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Lecture 3 Properties of Summary Statistics: Sampling Distribution

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Main Theme How can we use math to justify that our numerical summaries from the sample are good summaries of the population?

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Lecture Summary

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Setup

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Loss Function

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Sadly It is impossible to compute the values for the loss function Why? We dont know what the parameter is! (since its an unknown feature of the population and were trying to study it!) More importantly, the statistic is random! It changes every time we take a different sample from the population. Thus, the value of our loss function changes per sample

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A Remedy

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Bias-Variance Trade-Off: Square Error Risk

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Sample Mean, Bias, Variance, and Risk

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Sample Variance and Bias

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In Summary

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But But, what about the distribution of our summary statistics? So far, we only studied the statistics average behavior. Sampling distribution!

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Sampling Distribution Example

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Some Preliminaries from Stat 430

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Properties

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Example

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An Experiment

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Lecture Summary