For questions about estimation and how and when to estimate correctly

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3
votes
2answers
49 views

Difficult to understand difference between the estimates on E(X) and V(X) and the estimates on variance and std.dev. on lambda-hat

I'm having a very hard time to separate estimates on population values versus estimates on sample values. I'm struggling with this exercise (not homework, self-study for my exam in introductionary ...
0
votes
0answers
40 views

estimations in the birthday paradox?

The birthday paradox is the famous following problem: What is the probability $p_n$ that at least $2$ persons amongst $n$ persons chosen at random have the same birthday? Leap years are not taken ...
0
votes
0answers
9 views

Deriving conditional distributions for a normally distributed change point problem

Considering the change point problem of $y_i \left\{ \begin{array}{ll} y_i \tilde{~} N(u_1, \sigma) & i=1,..,t \\ y_i \tilde{~} N(u_2,\sigma) & i= t+1,...,n \\ \end{array} ...
0
votes
0answers
20 views

multivariate interval estimation

I have several samples of probabilistic vectors, i.e, each sample is of the form $(x_1, \cdots, x_n)$ such that $\sum_{i=1}^n x_i\leq 1$ (they are sub-probabilistic vectors), how can I obtain a ...
1
vote
1answer
311 views

Confidence Interval for Pareto Distribution

A random variable is said to have probability density function $$f_X(x)=\frac{\alpha k^\alpha}{x^{\alpha +1}},\quad \alpha , k>0 \; \text{ and }\; x>k.$$ 1. Compute the MLE estimators ...
1
vote
0answers
26 views

Estimating compound growth

I have a compound interest function with the following parameters: Value at time 0 = 13.8 Interest rate = 0.05 time interval = 10 I need to check quickly, (without a calculator, only pen and paper) ...
1
vote
0answers
37 views

Estimating the size of my population

I have a following problem: Imagine you have a hat with many different balls in it and you want to estimate, how many balls are totally in the hat. The only think you are allowed to do is to take one ...
-1
votes
1answer
25 views

variance and sample confused

when solving (b) Is variance $$V(\frac{1}{2}(x_1+x_2)) = \frac{1}{4}V(x_1+x_2)= \frac{1}{4}(v(x_1)+v(x_2))= \frac{1}{2}\sigma^2$$ or should I divide variance by the sample size so that ...
3
votes
1answer
71 views

student's $t$-distribution

Random sample of $457$ Sample mean = $3.59$ Sample standard deviation $1.045$ Confidence interval from $3.49$ to $3.69$ What is the confidence level? How can I get the answer when sample size is ...
8
votes
1answer
205 views

Estimates for the normal approximation of the binomial distribution

I'm interested in estimates of the normal approximation for binomial distributions, i.e. in estimates of $$\sup_{x\in\mathbb R}\left|P\left(\frac{B(p,n)-np}{\sqrt{npq}} \le x\right) - ...
2
votes
1answer
57 views

Conditional expectation and rao-blacwell

I am studying on UMVUE, and I'm struggling to find that conditional expectation Let $X_1,\ldots,X_n$ random sample of $X\sim U[0,\theta]$. i) Show that $2X_1$ is a unbiased estimator for $\theta$ and ...
3
votes
1answer
263 views

Kurtosis of sum of Independent Random Variables

Suppose that $X$ and $Y$ are independent random variables with different expected values and variances. Suppose we define kurtosis as $$Kurt(X)=\frac{E[(X- \mu)^4]}{E[(X- \mu)^2]^2}$$ My question is ...
4
votes
1answer
87 views

Why has the Stein operator for normal approximations the form $(\mathcal Af)(x)=f^\prime(x)-xf(x)$?

My Question: Why has the Stein operator $\mathcal A$ for normal approximations the form $(\mathcal Af)(x)=f^\prime(x)-xf(x)$? How can one deduce this form of the operator? Reason for my question: I ...
0
votes
1answer
29 views

Is the event is plausible or not?

An atlete specialized in long jump events jumps an average of $\bar x=7.91m$ in $12$ trials. The standard error of the mean jump distance in these trials is $0.2m$. Is it plausible that when the ...
0
votes
1answer
62 views

Defining bias function for n trial

Let a point estimate for the sample variance be given as $\hat{\sigma}^2 = \frac{1}{n}\sum\limits_{i=1}^n(X_i- \bar{X})^2$ where $n$ is the number of samples. What is the bias in this estimate as a ...
1
vote
1answer
245 views

comparing MSE of estimations of binomial random variables

$X$ is a binomial random variable defined over 12 Bernoulli trials with a success probability of $p$ in each (i.e. $X\sim\operatorname{Bin}(12,p)$. Consider $\hat p=\frac X{10}$ Determine the range ...
-2
votes
2answers
41 views

Integral with logarithm is positive

Given the following integral: $$I(f) = \int_\mathbb{R} f(x) \log \left(f(x) \sqrt{2\pi} e^{\frac{x^2}{2}}\right) dx,$$ where we assume $\int_{\mathbb{R}} f(x)\, dx =1$ and $f\geq 0$ a.e. Assume for ...
0
votes
1answer
28 views

