Added matlab code to mle chapter
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51
statistics/code/mlemeanstd.m
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51
statistics/code/mlemeanstd.m
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% draw random numbers:
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n = 500;
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mu = 3.0;
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sigma =2.0;
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x = randn(n,1)*sigma+mu;
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fprintf(' mean of the data is %.2f\n', mean(x))
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fprintf('standard deviation of the data is %.2f\n', std(x))
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% mean as parameter:
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pmus = 2.0:0.01:4.0;
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% matrix with the probabilities for each x and pmus:
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lms = zeros(length(x), length(pmus));
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for i=1:length(pmus)
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pmu = pmus(i);
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p = exp(-0.5*((x-pmu)/sigma).^2.0)/sqrt(2.0*pi)/sigma;
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lms(:,i) = p;
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end
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lm = prod(lms, 1); % likelihood
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loglm = sum(log(lms), 1); % log likelihood
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% plot likelihood of mean:
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subplot(2, 2, 1);
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plot(pmus, lm );
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xlabel('mean')
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ylabel('likelihood')
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subplot(2, 2, 2);
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plot(pmus, loglm );
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xlabel('mean')
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ylabel('log likelihood')
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% standard deviation as parameter:
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psigs = 1.0:0.01:3.0;
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% matrix with the probabilities for each x and psigs:
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lms = zeros(length(x), length(psigs));
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for i=1:length(psigs)
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psig = psigs(i);
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p = exp(-0.5*((x-mu)/psig).^2.0)/sqrt(2.0*pi)/psig;
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lms(:,i) = p;
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end
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lm = prod(lms, 1); % likelihood
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loglm = sum(log(lms), 1); % log likelihood
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% plot likelihood of standard deviation:
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subplot(2, 2, 3);
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plot(psigs, lm );
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xlabel('standard deviation')
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ylabel('likelihood')
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subplot(2, 2, 4);
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plot(psigs, loglm);
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xlabel('standard deviation')
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ylabel('log likelihood')
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27
statistics/code/mlepdffit.m
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statistics/code/mlepdffit.m
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% plot gamma pdfs:
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xx = 0.0:0.1:10.0;
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shapes = [ 1.0, 2.0, 3.0, 5.0];
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cc = jet(length(shapes) );
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for i=1:length(shapes)
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yy = gampdf(xx, shapes(i), 1.0);
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plot(xx, yy, '-', 'linewidth', 3, 'color', cc(i,:), ...
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'DisplayName', sprintf('s=%.0f', shapes(i)) );
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hold on;
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end
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% generate gamma distributed random numbers:
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n = 50;
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x = gamrnd(3.0, 1.0, n, 1);
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% histogram:
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[h,b] = hist(x, 15);
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h = h/sum(h)/(b(2)-b(1));
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bar(b, h, 1.0, 'DisplayName', 'data');
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% maximum likelihood estimate:
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p = mle(x, 'distribution', 'gamma');
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yy = gampdf(xx, p(1), p(2));
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plot(xx, yy, '-k', 'linewidth', 5, 'DisplayName', 'mle' );
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hold off;
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legend('show');
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29
statistics/code/mlepropfit.m
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statistics/code/mlepropfit.m
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m = 2.0; % slope
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sigma = 1.0; % standard deviation
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n = 100; % number of data pairs
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% data pairs:
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x = 5.0*rand(n, 1);
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y = m*x + sigma*randn(n, 1);
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% fit:
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slope = mleslope(x, y);
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fprintf('slopes:\n');
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fprintf('original = %.2f\n', m);
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fprintf(' fit = %.2f\n', slope);
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% lines:
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xx = 0.0:0.1:5.0; % x-axis values
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yorg = m*xx;
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yfit = slope*xx;
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% plot:
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plot(xx, yorg, '-r', 'linewidth', 5);
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hold on;
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plot(xx, yfit, '-g', 'linewidth', 2);
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plot(x, y, 'ob');
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hold off;
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legend('data', 'original', 'fit', 'Location', 'NorthWest');
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legend('boxoff')
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xlabel('x');
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ylabel('y');
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6
statistics/code/mleslope.m
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statistics/code/mleslope.m
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function slope = mleslope(x, y )
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% Compute the maximum likelihood estimate of the slope
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% of a line through the origin
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% given the data pairs in the vectors x and y.
