Questions tagged [efficiency]
A measure of the quality of a statistical estimator.
155 questions
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Does MLE on more samples always have a lower risk?
Denote the MLE on $n$ i.i.d. samples with $\hat{\theta}_{n} = \arg\max_\theta \prod_{i=1}^n p(x_i; \theta)$. I wonder if adding more samples always makes the risk lower, or at least not higher. In ...
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Efficiency of fixed conjoint analysis (CBC)
I want to do a choice based conjoint analysis to understand what features matter the most. I need to pass the questionnaires in person, on paper, due to legal reasons beyond my control. I only have 6 ...
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Logistic regression versus mean and variance, which estimate is more efficient and why?
Let
$$\begin{array}{}
Y_i & \sim& Bernoulli(0.5) \\
X_i|Y_i &\sim& N(\mu_{Y_i},\sigma^2)
\end{array}$$
In this case we can consider independent pairs of observations $X_i,Y_i$ ...
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Maximum likelihood estimator when the Fisher information matrix is not invertible?
It is known that maximum likelihood estimator (MLE) is asymptotically efficient, i.e., $\sqrt{n\,}\,\left( \widehat{\theta \,}_{\mathrm{mle}}-\theta _0 \right) $ converges in distribution to a ...
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No Existence of Efficient estimator
I need to prove that given $(X_1,...,X_n)$ from the density $$\frac{1}{\theta}x^{\frac{1}{\theta}-1}1_{(0,1)}$$ no efficient estimator exists for $g(\theta)$=$\frac{1}{{\theta}+1}$.
I have shown that ...
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Small sample MLE vs OLS efficiency
MLE estimates are asymptotically efficient. Both MLE and OLS estimates are asymptotically normal and for many distributions their limiting variances coincide (information for one observation being the ...
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Is Coefficient of Variation a valid measure of relative efficiency?
I'm wondering if it is always valid to use Coefficient of Variation (CV) to determine relative efficiency of parameter estimators, and to compute statistically equivalent sample sizes based on that ...
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What is the difference between unbiasedness, consistency and efficiency of estimators? How are these interrelated among themselves? [duplicate]
!Efficiency(https://stackoverflow.com/20240427_193105.jpg). Given snapshot of the book states that among the class of consistent estimators, in general, more than one consistent estimator of a ...
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What is known about the (in)efficiency of true score variance estimation?
In classical test theory, an observed score $X$ is defined as
$$ X = T + E $$
where $T$ represents the individual true score and $E$ represents the individual error score. In this context $T$ may be ...
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Understanding Asymptotic Relative Efficiency and how to compute it
I am learning about asymptotic relative efficiency (ARE) in class, and I am trying to understand exactly how to compute the ARE. From my understanding, asymptotic relative efficiency refers to ...
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Sufficient conditions for asymptotic efficiency of MLE
Maximum-likelihood estimators are, according to Wikipedia, asymptotically efficient, that is they achieve the Cramér-Rao bound when sample size tends to infinity. But this seems to require some ...
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Are these two estimated regression coefficient asymptotically equivalent? If not, which one is more efficient?
Suppose I have $Y=\beta_1X_1+\beta_2X_1X_2+g(X_2)+u$, where $E(u|X_1,X_2)=0$ and $S=g(X_2)+e$ with $E(e|X_2)=0$. I have a random sample $\{Y_i,X_{1i},X_{2i},S_i\}_{i=1}^n$. Suppose I first use a ...
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How can I rigorously quantify the increase performance due to additional parameters?
I am trying to evaluate a novel dimensionality reduction technique. Specifically, we start with a data set with around 1,000 features/covariates per observation. My technique maps this down to 12. ...
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How to show mathematically that random effects are more efficient than fixed effects?
I have read in several places now that random effects estimators are more efficient than fixed effects estimators, in particular here
I’ve searched this site and Google and couldn’t find this result. ...
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Estimating ratio of regression coefficients
What is the best method of estimating a ratio of regression coefficients $\beta_1/\beta_2$ under the usual assumptions / in practice? I have two relatively well approximated signals $X_1, X_2$ and ...
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Asymptotic efficiency of IQR
I was wondering about the asymptotic efficiency of the Interquartile Range (IQR) in the Gaussian case. I have calculated it empirically using a Monte Carlo estimator, and it appears to be equal to ...
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Is the smooth transformation of an asymptotically efficient estimator still asymptotically efficient?
Suppose I have an estimator $\widehat{\theta}$ that is asymptotically efficient (for example, it could be the MLE of the mean $\mu$ and variance $\sigma^2$ of $Normal(\mu,\sigma^2)$). Suppose I also ...
