Statistical Inference

Átírás

1 Petra Petrovics Statistical Inference 1 st lecture

2 Descriptive Statistics Inferential - it is concerned only with collecting and describing data Population - it is used when tentative conclusions about a population are drawn on the basis of a sample Sample - set of elements - set of all possible measurements - the number of elements: N or - the portion of the population - about which information is gathered - representative - the number of elements: n - simple random sample

3 Basic Terms I Parameter (Θ) a characteristic of a population e.g. average, proportion, variance Statistic a characteristic of a sample e.g. average, proportion, variance Representative sample The values in the sample must be typical of values in the population Random sample Any sample of size n has the same chance (probability) of being selected

4 Statistical error 1. Non-sampling error Basic Terms II harder to quantify Systematic error Processing error Not appropriate supplying of data, etc. 2. Sampling error Using sample rather than population It can be quantified Depends on: Population distribution Sampling method Sample size Statistical method

5 Inference from the Sample to the Population Estimation Hypothesis Testing Estimation: how can we determine the value of an unknown parameter of a population by using the sample. Hypothesis Testing: how to test a statement concerning a population parameter.

6 Estimator A tool for statistical inference; sample statistics are used to estimate population parameters. General estimator criteria 1. Estimation costs 2. Goodness of fit 3. Unbiased 4. Efficiency 5. Asymptotic characteristics

7 1. Estimation cost 2. Goodness of fit Model estimation vs. observed data 3. Unbiased If its expected value is equal to the population parameter it estimates. Any systematic deviation of the estimator away from the parameter of interest is called bias. Unbiased: the bias is zero.

8 Unbiased Estimator Θ is unbiased biased, because E(Θ) 0

9 Example for Unbiased Estimator The following are data about the salary of employees of a small enterprise (th HUF): 180, 90, 36, 30 Estimate the average salary using the: Sample mean; Median; Central point (the average of the minimum and maximum value) as an estimator.

10 Characteristics of Samples Seq. number Elements Mean Median Central Point 1 st 30, 36, nd 30, 36, rd 30, 90, th 36, 90, Expected value

11 4. Efficiency if it has a relatively small variance (and standard deviation)

12 5. Asymptotic characteristics a) Consistency If its probability of being close to the parameter it estimates increases as the sample size increases

13 5. Asymptotic characteristics b) Asymptotic normality n grows approaches a normal distribution Central Limit Theorem: the distribution of independent observations tend to close to the normal distribution, if the sample size is enough large. Large samle: n 100 In case of unimodal distribution: n 30

14 Estimation Classical Bayesian Least Squares Maximum Robostness Method Likelihood 1. Point estimators 2. Interval estimators

15 Basic Terms I Point Estimate: the value of estimator; a single number that is used to estimate an unknown parameter Confidence Level: specific percentage π Confidence Interval (CI): an interval estimate is a range of values used to estimate a population parameter P l u or Θ ± ΔΘ π

16 Number of samples Faculty of Economics Parameters and Confidence Intervals Results: Changes from sample to sample Are around the statistical parameter n, standard deviation Heights (cm)

17 Maximum Error: Δ = Basic Terms II z π Θ ± ΔΘ or t standard error Standard Error: standard deviation of the estimators z π : when test statistics are approximately normally distributed for large samples; n 100 t π : Student's t-distribution is a probability distribution that arises in the problem of estimating the mean of a normally distributed population when the sample size is small; n < 100

18 Degrees of freedom (df) Basic Terms III The number of values in the final calculation of a statistic that are free to vary. The number of independent pieces of information that go into the estimate of a parameter. In general, the degrees of freedom of an estimate is equal to the number of independent scores that go into the estimate (n) minus the number of parameters estimated as intermediate steps in the estimation of the parameter itself.

