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Mathematical Statistics A. Convergence in Probability WLLN: , ( ) a) b) [ ] Properties of Convergence in Probability: 1) 3) 4) 5) 6) Variance Example: , , , ( ) ( ) 2) Suppose * ( ) ( ) + ( ( ) ( .

) )

Lecture 3

, ,

, , -

- -

* ( )

( ) ( )

+ ( )
The summation of the sum is the sum of the summation.

GR: estimator sample variance, 1. Is consistent for Var(X)? ( ) ( ( P ( ) ( ) ( ) )

( ) ) ( )

( ) P , ( )-

consistent.

Mathematical Statistics 2. Is , unbiased? [ ( [ (( [ ( [ ( ,( ( ) ( ) ( ) ( )( , ( ) ( ) ) ] ) ) ) ) ( ) ( ) ( ) ) ( ( ( ,( ( ) )) ] ) ) ( ( ) )( )] ) ( , )]

Lecture 3

A corrected sample variance: Use P ( ) ( ).

B. Convergence in (of) Distribution (Definition) Let { + be a sequence of random variables (rvs) and let X be a rv. Let and ( ) be, respectively the cdfs of and X. For all at which at x is continuous, we say that the distribution of converges to the distribution of X as if ( ) We denote this convergence by

Mathematical Statistics Example: * (

Lecture 3

(If goes to 0, how fast? Must magnify)

estimator error Claim ( Proof: )

Random variable ( ) [ ( ) ] [ ] [

] ) )} }

( (

{ {

( ) ( )

{ ( ) : ( ) ( )

( )

Example: Poisson Limit Theorem (

) ( ) ( )

) ( ).

Claim:

Mathematical Statistics Proof: ( ) ( ( ( ) ( ) ( ( )) ( ). ) )

Lecture 3

( )

Example: Fix , divide each minute into n seconds and then perform one Bernoulli second. Let = # trials till first success ( ) Let = # minutes till first success

trial per

Claim: Proof: Let t > 0 (WLOG), consider ( ) ( ) ( ) ( ) ( ( [( ( ) ( ( )

) )
, -

) ]

{ ( )) : ( )

( )

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