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slope = sum(x.*y)/sum(x.*x);
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end
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@ -145,10 +145,10 @@
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%%%%% equation references %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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%%%%% equation references %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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%\newcommand{\eqref}[1]{(\ref{#1})}
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%\newcommand{\eqref}[1]{(\ref{#1})}
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\newcommand{\eqn}{Eq.}
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\newcommand{\eqn}{\tr{Eq}{Gl}.}
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\newcommand{\Eqn}{Eq.}
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\newcommand{\Eqn}{\tr{Eq}{Gl}.}
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\newcommand{\eqns}{Eqs.}
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\newcommand{\eqns}{\tr{Eqs}{Gln}.}
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\newcommand{\Eqns}{Eqs.}
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\newcommand{\Eqns}{\tr{Eqs}{Gln}.}
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\newcommand{\eqnref}[1]{\eqn~\eqref{#1}}
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\newcommand{\eqnref}[1]{\eqn~\eqref{#1}}
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\newcommand{\Eqnref}[1]{\Eqn~\eqref{#1}}
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\newcommand{\Eqnref}[1]{\Eqn~\eqref{#1}}
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\newcommand{\eqnsref}[1]{\eqns~\eqref{#1}}
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\newcommand{\eqnsref}[1]{\eqns~\eqref{#1}}
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@ -205,13 +205,13 @@
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\newenvironment{definition}[1][]{\medskip\noindent\textbf{Definition}\ifthenelse{\equal{#1}{}}{}{ #1}:\newline}%
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\newenvironment{definition}[1][]{\medskip\noindent\textbf{Definition}\ifthenelse{\equal{#1}{}}{}{ #1}:\newline}%
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{\medskip}
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{\medskip}
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\newcommand{\showlisting}{yes}
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\newcounter{maxexercise}
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%\newcommand{\showlisting}{no}
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\setcounter{maxexercise}{9} % show listings up to exercise maxexercise
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\newcounter{theexercise}
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\newcounter{theexercise}
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\setcounter{theexercise}{1}
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\setcounter{theexercise}{1}
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\newenvironment{exercise}[1][]{\medskip\noindent\textbf{\tr{Exercise}{\"Ubung}
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\newenvironment{exercise}[1][]{\medskip\noindent\textbf{\tr{Exercise}{\"Ubung}
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\arabic{theexercise}:} \stepcounter{theexercise}\newline \newcommand{\exercisesource}{#1}}%
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\arabic{theexercise}:}\newline \newcommand{\exercisesource}{#1}}%
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{\ifthenelse{\equal{\exercisesource}{}}{}{\ifthenelse{\equal{\showlisting}{yes}}{\medskip\lstinputlisting{\exercisesource}}{}}\medskip}
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{\ifthenelse{\equal{\exercisesource}{}}{}{\ifthenelse{\value{theexercise}>\value{maxexercise}}{}{\medskip\lstinputlisting{\exercisesource}}}\medskip\stepcounter{theexercise}}
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\graphicspath{{figures/}}
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\graphicspath{{figures/}}
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@ -455,126 +455,6 @@ Korrelationskoeffizienten nahe 0 (\figrefb{correlationfig}).
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\end{figure}
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\end{figure}
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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\section{Data types}
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\subsection{Nominal scale}
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\begin{itemize}
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\item Binary
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\begin{itemize}
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\item ``yes/no'',
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\item ``true/false'',
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\item ``success/failure'', etc.
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\end{itemize}
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\item Categorial
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\begin{itemize}
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\item cell type (``rod/cone/horizontal cell/bipolar cell/ganglion cell''),
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\item blood type (``A/B/AB/0''),
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\item parts of speech (``noun/veerb/preposition/article/...''),
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\item taxonomic groups (``Coleoptera/Lepidoptera/Diptera/Hymenoptera''), etc.
