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Chebyshev's Inequality and Consistent Estimators

- Chebyshev's inequality provides bounds on the probability that a random variable will deviate from its mean by a given amount. It states that for any random variable X with mean μ and variance σ2, the probability that X deviates from the mean by more than k standard deviations is at most 1/k2. - The weak law of large numbers states that if X1, X2, ... are independent random variables with the same mean μ and finite variance, then the sample mean of X1 + ... + Xn/n converges in probability to the true mean μ as n approaches infinity. - An estimator θ^ is consistent if it converges in probability to the true parameter value θ as the

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72 views4 pages

Chebyshev's Inequality and Consistent Estimators

- Chebyshev's inequality provides bounds on the probability that a random variable will deviate from its mean by a given amount. It states that for any random variable X with mean μ and variance σ2, the probability that X deviates from the mean by more than k standard deviations is at most 1/k2. - The weak law of large numbers states that if X1, X2, ... are independent random variables with the same mean μ and finite variance, then the sample mean of X1 + ... + Xn/n converges in probability to the true mean μ as n approaches infinity. - An estimator θ^ is consistent if it converges in probability to the true parameter value θ as the

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STAT 410

Chebyshevs Inequality:
Let X be any random variable with mean and variance 2. For any > 0,
P(|X | < ) 1

2
2

or, equivalently,
P(|X | )

2
2

Setting = k , k > 1, we obtain


P(|X | < k ) 1

k2

or, equivalently,
P(|X | k )

k2

That is, for any k > 1, the probability that the value of any random variable will
1
.
be within k standard deviations of its mean is at least 1

k2

Def

Let U 1 , U 2 , be an infinite sequence of random variables, and let W be


another random variable. Then the sequence { U n } converges in probability
to W, if for all > 0,
lim P
n

Un W = 0 ,

and write U n W .

Def

An estimator for is said to be consistent if , i.e.,


for all > 0, P 0 as n .

The (Weak) Law of Large Numbers:


Let X 1 , X 2 , be a sequence of independent random variables, each having the
same mean and each having variance less than or equal to v < . Let
Mn =

X 1 + ... + X n

n = 1, 2, .

Then M n . That is, for all > 0, lim P


n

Mn = 0.

Let X 1 , X 2 , be i.i.d. with mean and standard deviation . Let


Xn =

X 1 + ... + X n

n = 1, 2, .

Then X n . That is, for all > 0,

lim P X n = 0 .
n

Let Y n be the number of successes in n independent Bernoulli trials with


probability p of success on each trial. Then for all > 0,
Yn
P
p

p (1 p ) ,

n 2

Yn P
and
p.

X n X , Yn Y X n + Yn X + Y

X n X , a = const a X n a X

X n a , g is continuous at a g X n g ( a )

X n X , g is continuous g X n g ( X )

X n X , Yn Y X n Yn X Y

1.

Let X 1 , X 2 , , X n be a random sample of size


distribution with probability density function
1

1
x
f (x; ) =

Recall:

E( X ) =

1
,
1+

0 x 1

n from the

0 < < .

otherwise

E ( ln X ) = .

a)

1 n
Show that = ln X i is a consistent estimator of .
n i =1

b)

Show that =

1 X
1
= 1 is a consistent estimator of .
X
X

Similarly to Chebyshevs Inequality,

MSE

2.

Let X 1 , X 2 , , X n be a random sample of size n from a uniform


distribution on the interval ( 0 , ).

a)

~
Show that = 2 X is a consistent estimator of .

b)

Show that = max X i is a consistent estimator of .

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