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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](https://content.bartleby.com/qna-images/question/36a7a892-d2a2-4a6f-a8a2-55ad3cac8d8b/00f865a7-d8ca-4abf-8a5e-0242ed73e5b9/escsv4_thumbnail.png)
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](https://content.bartleby.com/qna-images/question/36a7a892-d2a2-4a6f-a8a2-55ad3cac8d8b/00f865a7-d8ca-4abf-8a5e-0242ed73e5b9/xsaxzol_thumbnail.png)
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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