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\end{itemize}
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\item Each observation/measurement/sample is put into one category
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\item There is no reasonable order among the categories.\\
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example: [rods, cones] vs. [cones, rods]
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\item Statistics: mode, i.e. the most common item
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\end{itemize}
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\subsection{Ordinal scale}
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\begin{itemize}
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\item Like nominal scale, but with an order
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\item Examples: ranks, ratings
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\begin{itemize}
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\item ``bad/ok/good'',
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\item ``cold/warm/hot'',
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\item ``young/old'', etc.
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\end{itemize}
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\item {\bf But:} there is no reasonable measure of {\em distance}
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between the classes
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\item Statistics: mode, median
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\end{itemize}
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\subsection{Interval scale}
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\begin{itemize}
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\item Quantitative/metric values
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\item Reasonable measure of distance between values, but no absolute zero
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\item Examples:
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\begin{itemize}
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\item Temperature in $^\circ$C ($20^\circ$C is not twice as hot as $10^\circ$C)
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\item Direction measured in degrees from magnetic or true north
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\end{itemize}
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\item Statistics:
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\begin{itemize}
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\item Central tendency: mode, median, arithmetic mean
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\item Dispersion: range, standard deviation
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\end{itemize}
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\end{itemize}
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\subsection{Absolute/ratio scale}
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\begin{itemize}
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\item Like interval scale, but with absolute origin/zero
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\item Examples:
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\begin{itemize}
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\item Temperature in $^\circ$K
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\item Length, mass, duration, electric charge, ...
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\item Plane angle, etc.
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\item Count (e.g. number of spikes in response to a stimulus)
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\end{itemize}
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\item Statistics:
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\begin{itemize}
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\item Central tendency: mode, median, arithmetic, geometric, harmonic mean
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\item Dispersion: range, standard deviation
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\item Coefficient of variation (ratio standard deviation/mean)
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\item All other statistical measures
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\end{itemize}
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\end{itemize}
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\subsection{Data types}
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\begin{itemize}
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\item Data type selects
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\begin{itemize}
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\item statistics
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\item type of plots (bar graph versus x-y plot)
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\item correct tests
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\end{itemize}
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\item Scales exhibit increasing information content from nominal
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to absolute.\\
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Conversion ,,downwards'' is always possible
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\item For example: size measured in meter (ratio scale) $\rightarrow$
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categories ``small/medium/large'' (ordinal scale)
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\end{itemize}
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\subsection{Examples from neuroscience}
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\begin{itemize}
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\item {\bf absolute:}
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\begin{itemize}
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\item size of neuron/brain
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\item length of axon
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\item ion concentration
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\item membrane potential
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\item firing rate
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\end{itemize}
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\item {\bf interval:}
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\begin{itemize}
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\item edge orientation
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\end{itemize}
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\item {\bf ordinal:}
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\begin{itemize}
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\item stages of a disease
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\item ratings
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\end{itemize}
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\item {\bf nominal:}
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\begin{itemize}
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\item cell type
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\item odor
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\item states of an ion channel
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\end{itemize}
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\end{itemize}
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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\chapter{\tr{Bootstrap Methods}{Bootstrap Methoden}}
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\chapter{\tr{Bootstrap Methods}{Bootstrap Methoden}}
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@ -669,16 +549,21 @@ Wenn nun den $n$ unabh\"angigen Beobachtungen $x_1, x_2, \ldots x_n$
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die Wahrscheinlichkeitsverteilung $p(x|\theta)$ zugrundeliegt, dann
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die Wahrscheinlichkeitsverteilung $p(x|\theta)$ zugrundeliegt, dann
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ist die Verbundwahrscheinlichkeit $p(x_1,x_2, \ldots x_n|\theta)$ des
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ist die Verbundwahrscheinlichkeit $p(x_1,x_2, \ldots x_n|\theta)$ des
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Auftretens der Werte $x_1, x_2, \ldots x_n$ gegeben ein bestimmtes $\theta$
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Auftretens der Werte $x_1, x_2, \ldots x_n$ gegeben ein bestimmtes $\theta$
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\[ p(x_1,x_2, \ldots x_n|\theta) = p(x_1|\theta) \cdot p(x_2|\theta)
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\begin{equation}
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\ldots p(x_n|\theta) = \prod_{i=1}^n p(x_i|\theta) \; .\]
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p(x_1,x_2, \ldots x_n|\theta) = p(x_1|\theta) \cdot p(x_2|\theta)
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\ldots p(x_n|\theta) = \prod_{i=1}^n p(x_i|\theta) \; .
