Questions tagged [estimators]
A rule for calculating an estimate of a given quantity based on observed data [Wikipedia].
870
questions
198
votes
3
answers
247k
views
What is the difference between a consistent estimator and an unbiased estimator?
What is the difference between a consistent estimator and an unbiased estimator?
The precise technical definitions of these terms are fairly complicated, and it's difficult to get an intuitive feel ...
- 2,760
58
votes
5
answers
21k
views
When is a biased estimator preferable to unbiased one?
It's obvious many times why one prefers an unbiased estimator. But, are there any circumstances under which we might actually prefer a biased estimator over an unbiased one?
- 4,423
54
votes
3
answers
98k
views
Maximum Likelihood Estimators - Multivariate Gaussian
Context
The Multivariate Gaussian appears frequently in Machine Learning and the following results are used in many ML books and courses without the derivations.
Given data in form of a matrix $\...
- 9,826
43
votes
9
answers
55k
views
What is the difference between an estimator and a statistic?
I learned that a statistic is an attribute you can obtain from samples.Taking many samples of same size, calculating this attribute for all of them and plotting the pdf, we get the distribution of the ...
- 499
42
votes
1
answer
9k
views
Quantile regression: Which standard errors?
The summary.rq function from the quantreg vignette provides a multitude of choices for standard error estimates of quantile regression coefficients. What are the ...
- 2,276
34
votes
3
answers
7k
views
Is p-value a point estimate?
Since one can calculate confidence intervals for p-values and since the opposite of interval estimation is point estimation: Is p-value a point estimate?
- 1,342
31
votes
2
answers
19k
views
What is the oracle property of an estimator?
What is the oracle property of an estimator?
What modelling goals is the oracle property relevant for (predictive, explanatory, ...)?
Both theoretically rigorous and (especially) intuitive ...
- 68.6k
30
votes
1
answer
3k
views
Is there a statistical application that requires strong consistency?
I was wondering if someone knows or if there exists an application in statistics in which strong consistency of an estimator is required instead of weak consistency. That is, strong consistency is ...
- 431
29
votes
2
answers
12k
views
Correlation between OLS estimators for intercept and slope
In a simple regression model,
$$ y = \beta_0 + \beta_1 x + \varepsilon, $$
the OLS estimators $\hat{\beta}_0^{OLS}$ and $\hat{\beta}_1^{OLS}$ are correlated.
The formula for the correlation ...
- 68.6k
25
votes
5
answers
51k
views
What is the relation between estimator and estimate?
What is the relation between estimator and estimate?
user3412
23
votes
2
answers
2k
views
Shrunken $r$ vs unbiased $r$: estimators of $\rho$
There has been some confusion in my head about two types of estimators of the population value of Pearson correlation coefficient.
A. Fisher (1915) showed that for bivariate normal population ...
- 58.3k
22
votes
1
answer
1k
views
Anscombe-like datasets with the same box and whiskers plot (mean/std/median/MAD/min/max)
EDIT: As this question has been inflated, a summary: finding different meaningful and interpretable datasets with the same mixed statistics (mean, median, midrange and their associated dispersions, ...
- 2,227
18
votes
1
answer
12k
views
root-n consistent estimator, but root-n doesn't converge?
I've heard the term "root-n" consistent estimator' used many times. From the resources I've been instructed by, I thought that a "root-n" consistent estimator meant that:
the estimator converges on ...
- 2,289
18
votes
1
answer
8k
views
When do maximum likelihood and method of moments produce the same estimators?
I was asked this question the other day and had never considered it before.
My intuition comes from the advantages of each estimator. Maximum likelihood is preferably when we are confident in the ...
- 283
17
votes
3
answers
7k
views
Why is an estimator considered a random variable?
My understanding of what an estimator and an estimate is:
Estimator: A rule to calculate an estimate
Estimate: The value calculated from a set of data based on the estimator
Between these two terms, ...
- 366