| Line 23: | Line 23: | ||
Given a value of X, we will say H1 is true if X is in region R, else will will say H0 is true. | Given a value of X, we will say H1 is true if X is in region R, else will will say H0 is true. | ||
| − | Type I error | + | '''Type I error''' |
Say H1 when truth is H0. Probability of this is: Pr(Say H1|H0) = Pr(X is in R|theta0) | Say H1 when truth is H0. Probability of this is: Pr(Say H1|H0) = Pr(X is in R|theta0) | ||
| − | Type II error | + | '''Type II error''' |
Say H0 when truth is H1. Probability of this is: Pr(Say H0|H1) = Pr(X is NOT in R|theta1) | Say H0 when truth is H1. Probability of this is: Pr(Say H0|H1) = Pr(X is NOT in R|theta1) | ||
Revision as of 09:51, 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)
$ \hat \theta_{MAP}(x) = \text{arg max}_\theta P_{X|\theta}(x|\theta)P_ {\theta}(\theta) $
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
Given a value of X, we will say H1 is true if X is in region R, else will will say H0 is true.
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
Say H0 when truth is H1. Probability of this is: Pr(Say H0|H1) = Pr(X is NOT in R|theta1)
Hypothesis Testing: MAP Rule
Overall P(err)
