MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN: 9781119256830
Author: Amos Gilat
Publisher: John Wiley & Sons Inc
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We have talked about the fact that the sample mean estimator X = X; is an unbiased
estimator of the mean u for identically distributed X1, X2, ..., Xn: E[X] =
variance estimator, on the other hand, is not an unbiased estimate of the true variance o²: for
µ. The straightforward
Vý = E1(X; – X)², we get that E[V½] = (1 – )o². Instead, the following bias-corrected sample
variance estimator is unbiased: V = „4 E (X; – X)². This unbiased estimator is typically what
is called the sample variance.
Use the fact that E[V] = o² to show that E[V] = (1 – )0². Hint: The proof is
short, it can be done in a few lines.
(b)
that Var[X] = 02, for iid variables with variance o?. We can similarly ask what the variance is
We also discussed the variance of the sample mean estimator, and concluded
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Transcribed Image Text:We have talked about the fact that the sample mean estimator X = X; is an unbiased estimator of the mean u for identically distributed X1, X2, ..., Xn: E[X] = variance estimator, on the other hand, is not an unbiased estimate of the true variance o²: for µ. The straightforward Vý = E1(X; – X)², we get that E[V½] = (1 – )o². Instead, the following bias-corrected sample variance estimator is unbiased: V = „4 E (X; – X)². This unbiased estimator is typically what is called the sample variance. Use the fact that E[V] = o² to show that E[V] = (1 – )0². Hint: The proof is short, it can be done in a few lines. (b) that Var[X] = 02, for iid variables with variance o?. We can similarly ask what the variance is We also discussed the variance of the sample mean estimator, and concluded
of the sample variance estimator. Deriving the formula is a bit more complex for general random
variables, so let's assume the X; are zero-mean Gaussian. Note that for zero-mean Gaussian X;,
we can use V =:E1 X}, which is unbiased (i.e., E[V] = o²). Then we know that the following
is true (though we omit the derivation): Var[V] = 2(n-1),4.
This variance enables us to use Chebyshev's inequality, to get a confidence estimate. Recall
that Chebyshev's inequality states that for a random variable Y with known variance v, we know
that Pr(|Y – E[Y]| < e) > 1 – v/e². After seeing 10 samples from a distribution, do you think
you will have a tighter confidence estimate around the sample mean X or the sample variance V?
n2
expand button
Transcribed Image Text:of the sample variance estimator. Deriving the formula is a bit more complex for general random variables, so let's assume the X; are zero-mean Gaussian. Note that for zero-mean Gaussian X;, we can use V =:E1 X}, which is unbiased (i.e., E[V] = o²). Then we know that the following is true (though we omit the derivation): Var[V] = 2(n-1),4. This variance enables us to use Chebyshev's inequality, to get a confidence estimate. Recall that Chebyshev's inequality states that for a random variable Y with known variance v, we know that Pr(|Y – E[Y]| < e) > 1 – v/e². After seeing 10 samples from a distribution, do you think you will have a tighter confidence estimate around the sample mean X or the sample variance V? n2
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