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Adjusting confidence interval of estimator by efficiency
Summary: If we have an unbiased MLE $\widehat{\sigma_1}$ of an exponential distribution parameter, and the confidence intervals for its estimates are given by the $\chi^2$ distribution; and we find ...
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Compare ARE of mean and median
I have followed some lectures on the internet on asymptotic relative efficiency. When I had calculated the relative efficiency $ARE(median, mean)$ than my result was $ARE(median, mean)=\frac{2}{\pi}\...
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Counterexamples: Minimax but not efficient, efficient but not minimax
Are there examples of estimators that are minimax, but not efficient? Perhaps, to be more concrete, any of the following:
(strong) Estimator sequence for each $n$ that is minimax but does not match ...
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Derivation of the formula for the asymptotic relative efficiency of two estimators with different estimands
Background
In their book, Huber & Ronchetti (pp. 2-3) compare the efficiency of the mean absolute deviation $d_n$ with the standard deviation $s_n$ with the following formula:
$$
\operatorname{ARE}...
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How does one test the efficiency and completeness of an estimator using monte-carlo simulation?
How does one test the efficiency and completeness of an estimator using monte-carlo simulation?
In particular,
I want to use-montecarlo simuation to answer. Maybe the better question is how does one ...
user318514
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Comparing efficiency between estimators
Suppose that $\hat \theta_1, \hat \theta_2$ are two estimators of $\theta$. Furthermore, assume that
\begin{align}
\sqrt{n}(\hat \theta_1-\theta)\overset{d}{\to}N(0,V_1)\\
\sqrt{n}(\hat \theta_2-\...
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What does asymptotic efficiency mean?
I read some comparison articles, and always find "asymptotic efficiency," "asymptotically less efficient," and "asymptotically normal."
I am really confused about the ...
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Monte Carlo in R simulation for Efficiency [closed]
An exercise displayed in the image below shows example of finding the efficiency of an estimator. I am trying to replicate this example in R using monte carlo. Y1,Y2,Y3 are random samples of normal ...
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unbiased estimator and efficiency
can someone plese clarify a doubt for me?
Let (X1, . . . , Xn) be a random sample of i.i.d. random variables with expected value $µ$ and variance $σ^2$
Consider the following estimator of $µ$:
$T_{n}(...
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Proving efficiency of GLS over OLS [duplicate]
I'm trying to prove that GLS is more efficient than OLS.
I found out it is, I need to show that:
$\text{Var}^{-1}({\beta}_{GLS})-\text{Var}^{-1}(\beta_{OLS})$ is the positive semi-definite matrix, ...
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Variable batch size for inputs of different length
We're fine-tuning a GPT-2 model (using the Adam optimizer) to some posts from a social network. The length of these posts varies quite dramatically, so while some are only two tokens long, others can ...
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Does the null space of the design matrix X have an interpretation in statistics?
I am going through the material I learned in my linear algebra classes and I am trying to view the material from a statistical perspective. This typically boils down to imagining what the theorems say ...
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Find asymptotic efficiency of MLE to UMVUE
Let $\{X_i\}_{i=1}^n $ be a sequence of i.i.d random variables with common pdf:
$$ f(x;a,\theta) =\theta a^\theta x^{-(\theta+1)} \boldsymbol 1_{(a,\infty)}(x) \, \,\text{; where } \theta, a > 0$$
...
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Efficiency of IV vs GMM
I am trying to understand how IV/just identified GMM and overidentified GMM compare when it comes to efficiency.
The way I understand it, we are able to identify the vector of coefficients in IV and ...
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Is the Hodges-Lehmann estimator 'optimal' for estimating the location parameter of Logistic distribution?
Is the Hodges-Lehmann estimator $\hat\theta_{HL}=\operatorname{median}\limits_{1\le i\le j\le n}\left\{\frac{X_i+X_j}{2}\right\}$ in some sense 'optimal' for estimating the location parameter $\theta$ ...
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Stratified sampling ratio with srswor
The variable X under study have rectangular distribution with interval (a, a+ d ) the interval is divided into k equal subintervals which form k equal strata of equals sizes . From each stratum ...
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Is sample mean an 'efficient' estimator for alpha stable distribution?
The question is just like the title. But...$\alpha$-stable distribution (for $\alpha\in (1,2)$) does not have the second moment, so the sample mean doesn't have variance well defined. Then for such a ...
