Chapter 3 Commonly Used Statistical Terms
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EART6 Lab Standard Deviation in Probability and Statistics, The
EART6 Lab Standard deviation In probability and statistics, the standard deviation is a measure of the dispersion of a collection of values. It can apply to a probability distribution, a random variable, a population or a data set. The standard deviation is usually denoted with the letter σ. It is defined as the root-mean-square (RMS) deviation of the values from their mean, or as the square root of the variance. Formulated by Galton in the late 1860s, the standard deviation remains the most common measure of statistical dispersion, measuring how widely spread the values in a data set are. If many data points are close to the mean, then the standard deviation is small; if many data points are far from the mean, then the standard deviation is large. If all data values are equal, then the standard deviation is zero. A useful property of standard deviation is that, unlike variance, it is expressed in the same units as the data. 2 (x " x ) ! = # N N Fig. 1 Dark blue is less than one standard deviation from the mean. For Fig. 2. A data set with a mean the normal distribution, this accounts for 68.27 % of the set; while two of 50 (shown in blue) and a standard deviations from the mean (medium and dark blue) account for standard deviation (σ) of 20. 95.45%; three standard deviations (light, medium, and dark blue) account for 99.73%; and four standard deviations account for 99.994%. The two points of the curve which are one standard deviation from the mean are also the inflection points. -
On the Meaning and Use of Kurtosis
Psychological Methods Copyright 1997 by the American Psychological Association, Inc. 1997, Vol. 2, No. 3,292-307 1082-989X/97/$3.00 On the Meaning and Use of Kurtosis Lawrence T. DeCarlo Fordham University For symmetric unimodal distributions, positive kurtosis indicates heavy tails and peakedness relative to the normal distribution, whereas negative kurtosis indicates light tails and flatness. Many textbooks, however, describe or illustrate kurtosis incompletely or incorrectly. In this article, kurtosis is illustrated with well-known distributions, and aspects of its interpretation and misinterpretation are discussed. The role of kurtosis in testing univariate and multivariate normality; as a measure of departures from normality; in issues of robustness, outliers, and bimodality; in generalized tests and estimators, as well as limitations of and alternatives to the kurtosis measure [32, are discussed. It is typically noted in introductory statistics standard deviation. The normal distribution has a kur- courses that distributions can be characterized in tosis of 3, and 132 - 3 is often used so that the refer- terms of central tendency, variability, and shape. With ence normal distribution has a kurtosis of zero (132 - respect to shape, virtually every textbook defines and 3 is sometimes denoted as Y2)- A sample counterpart illustrates skewness. On the other hand, another as- to 132 can be obtained by replacing the population pect of shape, which is kurtosis, is either not discussed moments with the sample moments, which gives or, worse yet, is often described or illustrated incor- rectly. Kurtosis is also frequently not reported in re- ~(X i -- S)4/n search articles, in spite of the fact that virtually every b2 (•(X i - ~')2/n)2' statistical package provides a measure of kurtosis. -
Robust Logistic Regression to Static Geometric Representation of Ratios
Journal of Mathematics and Statistics 5 (3):226-233, 2009 ISSN 1549-3644 © 2009 Science Publications Robust Logistic Regression to Static Geometric Representation of Ratios 1Alireza Bahiraie, 2Noor Akma Ibrahim, 3A.K.M. Azhar and 4Ismail Bin Mohd 1,2 Institute for Mathematical Research, University Putra Malaysia, 43400 Serdang, Selangor, Malaysia 3Graduate School of Management, University Putra Malaysia, 43400 Serdang, Selangor, Malaysia 4Department of Mathematics, Faculty of Science, University Malaysia Terengganu, 21030, Malaysia Abstract: Problem statement: Some methodological problems concerning financial ratios such as non- proportionality, non-asymetricity, non-salacity were solved in this study and we presented a complementary technique for empirical analysis of financial ratios and bankruptcy risk. This new method would be a general methodological guideline associated with financial data and bankruptcy risk. Approach: We proposed the use of a new measure of risk, the Share Risk (SR) measure. We provided evidence of the extent to which changes in values of this index are associated with changes in each axis values and how this may alter our economic interpretation of changes in the patterns and directions. Our simple methodology provided a geometric illustration of the new proposed risk measure and transformation behavior. This study also employed Robust logit method, which extends the logit model by considering outlier. Results: Results showed new SR method obtained better numerical results in compare to common ratios approach. With respect to accuracy results, Logistic and Robust Logistic Regression Analysis illustrated that this new transformation (SR) produced more accurate prediction statistically and can be used as an alternative for common ratios. Additionally, robust logit model outperforms logit model in both approaches and was substantially superior to the logit method in predictions to assess sample forecast performances and regressions. -
