Chapter 7 Parameter estimation using sample mean

Doug Young Suh Media Lab. suh@khu.ac.kr

Definition 7.1 Sample mean/variance For iid random variables X1,, Xn with PDF fX(x), the sample mean of X is the random 1 + + variable = .

Sample variance
=
1 =1(

())2

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Definition 7.2-3 Consistency, unbias

Consistent estimator lim = 0

where estimate out of n samples and r is the real value. (consistent = not-fluctuating) Unbiased estimator [] =

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Theorem 7.13 Confidence interval

Let X be a Gaussian(, ) random variable. A confidence interval estimate of of the form + has a confidence coefficient 1 where = = 1 2
[ [] + ] 1
2

= 1

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Example 7.10
How many measurements of Z are needed to guarantee 2c=0.2 has confidence coefficient 1 0.99 where = 1? Sol)

10

= 1

10

= 0.005

= 0.995 2.58 666

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Example 7.11
100 independent measurements of Y whose = 10 and 100 = 33.2. For confidence coefficient of 1 0.99, what is the interval estimate 2c? Sol)

10 10

= 1 10 = 0.005

10 = 0.995 10 2.58

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