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Leer Momentum estimation. Maximum Likelihood Estimation | Estimation of Population Parameters
Advanced Probability Theory
course content

Cursusinhoud

Advanced Probability Theory

Advanced Probability Theory

1. Additional Statements From The Probability Theory
2. The Limit Theorems of Probability Theory
3. Estimation of Population Parameters
4. Testing of Statistical Hypotheses

book
Momentum estimation. Maximum Likelihood Estimation

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import pandas as pd samples = pd.read_csv('https://codefinity-content-media.s3.eu-west-1.amazonaws.com/Advanced+Probability+course+media/expon_samples.csv', names=['Value']) # Calculate mean value over samples estim_mean = samples.mean()['Value'] # We know that samples are from exponential distribution with has parameter lambda. # We also know that mean value of exponentially distributed variable equals 1/lambda # So to estimate lambda using momentum method we can simple use 1/estim_mean print('Momentum estimation of lambda parameter is: ', 1/estim_mean)
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import pandas as pd samples = pd.read_csv('https://codefinity-content-media.s3.eu-west-1.amazonaws.com/Advanced+Probability+course+media/gaussian_samples.csv', names=['Value']) # Estimate the mean and standard deviation using method of moments mu = samples.mean()['Value'] sigma = samples.std()['Value'] print('Estimated mean:', mu) print('Estimated standard deviation:', sigma)
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import pandas as pd from scipy.stats import norm # Generate some random data samples = pd.read_csv('https://codefinity-content-media.s3.eu-west-1.amazonaws.com/Advanced+Probability+course+media/gaussian_samples.csv', names=['Value']) # Estimate the parameters using maximum likelihood mu_ml, sigma_ml = norm.fit(samples) print('Maximum likelihood estimates:') print('mu = ', mu_ml) print('sigma = ', sigma_ml)
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import numpy as np import pandas as pd from scipy.stats import poisson from scipy.optimize import minimize samples = pd.read_csv('https://codefinity-content-media.s3.eu-west-1.amazonaws.com/Advanced+Probability+course+media/pois_samples.csv', names=['Value']) # Define the log-likelihood function for a Poisson distribution def poisson_log_likelihood(params, data): lam = params[0] # Compute log-likelihood as sum of logarithms of Poisson PMF log_likelihood = -np.sum(poisson.logpmf(data, lam)) return log_likelihood # Use maximum likelihood estimation to fit a Poisson distribution to the data initial_guess = [5] # starting value for lambda parameter result = minimize(poisson_log_likelihood, initial_guess, args=samples) estimate_lambda = result.x[0] # Print the estimated value of lambda print('Estimated value of lambda:', estimate_lambda)
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course content

Cursusinhoud

Advanced Probability Theory

Advanced Probability Theory

1. Additional Statements From The Probability Theory
2. The Limit Theorems of Probability Theory
3. Estimation of Population Parameters
4. Testing of Statistical Hypotheses

book
Momentum estimation. Maximum Likelihood Estimation

123456789
import pandas as pd samples = pd.read_csv('https://codefinity-content-media.s3.eu-west-1.amazonaws.com/Advanced+Probability+course+media/expon_samples.csv', names=['Value']) # Calculate mean value over samples estim_mean = samples.mean()['Value'] # We know that samples are from exponential distribution with has parameter lambda. # We also know that mean value of exponentially distributed variable equals 1/lambda # So to estimate lambda using momentum method we can simple use 1/estim_mean print('Momentum estimation of lambda parameter is: ', 1/estim_mean)
copy
12345678910
import pandas as pd samples = pd.read_csv('https://codefinity-content-media.s3.eu-west-1.amazonaws.com/Advanced+Probability+course+media/gaussian_samples.csv', names=['Value']) # Estimate the mean and standard deviation using method of moments mu = samples.mean()['Value'] sigma = samples.std()['Value'] print('Estimated mean:', mu) print('Estimated standard deviation:', sigma)
copy
123456789101112
import pandas as pd from scipy.stats import norm # Generate some random data samples = pd.read_csv('https://codefinity-content-media.s3.eu-west-1.amazonaws.com/Advanced+Probability+course+media/gaussian_samples.csv', names=['Value']) # Estimate the parameters using maximum likelihood mu_ml, sigma_ml = norm.fit(samples) print('Maximum likelihood estimates:') print('mu = ', mu_ml) print('sigma = ', sigma_ml)
copy
1234567891011121314151617181920
import numpy as np import pandas as pd from scipy.stats import poisson from scipy.optimize import minimize samples = pd.read_csv('https://codefinity-content-media.s3.eu-west-1.amazonaws.com/Advanced+Probability+course+media/pois_samples.csv', names=['Value']) # Define the log-likelihood function for a Poisson distribution def poisson_log_likelihood(params, data): lam = params[0] # Compute log-likelihood as sum of logarithms of Poisson PMF log_likelihood = -np.sum(poisson.logpmf(data, lam)) return log_likelihood # Use maximum likelihood estimation to fit a Poisson distribution to the data initial_guess = [5] # starting value for lambda parameter result = minimize(poisson_log_likelihood, initial_guess, args=samples) estimate_lambda = result.x[0] # Print the estimated value of lambda print('Estimated value of lambda:', estimate_lambda)
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Was alles duidelijk?

Hoe kunnen we het verbeteren?

Bedankt voor je feedback!

Sectie 3. Hoofdstuk 2
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