Estimation of the integral

I am trying to compute, or find a good estimate from above the following integral $$ \frac{1}{\pi}\int_{-\infty}^{\infty}|t|^{-1/p}\left|\frac{|t|^{\nu}-1}{t-1}\right|dt, $$where $0<1/p<1$ and ...
3
votes
2answers
52 views

Show that MLE of $\lambda = \frac{n-T_n}{S_n+cT_n}$

$X_i$ are i.i.d exponential, mean $\lambda^{-1}$ for $1 \leq i \leq n$ and, the values are measured such that $X_i = c$ if $X_i \geq c$ and $X_i$ otherwise. Show that MLE of $\lambda = ...
2
votes
3answers
451 views

Simpson's rule to estimate distance traveled given velocity at certain points

Problem: A boat drives a steady course with a variable speed for 4 hours. The speed is registered at regular intervals in meters per second. The registration shows $2.4, 4.4, 7.6, 8.4, 8.6, 7.9, ...
1
vote
1answer
35 views

How to find the estimator using random variables in statistics

I'm doing an assignment for homework in my statistics class. I'm having trouble really understanding what is going on when it comes to estimators, and what the estimator of something is given a random ...
3
votes
0answers
97 views

Sufficient statistics and UMVUE for joint poisson, bernoulli

Given a pair $(X,Y)$ of r.v.s such that: $$X \sim \text{Poisson}(\lambda)\quad \text{and}\quad Y \sim B(\frac{\lambda}{1+\lambda})$$ with $X,Y$ independent, determine a one-dimensional ...
6
votes
0answers
56 views

Estimation of the order of torsion in $\mathrm{GL}(n,\mathbb Z)$

Let $A \in \mathrm{GL}(n,\mathbb Z)$ be a torsion, I would like to prove that $\mathrm{order}(A)\leq K\exp (cn^{\alpha})$, with $0<\alpha <1$, for $n$ "large enough". I know that if ...
0
votes
1answer
51 views

Unbiasedness and Minimum Variance of Estimators of Exponential Distribution

We have an exponential random variable $X$ and we take two samples $X_1$ and $X_2$. $f(x,\theta) = (\frac{1}{\theta})\times e^{(\frac {-x}{\theta})}, x\gt0$, $\theta$ being an unknown parameter. We ...
0
votes
2answers
300 views

How do I determine the transfer function of a plant?

I sitting here with a system which I have to determine the transfer function. The unit receives a velocity and position, and move towards that position with the given velocity. What kind of test ...
1
vote
2answers
27 views

Trouble finding an estimator from a discrete RV

Okay, so I am trying to find unbiased and consistent estimators of parameter $a$ from sequence of RVs that represent unfair dice rolls: it rolls 1 with probability of $1+a$, 6 with probability of ...
0
votes
1answer
40 views

Estimating a power series for the order of an entire function

Let $0<s<1$ and consider the power series $$\sum_{n=0}^{\infty}\frac{r^n}{(n!)^{1/s}}.$$ I need to show that for any given $\epsilon>0$, there exists $R>0$ such that for all $r>R$, ...
0
votes
0answers
28 views

There is an estimation of a $ \sum_{x\in\mathbb{F}_p} \left(\frac{a_{n}x^n+a_{n-1}x^{n-1}+…a_0}{p} \right) \le (n-1)\sqrt{p}$

Where can I find a proof of the following inequality? ( $n$ is odd) $$ \sum_{x\in\mathbb{F}_p} \left(\frac{a_{n}x^n+a_{n-1}x^{n-1}+...a_0}{p} \right) \le (n-1)\sqrt{\vphantom{d}p} $$ I read that ...
0
votes
2answers
96 views

How to fastest approximate definite integrals

I know that a definite integral is a limit of Riemann sums. So if one wanted to estimate a definite integral (because one might not be able to find an antiderivative), then one can just take enough ...
1
vote
0answers
51 views

Estimation of a certain Integral

I estimated (w.r.t. $\varepsilon$) the expression \begin{align} &\left|\int_{-1}^{x_0-\varepsilon} (1-x)^{n-p}(1+x)^p+\int_{x_0+\varepsilon}^1 (1-x)^{n-p}(1+x)^p \, dx \right | \\[6pt] \leqslant ...
1
vote
1answer
34 views

Estimate $\ln\left( 1.04^{0.25} + 0.98^{0.2} -1 \right)$ with 2D Taylor

I need to estimate $\ln\left( 1.04^{0.25} + 0.98^{0.2} -1 \right)$ with a Taylor approximation of a two variable function (i.e. x and y). Eventually I managed to pull the (presumably) correct ...
1
vote
2answers
48 views

How to estimate the axis of symmetry for an even function with error?

