(→Bias of an Estimator, and Unbiased estimators) |
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Unbiased if: | Unbiased if: | ||
| − | <math>E[hat a_{ML}] = a</math> | + | <math>E[\hat a_{ML}] = a</math> |
==Confidence Intervals, and how to get them via Chebyshev== | ==Confidence Intervals, and how to get them via Chebyshev== | ||
Revision as of 16:41, 18 November 2008
Contents
Covariance
- $ COV(X,Y)=E[(X-E[X])(Y-E[Y])]\! $
- $ COV(X,Y)=E[XY]-E[X]E[Y]\! $
Correlation Coefficient
$ \rho(X,Y)= \frac {cov(X,Y)}{\sqrt{var(X)} \sqrt{var(Y)}} \, $
Markov Inequality
Loosely speaking: In a nonnegative RV has a small mean, then the probability that it takes a large value must also be small.
- $ P(X \geq a) \leq E[X]/a\! $
for all a > 0
Chebyshev Inequality
"Any RV is likely to be close to its mean"
- $ \Pr(\left|X-E[X]\right|\geq C)\leq\frac{var(X)}{C^2}. $
ML Estimation Rule
$ \hat a_{ML} = \text{max}_a ( f_{X}(x_i;a)) $ continuous
$ \hat a_{ML} = \text{max}_a ( Pr(x_i;a)) $ discrete
MAP Estimation Rule
Bias of an Estimator, and Unbiased estimators
Unbiased if: $ E[\hat a_{ML}] = a $