19 x (x) x (x) x (x) x (x) x (x) 0,00 0,5000 0,52 0,6985 1,04 0,8508 1,56 0,9406 2,40 0,9918 0,02 0,5080 0,54 0,7054 1,06 0,8554 1,58 0,9429 2,50 0,9938 0,04 0,5160 0,56 0,7123 1,08 0,8599 1,60 0,9452 2,60 0,9953 0,06 0,5239 0,58 0,7190 1,10 0,8643 1,62 0,9474 2,70 0,9965 0,08 0,5319 0,60 0,7257 1,12 0,8686 1,64 0,9495 2,80 0,9974 0,10 0,5398 0,62 0,7324 1,14 0,8729 1,66 0,9515 2,90 0,9981 0,12 0,5478 0,64 0,7389 1,16 0,8770 1,68 0,9535 3,00 0,9987 0,14 0,5557 0,66 0,7454 1,18 0,8810 1,70 0,9554 3,20 0,9993 0,16 0,5636 0,68 0,7517 1,20 0,8849 1,72 0,9572 3,40 0,9996 0,18 0,5714 0,70 0,7580 1,22 0,8888 1,74 0,9591 3,60 0,9998 0,20 0,5793 0,72 0,7642 1,24 0,8925 1,76 0,9608 3,8 0,9999 0,22 0,5871 0,74 0,7703 1,26 0,8962 1,78 0,9625 0,24 0,5948 0,76 0,7764 1,28 0,8997 1,80 0,9641 0,26 0,6026 0,78 0,7823 1,30 0,9032 1,82 0,9656 0,28 0,6103 0,80 0,7881 1,32 0,9066 1,84 0,9671 0,30 0,6179 0,82 0,7939 1,34 0,9099 1,86 0,9686 0,32 0,6255 0,84 0,7995 1,36 0,9131 1,88 0,9699 0,34 0,6331 0,86 0,8051 1,38 0,9162 1,90 0,9713 z-test 0,36 0,6406 0,88 0,8106 1,40 0,9192 1,92 0,9726 0,38 0,6480 0,90 0,8159 1,42 0,9222 1,94 0,9748 0,40 0,6554 0,92 0,8212 1,44 0,9251 1,96 0, ( x) 0,42 0,6628 0,94 0,8264 1,46 0,9279 1,98 0, ,44 0,6700 0,96 0,8315 1,48 0,9306 2,00 0,9772 0,46 0,6772 0,98 0,8365 1,50 0,9332 2,10 0,9821 0,48 0,6844 1,00 0,8413 1,52 0,9357 2,20 0,9861 0,50 0,6915 1,02 0,8461 1,54 0,9382 2,30 0,9893

20 Student s Faculty t-test of Economics Df 0,55 0,60 0,70 0,75 0,80 0,90 0,95 0,975 0,99 0, ,158 0,325 0,727 1,000 1,376 3,08 6,31 12,71 31,82 63,66 2 0,142 0,289 0,617 0,816 1,061 1,89 2,92 4,30 6,96 9,92 3 0,137 0,277 0,584 0,765 0,978 1,64 2,35 3,18 4,54 5,84 4 0,134 0,271 0,569 0,741 0,941 1,53 2,13 2,78 3,75 4,60 5 0,132 0,267 0,559 0,727 0,920 1,48 2,02 2,57 3,36 4,03 6 0,131 0,265 0,553 0,718 0,906 1,44 1,94 2,45 3,14 3,71 7 0,130 0,263 0,549 0,711 0,896 1,42 1,90 2,36 3,00 3,50 8 0,130 0,262 0,546 0,706 0,889 1,40 1,86 2,31 2,90 3,36 9 0,129 0,261 0,543 0,703 0,883 1,38 1,83 2,26 2,82 3, ,129 0,260 0,542 0,700 0,879 1,37 1,81 2,23 2,76 3, ,129 0,260 0,540 0,697 0,876 1,36 1,80 2,20 2,72 3, ,128 0,259 0,539 0,695 0,873 1,36 1,78 2,18 2,68 3, ,128 0,259 0,538 0,694 0,870 1,35 1,77 2,16 2,65 3, ,128 0,258 0,537 0,692 0,868 1,34 1,76 2,14 2,62 2, ,128 0,258 0,536 0,691 0,866 1,34 1,75 2,13 2,60 2, ,128 0,258 0,535 0,690 0,865 1,34 1,75 2,12 2,58 2, ,128 0,257 0,534 0,689 0,863 1,33 1,74 2,11 2,57 2, ,127 0,257 0,534 0,688 0,862 1,33 1,73 2,10 2,55 2, ,127 0,257 0,533 0,688 0,861 1,33 1,73 2,09 2,54 2, ,127 0,257 0,533 0,687 0,860 1,32 1,72 2,09 2,53 2, ,127 0,257 0,532 0,686 0,859 1,32 1,72 2,08 2,52 2, ,127 0,256 0,532 0,686 0,858 1,32 1,72 2,07 2,51 2, ,127 0,256 0,532 0,685 0,858 1,32 1,71 2,07 2,50 2, ,127 0,256 0,531 0,685 0,857 1,32 1,71 2,06 2,49 2, ,127 0,256 0,531 0,684 0,856 1,32 1,71 2,06 2,48 2, ,127 0,256 0,531 0,684 0,856 1,32 1,71 2,06 2,48 2, ,127 0,256 0,531 0,684 0,855 1,31 1,70 2,05 2,47 2, ,127 0,256 0,530 0,683 0,855 1,31 1,70 2,05 2,47 2, ,127 0,256 0,530 0,683 0,854 1,31 1,70 2,04 2,46 2, ,127 0,256 0,530 0,683 0,854 1,31 1,70 2,04 2,46 2, ,126 0,255 0,529 0,681 0,851 1,30 1,68 2,02 2,42 2, ,126 0,254 0,527 0,679 0,848 1,30 1,67 2,00 2,39 2, ,126 0,254 0,526 0,677 0,845 1,29 1,66 1,98 2,36 2,62 0,126 0,253 0,524 0,674 0,842 1,28 1,645 1,96 2,33 2,58

