Estimation Theory

Estimation theory is a branch of statistics and signal processing that deals with estimating the values of parameters based on measured/empirical data that has a random component. The parameters describe an underlying physical setting in such a way that the value of the parameters affects the distribution of the measured data.

The entire purpose of estimation theory is to arrive at an estimator, and preferably an implementable one that could actually be used. The estimator takes the measured data as input and produces an estimate of the parameters. It is also preferable to derive an estimator that exhibits optimality. Estimator optimality usually refers to achieving minimum average error over some class of estimators, for example, a minimum variance unbiased estimator. In this case, the class is the set of unbiased estimators, and the average error measure is variance (average squared error between the value of the estimate and the parameter). However, optimal estimators do not always exist.

These are the general steps to arrive at an estimator:

  • In order to arrive at a desired estimator, it is first necessary to determine a probability distribution for the measured data, and the distribution's dependence on the unknown parameters of interest. Often, the probability distribution may be derived from physical models that explicitly show how the measured data depends on the parameters to be estimated, and how the data is corrupted by random errors or noise. In other cases, the probability distribution for the measured data is simply "assumed", for example, based on familiarity with the measured data and/or for analytical convenience.
  • After deciding upon a probabilistic model, it is helpful to find the limitations placed upon an estimator. This limitation, for example, can be found through the Cramér–Rao bound.
  • Next, an estimator needs to be developed or applied if an already known estimator is valid for the model. The estimator needs to be tested against the limitations to determine if it is an optimal estimator (if so, then no other estimator will perform better).
  • Finally, experiments or simulations can be run using the estimator to test its performance.

Introduction to Interval Estimates:

Interval Estimate:

  • Interval estimation is the process of calculate the intervalfor possible value of unknown parameter in the population.
  • It is calculate in the use of sample data and contrast to the point estimation. It is different from the point estimation. It is the outcome of a statistical analysis.

The most common formsof interval estimations as follows:

  • A frequents Methodor Confidence interval
  • A Bayesian method or credibleintervals

The other common methods for interval estimations are

  • Tolerance interval
  • Prediction interval

And another one is known as the fiducial inference.

Construction of Interval Estimates Parameter:

The normal form of interval estimate of the population parameter is,

  • Point estimate of parameter and
  • Plus or minus margin of error

Margin of error:

  • The amount which is subtracted or added from the point estimate of the statistic and produce the parameter interval estimate is known as the margin of error.
  • The margin of error size depends on the following factors:
  • Sampling distribution type of sample statistics.
  • Area under sampling distribution percentage that includes the researchers decision.Usually we consider the confident level as 90%, 95%, 99%.
  • The interval of each interval estimates are constructed in the region of the point estimate with its confident level.

Construction of Interval Estimate for Population Mean

  • Take the point estimate of μ that is the sample meansample mean
  • Define the mean distribution for the sample.When the value of n is large we have to use the central limit theorem. And is the normal distribution with the,

standard deviationsigmasigma =sigma/sqrt(n)

and mean μ.

  • Choose the most common confident level as 95%
  • Find the margin of error which is related with the confidence level.
  • The area under the curve of the sample means the normal distribution contains the 95% of the interval from.

z= -1.96 to z= 1.96

  • The interval estimate for 95 % is,

normal distribution- 1.96 (sigma/sqrt(n) ) tostandard deviationsigma/sqrt(n)

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