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STATS

The document discusses parameter estimation, highlighting point and interval estimates, along with various estimation methods such as Maximum Likelihood Estimate, Method of Moments, Bayesian Estimate, and Least Squares Estimate. It also outlines the characteristics of a good estimator, which include unbiasedness, efficiency, consistency, sufficiency, and robustness. These properties ensure that estimators provide accurate and reliable estimates of population parameters.

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Jaymica Hortelano
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32 views2 pages

STATS

The document discusses parameter estimation, highlighting point and interval estimates, along with various estimation methods such as Maximum Likelihood Estimate, Method of Moments, Bayesian Estimate, and Least Squares Estimate. It also outlines the characteristics of a good estimator, which include unbiasedness, efficiency, consistency, sufficiency, and robustness. These properties ensure that estimators provide accurate and reliable estimates of population parameters.

Uploaded by

Jaymica Hortelano
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as DOCX, PDF, TXT or read online on Scribd

Estimation of Parameters

 Point Estimate: A single value used to estimate a population parameter. For example,
using the sample mean to estimate the population mean.
 Interval Estimate: An estimate that provides a range of values (e.g., confidence
intervals) within which the parameter is expected to fall.

Types of Estimates

1. Maximum Likelihood Estimate (MLE):


o This is the estimate that maximizes the likelihood function, i.e., the probability of
the observed data given a set of parameters.
o It is widely used for various probability distributions and models.
2. Method of Moments Estimate:
o This method involves equating sample moments (e.g., sample mean, sample
variance) to theoretical moments (e.g., population mean, population variance) to
solve for the parameters.
o It's simpler to compute compared to MLE but can be less efficient.
3. Bayesian Estimate:
o Involves updating prior beliefs about parameters with data to produce a posterior
distribution.
o The mode, mean, or median of the posterior distribution can serve as a point
estimate.
4. Least Squares Estimate (LSE):
o Used primarily in regression analysis to minimize the sum of squared differences
between observed values and the values predicted by the model.

Characteristics of a Good Estimator

A good estimator should ideally have the following properties:

1. Unbiasedness:
o An estimator is unbiased if the expected value of the estimator equals the true
value of the parameter being estimated. In other words, on average, it hits the true
parameter value.
o Mathematically:

E(θ^)=θE(\hat{\theta}) = \theta

where θ^\hat{\theta} is the estimator and θ\theta is the true parameter.

2. Efficiency:
o An estimator is efficient if it has the smallest possible variance among all
unbiased estimators. That means it provides the most precise estimate.
3. Consistency:
o An estimator is consistent if, as the sample size grows to infinity, the estimator
converges in probability to the true value of the parameter.
4. Sufficiency:
o An estimator is sufficient if it uses all the information available in the data about
the parameter. In other words, no other estimator can give more information than
a sufficient estimator.
5. Robustness:
o An estimator is robust if it remains relatively unaffected by small deviations or
outliers in the data.

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