estimator
Let be samples (with observations ) from a distribution with probability density function , where is a real-valued unknown parameter (http://planetmath.org/StatisticalModel) in . Consider as a random variable and let be its realization.
An estimator for is a statistic that is used to, loosely speaking, estimate . Any value of is called an estimate of .
Example. Let be iid from a normal distribution . Here the two parameters are the mean and the variance . The sample mean is an estimator of , while the sample variance is an estimator of . In addition, sample median, sample mode, sample trimmed mean are all estimators of . The statistic defined by
where is a sample median, is another estimator of .
Title | estimator |
---|---|
Canonical name | Estimator |
Date of creation | 2013-03-22 14:52:22 |
Last modified on | 2013-03-22 14:52:22 |
Owner | CWoo (3771) |
Last modified by | CWoo (3771) |
Numerical id | 6 |
Author | CWoo (3771) |
Entry type | Definition |
Classification | msc 62A01 |
Defines | estimate |