Background. In estimating a parameter from a statistical model, one is interested in how the estimates deviate from the true value of the parameter. The deviations generally come from two sources. One source is known as the noise, or random error, which has to do with the random nature of observations or measurements in general. For example, when a fair coin is tossed 100 times and the number of heads is counted. One might get 51 even though the true parameter is 50. The difference of 1 is due to the random nature of coin tossing.
The other source of deviation is known as the bias, or systematic error, which has to do with how the observations are made, how the instruments are set up to make the measurements, and most of all, how these observations or measurements are tallied and summarized to come up with an estimate of the true parameter. For example, a rating scheme is proposed for an online collaborative encyclopedia on entries contributed by individuals who are members of the online website hosting the encyclopedia. The purpose of this rating scheme is to give the readers, members or non-members inclusive, a better idea on the quality of the entries by their corresponding numerical values. Suppose that members are asked to rate an entry from a scale of 1 to 10. For simplicity, members who are intimately familiar with the concept in the entry rate it with a perfect 10. Next, members who are not that familiar with the entry give it a 5. Finally, the remaining members choose to not participate and the rating scale from them default to a 0. A simple arithmetic average is computed and a rating of 2.5 is produced. Would this 2.5 be a good indicator of the overall quality of the entry? Maybe not. Here, biases are introduced. First, the participants of the rating scheme do not include non-members, who, collectively, may very well represent a different level of understanding of the rated entry than members. Secondly, even among the members, there is a considerable amount of differences in terms of levels of understanding of the entry, etc… To some, the entry may be accurately and perfectly written, not everyone will rate it the same way in the end. Finally, there are the non-raters. We have no idea as to how they would rate the entries. Their votes should certainly count if they decide to rate in the last minute. The final rate, however, would most likely be different.
The difference between the bias and the noise is that one can be reduced while the other can not. Mathematically, we have the following:
Note that the random error does not appear in the above definition because its expectation is zero.
But , the above expression reduces to
showing that the bias of is zero. Note that even though depends on the size of the sample , its expectation, however, does not, and is identically , for all values of .
Here is another example of an unbiased estimator. Again, assume observations , are iid as normal distribution . The sample variance estimator is defined by
Expressing explicitly in terms of the random variables , we have
Now, for , and are independent so that
for all . Hence
(3) (4) (5) (6) (7) (8)
This shows that is an unbiased estimator for .
However, would be biased if we were to define it by
would depend on the sample size and would not equal to at any .
Remark. In practice, unbiased estimators are rare. There is another, larger class of estimators that are biased with smaller samples, but the bias gets smaller and tends to 0 as the sample size gets larger. Such an estimator is called an asymptotically unbiased estimator. For example, if we were to define as in Example 3 above, would be an asymptotically unbiased estimator for .
|Date of creation||2013-03-22 15:00:21|
|Last modified on||2013-03-22 15:00:21|
|Last modified by||CWoo (3771)|
|Defines||asymptotically unbiased estimator|