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Statistical Models
Hanspeter Pfister, Joe Blitzstein, and Verena Kaynig
source: http://extensionengine.com/drowning-in-data-the-biggest-hurdle-for-mooc-proliferation/
What is a statistical model?
a family of distributions, indexed by parameters
sharpens distinction between data and parameters,
and between estimators and estimands
parametric (e.g., based on Normal, Binomial) vs.
nonparametric (e.g., methods like bootstrap, KDE)
All models are wrong, but some models are useful. George Box
Jorge Luis Borges,
On Exactitude in Science
In that Empire, the Art of Cartography attained such Perfection
that the map of a single Province occupied the entirety of a City,
and the map of the Empire, the entirety of a Province. In time,
those Unconscionable Maps no longer satisfied, and the
Cartographers
All models Guild struck
are wrong, a Map
but some of the
models Empirewhose
are useful. size was
George Box
that of the Empire, and which coincided point for point with it.
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cdf
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x x
Limit
Conditioning
Bin
(Bern)
Limit
Conjugacy
Conditioning
Beta
Pois
(Unif)
Limit
Poisson process Bank - post oce
Conjugacy
Gamma NBin
Normal
(Expo, Chi-Square) Limit (Geom)
Limit
Limit
Student-t
(Cauchy)
Bin(10,1/2) Bin(10,1/8)
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pmf
pmf
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Bin(100,0.03) Bin(9,4/5)
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pmf
pmf
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Binomial Distribution
story: X~Bin(n,p) is the number of successes in n
independent Bernoulli(p) trials.
e k
P (X = k) = , k = 0, 1, 2, . . . .
k!
write this as X Pois( ).
P1 k
is a valid PMF because of the Taylor series k=0 k! =e .
mple 4.7.2 (Poisson expectation and variance). Let X Pois( ).
w that the mean and variance are both equal to . For the mean, we h
Poisson PMF, CDF
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PMF
CDF
Pois(2)
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FIGURE 4.7
dence of r.v.s) and of good approximations (there are various ways to m
Poisson
ood an approximation Approximation
is). A remarkable theorem is that, in the above n
Aj are independent, N Pois( ), and B is any set of nonnegative i
X
n
1 2
|P (X 2 B) P (N 2 B)| min 1, pj .
j=1
if X is the number of events that occur, where the ith event has probability
provides
pi , andanNupper
Pois( bound
), with on
thehow much
average error
number is incurred
of events afrom using
that occur.
ximation, not only for approximating the PMF of X, but also for appr
e probability that
P X is any set. Also, it makes more precise how sma
d be: weExample:
want nj=1 in pmatching problem,
2 to be very
j small, theatprobability
or least very of
small comp
no match
e result can be shown is approximately
using an 1/e. known as the Stei
advanced technique
d.
Poisson paradigm is also called the law of rare events. The interpret
is that the pj are small, not that is small. For example, in the email e
w probability of getting an email from a specific person in a particular
by the large number of people who could send you an email in that hou
Poisson Model Example
0.30
q = 1.83)
0.20
Pr(Y i = y i )
Pr( Y i = y|q
0.10 0.00
0.00
0 2 4 6 8 0 10 20
number of children number
source: Hoff, A First Course in Bayesian Statistical Methods
Fig. 3.7. Poisson distributions. The first panel shows a Poisso
Extensions:mean
Zero-Inflated Poisson,
of 1.83, along with theNegative Binomial, of
empirical distribution the nu
women of age 40 from the GSS during the 1990s. The secon
distribution of the sum of 10 i.i.d. Poisson random variables w
Normal (Gaussian) Distribution
symmetry
central limit theorem
characterizations (e.g., via entropy)
68-95-99.7% rule
Wikipedia
Normal Approximation to Binomial
Wikipedia
The Magic of Statistics
http://www.etsy.com/shop/NausicaaDistribution
Bootstrap (Efron, 1979)
data: 3.142 2.718 1.414 0.693 1.618
source: http://pubs.sciepub.com/ijefm/3/3/2/
which is based on diagram in Efron-Tibshirani book