x? x x. 1 Root finding. 1.1 Introduction. Solve[x^2-1 0,x] {{x -1},{x 1}} Plot[x^2-1,{x,-2,2}] 3

1 0, x? x x. 1 Root finding. 1.1 Introduction. Solve[x^2-1 0,x] {{x -1},{x 1}} Plot[x^2-1,{x,-2,2}] 3 Adrew Powuk - http://www.powuk.com- Math 49 (Numercal Aalyss) Root fdg. Itroducto f ( ),?,? Solve[^-,] {{-},{}} Plot[^-,{,-,}] Cubc equato https://e.wkpeda.org/wk/cubc_fucto Quartc equato https://e.wkpeda.org/wk/quartc_fucto

More information

Exchangeable Sequences, Laws of Large Numbers, and the Mortgage Crisis.

Exchangeable Sequences, Laws of Large Numbers, and the Mortgage Crisis. Exchageable Sequeces, Laws of Large Numbers, ad the Mortgage Crss. Myug Joo Sog Advsor: Prof. Ja Madel May 2009 Itroducto The law of large umbers for..d. sequece gves covergece of sample meas to a costat,.e.,

More information

Basics of Information Theory: Markku Juntti. Basic concepts and tools 1 Introduction 2 Entropy, relative entropy and mutual information

Basics of Information Theory: Markku Juntti. Basic concepts and tools 1 Introduction 2 Entropy, relative entropy and mutual information : Maru Jutt Overvew he propertes of adlmted Gaussa chaels are further studed, parallel Gaussa chaels ad Gaussa chaels wth feedac are solved. Source he materal s maly ased o Sectos.4.6 of the course oo

More information

Unsupervised Learning and Other Neural Networks

Unsupervised Learning and Other Neural Networks CSE 53 Soft Computg NOT PART OF THE FINAL Usupervsed Learg ad Other Neural Networs Itroducto Mture Destes ad Idetfablty ML Estmates Applcato to Normal Mtures Other Neural Networs Itroducto Prevously, all

More information

Chapter 5. Presentation. Entropy STATISTICAL CODING

Chapter 5. Presentation. Entropy STATISTICAL CODING Chapter 5 STATISTICAL CODING Presetato Etropy Iformato data codg Iformato data codg coded represetato of formato Ijectve correspodece Message {b } Multples roles of codg Preparg the trasformato message

More information

Estimation of Stress- Strength Reliability model using finite mixture of exponential distributions

Estimation of Stress- Strength Reliability model using finite mixture of exponential distributions Iteratoal Joural of Computatoal Egeerg Research Vol, 0 Issue, Estmato of Stress- Stregth Relablty model usg fte mxture of expoetal dstrbutos K.Sadhya, T.S.Umamaheswar Departmet of Mathematcs, Lal Bhadur

More information

BIOREPS Problem Set #11 The Evolution of DNA Strands

BIOREPS Problem Set #11 The Evolution of DNA Strands BIOREPS Problem Set #11 The Evoluto of DNA Strads 1 Backgroud I the md 2000s, evolutoary bologsts studyg DNA mutato rates brds ad prmates dscovered somethg surprsg. There were a large umber of mutatos

More information

1 Solution to Problem 6.40

1 Solution to Problem 6.40 1 Soluto to Problem 6.40 (a We wll wrte T τ (X 1,...,X where the X s are..d. wth PDF f(x µ, σ 1 ( x µ σ g, σ where the locato parameter µ s ay real umber ad the scale parameter σ s > 0. Lettg Z X µ σ we

More information

Assignment 5/MATH 247/Winter Due: Friday, February 19 in class (!) (answers will be posted right after class)

Assignment 5/MATH 247/Winter Due: Friday, February 19 in class (!) (answers will be posted right after class) Assgmet 5/MATH 7/Wter 00 Due: Frday, February 9 class (!) (aswers wll be posted rght after class) As usual, there are peces of text, before the questos [], [], themselves. Recall: For the quadratc form

More information

1. A real number x is represented approximately by , and we are told that the relative error is 0.1 %. What is x? Note: There are two answers.

1. A real number x is represented approximately by , and we are told that the relative error is 0.1 %. What is x? Note: There are two answers. PROBLEMS A real umber s represeted appromately by 63, ad we are told that the relatve error s % What s? Note: There are two aswers Ht : Recall that % relatve error s What s the relatve error volved roudg

More information

Qualifying Exam Statistical Theory Problem Solutions August 2005

Qualifying Exam Statistical Theory Problem Solutions August 2005 Qualfyg Exam Statstcal Theory Problem Solutos August 5. Let X, X,..., X be d uform U(,),

More information

Continuous Distributions

Continuous Distributions 7//3 Cotuous Dstrbutos Radom Varables of the Cotuous Type Desty Curve Percet Desty fucto, f (x) A smooth curve that ft the dstrbuto 3 4 5 6 7 8 9 Test scores Desty Curve Percet Probablty Desty Fucto, f

More information