Beruflich Dokumente
Kultur Dokumente
Extended Abstract
Johann Christoph Strelen
Rheinische FriedrichWilhelmsUniversitat Bonn
Roemerstr. 164, 53117 Bonn, Germany
E-mail: strelen@cs.uni-bonn.de
INTRODUCTION
Stochastic simulation prots from fast computers, many more and much longer simulation
runs can be carried out in reasonable time than a decade ago, estimation can rely on many
data. This incrases the trustworthiness in the statistical simulation results, and in many
situations, the distributions of estimators can be expected to be close to a normal distribution,
in which the expectation and the median coincide. This observation motivates us to consider
condence intervals around the median as a substitute of condence intervals (CI). These
median condence intervals (MCI) are easier to obtain than usual condence intervals: No
variance of the estimator is needed, and it is straightforward to get MCIs for functions of
estimators.
CONFIDENCE INTERVALS
Let X
1
, X
2
, ..., X
n
be IID random variables with nite mean and nite variance
2
. If the
X
i
s are normal random variables, or if n is suciently large the sample mean
X(n) = (X
1
+... +X
n
)/n
is (approximately) a normal random variable. Given the condence level 1 ,
X(n) z
1/2
2
/n,
X(n) +z
1/2
2
/n
n
i=1
(X
i
X(n))
2
n 1
and here the condence interval is
X(n) t
n1,z
1/2
S
2
(n)/n,
X(n) +t
n1,z
1/2
S
2
(n)/n
where t
n1,z
1/2
is the upper critical value for the t distribution with n1 degrees of freedom.
If n is large, t
n1,z
1/2
z
1/2
holds.
Now let
X
1
, ...,
X
w
be IID random variables with nite mean and nite median , hence
P{
X
i
< } 0.5 and P{
X
i
> } 0.5. With
X
min
= min
1iw
X
i
and
X
max
= max
1iw
X
i
,
P{
X
min
< <
X
max
} 1 0.5
w1
holds.
X
min
,
X
max
is the median condence interval for the condence level 1 with = 0.5
w1
. We consider it
as a substitute for a condence interval if the median equals (approximately) the mean, =
or . For some distributions which occur frequently in simulation, this can be assumed,
for example the normal and the uniform distribution have = , and holds for the t
and the
2
distribution if the degree of freedom is high.
In simulation, the above
X
i
s are estimators in w independent runs (replications).
Example
Let X
1,1
, ..., X
1,n
, X
2,1
, ..., X
2,n
, ..., X
w,1
, ..., X
w,n
be independent N(,
2
)-distributed random
variables (normal distribution with mean and variance
2
). The mean is to be estimated,
the variance
2
is known.
With the estimator
X(wn) = (X
1,1
+... +X
w,n
)/(wn),
X(wn) z
1/2
2
/(wn),
X(wn) +z
1/2
2
/(wn)
X
min
,
X
max
X
1
, ...,
X
w
are N(,
2
/n)-distributed random variables. For example they are sample means
of many random variables which may be correlated. Given the condence level 1 where
= 1/2
w1
, and
X = (
X
1
+... +
X
w
)/w,
X z
1/2
2
/(wn),
X +z
1/2
2
/(wn)
1/w
2
/n. The median
condence interval with the same condence level and the same number of random numbers is
[min
X
i
, max
X
i
].
Y
i
= (
X
i
)
n/
2
are N(0, 1)-distributed random variables. The width of the median
condence intervals is given by the random variable
B
MCI
= ( max
1iw
Y
i
min
1iw
Y
i
)
2
/n.
We are interested in the ratio r = E[B
MCI
]/b
CI
,
r =
E[max
1iw
Y
i
min
1iw
Y
i
]
2z
1/2
1/w
because it is a measure for the quality of median condence intervals.
Above we mentioned that we found ratios of 1.34...1.52. This was accomplished as follows.
The distribution function of max
1iw
Y
i
min
1iw
Y
i
can be expressed with products of
normal distribution functions and a convolution, but it seems that it is not easy to calculate
the expectation. This is why we estimated E[max
1iw
Y
i
min
1iw
Y
i
] with simulation as
follows.
3
In each of six replications, n
gures b
k,j
= max
1iw
y
i
min
1iw
y
i
, k = 1, ..., 6, j =
1, ..., n
b(6n
) =
1
6n
k=1
n
j=1
b
k,j
estimates the expectation E[max
1iw
Y
i
min
1iw
Y
i
]. A concrete condence interval is
b(6n
) z
11/2
5
1
6n
,
b(6n
) +z
11/2
5
1
6n
min
1k6
b
k
(n
), max
1k6
b
k
(n
where
b
k
(n
) =
1
n
j=1
b
k,j
, k = 1, ..., 6.
The following table presents some simulation results: The estimated expectation e =
E[max
1iw
Y
i
min
1iw
Y
i
] with condence intervals and median condence intervals where
the condence level is 1 with = 1/2
5
= 0.03125. In the last column, the resulting ratio r
is given. Obviously it depends on w, the number of replications.
w n