For questions about estimation and how and when to estimate correctly

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42
votes
10answers
2k views

What is the fastest/most efficient algorithm for estimating Euler's Constant $\gamma$?

What is the fastest algorithm for estimating Euler's Constant $\gamma \approx0.57721$? Using the definition: $$\lim_{n\to\infty} \sum_{x=1}^{n}\frac{1}{x}-\log n=\gamma$$ I finally get $2$ decimal ...
21
votes
8answers
1k views

Mental estimate for tangent of an angle (from $0$ to $90$ degrees)

Does anyone know of a way to estimate the tangent of an angle in their head? Accuracy is not critically important, but within $5%$ percent would probably be good, 10% may be acceptable. I can ...
16
votes
3answers
394 views

Approximating $100!$

I participated in an Estimathon (a speed contest of Fermi problems) not long ago. It works as follows. Contestants are given questions and they must give a closed range $[a,b]$ which should contain ...
6
votes
4answers
296 views

A calculation that goes awfully wrong if we let $\pi=22/7$

Me and one of my friends had an argument and he said that using $22/7$ as value of $\pi$ is sufficient for any calculation. Can we always take it $22/7$, or is there some example of some calculation ...
6
votes
2answers
706 views

Is there a lower-bound version of the triangle inequality for more than two terms?

The triangle inequality $|x+y|\leq|x|+|y|$ can be generalized by induction to $$|x_1+\ldots+ x_n|\leq|x_1|+\ldots+|x_n|.$$ Can we generalize the version $|x+y|\geq||x|-|y||$ to $n$ terms too? I need ...
6
votes
1answer
57 views

Finding a better upper bound for an integral of a product of $n$ terms

So I'm trying to find and upper bound for the integral $$ \int\limits_{a}^b \! (x-x_1)^2 \cdots (x-x_n)^2\, \mathrm{d}x, $$ where $x_i \in [a,b], \enspace \forall i=1,\dots ,n.$ I've tried ...
6
votes
1answer
97 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) - ...
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 ...
5
votes
1answer
157 views

Estimating a gaussian distribution from a GMM

Suppose that we have a Gaussian mixture model (GMM) in n-dimensional space: $$P_1(x) = \sum_{i=1}^{C}\pi(c_i)\mathcal{N}(\mu_i,\Sigma_i)$$ We want to estimate a single Gaussian distribution from ...
5
votes
1answer
119 views

Berry-Esseen bound for binomial distribution

From the Berry-Essen theorem I can deduce $$\sup_{x\in\mathbb R}\left|P\left(\frac{B(p,n)-np}{\sqrt{npq}} \le x\right) - \Phi(x)\right| \le \frac{C(p^2+q^2)}{\sqrt{npq}}$$ with $C \le 0.4748$. My ...
5
votes
2answers
294 views

Naively estimating the factorial

A naive way to estimate the factorial is $n! \geq (a+1) (a+2) \dots n \geq a^{n-a}$ for any $a$. For example, it gives $n! \geq (n/2)^{n/2}$ and slightly better $n! \geq (n/3)^{2n/3}$. I am interested ...
5
votes
1answer
64 views

An estimate of $C^2$

Let $u$ be a function on a domain $\Omega\subset R^n$, and $D^2u=\left(\frac{\partial^2 u}{\partial x_i\partial x_j}\right)_{n\times n}$ be the Hessian of $u$. If $D^2u$ is positively definite and ...
5
votes
3answers
6k views

Maximum likelihood estimation of $a,b$ for a uniform distribution on $[a,b]$

I'm supposed to calculate the MLE's for $a$ and $b$ from a random sample of $(X_1,...,X_n)$ drawn from a uniform distribution on $[a,b]$. But the likelihood function, ...
4
votes
1answer
261 views

Estimating the sum $\sum_{k=2}^{\infty} \frac{1}{k \ln^2(k)}$

By integral test, it is easy to see that $$\sum_{k=2}^{\infty} \frac{1}{k \ln^2(k)}$$ converges. [Here $\ln(x)$ denotes the natural logarithm, and $\ln^2(x)$ stands for $(\ln(x))^2$] I am ...
4
votes
1answer
1k views

Method for estimating the $n^{th}$ derivative?