21 To estimate 1. Select a random sample from the population of interest. 2. Calculate the point estimate of the parameter. 3. Calculate a measure of its variability, often a confidence interval (CI). 4. Associate with this estimate a measure of variability.

22 Estimation Population Sample elements X 1, X 2,, X N, x 1, x 2,, x n mean μ standard deviation proportion P p Σ x s

23 A.) μ mean or expected value of the population μ x x 1.) normal population, σ known μ x z π σ x 2.) normal population, σ unknown, n 100 μ x z π s x 3.) normal population, σ unknown, n < 100 μ x t π s x σ x s x n s n 1-1- n N n N If n N 10%

24 B) P the proportion of the population = population proportion is equal to the number of elements in the population belonging to the category of interest, divided by the total number of elements in the population P p p p z s p z p 1 n p In case of large sample, when n 100!

25 C) σ the standard deviation of the population Only in the case when the population distribution is normal! π χ s 1 n - σ χ s 1 n - P 2 2 α α 2

26 χ Faculty 2 of Economics Df 0,005 0,01 0,025 0,05 0,10 0,25 0,50 0,75 0,90 0,95 0,975 0,99 0, ,0000 0,0002 0,0010 0,039 0,0158 0,102 0,455 1,32 2,71 3,84 5,02 6,63 7,88 2 0,0100 0,0201 0,0506 0,103 0,211 0,575 1,39 2,77 4,61 5,99 7,38 9,21 10,6 3 0,072 0,115 0,216 0,352 0,584 1,21 2,37 4,11 6,25 7,81 9,35 11,3 12,8 4 0,207 0,297 0,484 0,711 1,06 1,92 3,36 5,39 7,78 9,49 11,1 13,3 14,9 5 0,412 0,554 0,831 1,15 1,61 2,67 4,35 6,63 9,24 11,1 12,8 15,1 16,7 6 0,676 0,872 1,24 1,64 2,20 3,45 5,35 7,84 10,6 12,6 14,4 16,8 18,5 7 0,989 1,24 1,69 2,17 2,83 4,25 6,35 9,04 12,0 14,1 16,0 18,5 20,3 8 1,34 1,65 2,18 2,73 3,49 5,07 7,34 10,2 13,4 15,5 17,5 20,1 22,0 9 1,73 2,09 2,70 3,33 4,17 5,90 8,34 11,4 14,7 16,9 19,0 21,7 23,6 10 2,16 2,56 3,25 3,94 4,87 6,74 9,34 12,5 16,0 18,3 20,5 23,2 25,2 11 2,60 3,05 3,82 4,57 5,58 7,58 10,3 13,7 17,3 19,7 21,9 24,7 26,8 12 3,07 3,57 4,40 5,23 6,30 8,44 11,3 14,8 18,5 21,0 23,3 26,2 28,3 13 3,57 4,11 5,01 5,89 7,04 9,30 12,3 16,0 19,8 22,4 24,7 27,7 29,8 14 4,07 4,66 5,63 6,57 7,79 10,2 13,3 17,1 21,1 23,7 26,1 29,1 31,3 15 4,60 5,23 6,26 7,26 8,55 11,0 14,3 18,2 22,3 25,0 27,5 30,6 32,8 16 5,14 5,81 6,91 7,96 9,31 11,9 15,3 19,4 23,5 26,3 28,8 32,0 34,3 17 5,70 6,41 7,56 8,67 10,1 12,8 16,3 20,5 24,8 27,6 30,2 