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Parameter estimation

Parameter estimation

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RA:207762

PROFESSOR

UNIVERSITY OF CAMPINAS

BRASIL

2018

Introduction

The scientific research has many objectives, between these, it aims to create models for

different phenomena. Knowing the behavior, it is not an easy work to do. The first thing the

investigator has to achieve is to recreate the phenomenon that is being investigated, as well

as the conditions of the environment.

The researcher needs to ensure that the replica is performing very close to real behavior. It

is necessary to do many tests to get enough data to propose a mathematical model capable

of representing the behavior of the phenomena.

The data must be analyzed and treated. The investigator ought to know some statistical

techniques to fit the data on the most suitable model. The procedure could be done through

techniques like minimal squares, maximal verisimilitude, linear regression and others.

In addition, it is necessary to know how accurate the model is. The researcher must be

aware of the approximations and possible errors that the model could have. Therefore, the

errors need to be calculated.

This work aims to determine parameters of some models, as well as the confidence interval

of each parameter. It will be used linear regression, minimal squares theory and Bayesian

inference.

Methodology

The works aims to determine parameter of models. It exist several statistical techniques to

approximate the value of the parameter, minimizing the error of the calculations. The most

known technique is linear regression.

response (or dependent variable) and one or more explanatory variables (or independent

variables). The case of one explanatory variable is called simple linear regression. For more

than one explanatory variable, the process is called multiple linear regression.

as follows:

𝑦 = 𝑋𝛽 + 𝜀, where

1 𝑥11 𝑥1𝑝 𝛽𝑜 𝑦1

𝑋 = [1 𝑥12 𝑥2𝑝 ] 𝛽 = [ 𝛽1 ] 𝑦 = [𝑦2 ]

1 𝑥1𝑛 𝑥𝑛𝑝 𝛽𝑝 𝑦𝑛

The least squares is the most common estimation method. It is easily to calculate. The

method minimizes the sum of squares residuals. The expression for parameters beta is the

next

−1

𝛽̂ = (𝑋 𝑇 𝑋)−1 𝑋 𝑇 𝑦 = (∑ 𝑥𝑖 𝑥𝑖𝑇 ) (∑ 𝑥𝑖 𝑦𝑖 )

Maximum likelihood estimation can be performed when the distribution of the error terms is

known to belong to a certain parametric family ƒθ of probability distributions. When fθ is a

normal distribution with zero mean and variance θ, the resulting estimate is identical to the

ordinary least squares estimate. Generalized least squares estimates are maximum

likelihood estimates when ε follows a multivariate normal distribution with a known

covariance matrix.

calculate the variance of each parameter and multiply by the correspond t.

Results

1) Determine the parameter of the model considering the data of the table below.

Indicate the confidence interval of 95%.

𝑦 = 𝛽𝑜 + 𝛽1 𝑥1 + 𝛽2 𝑥2 + 𝜀

Y 12 13 3 3 11 19 1 14 15 17 2 15

X1 31 16 29 19 27 21 24 11 26 18 12 3

X2 4 5 3 0 2 6 2 3 6 6 1 5

The parameters are determined using the linear regression theory. In this case is multiple

linear regression. The system could be represented as matrix system as follows:

𝒀 = 𝑿𝜸 + 𝜺, where X is a matrix of the data, Y is the vector of the values of the model and 𝛾

is the vector of the parameters. The values of the parameters are obtained applying minimal

squares theory.

𝛾 = (𝑋 𝑇 𝑋)−1 𝑋 𝑇 𝑌

𝑋 = [1 𝑥1 𝑥2 ].

𝒚

For calculate the confidence interval of each parameter, it must first calculate its variance.

The value of the estimators for the variance of each parameter are the next.

𝜎̂(𝛽𝑜 ) = 3.4221

𝜎̂(𝛽1 ) = 0.1313

𝜎̂(𝛽2 ) = 0.5277

The confidence interval is defined as 𝑡𝛼,(𝑛−𝑝−1) ∗ 𝜎̂(𝛽𝑖 ). The confidence interval for the

2

Another way to solve the problem is though the methodology presented below. For a three-

parameter system could be applied an equation system based on summations of the data.

The next matrix system is obtained:

𝑛 ∑ 𝑥1 ∑ 𝑥2 𝛽𝑜 ∑𝑌

∑

[ 𝑥1 ∑ 𝑥12 ∑ 𝑥1 𝑥2 ] [𝛽1 ] = [∑ 𝑥1 𝑌]

∑ 𝑥2 ∑ 𝑥1 𝑥2 ∑ 𝑥22 𝛽2 ∑ 𝑥2 𝑌

12 237 43 𝛽𝑜 125

[237 5439 843] [𝛽1 ] = [2363]

43 843 201 𝛽2 571

Solving the system, the same values for the parameters are obtained.

