{ "cells": [ { "cell_type": "markdown", "metadata": { "deletable": false }, "source": [ "# [Introduction to Data Science: A Comp-Math-Stat Approach](https://lamastex.github.io/scalable-data-science/as/2019/)\n", "## YOIYUI001, Summer 2019 \n", "©2019 Raazesh Sainudiin. [Attribution 4.0 International (CC BY 4.0)](https://creativecommons.org/licenses/by/4.0/)" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "# 10. Convergence of Limits of Random Variables, Confidence Set Estimation and Testing\n" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "# Inference and Estimation: The Big Picture\n", "\n", "- Limits\n", " - Limits of Sequences of Real Numbers\n", " - Limits of Functions\n", " - Limit of a Sequence of Random Variables\n", "- Convergence in Distribution\n", "- Convergence in Probability\n", "- Some Basic Limit Laws in Statistics\n", "- Weak Law of Large Numbers\n", "- Central Limit Theorem \n", "- Asymptotic Normality of the Maximum Likelihood Estimator\n", "- Set Estimators - Confidence Intervals and Sets from Maximum Likelihood Estimators\n", "- Parametric Hypothesis Test - From Confidence Interval to Wald test\n", " \n", "\n", "### Inference and Estimation: The Big Picture\n", "\n", "The Models and their maximum likelihood estimators we discussed earlier fit into our Big Picture, which is about inference and estimation and especially inference and estimation problems where computational techniques are helpful. \n", "\n", "
\n", " | Point estimation | \n", "Set estimation | \n", "Hypothesis Testing | \n", "
\n",
" Parametric \n", "\n", " | \n",
"\n",
" MLE of finitely many parameters | \n",
"\n",
" Asymptotically Normal Confidence Intervals | \n",
"\n",
" Wald Test from Confidence Interval | \n",
"
\n",
" Non-parametric | \n",
"coming up ... | \n", "coming up ... | \n", "coming up ... | \n", "\n", "
Likelihood function for Bernoulli process, as $n$ goes from 1 to 1000 in a continuous loop. | \n", "
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![]() | \n",
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Normal curve animation, looping through $\\sigma = \\frac{1}{i}$ for $i = 1, \\dots, 25$ | \n", "
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![]() | \n",
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'true state of nature' | \n", "Do not reject $H_0$ | \n",
"Reject $H_0$ | \n",
"
\n",
" $H_0$ is true \n", " | \n",
"\n",
" OK \n", " | \n",
"\n",
" Type I error \n", " | \n",
"
\n",
" $H_0$ is false \n", " | \n",
"Type II error | \n", "OK | \n", "