33,4 35,7 18 6,26 7,01 8,23 9,39 10,9 13,7 17,3 21,6 26,0 28,9 31,5 34,8 37,2 19 6,84 7,63 8,91 10,1 11,7 14,6 18,3 22,7 27,2 30,1 32,9 36,2 38,6 20 7,43 8,26 9,59 10,9 12,4 15,5 19,3 23,8 28,4 31,4 34,2 37,6 40,0 21 8,03 8,90 10,3 11,6 13,2 16,3 20,3 24,9 29,6 32,7 35,5 38,9 41,4 22 8,64 9,54 11,0 12,3 14,0 17,2 21,3 26,0 30,8 33,9 36,8 40,3 42,8 23 9,26 10,2 11,7 13,1 14,8 18,1 22,3 27,1 32,0 35,2 38,1 41,6 44,2 24 9,89 10,9 12,4 13,8 15,7 19,0 23,3 28,2 33,2 36,4 39,4 43,0 45, ,5 11,5 13,1 14,6 16,5 19,9 24,3 29,3 34,4 37,7 40,6 44,3 46, ,2 12,2 13,8 15,4 17,3 20,8 25,3 30,4 35,6 38,9 41,9 45,6 48, ,8 12,9 14,6 16,2 18,1 21,7 26,3 31,5 36,7 40,1 43,2 47,0 49, ,5 13,6 15,3 16,9 18,9 22,7 27,3 32,6 37,9 41,3 44,5 48,3 51, ,1 14,3 16,0 17,7 19,8 23,6 28,3 33,7 39,1 42,6 45,7 49,6 52, ,8 15,0 16,8 18,5 20,6 24,5 29,3 34,8 40,3 43,8 47,0 50,9 53, ,7 22,2 24,4 26,5 29,1 33,7 39,3 45,6 51,8 55,8 59,3 63,7 66, ,0 29,7 32,4 34,8 37,7 42,9 49,3 56,3 63,2 67,5 71,4 76,2 79, ,5 37,5 40,5 43,2 46,5 52,3 59,3 67,0 74,4 79,1 83,3 88,4 92, ,3 45,4 48,8 51,7 55,3 61,7 69,3 77,6 85,5 90,5 95,0 100,4 104, ,2 53,5 57,2 60,4 64,3 71,1 79,3 88,1 96,6 101,9 106,6 112,3 116, ,2 61,8 65,6 69,1 73,3 80,6 89,3 98,6 107,6 113,1 118,1 124,1 128, ,3 70,1 74,2 77,9 82,4 90,1 99,3 109,1 118,5 124,3 129,6 135,8 140,2

27 Example 1 From the population of BA students a sample of 15 students was taken. Confidence level: π = 95 % A random sample (in days): 5, 8, 12, 4, 9, 11, 12, 14, 9, 7, 6, 11, 9, 8, 10 A) Estimate the average time spent the BA students on Statistics! B) Estimate the standard deviation of time spent on Statistics!

28 A) 1) - normal distribution - population standard deviation: 2 days μ 2) - population standard deviation is unknown - sample standard deviation: s = 2.7 B) Standard deviation! x z μ x t n s n σ

29 Example 2 The management of a manufacturer of calculators and microcomputers wants to improve the quality of their products. 150-element sample was drawn from a lot of calculators. They tested each of the sampled calculators and found 12 defectives. Determine a 95% confidence interval for the proportion of defectives in the entire population!

30 P p p Where: p k n % p (1-p) 0.08 (1-0.08) p z % n 150 CI: 0.08 ± [0.037; 0.123] = [3.7 % ; 12.3 % ]

31 Thank You for Your Attention