2) Determine the parameter of the model considering the data of the table below.

Indicate the confidence interval of 95%.

𝑌 = 𝛽𝑜 + 𝛽1 𝑥 + 𝛽2 𝑥 2 + 𝜀

Y 0,08 0,18 0,32 0,53 0,88 1,3 1,95 2,8 3,9 4,6 16,54

X 1 2 3 4 5 6 7 8 9 10 55

x^2 1 4 9 16 25 36 49 64 81 100 385

Using the methodology of the previous exercise the system is solved by the multiplication of

the matrixes.

𝛾 = (𝑋 𝑇 𝑋)−1 𝑋 𝑇 𝑌

𝑋 = [1 𝑥 𝑥 2 ].

𝒚

10 55 385 𝛽𝑜 16.54

[ 55 385 3025 ] [𝛽1 ] = [ 132.87 ]

385 3025 25333 𝛽2 1131.61

𝜎̂(𝛽𝑜 ) = 0.12777

𝜎̂(𝛽1 ) = 0.05336

𝜎̂(𝛽2 ) = 0.00473

𝑧 = 𝑎𝑥 𝑏 𝑦 𝑐 + 𝜀

a) Estimate the parameters by linear regression.

For applying linear regression it is necessary to linearize the model, to do this, logarithm is

a good tool. The procedure is as follows

𝑧 = 𝑎𝑥 𝑏 𝑦 𝑐

ln(𝑧) = ln( 𝑎𝑥 𝑏 𝑦 𝑐 )

The model has now a linear form, thus, it is possible to apply linear regression. The input

data has to be altered to get to do the process. It must be calculated the logarithm of the

data. Rearranging the table, it could be written as:

x y z ln x ln y ln z

20 6 3948 2,99573227 1,79175947 8,280964401

22 7 5372 3,09104245 1,94591015 8,588955558

24 8 6772 3,17805383 2,07944154 8,820551743

26 9 8796 3,25809654 2,19722458 9,082052352

28 10 10874 3,33220451 2,30258509 9,294129898

30 11 13200 3,40119738 2,39789527 9,487972109

32 12 15955 3,4657359 2,48490665 9,677527539

34 13 19055 3,52636052 2,56494936 9,855084813

36 14 22433 3,58351894 2,63905733 10,01828837

38 15 26213 3,63758616 2,7080502 10,17401075

40 16 30356 3,68887945 2,77258872 10,32074947

20 6 3979 2,99573227 1,79175947 8,28878581

22 7 5150 3,09104245 1,94591015 8,546751994

24 8 6824 3,17805383 2,07944154 8,828201089

26 9 8580 3,25809654 2,19722458 9,057189192

28 10 10801 3,33220451 2,30258509 9,287394001

30 11 13191 3,40119738 2,39789527 9,487290058

32 12 16032 3,4657359 2,48490665 9,682342004

34 13 18988 3,52636052 2,56494936 9,85156248

36 14 22311 3,58351894 2,63905733 10,01283511

38 15 26196 3,63758616 2,7080502 10,17336201

40 16 30235 3,68887945 2,77258872 10,31675547

20 6 3913 2,99573227 1,79175947 8,272059622

22 7 5332 3,09104245 1,94591015 8,581481681

24 8 6913 3,17805383 2,07944154 8,841158976

26 9 8818 3,25809654 2,19722458 9,084550366

28 10 10788 3,33220451 2,30258509 9,286189684

30 11 13224 3,40119738 2,39789527 9,48978864

32 12 16102 3,4657359 2,48490665 9,686698767

34 13 19071 3,52636052 2,56494936 9,855924136

36 14 22509 3,58351894 2,63905733 10,02167051

38 15 26234 3,63758616 2,7080502 10,17481156

40 16 30313 3,68887945 2,77258872 10,31933194

This study case has three parameter to calculate, which are obtained solving the equation

system presented below:

2

{∑ ln(𝑦) ln(𝑧) = ln(𝑎) ∑ ln(𝑦) + 𝑏 ∑ ln(𝑥) ln(𝑦) + 𝑐 ∑(ln(𝑦))

[111.475 378.132 264.513] [ 𝑏 ] = [1054.306]

77.653 264.513 185.819 𝑐 737.680

Solving the system, it is gotten the following results

𝑏 = 2.1513

𝑐 = 0.5589

𝜎̂(𝑎) = 0.89399

𝜎̂(𝑏) = 0.16779

𝜎̂(𝑐) = 0.11935

For applying the minimal squares theory, it was used the same model than previous item. It

was took the linear equation to approximate the behavior of the system. The data matrix

was made with them logarithm since the model is in logarithmical scale. The system has the

next form:

𝛾 = (𝑋 𝑇 𝑋)−1 𝑋 𝑇 𝑍

𝑋 = [1 ln(𝑥) ln(𝑦)].

