My Avatar

LanternD's Castle

An electronics enthusiast - survive technically

STT 861 Theory of Prob and STT I Lecture Note - 13

2017-11-29

Recap of linear predictor; almost surely convergence, converge in probability, converge in distribution; central limit theorem, theorem of DeMoivre-Laplace.

Portal to all the other notes

Lecture 13 - Nov 29 2017

For Video Recording

Linear Prediction

Recall $ X, Y $ let

\[g(x)=E[Y\vert X=x]\]

The r.v. $ g(x) $ is the best predictor of $ Y $ given $ X $ in the least square sense: $ g $ minimizes $ E(g(X)-Y)^2) $ = MSE.

But what about making this MSE as small as possible when $ g $ is linear? So use notation $ h(x)=a+bx $ (instead of $ g $).

We want to minimize

\[MSE = E((Y-(a+bX))^2)\]

Find $ a $ and $ b $ to make this as small as possible. Let

\[Z_Y = \frac{Y-\mu_Y}{\sigma_Y}\] \[Z_X = \frac{X-\mu_X}{\sigma_X}\]

We also know,

\[E(Z_XZ_Y) = Corr(X,Y) = \rho\] \[Y-(a+bX) = (Z_Y-cZ_X)\sigma_Y+(d-a)\]

where $ c=b \frac{\sigma_Y}{\sigma_X} $, and $ d=\mu_Y-b\mu_X $,

\[\begin{align*} MSE & = \sigma_Y^2E((Z_y-cZ_X)^2) + (d-a)^2 \\ &= \sigma_Y^2(1-2c\rho +c^2) + (d-a)^2 \\ &= \sigma_Y^2(1-\rho^2 + (c-\rho)^2) + (d-a)^2 \end{align*}\]

We see immediately that this is minimal for $ a=d $ and $ c=\rho $.

Therefore,

\[b= \rho \frac{\sigma_Y}{\sigma_X}\]

This answers the question of what the best linear predictor of $ Y $ given $ X $ is the mean square sense.

We see the smallest MSE is therefore $ \sigma_Y^2(1-\rho^2) $.

Therefore, we see that the proportion of $ Y $’s variance which is not explained by $ X $ is

\[\frac{MSE}{\sigma_Y^2}=1-\rho^2\]

Finally, the proportion of $ Y $’s variance which is explained by $ X $ is $ \rho^2 $.


Chapter 6 - Convergences

Definition: We say that the sequence of r.v.’s $ (X_n)_{n\in\mathbb{N}} $ converges (“a.s.”(almost surely)) to the r.v. $ X $ if

\[\lim_{n\rightarrow\infty} X_n=X\]

with probability 1. In other word,

\[P(\lim_{n\rightarrow\infty}|X_n-X|) = 1\]

Definition: (A weaker notion of convergence) A sequence of r.v.’s $ (X_n)_{n\in\mathbb{N}}$ converges in probability to $X$ if

\[\forall \varepsilon >0: P(|X-X_n|>\varepsilon) \rightarrow 0\]

Note: [Convince yourself as an exercise at home] Convergence in probability is (easier to achieve) than converge a.s.

Definition: (even weaker version) Let sequence of r.v.’s $ (X_n)_{n\in\mathbb{N}}$ as above but now let $ F $ be the CDF of some distribution. We say $ X_n $ converges in distribution to the law $ F $ is

\[F_{X_n}(X) \rightarrow F(X)\]

as $ n\rightarrow\infty$ for every fixed $ x $ where $ F(x) $ is continuous.

Note: unlike the previous two notions, here there is no need for a limiting r.v. $ X $ and the $ X_n $’s. Do not need to share a probability space with $ X $ or anyone else.

Example 1

Let $ Y_i $, $ i=1,2,3,… $ be i.i.d with $ \mu $ and $ \sigma^2 $ is finite. We proved that, with

\[X_n= \frac{Y_1 + Y_2 + \cdots + Y_n}{n} = \mu\]

then

\[P(|X_n-\mu|>\varepsilon) \leq \frac{\sigma^2}{\varepsilon^2n}\]

(By Chebyshev’s inequality)

The whole thing goes to 0 as $ n\rightarrow \infty $, this proves that $ X_n\rightarrow\mu $ in probability.