The Probability Lifesaver: Order Statistics and the Median Theorem
The Probability Lifesaver: Order Statistics and the Median Theorem Steven J. Miller December 30, 2015 Contents 1 Order Statistics and the Median Theorem 3 1.1 Definition of the Median 5 1.2 Order Statistics 10 1.3 Examples of Order Statistics 15 1.4 TheSampleDistributionoftheMedian 17 1.5 TechnicalboundsforproofofMedianTheorem 20 1.6 TheMedianofNormalRandomVariables 22 2 • Greetings again! In this supplemental chapter we develop the theory of order statistics in order to prove The Median Theorem. This is a beautiful result in its own, but also extremely important as a substitute for the Central Limit Theorem, and allows us to say non- trivial things when the CLT is unavailable. Chapter 1 Order Statistics and the Median Theorem The Central Limit Theorem is one of the gems of probability. It’s easy to use and its hypotheses are satisfied in a wealth of problems. Many courses build towards a proof of this beautiful and powerful result, as it truly is ‘central’ to the entire subject. Not to detract from the majesty of this wonderful result, however, what happens in those instances where it’s unavailable? For example, one of the key assumptions that must be met is that our random variables need to have finite higher moments, or at the very least a finite variance. What if we were to consider sums of Cauchy random variables? Is there anything we can say? This is not just a question of theoretical interest, of mathematicians generalizing for the sake of generalization. The following example from economics highlights why this chapter is more than just of theoretical interest. -
Iam 530 Elements of Probability and Statistics
IAM 530 ELEMENTS OF PROBABILITY AND STATISTICS LECTURE 3-RANDOM VARIABLES VARIABLE • Studying the behavior of random variables, and more importantly functions of random variables is essential for both the theory and practice of statistics. Variable: A characteristic of population or sample that is of interest for us. Random Variable: A function defined on the sample space S that associates a real number with each outcome in S. In other words, a numerical value to each outcome of a particular experiment. • For each element of an experiment’s sample space, the random variable can take on exactly one value TYPES OF RANDOM VARIABLES We will start with univariate random variables. • Discrete Random Variable: A random variable is called discrete if its range consists of a countable (possibly infinite) number of elements. • Continuous Random Variable: A random variable is called continuous if it can take on any value along a continuum (but may be reported “discretely”). In other words, its outcome can be any value in an interval of the real number line. Note: • Random Variables are denoted by upper case letters (X) • Individual outcomes for RV are denoted by lower case letters (x) DISCRETE RANDOM VARIABLES EXAMPLES • A random variable which takes on values in {0,1} is known as a Bernoulli random variable. • Discrete Uniform distribution: 1 P(X x) ; x 1,2,..., N; N 1,2,... N • Throw a fair die. P(X=1)=…=P(X=6)=1/6 DISCRETE RANDOM VARIABLES • Probability Distribution: Table, Graph, or Formula that describes values a random variable can take on, and its corresponding probability (discrete random variable) or density (continuous random variable). -
Theoretical Statistics. Lecture 5. Peter Bartlett
Theoretical Statistics. Lecture 5. Peter Bartlett 1. U-statistics. 1 Outline of today’s lecture We’ll look at U-statistics, a family of estimators that includes many interesting examples. We’ll study their properties: unbiased, lower variance, concentration (via an application of the bounded differences inequality), asymptotic variance, asymptotic distribution. (See Chapter 12 of van der Vaart.) First, we’ll consider the standard unbiased estimate of variance—a special case of a U-statistic. 2 Variance estimates n 1 s2 = (X − X¯ )2 n n − 1 i n Xi=1 n n 1 = (X − X¯ )2 +(X − X¯ )2 2n(n − 1) i n j n Xi=1 Xj=1 n n 1 2 = (X − X¯ ) − (X − X¯ ) 2n(n − 1) i n j n Xi=1 Xj=1 n n 1 1 = (X − X )2 n(n − 1) 2 i j Xi=1 Xj=1 1 1 = (X − X )2 . n 2 i j 2 Xi<j 3 Variance estimates This is unbiased for i.i.d. data: 1 Es2 = E (X − X )2 n 2 1 2 1 = E ((X − EX ) − (X − EX ))2 2 1 1 2 2 1 2 2 = E (X1 − EX1) +(X2 − EX2) 2 2 = E (X1 − EX1) . 4 U-statistics Definition: A U-statistic of order r with kernel h is 1 U = n h(Xi1 ,...,Xir ), r iX⊆[n] where h is symmetric in its arguments. [If h is not symmetric in its arguments, we can also average over permutations.] “U” for “unbiased.” Introduced by Wassily Hoeffding in the 1940s. 5 U-statistics Theorem: [Halmos] θ (parameter, i.e., function defined on a family of distributions) admits an unbiased estimator (ie: for all sufficiently large n, some function of the i.i.d. -
