Estimation of Parameters

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CHAPTER Probability, Statistics, and Reliability for Engineers and Scientists FUNDAMENTALS OF STATISTICAL ANALYSIS Second Edition A. J. Clark School of Engineering Department of Civil and Environmental Engineering 8b Probability and Statistics for Civil Engineers Department of Civil and Environmental Engineering University of Maryland, College Park CHAPMAN HALL/CRC CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 1 Classification of Models In terms of random variables Univariate Bivariate Multivariate In terms of parameters One-parameter Model Two-parameter Model Three-parameter Model 1

CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 2 Examples: Univariate with two parameters Normal Distribution Univariate with one parameter Exponential Distribution Bivariate with two parameters Bivariate power model Y ˆ = ax b CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 3 Estimation of the Parameters Samples are used to develop a model that can represent the population and to estimate the parameters of the population model The parameters can be estimated in the form of Point Estimates (single value) Interval Estimates (range of values) 2

CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 4 Classical estimation of parameters are divided into: Point Estimation Point estimation is concerned with the calculation of a single number from a set of observed data to represent the parameter of underlying population. Interval Estimation Interval estimation goes further to establish a statement of confidence in the estimated quantity, resulting in the determination of an interval indicating the range where the population parameter may be located. CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 5 Theoretical Model Random Variable X Real Line : + with distribution Role of Sampling in Statistical Inference REAL WORLD POPULATION (True Characteristics are Unknown) Sampling (experimental Observations) < x < Sample : f ( x) { x, x,... x } 1 2 n X Mean µ X 2 Variance σ S 2 Inference On f X ( x) Statistical Estimation n 1 X = xi n i = 1 2 1 S = n 1 n x X 2 i i 1 ( ) 3

CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 6 Properties of Estimators Bias Precision Accuracy Consistency Efficiency Sufficiency CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 7 Bias An estimate of a parameter θ made from sample statistic is said to be an unbiased estimate if the expected value of the sample quantity θˆ is θ; that is E( θˆ) = θ The bias is defined as [ E(θˆ) -θ] 4

CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 8 Bias Definition: Bias is a systematic deviation of values from the true value CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 9 Bias Consider four experiments where each experiment is repeated six times. The following table shows the results of the four experiments: True (Population) Exp. A Exp. B Exp. C Exp D Mean 15 15 24 7 14 5

CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 10 CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 11 Bias Experiment A is unbiased because its expected value (mean) equals the true mean. Experiments B, C, and D show varying degrees of bias. Experiment B has a positive bias of 9, whereas the bias of C and D are negative. Experiment B tends to overestimate θ, while C and D tend to underestimate θ. 6

CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 12 Precision In addition to the systematic variation, variation in an observation may be due to random error. Random error is measured by fluctuations in the value of a variable that occur when the same experiment is performed more than once. CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 13 Precision Random error can be a result of: 1. Errors in judgment. 2. Uncontrollable variation in environmental conditions. 3. Differences due to deficiencies in defining the quantity being measured, and 4. Intrinsically random process 7

CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 14 Precision Definition: Precision is defined as the ability of an estimator to give repeated estimates that are very close to each other. CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 15 Precision Precision can be expressed in terms of the variance of the estimator. Precision Var( θ) Var( θ) Var( θ) = 0 Lack of precision High precision Absolute precision 8

CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 16 Precision Consider four experiments where each experiment is repeated six times. The following table shows the results of the four experiments: Exp. A Exp. B Exp. C Exp D Var 1.6 1.6 10.6 6.8 Note: Variance is about the sample mean for each experiment CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 17 9

CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 18 Precision Experiment A and B show considerably more precision (i.e., they have lower variances). Experiment C has the largest variation, therefore, it is the least precise. Experiments A and B have the same level of variation, however, A is unbiased, whereas B is highly biased. CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 19 Accuracy Definition: Accuracy is defined as the closeness or nearness of the measurements to the true or actual value of the quantity being measured. 10

CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 20 Accuracy Bias and Precision are considered elements of Accuracy. Bias + Precision Accuracy Inaccuracy can result from either a bias or a lack of precision. CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 21 Accuracy Consider four experiments where each experiment is repeated six times. The following table shows the results of the four experiments: Exp. A Exp. B Exp. C Exp D Var 1.6 98.8 87.6 8.0 Note: Variance is about the true mean of the population (i.e., 15) 11

CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 22 CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 23 Bias, Precision, and Accuracy Consider the four dartboards of the following figure. Assuming that these shooting at the targets were aiming at the center, the person shooting at target A was successful. 12

CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 24 Bias, Precision, and Accuracy B A Increasing Precision D C Increasing Accuracy CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 25 Bias, Precision, and Accuracy The holes in target B are similarly clustered as in target B, but they show large deviation from the center. The holes in target C are very different in character from the holes in either target A or B. They are not near the center, and they are not near each other. 13

CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 26 Bias, Precision, and Accuracy The holes in target A and B show a measure of precision, therefore, the shooters were precise. The shooters of targets C and D were imprecise since the holes show a lot of scatter. The holes in targets B and D are consistently to the left, that is, there is a systematic distortion of the hole with respect to the center of the target. CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 27 Bias, Precision, and Accuracy B A Increasing Precision D Increasing Accuracy C 14

CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 28 Bias, Precision, and Accuracy The holes in targets B and D show a systematic deviation to the left. Targets A and C are considered to unbiased because there is no systematic deviation. In the figure, accuracy increases as precision increases, therefore, the shooter of target A is the most accurate. CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 29 Mean Square Error (MSE) Accuracy reflects both Systematic error Random error Both sources must be assessed when selecting one estimator from others, specially, a biasd estimator is preferable to an unbiased estimator if the precision of the biased estimator is significantly better than that of the unbiased estimator. 15

CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 30 Mean Square Error (MSE) The MSE is defined as the expected value of the square of the deviation of the estimate from the true value. It is equal to the variance of the estimate plus the square of the bias. The MSE is considered a measure of accuracy. CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 31 Consistency, Sufficiency, and Efficiency Consistency An estimator is said to be consistent if the probability that θˆ will deviate from θ more than any fixed amount ε > 0, approaches zero as the sample size (n) becomes larger and larger. P ( θˆ -θ ε) 1 as n 16

CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 32 Consistency Consistency is a sample size property of the estimator. It can be shown that unbiased estimators are consistent estimators. However, a consistent estimator is not necessarily unbiased. For example, the sample variance is consistent but must be corrected for its biasedness by multiplying it by the factor n/(n-1) CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 33 Consistency, Sufficiency, and Efficiency Sufficiency An estimator is said to be sufficient if it exhausts all possible information on θ in a θˆ sample of any size. Sufficiency implies that no other estimator computed from the same sample can provide additional information about θ 17

CHAPTER 8b. FUNDAMENTALS OF STATISTICAL ANALYSIS Slide No. 34 Consistency, Sufficiency, and Efficiency Efficiency Efficiency is an important criterion for evaluating the quality of an estimator. A consistent estimate is said to be more efficient than another estimate θˆ1 if θˆ 2 Var ( θˆ 1) < Var( θˆ 2 ) An estimate is considered efficient if it has the smallest variance of all available estimators. 18