Note: assuming only $ \mu $ exists ($ \sigma^2 $ could be infinity), conclusion still holds. See W. Feller’s book in 1950.

Let $ X_n=Uniform\{1,2,…,n\} $. This is a stepper function, with $ 1/n $ increment each step. Let’s try to find out $ F_{X_n}(x) =\frac{1}{n}[x]$ for $ x\in [0,n] $ (integer function, the integer larger than $ x $ ).

For fixed $ x\in\mathbb{R^+} $, as $ n\rightarrow\infty $, $ F_{X_n}(x)\rightarrow 0(\star) $.

Since the function $ \star $, is not the CDF of any random variable, this proves that $ X_n $ does not converge in distribution, And therefore, $ X_n $ cannot converges in any stronger sense (in probability or a.s.).

How about $ Y_n=Uniform \{1/n, 2/n, …, n/n\} $?

Since

\[F_{Y_n}(x)\rightarrow x\]

for $ x\in[0,1] $, this is the CDF of $Uniform(0,1)$.

Example 2

Let $ U_n\sim Unif(0,1) $, i.i.d. Let $ M_n =\max_{i=1,2,…,n}(U_i)$. We can tell that $ M_n\rightarrow1 $ in some sense. Let’s prove it in probability:

Let $ \varepsilon>0 $, \(\begin{align*} P(\vert M_n-1\vert > \varepsilon) &= P(1-M_n>\varepsilon) \\ &=P(M_n<1-\varepsilon)\\ &=P(\max_{i=1,2,...,n}U_i<1-\varepsilon) \\ &=P(\forall i: U_i<1-\varepsilon)\\ &=P(\cap_{i=1}^{n}\{U_i<1-\varepsilon\}) \\ &=\prod_{i=1}^{n}P(U_i<1-\varepsilon) =(1-\varepsilon)^n\\ \lim P(\vert M_n-1 \vert >\varepsilon) &=0 \end{align*}\)

We proved that $ M_n\rightarrow1 $ in probability.

Now consider $ Y_n=(1-M_n)n $. Let’s see about CDF of $ Y_n $.

\[\begin{align*} 1-F_{Y_n}(y) & = P((1-M_n)>y) \\ &= P((1-M_n)>\frac{y}{n}) \\ &=P(M_n<1-y/n) \\ &=P(\prod \{U_i<1-y/n\}) \\ &=(1-y/n)^n\\ &\rightarrow e^{-y} \end{align*}\]

This CDF is exponential. Thus $ Y_n \rightarrow Exp(\lambda = 1)$ in distribution.


Theorem (6.3.6): Let $ (X_n)_{n\in\mathbb{N}} $ be a sequence of r.v.’s. If $ X_n $ has MGF $ M_{X_n}(t) $ and $ M_{X_n}(t)\rightarrow M_X(t) $ for $ t $ not 0, then $ X_n \rightarrow X$ in distribution.

Example 3

Let $ X_n $ be Bin($ n,p=\lambda/n $). We know that the PMF of $ X_n $ converges to the PMF of Poisson($ \lambda $). Try it again here. We will find

\[M_{X_n}(t)=e^\lambda (e^t-1)\]

and here we recognize that this is the MGF of Poisson($ \lambda $). By Theorem 6.3.6, $ X_n\rightarrow Poiss(\lambda) $ in distribution.

Let $ X_i, i=1,2,…,n $ be i.i.d with $ E(X_i)=\mu $ and variance $ Var(X_i)=\sigma^2 $.

Let $ Z_i =\frac{X_i-\mu}{\sigma} $, $ S_n=\frac{\sum_{i=1}^{n}Z_i}{\sqrt{n}} $,

(We divide by $ \sqrt(n) $ as a standardization and we know $ Var(S_n)=1 $).

