Estimators of population parametersWatch

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Thread starter 4 weeks ago
#1
P.S. If anyone helping wants to rewrite some variable and refer to it as another variable to make it easier and avoid the LaTeX, feel free to do so as it gave me a really tough time typing this up, so I'd understand the same problem for others.

1. "Let be a random sample from a population with mean . Find an estimator of ."

For this question, I was wondering why did they specifically say , and also not include what the variance is?
Is this because usually, if is a random sample with a mean of and variance of , we assume each object from the population i.e. each is independent and identically distributed (as far as I have currently learnt). So, in this case - the questioner doesn't want us to assume that they are independent and identically distributed? The question goes on to talk about the sample mean being a natural estimator for .

I know that question doesn't make a lot of sense without more information provided, but was just wondering if anyone had any idea from previous experience.

2. "The variance of an estimator, denoted , is obtained directly from the estimator's sampling distribution.
For the sample mean, , we have ."

Is it correct that this is only for: a population of a random variable X which is normally distributed, or approximately (for nearly every population of a random variable X which has a distribution with a finite variance) by the Central Limit Theorem? I was just wondering, since it wasn't specified and just assumed to be true.

3. Suppose that is an estimator of the parameter, . Then, is the error of the estimator, and the absolute error of the estimator?
If so, is the bias of an estimator: (since is a constant), = the expected value of the error of the estimator?

4. Also, is the mean absolute deviation (MAD) = the same as the mean absolute error? - this links to Q3 if the absolute error is what I think it may be?

5. If , it holds that: where .
Why is it a requirement that ?
Is it because: and hence, if it is less than infinity, then the MSE is less than infinity, which I suppose might be a requirement that it is finite?
Last edited by Chittesh14; 4 weeks ago
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Thread starter 4 weeks ago
#2
6. "Intuitively, MAD is a more appropriate measure for the error in estimation. However, it is technically less convenient since the function h(x) = |x| is not differentiable at x = 0."
How does this link? Is it that if we are differentiating to find the maximum value of MAD, we cannot do so?
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4 weeks ago
#3
(Original post by Chittesh14)

1. "Let be a random sample from a population with mean . Find an estimator of ."

For this question, I was wondering why did they specifically say , and also not include what the variance is?
Why should they? You're interested in estimating the population mean - you can do this without any mention of any other population parameter.

Is this because usually, if is a random sample with a mean of and variance of , we assume each object from the population i.e. each is independent and identically distributed (as far as I have currently learnt). So, in this case - the questioner doesn't want us to assume that they are independent and identically distributed? The question goes on to talk about the sample mean being a natural estimator for .
No. Provided the population is of infinite size, the very notion of "random sample" implies independent and identically distributed. I think you're simply over-reading things here - the question doesn't mention something here because it's irrelevant.

2. "The variance of an estimator, denoted , is obtained directly from the estimator's sampling distribution.
For the sample mean, , we have ."

Is it correct that this is only for: a population of a random variable X which is normally distributed, or approximately (for nearly every population of a random variable X which has a distribution with a finite variance) by the Central Limit Theorem? I was just wondering, since it wasn't specified and just assumed to be true.
No. This is true in general.

3. Suppose that is an estimator of the parameter, . Then, is the error of the estimator, and the absolute error of the estimator?
If so, is the bias of an estimator: (since is a constant), = the expected value of the error of the estimator?
Useful material here.

5. If , it holds that: where .
Why is it a requirement that ?
Is it because: and hence, if it is less than infinity, then the MSE is less than infinity, which I suppose might be a requirement that it is finite?
Well, how are you going to deal with infinite quantities?
0
4 weeks ago
#4
(Original post by Chittesh14)
6. "Intuitively, MAD is a more appropriate measure for the error in estimation. However, it is technically less convenient since the function h(x) = |x| is not differentiable at x = 0."
How does this link? Is it that if we are differentiating to find the maximum value of MAD, we cannot do so?
Yes.
0
Thread starter 4 weeks ago
#5
(Original post by Gregorius)
Why should they? You're interested in estimating the population mean - you can do this without any mention of any other population parameter.
OK got it, thank you. So, because I don't need to know about the variance, or any other population parameters - other than the mean, I do not need to know about them, hence they're not mentioned. It is nothing to do with independence nor identically distributed.

No. Provided the population is of infinite size, the very notion of "random sample" implies independent and identically distributed. I think you're simply over-reading things here - the question doesn't mention something here because it's irrelevant.
That helps a lot, thank you - was genuinely confused if every random sample implied IID variables.

No. This is true in general.
OK, got it - made a mistake. If the variables are independent and identically distributed, then those are the values for the mean and the variance. The independence is specifically for the variance, to avoid the covariance between any two variables.
But, in addition to that, if the population is normal, then the sample mean is exactly normally distributed with a mean of and a variance of and if the population is not normal, then the sample mean is approximately normally distributed with a mean of and a variance of provided the sample size n is large.

Useful material here.
Thank you, answers most of my questions .

Well, how are you going to deal with infinite quantities?
Thank you, understood.
Last edited by Chittesh14; 4 weeks ago
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