1. PROBABILITY AND STATISTICS FOR ENGINEERING Hossein Sameti Department of Computer Engineering Sharif University of Technology Principles of Parameter Estimation

2. The Estimation Problem  We use the various concepts introduced and studied in earlier lectures to solve practical problems of interest.  Consider the problem of estimating an unknown parameter of interest from a few of its noisy observations. -the daily temperature in a city -the depth of a river at a particular spot  Observations (measurement) are made on data that contain the desired nonrandom parameter  and undesired noise.

3. The Estimation Problem  For example  or, the i th observation can be represented as   : the unknown nonrandom desired parameter  : random variables that may be dependent or independent from observation to observation.  The Estimation Problem: -Given n observations obtain the “best” estimator for the unknown parameter  in terms of these observations.

4. Estimators  Let us denote by the estimator for .  Obviously is a function of only the observations.  “Best estimator” in what sense?  Ideal solution: the estimate coincides with the unknown .  Almost always any estimate will result in an error given by  One strategy would be to select the estimator so as to minimize some function of this error -mean square error (MMSE), -absolute value of the error - etc.

5. A More Fundamental Approach: Principle of Maximum Likelihood  Underlying Assumption: the available data has something to do with the unknown parameter .  We assume that the joint p.d.f of, depends on .  This method -assumes that the given sample data set is representative of the population -chooses the value for  that most likely caused the observed data to occur

6. Principle of Maximum Likelihood  In other words, given the observations, is a function of  alone  The value of  that maximizes the above p.d.f is the most likely value for , and it is chosen as the ML estimate for .

7.  Given the joint p.d.f represents the likelihood function  The ML estimate can be determined either from - the likelihood equation -or using the log-likelihood function  If is differentiable and a supremum exists in the above equation, then that must satisfy the equation

8.  Let represent n observations where  is the unknown parameter of interest,  are zero mean independent normal r.vs with common variance  Determine the ML estimate for .  Since s are independent r.vs and  is an unknown constant, s are independent normal random variables.  Thus the likelihood function takes the form Example Solution

9.  Each is Gaussian with mean  and variance (Why?).  Thus  Therefore the likelihood function is:  It is easier to work with the log-likelihood function in this case. Example - continued

10.  We obtain  and taking derivative with respect to , we get  or  This linear estimator represents the ML estimate for . Example - continued

11. Unbiased Estimators  Notice that the estimator is a r.v. Taking its expected value, we get  i.e., the expected value of the estimator does not differ from the desired parameter, and hence there is no bias between the two.  Such estimators are known as unbiased estimators.  represents an unbiased estimator for .

12. Consistent Estimators  Moreover the variance of the estimator is given by  The latter terms are zeros since and are independent r.vs.  So,  And:  another desired property. We say estimators that satisfy this limit are consistent estimators.

13.  Let be i.i.d. uniform random variables in with common p.d.f  where  is an unknown parameter. Find the ML estimate for .  The likelihood function in this case is given by  The likelihood function here is maximized by the minimum value of . Example Solution

14.  and since we get to be the ML estimate for .  a nonlinear function of the observations.  Is this is an unbiased estimate for  ? we need to evaluate its mean.  It is easier to determine its p.d.f and proceed directly.  Let where Example - continued

15.  Then  so that  Using the above, we get Example - continued

16.  In this case so the ML estimator is not an unbiased estimator for .  However, note that as  i.e., the ML estimator is an asymptotically unbiased estimator.  Also,  so that  as implying that this estimator is a consistent estimator. Example - continued

17.  Let be i.i.d Gamma random variables with unknown parameters  and .  Determine the ML estimator for  and .  Here and  This gives the log-likelihood function to be Example Solution

18.  Differentiating L with respect to  and  we get  Thus,  So,  Notice that this is highly nonlinear in Example - continued

19. Conclusion  In general the (log)-likelihood function -can have more than one solution, or no solutions at all. -may not be even differentiable -can be extremely complicated to solve explicitly

20. Best Unbiased Estimator  We have seen that represents an unbiased estimator for  with variance  It is possible that, for a given n, there may be other unbiased estimators to this problem with even lower variances.  If such is indeed the case, those estimators will be naturally preferrable compared to previous one.  Is it possible to determine the lowest possible value for the variance of any unbiased estimator?  A theorem by Cramer and Rao gives a complete answer to this problem.

21. Cramer - Rao Bound  Variance of any unbiased estimator based on observations for  must satisfy the lower bound  The right side of above equation acts as a lower bound on the variance of all unbiased estimator for , provided their joint p.d.f satisfies certain regularity restrictions. (see (8-79)-(8-81), Text).

22. Efficient Estimators  Any unbiased estimator whose variance coincides with Cramer-Rao bound must be the best.  Such estimates are known as efficient estimators.  Let us examine whether is efficient.  and  So the Cramer - Rao lower bound is

23. Rao-Blackwell Theorem  As we obtained before, the variance of this ML estimator is the same as the specified bound.  If there are no unbiased estimators that are efficient, the best estimator will be an unbiased estimator with the lowest possible variance.  How does one find such an unbiased estimator?  Rao-Blackwell theorem gives a complete answer to this problem.  Cramer-Rao bound can be extended to multiparameter case as well.

24. Estimating Parameters with a-priori p.d.f  So far, we discussed nonrandom parameters that are unknown.  What if the parameter of interest is a r.v with a-priori p.d.f  How does one obtain a good estimate for  based on the observations  One technique is to use the observations to compute its a-posteriori p.d.f.  Of course, we can use the Bayes’ theorem to obtain this a-posteriori p.d.f.  Notice that this is only a function of , since represent given observations.

25. MAP Estimator  Once again, we can look for the most probable value of  suggested by the above a-posteriori p.d.f.  Naturally, the most likely value for  is the one corresponding to the maximum of the a-posteriori p.d.f (The MAP estimator for  ).  It is possible to use other optimality criteria as well.