Lecture 14 Testing for Kurtosis
9/8/2016 CHE384, From Data to Decisions: Measurement, Kurtosis Uncertainty, Analysis, and Modeling • For any distribution, the kurtosis (sometimes Lecture 14 called the excess kurtosis) is defined as Testing for Kurtosis 3 (old notation = ) • For a unimodal, symmetric distribution, Chris A. Mack – a positive kurtosis means “heavy tails” and a more Adjunct Associate Professor peaked center compared to a normal distribution – a negative kurtosis means “light tails” and a more spread center compared to a normal distribution http://www.lithoguru.com/scientist/statistics/ © Chris Mack, 2016Data to Decisions 1 © Chris Mack, 2016Data to Decisions 2 Kurtosis Examples One Impact of Excess Kurtosis • For the Student’s t • For a normal distribution, the sample distribution, the variance will have an expected value of s2, excess kurtosis is and a variance of 6 2 4 1 for DF > 4 ( for DF ≤ 4 the kurtosis is infinite) • For a distribution with excess kurtosis • For a uniform 2 1 1 distribution, 1 2 © Chris Mack, 2016Data to Decisions 3 © Chris Mack, 2016Data to Decisions 4 Sample Kurtosis Sample Kurtosis • For a sample of size n, the sample kurtosis is • An unbiased estimator of the sample excess 1 kurtosis is ∑ ̅ 1 3 3 1 6 1 2 3 ∑ ̅ Standard Error: • For large n, the sampling distribution of 1 24 2 1 approaches Normal with mean 0 and variance 2 1 of 24/n 3 5 • For small samples, this estimator is biased D. N. Joanes and C. A. Gill, “Comparing Measures of Sample Skewness and Kurtosis”, The Statistician, 47(1),183–189 (1998). -
Statistical Analysis in JASP
Copyright © 2018 by Mark A Goss-Sampson. All rights reserved. This book or any portion thereof may not be reproduced or used in any manner whatsoever without the express written permission of the author except for the purposes of research, education or private study. CONTENTS PREFACE .................................................................................................................................................. 1 USING THE JASP INTERFACE .................................................................................................................... 2 DESCRIPTIVE STATISTICS ......................................................................................................................... 8 EXPLORING DATA INTEGRITY ................................................................................................................ 15 ONE SAMPLE T-TEST ............................................................................................................................. 22 BINOMIAL TEST ..................................................................................................................................... 25 MULTINOMIAL TEST .............................................................................................................................. 28 CHI-SQUARE ‘GOODNESS-OF-FIT’ TEST............................................................................................. 30 MULTINOMIAL AND Χ2 ‘GOODNESS-OF-FIT’ TEST. .......................................................................... -
Statistical Significance Testing in Information Retrieval:An Empirical
Statistical Significance Testing in Information Retrieval: An Empirical Analysis of Type I, Type II and Type III Errors Julián Urbano Harlley Lima Alan Hanjalic Delft University of Technology Delft University of Technology Delft University of Technology The Netherlands The Netherlands The Netherlands [email protected] [email protected] [email protected] ABSTRACT 1 INTRODUCTION Statistical significance testing is widely accepted as a means to In the traditional test collection based evaluation of Information assess how well a difference in effectiveness reflects an actual differ- Retrieval (IR) systems, statistical significance tests are the most ence between systems, as opposed to random noise because of the popular tool to assess how much noise there is in a set of evaluation selection of topics. According to recent surveys on SIGIR, CIKM, results. Random noise in our experiments comes from sampling ECIR and TOIS papers, the t-test is the most popular choice among various sources like document sets [18, 24, 30] or assessors [1, 2, 41], IR researchers. However, previous work has suggested computer but mainly because of topics [6, 28, 36, 38, 43]. Given two systems intensive tests like the bootstrap or the permutation test, based evaluated on the same collection, the question that naturally arises mainly on theoretical arguments. On empirical grounds, others is “how well does the observed difference reflect the real difference have suggested non-parametric alternatives such as the Wilcoxon between the systems and not just noise due to sampling of topics”? test. Indeed, the question of which tests we should use has accom- Our field can only advance if the published retrieval methods truly panied IR and related fields for decades now. -