I have a situation here, where, for an unknown $t$, and an unknown but nice* real function $f$, for which $x\rightarrow f(x-t)$ is even, I measure $f(x) + \epsilon_x$, where $\epsilon_x$ is some kind ...
0
votes
1answer
173 views

least mean squares(conditional expectation) problem

The lifetime of a type-A bulb is exponentially distributed with parameter $2$. The lifetime of a type-B bulb is exponentially distributed with parameter $3$. You have a box full of lightbulbs of the ...
2
votes
2answers
35 views

Statistics - Estimation problem

I am struggling with a statistics problem that seems quite easy but don't know what to do. In a factory a product is given to two experts - X and Y. They have to independently test the product and ...
0
votes
1answer
43 views

chose the best path for estimation

I have a Cartesian grid (100x100) in which some of the points are known (30 out of 10,000) and the rest are unknown. I want to use the known points and estimate the other cells. Is there any ...
0
votes
1answer
24 views

standard error for the parameters of a linear regression model

Given a linear model $\mathbf{y} = \beta \mathbf{X} + \epsilon$, it is well known that the estimate for $\beta$ that gives the minimum residual sum of squares (RSS) is given by $\hat{\beta} = ...
0
votes
1answer
54 views

interval learning unbiased estimator

Suppose that I draw $n$ points uniformly at random from $\mathcal{U}(-a,a)$ for some $a\in\mathbb{R}_+$. Denote this set of points $\{X_i\}_{i=1}^n$. Now for some $-a < x_1 < x_2 < a$, let a ...
2
votes
1answer
25 views

Show $\sum_{n\leq k\leq 2n}2^{-2k}\log(k)\leq C\, 2^{-2n}\log(n)$

I'd like to prove $$\sum_{n\leq k\leq 2n}2^{-2k}\log(k)\leq C \, 2^{-2n}\log(n),$$ where $C>0$ is a constant. Can someone give me a hint.
0
votes
1answer
14 views

Density Estimation and Analysis

This is an excerpt from BW Silverman's 'Density Estimation for Statistics and Data Analysis.' The oldest and most widely used density estimator is the histogram. Given an origin $x_0$ and a bin ...
2
votes
0answers
57 views

Maximum likelihood estimator(MLE)

Consider a sample from a distribution with PDF $$f(x) = \begin{cases} \frac{1}{2}(1+\theta x), & -1 \leq x \leq 1\\ 0, & otherwise \end{cases} $$ find the maximum likelihood estimator of ...
0
votes
0answers
35 views

estimating the probability density function of a random variable $X$

I have a random variable $X$ that is a sum of two non-independent random variables $X_1$ and $X_2$. Since $X_1$ and $X_2$ are non-independent, then convolution theorem cannot be used to find the pdf ...
0
votes
2answers
101 views

parameter estimation for propotional equations of three variables

I am modeling a system that should estimate a parameter $\beta \in [0,1]$ which is directly proportional to two other variables $P \in [0,1]$ and $NV \in \{0,1,2,\cdots,N\}$, and inversely ...
1
vote
2answers
35 views

Problems with this max likelihood estimation

I have the following density function: $f(x;\omega) = \omega*x^{(\omega-1)}*I_{(0,1)}(x)$ for $\omega > 0$ First I want to have the Likelihoodfuntion, which is $\prod_{i=1}^n f(x_i;\omega)$ I ...
1
vote
0answers
35 views

Squared error consistent is asymptotically unbiased lim$_{n→ \infty} E[(\hat\theta_n - \theta)^2] = 0$

An estimator $\hat\theta_n$ is said to be squared error consistent for $\theta$ if lim$_{n→ \infty} E[(\hat\theta_n - \theta)^2] = 0$ a) Show that any squared error consistent $\theta_n$ is ...
1
vote
4answers
59 views

Does the inequality $ n! > A \cdot B^{2n+1}$ hold for sufficiently large $n$?

Suppose $A,B >0$ are given constants. Is it possible to find a large enough $n \in \mathbb{N}$ such that $$ n! > A \cdot B^{2n+1}?$$
1
vote
1answer
170 views

Expectation - Sample Covariance

I am trying to derive the expectation $\mathbb E$ of the sample covariance $$\overline{cov}_{X,Y} := \frac{1}{n-1}\cdot \sum_{i=1}^n (X_i-\overline X)(Y_i - \overline Y)$$ where $\overline X = \frac1n ...
4
votes
0answers
91 views

Can the limit of the MSE of an estimator be infinity?

Is it ever possible for the limit of the MSE of an estimator be infinity? I was doing an exercise and it turns out that the estimator is consistent but the limit of the MSE is infinity, so I am ...
1
vote
1answer
41 views

Given f(x) and two correlated random variables x & y, how do I estimate the correlation of f(x) & f(y)

I have a smooth continuous well-behaved function f(x), where f(x) is positive and mononically increasing with x, and x is positive real continuous variable. Given the mean, variance, and correlation ...
2
votes
1answer
51 views

Help show a statistic converges in probability given another statistic that converges in probability

Let $Y = (Y_1,\dots,Y_n)$ be a random sample from $N(\mu,1)$ and $\bar{Y}=\sum\limits_{i=1}^nY_i/n$ I am given that $\bar{Y}^2$ converges in probability to $\mu^2$ and now need to show that ...
0
votes
1answer
27 views

Determine an appropriate size of sample

Let's say I have a pool of $N$ balls, which can be of $n$ colors $A_1, \cdots, A_n$. $N$ is much bigger than $n$. What number of balls must I draw if I want to have a good estimate of $R_1, \cdots, ...