Robert
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Relative Efficiency of Sample Variance vs Square of Difference
$\newcommand{\szdp}[1]{\left(#1\right)}
\newcommand{\szdb}[1]{\left[#1\right]}
\newcommand{\eff}{\operatorname{eff}}$
Problem Statement: Suppose that $Y_1, Y_2,\dots, Y_n$ is a random sample from a ...
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Is BIC asymptotically efficient for minimizing prediction error if the true model is being considered?
If a set of models is being compared using BIC and AIC, given the fact that the true model (the one which generated the data) is in this set (and given the other assumptions that guarantee BIC ...
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Does machine learning really need data-efficient algorithms?
Deep learning methods are often said to be very data-inefficient, requiring 100-1000 examples per class, where a human needs 1-2 to reach comparable classification accuracy.
However, modern datasets ...
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Solved: Relative Efficiency of Average versus Maximum Order Statistic on a Uniform Distribution
$\newcommand{\szdp}[1]{\!\left(#1\right)}\newcommand{\eff}{\operatorname{eff}}$
Problem Statement: Let $Y_1, Y_2, \dots, Y_n$ denote a random sample from the uniform
distribution on the interval $(\...
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Asymptotic efficiency of estimators of autoregressive models
Are OLS or MLE estimators of autoregressive model asymptotically efficient if errors are i.i.d?
Consider the case of an AR(1) model $$x_t=\alpha x_{t-1} + \epsilon_t$$
with $\epsilon_t$ ~ $i.i.d. N(0,\...
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Data-efficiency vs sample-efficiency
I noticed that in the context of RL, people call the ability to learn from little data "sample-efficiency". However, in the context of supervised learning, it is called "data-efficiency&...
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An efficient estimator can be biased? [duplicate]
Can someone explain to me whether an efficient estimator can be biased? What I've read so far seems to be always about efficiency being a property being alluded to unbiased estimators but I was ...
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Efficient influence function in proportional hazards model
I was hoping someone could help me with this problem in the cox proportional hazards model.
I am given the following setup.
T is a non-negative random variable with continous distribution and hazard ...
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How can I find $ARE_{\hat{\theta}_{n}^{(1)},\hat{\theta}_{n}^{(2)}}$ (in terms of $\tau_1$, $\tau_2$ and $\alpha$)?
Given that $n^{\alpha}[\hat{\theta}_{n}^{(1)}−\theta_0] \xrightarrow{L} \tau_1 H$ and $n^{\alpha}[\hat{\theta}_{n}^{(2)}−\theta_0] \xrightarrow{L} \tau_2 H$, find $ARE_{\hat{\theta}_{n}^{(1)},\hat{\...
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Are these statements about the maximum likelihood estimator and efficiency correct?
I'm trying to understand efficiency and its relation with maximum likelihood estimators so I need someone to confirm or correct these statements I deduced :
1/ If the maximum likelihood estimator ...
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Expected variance of biased estimators
Suppose that $\mu$ is an unknown $k$-vector, which one seeks to guess. You observe $n$ i.i.d. normal variates $x_i \sim \mathcal{N}\left(\mu,\Sigma\right)$, say stacked in the matrix $X$, then produce ...
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Using calculus of variations to deduce lower bound on Pitman efficiency (asymptotic relative efficiency) between $t$-test and sign test
Let $Y_1,...,Y_n$ be iid draws from a location family $\{f(\cdot - \theta) : \theta \in \mathbb{R}\}$. $f$ is a symmetric density w.r.t. the Lebesgue measure on $\mathbb{R}$ with finite variance. We ...
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Accuracy of MLE
Hi I have a question related to MLE.
Consider a simple linear regression model:
y = a + b*x + u
Here, if the regressor X has small variability, the OLE estimator could be inaccurate.
My question is ...
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Why does MLE tend to normal distribution
We have $X_1,\dots, X_n$ are iid (the distribution can be of any type, e.g. Bernoulli (p), normal ($\mu, \sigma^2$), Poisson ($\lambda$).
If we use MLE $\hat \theta$ to estimate any parameter $\theta$ ...
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MLE and consistency and efficiency of MLE
Here is my understanding of Likelihood function, maximum likelihood estimator (MLE) and consistency and efficiency of MLE.
(Notes: Comments are not main parts of this post and can be skipped. Only ...
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Vector-valued estimators, intuitively why $var(\widetilde{\beta})-var(\widehat{\beta})$ being p.s.d. means $\widehat{\beta}$ more efficient?
For two scalar unbiased estimators $\widehat{\alpha}$ and $\widetilde{\alpha}$, we know that if one has smaller variance, then we say it is more efficient, which intuitively means that this estimator ...
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