(→Maximum Likelihood Estimation (ML)) |
(→Hypothesis Testing: ML Rule) |
||
| Line 19: | Line 19: | ||
Type I error | Type I error | ||
| + | |||
| + | Say H1 when truth is H0. Probability of this is: <math>Pr(Say H1|H0) = Pr(X is in R|theta0)</math> | ||
Type II error | Type II error | ||
Revision as of 04:15, 12 December 2008
Contents
Maximum Likelihood Estimation (ML)
$ \hat a_{ML} = \text{max}_a ( f_{X}(x_i;a)) $ continuous
$ \hat a_{ML} = \text{max}_a ( Pr(x_i;a)) $ discrete
Maximum A-Posteriori Estimation (MAP)
Minimum Mean-Square Estimation (MMSE)
$ \hat{y}_{\rm MMSE}(x) = \int\limits_{-\infty}^{\infty}\ {y}{f}_{\rm Y|X}(y|x)\, dy={E}(Y|X=x) $
Mean square error : $ MSE = E[(\theta - \hat \theta(x))^2] $
Linear Minimum Mean-Square Estimation (LMMSE)
$ \hat{y}_{\rm LMMSE}(x) = E[\theta]+\frac{COV(x,\theta)}{Var(x)}*(x-E[x]) $
Hypothesis Testing: ML Rule
Type I error
Say H1 when truth is H0. Probability of this is: $ Pr(Say H1|H0) = Pr(X is in R|theta0) $
Type II error
Hypothesis Testing: MAP Rule
Overall P(err)