Central Limit Theorem (CLT)

As $ n\rightarrow\infty $, then $ S_n\rightarrow Normal(0,1)$ in distribution.

This means:

\[\lim P(S_n\leq x) = F_{N(0,1)}(x) = \int_{-\infty}^{x}\frac{1}{\sqrt{2\pi}}\exp(-z^2/2) dz\]

The proof just combines the Taylor formula up to the order 2 and Theorem 6.3.6.


Next, consider

\[Y_n = \frac{(\sum_{i=1}^{n}x_i)-n\mu}{\sqrt{n}}=\sigma S_n\]

A corollary of the CLT says this:

\[Y_n\rightarrow N(0,\sigma^2)\]

in distribution.

Proof:

\[\begin{align*} P(Y_n\leq x) & = P(\sigma S_n\leq x) \\ &=P(S_n\leq\frac{x}{\sigma}) \\ &=\int_{-\infty}^{x/\sigma}\frac{1}{\sqrt{2\pi}}\exp(-z^2/2) dz \end{align*}\]

and conclude by changing of variable.


Theorem of DeMoivre-Laplace

Let $ X_i, i=1,2,3,..,n $ be i.i.d Bernoulli. Let $ W_n = X_1+X_2+\cdots+ X_n $. We know $ W_n\sim Bin(n,p) $.

Let $ S_n =\frac{W_n-np}{\sqrt{np(1-p)}}$,

Therefore, by CLT, $ S_n\rightarrow N(0,1) $ as $ n\rightarrow\infty $ in distribution.

In other words, to be precise,

\[\lim P(S_n\leq x) = \frac{1}{\sqrt{2\pi}}\int_{-\infty}^{x}\exp(-z^2/2)dz\] \[P(\frac{W_n-np}{\sqrt{np(1-p)}}\leq x) =P(W_n\leq x\sqrt{np(1-p)}+np)\]

The speed of convergence in the CLT is known as a “Berry-Esseen” theorem. But the speed of convergence for Binomial CLT is much faster and rule of thrum is $ p\in [1/10, 9/10] $ and $ n\geq 30 $. CLT is good within $ 1\% $ convergence error.


Example 4

Let

\[M_n =\frac{U_1+U_2+\cdots+U_n}{n}\]

where $ U_i $’s are i.i.d Uniform(0, 1). We know by Weak law of large numbers, that $ M_n\rightarrow \frac{1}{2} $ in probability as $ n\rightarrow\infty $. But how spread out is $ M_n $ around 1/2? For example, can we estimate the chance that $ M_n $ is more than 0.02 away from its mean value 1/2?

Answer:

\[\begin{align*} P(|M_n-\frac{1}{2}|>0.02) & = 1- P(-0.02 < M_n-\frac{1}{2} <0.02) \\ &= 1-P(-0.02<\frac{\sum (U_i-1/2)}{n}) \\ &=1- P(-0.02\sqrt{n}<\frac{\sum (U_i-1/2)}{\sqrt{n}}<0.02\sqrt{n}) \\ &=1- P(-0.02\sqrt{n}/\sqrt{1/12}<\frac{\sum (U_i-1/2)}{\sqrt{n}}\sqrt{1/12}<0.02\sqrt{n}\sqrt{1/12}) \\ &\approx 1-P(-\frac{0.02\sqrt{n}}{\sqrt{1/12}}<N(0,1)<\frac{0.02\sqrt{n}}{\sqrt{1/12}}) \end{align*}\]

We will feel comfortable if $ n $ is large enough to make this greater than 0.95. What value should $ n $ at least be.

In order to get this setup, it is known that the right-hand value should be = 1.96.

This value

\[0.975 = P(N(0,1)\leq 1.95)\]

So 1.96 is therefore know as the 97.5$^{th}$ percentile of $ N(0,1) $. Therefore, we must take

\[\frac{0.02\sqrt{n}}{\sqrt{1/12}}\geq 1.96 \Rightarrow n>800.33\]

Disqus Comment 0