离散均匀分布的估计| Serial Number Estimation

Serial Number Estimation

Parameter description

• If $\theta$ is contained in a function, $n$ would be the total sample numbers, and $\hat{\theta }$ would be the estimator for actual maximum ID.
• If $M$ is contained in a function, $k$ would be the total sample numbers, and $N$ would be the actual maximum ID. As for $M$, that is a random variable of maximum ID in a random sample.

Method 1: Probability of each sample

The estimator used to predict the maximum value can also be determined by assuming that the probability of getting each sample is uniform where $\theta$ represents the actual maximum ID in each day.

$$P(x)=\frac{1}{\theta }$$

Method 2: Probability of maximum sample

According to the Assumption 1, we consider the observed maximum ID as a r.v M, and take the maximum ID we encountered in one specific day as m (i.e. $x_{n:n}$). Assume that the N is the actual maximum ID and k represents the number of ill sample, the probability mass function (PMF) of getting the maximum ID can be expressed as follows:

$$P(M=m)=\frac{C_{k-1}^{m-1}}{C_k^N}$$

Point Estimate

Estimators intuited from discrete uniform distribution

Estimator 1: 2*Mean-1

Consider continuous distribution for this problem, i.e. $UNIF(0,\theta )$

$ForUNIF(0,\theta ),E(X)=\frac{\theta }{2},Var(X)=\frac{{\theta }^2}{12}$

We consider the following estimator:
$$\begin{gathered} {\hat{\theta }}_1=\frac{2}{n}\sum _{i=1}^n{X}_i-1fordiscretedistrubution \\ {\hat{\theta }}_1=\frac{2}{n}\sum _{i=1}^n{X}_{i}forcontinuousdistrubution \\ E({\hat{\theta }}_1)=E(\frac{2}{n}\sum _{i=1}^n{X}_i-1)=2E(\overline{X})=\theta \\ Var({\hat{\theta }}_1)=\frac{4}{n^2}\sum _{i=1}^{n}Var(X_i)=\frac{4}{n^2}\sum _{i=1}^n\frac{{\theta }^2}{12}=\frac{{\theta }^2}{3n} \\ \therefore {\hat{\theta }}_{1}isanunbiasedestimatorwithVar=\frac{{\theta }^2}{3n} \end{gathered}$$

Estimator 2: Max + Avg GAP

Consider other form of improvement from MLE estimator, i.e. using average approach to estimate the GAP between maximum and the upper limit:

$$\begin{gathered} {\hat{\theta }}_2=X_{n:n}+\frac{1}{n-1}\sum _{i>j}(X_i-X_j-1)\dots fordiscretecase \\ {\hat{\theta }}_2=X_{n:n}+\frac{1}{n-1}\sum _{i>j}(X_i-X_j)\dots forcontinuouscase \end{gathered}$$

Calculate the expected value and variance to determine if this estimator is biased or not.
$$\begin{gathered} E({\hat{\theta }}_2)=E(X_{n:n})+\frac{1}{n-1}\sum _{i>j}E(X_i-X_j)=\frac{n\theta }{n+1} \\ Var({\hat{\theta }}_2)=\frac{n{\theta }^2}{(n+1)(n-1)(n+2)} \end{gathered}$$
Therefore, ${\theta }_2$ is a biased estimator.

Estimator3: Min+max estimator

We know that maximum sample ID is what’s closed to the upper limit, and we could add more information to it. Intuitively, we first consider minimum sample ID + maximum sample ID:
$$\begin{gathered} {\hat{\theta }}_3=x_{1:n}+x_{n:n} \\ {F}_{X_{n:n}}(x)=[F_X(x){]}^n=\frac{x^n}{{\theta }^n},f_{X_{n:n}}(x)=n\frac{x^{n-1}}{{\theta }^n} \\ E[X_{n:n}]=\int xn\frac{x^{n-1}}{{\theta }^n}dx=\frac{n}{n+1}\theta \\ E[X_{n:n}^2]=\int x^{2}n\frac{x^{n-1}}{{\theta }^n}dx=\frac{n}{n+2}{\theta }^2 \\ {F}_{X_{1:n}}(x)=1-[1-F_X(x){]}^n=1-(\frac{\theta -x}{\theta }{)}^n,f_{X_{1:n}}(x)=\frac{n(\theta -x{)}^{n-1}}{{\theta }^n} \\ E[X_{1:n}]=\int x\frac{n(\theta -x{)}^{n-1}}{{\theta }^n}dx=\frac{1}{n+1}\theta \\ E[X_{1:n}^2]=\int x^2\frac{n(\theta -x{)}^{n-1}}{{\theta }^n}dx=\frac{2}{n(n+1)}{\theta }^2 \\ E({\hat{\theta }}_3 \end{gathered}$$