Tests of Hypotheses Using Statistics
Tests of Hypotheses Using Statistics Adam Massey¤and Steven J. Millery Mathematics Department Brown University Providence, RI 02912 Abstract We present the various methods of hypothesis testing that one typically encounters in a mathematical statistics course. The focus will be on conditions for using each test, the hypothesis tested by each test, and the appropriate (and inappropriate) ways of using each test. We conclude by summarizing the di®erent tests (what conditions must be met to use them, what the test statistic is, and what the critical region is). Contents 1 Types of Hypotheses and Test Statistics 2 1.1 Introduction . 2 1.2 Types of Hypotheses . 3 1.3 Types of Statistics . 3 2 z-Tests and t-Tests 5 2.1 Testing Means I: Large Sample Size or Known Variance . 5 2.2 Testing Means II: Small Sample Size and Unknown Variance . 9 3 Testing the Variance 12 4 Testing Proportions 13 4.1 Testing Proportions I: One Proportion . 13 4.2 Testing Proportions II: K Proportions . 15 4.3 Testing r £ c Contingency Tables . 17 4.4 Incomplete r £ c Contingency Tables Tables . 18 5 Normal Regression Analysis 19 6 Non-parametric Tests 21 6.1 Tests of Signs . 21 6.2 Tests of Ranked Signs . 22 6.3 Tests Based on Runs . 23 ¤E-mail: [email protected] yE-mail: [email protected] 1 7 Summary 26 7.1 z-tests . 26 7.2 t-tests . 27 7.3 Tests comparing means . 27 7.4 Variance Test . 28 7.5 Proportions . 28 7.6 Contingency Tables . -
Statistical Significance
Statistical significance In statistical hypothesis testing,[1][2] statistical signif- 1.1 Related concepts icance (or a statistically significant result) is at- tained whenever the observed p-value of a test statis- The significance level α is the threshhold for p below tic is less than the significance level defined for the which the experimenter assumes the null hypothesis is study.[3][4][5][6][7][8][9] The p-value is the probability of false, and something else is going on. This means α is obtaining results at least as extreme as those observed, also the probability of mistakenly rejecting the null hy- given that the null hypothesis is true. The significance pothesis, if the null hypothesis is true.[22] level, α, is the probability of rejecting the null hypothe- Sometimes researchers talk about the confidence level γ sis, given that it is true.[10] This statistical technique for = (1 − α) instead. This is the probability of not rejecting testing the significance of results was developed in the the null hypothesis given that it is true. [23][24] Confidence early 20th century. levels and confidence intervals were introduced by Ney- In any experiment or observation that involves drawing man in 1937.[25] a sample from a population, there is always the possibil- ity that an observed effect would have occurred due to sampling error alone.[11][12] But if the p-value of an ob- 2 Role in statistical hypothesis test- served effect is less than the significance level, an inves- tigator may conclude that that effect reflects the charac- ing teristics of the -
Understanding Statistical Hypothesis Testing: the Logic of Statistical Inference
Review Understanding Statistical Hypothesis Testing: The Logic of Statistical Inference Frank Emmert-Streib 1,2,* and Matthias Dehmer 3,4,5 1 Predictive Society and Data Analytics Lab, Faculty of Information Technology and Communication Sciences, Tampere University, 33100 Tampere, Finland 2 Institute of Biosciences and Medical Technology, Tampere University, 33520 Tampere, Finland 3 Institute for Intelligent Production, Faculty for Management, University of Applied Sciences Upper Austria, Steyr Campus, 4040 Steyr, Austria 4 Department of Mechatronics and Biomedical Computer Science, University for Health Sciences, Medical Informatics and Technology (UMIT), 6060 Hall, Tyrol, Austria 5 College of Computer and Control Engineering, Nankai University, Tianjin 300000, China * Correspondence: [email protected]; Tel.: +358-50-301-5353 Received: 27 July 2019; Accepted: 9 August 2019; Published: 12 August 2019 Abstract: Statistical hypothesis testing is among the most misunderstood quantitative analysis methods from data science. Despite its seeming simplicity, it has complex interdependencies between its procedural components. In this paper, we discuss the underlying logic behind statistical hypothesis testing, the formal meaning of its components and their connections. Our presentation is applicable to all statistical hypothesis tests as generic backbone and, hence, useful across all application domains in data science and artificial intelligence. Keywords: hypothesis testing; machine learning; statistics; data science; statistical inference 1. Introduction We are living in an era that is characterized by the availability of big data. In order to emphasize the importance of this, data have been called the ‘oil of the 21st Century’ [1]. However, for dealing with the challenges posed by such data, advanced analysis methods are needed.