𝑏 = 2.1513

𝑐 = 0.5589

𝜎̂(𝑎) = 0.89399

𝜎̂(𝑏) = 0.16779

𝜎̂(𝑐) = 0.11935

Independent on the methodology used, the values of the parameters must be the same, as

well as the confidence interval.

c) Determine sampling for the parameters a, b and c. Determine the variance. Use

Bayesian inference in this procedure.

For this item, it was used the matlab toolbox mcmc, which is the toolbox for Bayesian

inference. The code consist of a function where it is defined the global maximum of the

logarithm verisimilitude function. The code calls the function and with initial parameters

calculate sampling for the parameters. Next, the results of some runs are shown.

a b c sig2

1,9517 2,2747 0,4647 2,4667

2,7003 2,0739 0,6133 1,1796

3,2754 1,9575 0,7021 1,3931

2,4051 2,1293 0,5725 0,9370

2,1181 2,2221 0,5044 1,3637

2,8655 2,0218 0,6520 0,9806

1,9997 2,2559 0,4786 1,6194

4,7160 1,7550 0,8523 3,7273

3,2383 1,9440 0,7114 1,0679

2,5025 2,1041 0,5915 0,8712

2,9596 2,0101 0,6605 1,4269

2,3239 2,1795 0,5338 1,9398

2,6757 2,0645 0,6199 1,0012

2,2564 2,1697 0,5419 1,0994

2,1787 2,1941 0,5237 0,7691

1,8094 2,3067 0,4403 0,8647

2,8058 2,0563 0,6266 3,4960

4,7420 1,7428 0,8603 2,4831

2,4680 2,1140 0,5834 1,0311

2,0459 2,2291 0,4985 1,2731

2,6002 2,0795 0,6104 1,0870

2,6208 2,0781 0,6094 0,9131

2,3678 2,1411 0,5627 1,0549

2,5370 2,0960 0,5974 0,9273

3,2069 1,9520 0,7042 1,1367

3,7722 1,8544 0,7760 1,2258

The plot of the parameters sampling is as follows:

Parameter a:

Parameter b:

Parameter c:

d) Determine the density probability function using the principle of maximum entropy

for the parameter obtained in items a and b.

The three parameters, a, b and c have similar characteristics. Whole of them have half

statistic and variance known. Therefore, the system presents three constrictions. the

constrictions used have the following form:

2

𝑃(𝑥) = 𝑒 𝑘𝑜 −𝑘1 𝑥−𝑘2 𝑥

Parameter a:

𝜇𝑎 = 2.30297 𝜎𝑎 = 0.89399

2

𝑃𝑎 (𝑥) = 𝑒 4.1249+2.8815𝑥−0.6256𝑥

Parameter b:

𝜇𝑏 = 2.1513 𝜎𝑏 = 0.16779

2

𝑃𝑏 (𝑥) = 𝑒 81.32784+76.4132𝑥−17.7597𝑥

Parameter c:

𝜇𝑐 = 0.5589 𝜎𝑐 = 0.11935

2

𝑃𝑐 (𝑥) = 𝑒 9.7578−39.2364𝑥−35.1014𝑥

4) Choose one statistical distribution and estimate its parameters using distribution-

fitting tool of matlab.

175 1 0

189 1 0

201 1 0

224 0 1

245 1 0

269 1 0

287 1 0

303 1 0

314 0 1

327 1 0

339 1 0

357 1 0

370 0 1

384 1 0

390 1 0

403 0 1

417 1 0

430 1 0

441 1 0

456 0 1

471 1 0

484 1 0

497 1 0

It was created one vector for variables, other for frequency and another one for censoring.

The data was uploaded to matlab toolbox. The objective is to find the probability function

that fits better to de data. Next, it is shown some examples:

1 (𝑥−𝜇)2

𝑝(𝑥) = 𝑒− 𝜎

𝜎√2𝜋

𝜇 = 344.778 𝜎 = 102.57

Weibull distribution fit

𝛽𝑥 𝛽−1 𝑥 𝛽

𝑝(𝑥) = exp (− ( ) )

𝛼𝛽 𝛼

𝛼 = 381.58 𝛽 = 4.015

𝑥−𝜇

𝑝(𝑥) = exp (− exp (− ))

𝜎

𝜇 = 393.56 𝜎 = 86.68

Gamma distribution fit

𝑥 𝛼−1 𝑥

𝑝(𝑥) = 𝛼

exp (− )

𝛽 Γ(𝛼) 𝛽

𝛼 = 10.736 𝛽 = 32.11

Comparison of the distributions

The extreme value distribution fits better to the data. Weibull and Normal distribution have

similar behavior. Even extreme value distribution seems to be the best option; normal

distribution could be a suitable distribution function for the study case, since it is the

easiest to deal and known distribution.

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