When using numerical analysis, I often find that I am required to estimate a derivative (e.g. when using Newton Iteration for finding roots). To estimate the first derivative of a function $f(x)$ at ...
4
votes
1answer
71 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 ...
4
votes
1answer
155 views

Estimate the scale of $e^{-(m+1) t} \sum _{k=0}^{\infty } \frac{t^k}{k!}\left(\sum _{r=0}^k \frac{t^r}{r!}\right)^{m}$

I would like to estimate the scale of the following series, $$S(m,t)=e^{-(m+1) t} \sum _{k=0}^{\infty } \frac{t^k}{k!}\left(\sum _{r=0}^k \frac{t^r}{r!}\right)^{m},$$ where $e$ is the base of ...
4
votes
2answers
249 views

Bound for the Legendre function of the second kind of degree $1/2$

Let $Q_{1/2}(u)$ be the Legendre function of the second kind of degree $1/2$. One can show that $Q_{1/2}(u) = O(u^{-3/2})$ as $u\to \infty$; see Equation 21 in Section 3.9.2 of Higher transcendental ...
4
votes
1answer
101 views

My data is not normally distributed: what can I do to estimate a tail probability?

Continuing on from my earlier question, I'm attempting to analyse the data qualitatively. In the following plot, I make $10000$ samples where I count "the number of clashes". I plot $n$ vs. the ...
4
votes
0answers
82 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 ...
4
votes
0answers
250 views

A late-diverging “approximating solution” for a system of functional equations

Peace be upon you, At the end of this question, I have shown that how computing MLE on an i.i.d Beta distributed data, results in the following system \begin{align*} &\begin{cases} ...
3
votes
4answers
222 views

Using $(1+x)^k \approx 1+kx$ to approximate?

Use the approximation $(1+x)^k \approx 1+kx$ to estimate $(1.0003)^{26}$ and $\sqrt[4]{1.006}$. I know how to solve this step-by-step, but I don't understand what I'm doing exactly: why does ...
3
votes
4answers
495 views

Why does maximum likelihood estimation for uniform distribution give maximum of data?

I am looking at parameters estimation for the uniform distribution in the context of MLEs. Now, I know the likelihood function of the Uniform distribution $U(0,\theta)$ which is $1/\theta^n$ cannot ...
3
votes
2answers
2k views

Modern formula for calculating Riemann Zeta Function [duplicate]

Possible Duplicate: How to evaluate Riemann Zeta function I have an amateur interest in the Zeta Function. I have read Edward's book on the topic, which is perhaps a little dated. I would ...
3
votes
3answers
57 views

Bounding $\sum_{k=1}^N \frac{1}{1-\frac{1}{2^k}}$

I'm looking for a bound depending on $N$ of $\displaystyle \sum_{k=1}^N \frac{1}{1-\frac{1}{2^k}}$. The following holds $\displaystyle \sum_{k=1}^N \frac{1}{1-\frac{1}{2^k}} = \sum_{k=1}^N ...
3
votes
1answer
101 views

Maximum likelihood estimation - why is $\mathcal{L}$ not the joint pdf?

Here's an excerpt from my notes: Define the likelihood function: $$\mathcal{L}(\vec{x};\theta)=\prod_{i=1}^{n} f(x_i;\theta)$$ Where $f$ is the pdf of the distribution we're sampling the $x$'s ...
3
votes
2answers
89 views

Error Term in Passing from Summation to Integral

I encountered the following in a paper and do not understand how the error term is being bounded. In what follows, $n$ and $k$ are large integer constants. $$ \sum_{i=0}^{n-1} \ln\left(1 - ...
3
votes
1answer
52 views

What are the bounds (upper and lower) for $|A+A|$?

Let $A$ be a finite set of real (or complex) numbers. If I consider sets with small sizes, we have that: If $A$ is the empty set, then $A+A$ is also empty. If $A$ is a singleton, then $A+A$ is ...
3
votes
1answer
40 views

Show that the variance is biased

I am trying to understand the proof that the uncorrected sample variance is biased (given here) $$ \begin{eqnarray} E[S^2] &=& E \left [ \frac{1}{n} \sum \limits_{i=1}^{n} (X_i - \bar ...
3
votes
1answer
36 views

Oscillations about equilibrium for coupled differentail equations

I have the following system of equations: $$\begin{align} \frac{dX}{dt} &= 2Y-2\\ \frac{dY}{dt} &= 9X-X^3 \end{align}$$ I would like to study the property of solutions to this function about ...
3
votes
2answers
40 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 ...
3
votes
2answers
39 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 = ...
3
votes
1answer
1k views

What initial guess is used for finding n-th root using Newton-Raphson method?

