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    Ch Usama
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    This document is a lecture on confidence intervals. It discusses that a confidence interval obtained from sample data contains the unknown parameter with a high probability, not certainty. Confidence intervals for a parameter θ usually have a confidence level of 95% or 99%, meaning the interval will contain the actual θ 95% or 99% of the time. The confidence level and length of the interval are related, with a higher confidence level resulting in a longer interval. The basic idea is that the lower and upper bounds of the confidence interval are considered observed values of random variables, and the condition is that the probability of the actual parameter falling between them must equal the confidence level.

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    This document is a lecture on confidence intervals. It discusses that a confidence interval obtained from sample data contains the unknown parameter with a high probability, not certainty. Confidence intervals for a parameter θ usually have a confidence level of 95% or 99%, meaning the interval will contain the actual θ 95% or 99% of the time. The confidence level and length of the interval are related, with a higher confidence level resulting in a longer interval. The basic idea is that the lower and upper bounds of the confidence interval are considered observed values of random variables, and the condition is that the probability of the actual parameter falling between them must equal the confidence level.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as pdf or txt
    12 views16 pages

    Week 12 - MLE, Confidence Intervals

    Uploaded by

    Ch Usama
    This document is a lecture on confidence intervals. It discusses that a confidence interval obtained from sample data contains the unknown parameter with a high probability, not certainty. Confidence intervals for a parameter θ usually have a confidence level of 95% or 99%, meaning the interval will contain the actual θ 95% or 99% of the time. The confidence level and length of the interval are related, with a higher confidence level resulting in a longer interval. The basic idea is that the lower and upper bounds of the confidence interval are considered observed values of random variables, and the condition is that the probability of the actual parameter falling between them must equal the confidence level.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
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    of 16

    MATH-361

    Probability and Statistics

    Lecture 23

    MLE
    Confidence Intervals

    A/P Kamran Aziz Bhatti | Assistant Professor | Dept. of Electrical Engg. | NUST College of Electrical & Mechanical Engineering | Pakistan
    Confidence Intervals

    • An interval estimate is an interval (“confidence interval”)


    obtained from a sample data set
    • Confidence intervals1 for an unknown parameter 𝜃 of some
    distribution (e.g. 𝜃 = 𝜇) are intervals 𝜃1 ≤ 𝜃 ≤ 𝜃2 that contain
    𝜃, not with certainty but with a high probability 𝛾
    • Usually 𝛾 is taken as 0.95 or 0.99
    • Probability of 0.95 or 95% means there 1 of 20 intervals will not
    contain actual 𝜃 (on the average)
    • More formally, we usually write

    2
    Confidence Intervals

    • 𝛾 is called the confidence level


    • 𝜃1 and 𝜃2 are called the lower and upper confidence limits
    • Confidence level and interval length are inter-related
    • The larger we choose 𝛾, the longer is the confidence interval
    • If 𝛾 → 1, interval length goes to infinity
    • Decision of the selection of 𝛾 depends on application

    • The Basic Idea: Consider 𝜃1 and 𝜃2 (which are function of the


    observations 𝑥1 , 𝑥2 , … , 𝑥𝑛 ) as the observed values of two
    random variables Θ1 and Θ2 , so the condition becomes

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