In statistics, the likelihood function expresses the probability of a sample of data given a set of model parameter values. The likelihood is typically formulated as a function of the parameters. However, it does not express a probability over the parameter space; it is equal to the joint probability distribution of a random sample, which is a random variable taking values in the sample space, not the parameter space.
In statistics, maximum likelihood estimation (MLE) is a method of estimating the parameters of a probability distribution by maximizing a likelihood function, so that under the assumed statistical model the observed data is most probable. The point in the parameter space that maximizes the likelihood function is called the maximum likelihood estimate. The logic of maximum likelihood is both intuitive and flexible, and as such the method has become a dominant means of statistical inference.
In statistics, the mean squared error (MSE) or mean squared deviation (MSD) of an estimator measures the average of the squares of the errors—that is, the average squared difference between the estimated values and the actual value. MSE is a risk function, corresponding to the expected value of the squared error loss. The fact that MSE is almost always strictly positive is because of randomness or because the estimator does not account for information that could produce a more accurate estimate.
The power of a binary hypothesis test is the probability that the test rejects the null hypothesis (H0) when a specific alternative hypothesis (H1) is true. The statistical power ranges from 0 to 1, and as statistical power increases, the probability of making a type II error (wrongly failing to reject the null hypothesis) decreases. For a type II error probability of β, the corresponding statistical power is 1 − β. For example, if experiment 1 has a statistical power of 0.7, and experiment 2 has a statistical power of 0.95, then there is a stronger probability that experiment 1 had a type II error than experiment 2, and experiment 2 is more reliable than experiment 1 due to the reduction in probability of a type II error. It can be equivalently thought of as the probability of accepting the alternative hypothesis (H1) when it is true—that is, the ability of a test to detect a specific effect, if that specific effect actually exists. That is,
In mathematical optimization and decision theory, a loss function or cost function is a function that maps an event or values of one or more variables onto a real number intuitively representing some "cost" associated with the event. An optimization problem seeks to minimize a loss function. An objective function is either a loss function or its negative, in which case it is to be maximized.
In mathematical statistics, the Fisher information is a way of measuring the amount of information that an observable random variable X carries about an unknown parameter θ of a distribution that models X. Formally, it is the variance of the score, or the expected value of the observed information. In Bayesian statistics, the asymptotic distribution of the posterior mode depends on the Fisher information and not on the prior. The role of the Fisher information in the asymptotic theory of maximum-likelihood estimation was emphasized by the statistician Ronald Fisher. The Fisher information is also used in the calculation of the Jeffreys prior, which is used in Bayesian statistics.
In statistics, the Wald test assesses constraints on statistical parameters based on the weighted distance between the unrestricted estimate and its hypothesized value under the null hypothesis, where the weight is the precision of the estimate. Intuitively, the larger this weighted distance, the less likely it is that the constraint is true. While the finite sample distributions of Wald tests are generally unknown, it has an asymptotic χ2-distribution under the null hypothesis, a fact that can be used to determine statistical significance.
In Bayesian statistics, a maximum a posteriori probability (MAP) estimate is an estimate of an unknown quantity, that equals the mode of the posterior distribution. The MAP can be used to obtain a point estimate of an unobserved quantity on the basis of empirical data. It is closely related to the method of maximum likelihood (ML) estimation, but employs an augmented optimization objective which incorporates a prior distribution over the quantity one wants to estimate. MAP estimation can therefore be seen as a regularization of ML estimation.
In econometrics and statistics, the generalized method of moments (GMM) is a generic method for estimating parameters in statistical models. Usually it is applied in the context of semiparametric models, where the parameter of interest is finite-dimensional, whereas the full shape of the data's distribution function may not be known, and therefore maximum likelihood estimation is not applicable.
In statistics, the Bayesian information criterion (BIC) or Schwarz information criterion is a criterion for model selection among a finite set of models; the model with the lowest BIC is preferred. It is based, in part, on the likelihood function and it is closely related to the Akaike information criterion (AIC).
Robust statistics are statistics with good performance for data drawn from a wide range of probability distributions, especially for distributions that are not normal. Robust statistical methods have been developed for many common problems, such as estimating location, scale, and regression parameters. One motivation is to produce statistical methods that are not unduly affected by outliers. Another motivation is to provide methods with good performance when there are small departures from parametric distribution. For example, robust methods work well for mixtures of two normal distributions with different standard-deviations; under this model, non-robust methods like a t-test work poorly.
The Anderson–Darling test is a statistical test of whether a given sample of data is drawn from a given probability distribution. In its basic form, the test assumes that there are no parameters to be estimated in the distribution being tested, in which case the test and its set of critical values is distribution-free. However, the test is most often used in contexts where a family of distributions is being tested, in which case the parameters of that family need to be estimated and account must be taken of this in adjusting either the test-statistic or its critical values. When applied to testing whether a normal distribution adequately describes a set of data, it is one of the most powerful statistical tools for detecting most departures from normality. K-sample Anderson–Darling tests are available for testing whether several collections of observations can be modelled as coming from a single population, where the distribution function does not have to be specified.
In statistics, M-estimators are a broad class of extremum estimators for which the objective function is a sample average. Both non-linear least squares and maximum likelihood estimation are special cases of M-estimators. The definition of M-estimators was motivated by robust statistics, which contributed new types of M-estimators. The statistical procedure of evaluating an M-estimator on a data set is called M-estimation.
In statistics the Cramér–von Mises criterion is a criterion used for judging the goodness of fit of a cumulative distribution function compared to a given empirical distribution function , or for comparing two empirical distributions. It is also used as a part of other algorithms, such as minimum distance estimation. It is defined as
In statistics, the jackknife is a resampling technique especially useful for variance and bias estimation. The jackknife pre-dates other common resampling methods such as the bootstrap. The jackknife estimator of a parameter is found by systematically leaving out each observation from a dataset and calculating the estimate and then finding the average of these calculations. Given a sample of size , the jackknife estimate is found by aggregating the estimates of each -sized sub-sample.
In statistics, the Khmaladze transformation is a mathematical tool used in constructing convenient goodness of fit tests for hypothetical distribution functions. More precisely, suppose are i.i.d., possibly multi-dimensional, random observations generated from an unknown probability distribution. A classical problem in statistics is to decide how well a given hypothetical distribution function , or a given hypothetical parametric family of distribution functions , fits the set of observations. The Khmaladze transformation allows us to construct goodness of fit tests with desirable properties. It is named after Estate V. Khmaladze.
In statistics, maximum spacing estimation, or maximum product of spacing estimation (MPS), is a method for estimating the parameters of a univariate statistical model. The method requires maximization of the geometric mean of spacings in the data, which are the differences between the values of the cumulative distribution function at neighbouring data points.
In statistics, asymptotic theory, or large sample theory, is a framework for assessing properties of estimators and statistical tests. Within this framework, it is typically assumed that the sample size n grows indefinitely; the properties of estimators and tests are then evaluated in the limit as n → ∞. In practice, a limit evaluation is treated as being approximately valid for large finite sample sizes, as well.
In statistics, suppose that we have been given some data, and we are constructing a statistical model of that data. The relative likelihood compares the relative plausibilities of different candidate models or of different values of a parameter of a single model.