I would like to know what is an optimal initial guess for use with Newton-Raphson method when finding n-th root. I develop some program which uses GMP C++ library. GMP manual says: The initial ...
3
votes
1answer
51 views

Why is the MLE a special case of the minimum contrast estimator?

In my statistics lecture, we had two definitions, namely Let $X_1,\ldots.X_n$ be iid random variables, each with density $p_{\Theta_0}(x)$. Furthermore, let $\varrho$ be a real function such that ...
3
votes
1answer
51 views

Estimate the given sum.

This is the question from "Data Structures and Algorithm Analysis in C" By Mark Weiss. It is the question 1.7. It goes as follows:- Estimate the sum ...
3
votes
1answer
233 views

Sufficient statistic for product of $\Gamma(x + a_i)$

Background Suppose that the national mint mints coins with bias $p_i \sim \rm{Beta}(A,B)$ for some unknown constants $A$, $B$. Given $n$ coins, you flip each coin a certain number of times. Coin ...
3
votes
1answer
35 views

Estimate number of songs a radio station has [duplicate]

Imagine the following problem: You listen to a radio station and take notes how often was each song played. How can you estimate based on your notes (e.g. 30 songs played once, 2 played twice, one ...
3
votes
1answer
45 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 ...
3
votes
4answers
146 views

What is the smallest positive integer that has never been mentioned?

The set of positive integers is infinite. The set of explicitly mentioned positive integers is finite. Therefore, there is a non-empty set of positive integers that have never been mentioned, and ...
3
votes
1answer
130 views

Estimate large covariance matrix using few samples.

Let $\mathbf{x}$ be a random vector in $\Bbb{R}^n$, such that $\mathbf{x}\sim N(\bar{\mathbf{x}}, \Sigma)$. $N$ observations of $\mathbf{x}$ are available, say $\{\mathbf{x}_i, i=1,\ldots,N\}$. The ...
3
votes
1answer
68 views

Unbiased Estimator Question and Understanding

I'm having some difficulty with unbiased estimators, and wondered if anyone could help me. I believe I understand the general concepts OK, however when I come to look at some sample questions to test ...
3
votes
1answer
88 views

Estimating the input to a system from a system state

[ Cross-posted to: http://dsp.stackexchange.com/questions/3098/estimating-the-input-to-a-system-from-a-system-state-using-ekf ] I have a system for which I have obtained a non-linear time-varying ...
3
votes
0answers
33 views

Estimating the sum of a series within to arbitrary certainty.

Find the sum of the series $\displaystyle \sum_{n=1}^{\infty} \frac{1}{n^5} = a_n$ within three decimal places. The sum is estimated by $\displaystyle a_n \approx \sum_{k=1}^{n}\frac{1}{k^5}+R(n)$ ...
3
votes
1answer
56 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 ...
3
votes
0answers
47 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 ...
3
votes
0answers
37 views

Rao-Cramer lower bound regularity condition and dominated convergence

Let $(\mathcal{X}, \mathcal{F}, (\mathbb{P}_\vartheta)_{\vartheta \in \Theta})$ be a statistical model dominated by a sigma-finite measure $\mu$ with Likelihood-function $L(\vartheta, x)$ which is ...
3
votes
0answers
79 views

Upper bound for area of polygons

is there a formula for an upper bound for the area of a polygon, knowing the length of its edges? In the ideal situation, the answer would be a function $f_n(l_1,l_2,\dots,l_n)$ of the edges lengths ...
3
votes
1answer
62 views

Error of apprximation

Have anyone read book "Paul Glasserman Monte Carlo MIFE", it's good, but i'm stuck in chapter 6 page 341 let $$ dX_t=a(X_t)dt+b(X_t)\,dW_t $$ they said that $$ \int_{t}^{t+\Delta t}a(X_{u}) \, ...
3
votes
0answers
67 views

Asymptotic stability

we know from the theory of ODE that $\left\|\exp(tA)\right\|\leq Ke^{-\delta t}$ for $K,\delta >0$ and $t\in\mathbb{R}^+$ if the real part of all eigenvalues are strict non-positiv. My question is: ...
3
votes
1answer
100 views

Is my determination of this maximum correct?

Consider $\Omega:=B_1(0)\subset\mathbb{R}^n$ (it is the open unit ball), $\mathbb{R}^n$ is provided with the euclidean norm $\lVert\cdot\rVert_2$. Now I want to determine the following ...