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\end{equation}
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Andersherum gesehen ist das die Likelihood (deutsch immer noch ``Wahrscheinlichleit'')
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Andersherum gesehen ist das die Likelihood (deutsch immer noch ``Wahrscheinlichleit'')
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den Parameter $\theta$ zu haben, gegeben die Me{\ss}werte $x_1, x_2, \ldots x_n$,
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den Parameter $\theta$ zu haben, gegeben die Me{\ss}werte $x_1, x_2, \ldots x_n$,
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\[ {\cal L}(\theta|x_1,x_2, \ldots x_n) = p(x_1,x_2, \ldots x_n|\theta) \]
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\begin{equation}
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{\cal L}(\theta|x_1,x_2, \ldots x_n) = p(x_1,x_2, \ldots x_n|\theta)
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\end{equation}
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Wir sind nun an dem Wert des Parameters $\theta_{mle}$ interessiert, der die
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Wir sind nun an dem Wert des Parameters $\theta_{mle}$ interessiert, der die
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Likelihood maximiert (``mle'': Maximum-Likelihood Estimate):
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Likelihood maximiert (``mle'': Maximum-Likelihood Estimate):
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\[ \theta_{mle} = \text{argmax}_{\theta} {\cal L}(\theta|x_1,x_2,
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\begin{equation}
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\ldots x_n) \]
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\theta_{mle} = \text{argmax}_{\theta} {\cal L}(\theta|x_1,x_2, \ldots x_n)
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\end{equation}
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$\text{argmax}_xf(x)$ bezeichnet den Wert des Arguments $x$ der Funktion $f(x)$, bei
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$\text{argmax}_xf(x)$ bezeichnet den Wert des Arguments $x$ der Funktion $f(x)$, bei
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dem $f(x)$ ihr globales Maximum annimmt. Wir suchen also den Wert von $\theta$
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dem $f(x)$ ihr globales Maximum annimmt. Wir suchen also den Wert von $\theta$
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bei dem die Likelihood ${\cal L}(\theta)$ ihr Maximum hat.
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bei dem die Likelihood ${\cal L}(\theta)$ ihr Maximum hat.
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@ -731,6 +616,19 @@ Der Maximum-Likelihood-Estimator ist das arithmetische Mittel der Daten. D.h.
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das arithmetische Mittel maximiert die Wahrscheinlichkeit, dass die Daten aus einer
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das arithmetische Mittel maximiert die Wahrscheinlichkeit, dass die Daten aus einer
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Normalverteilung mit diesem Mittelwert gezogen worden sind.
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Normalverteilung mit diesem Mittelwert gezogen worden sind.
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\begin{exercise}[mlemeanstd.m]
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Ziehe $n=50$ normalverteilte Zufallsvariablen mit einem Mittelwert $\ne 0$
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und einer Standardabweichung $\ne 1$.
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Plotte die Likelihood (aus dem Produkt der Wahrscheinlichkeiten) und
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die Log-Likelihood (aus der Summe der logarithmierten
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Wahrscheinlichkeiten) f\"ur (1) den Mittelwert und (2) die
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Standardabweichung. Vergleiche die Position der Maxima mit den
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aus den Daten berechneten Mittelwerten und Standardabweichungen.
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Erh\"ohe $n$ auf 1000. Was passiert mit der Likelihood, was mit der Log-Likelihood?
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\end{exercise}
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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\section{Kurvenfit als Maximum Likelihood Estimation}
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\section{Kurvenfit als Maximum Likelihood Estimation}
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@ -758,9 +656,9 @@ Maximum weggelassen werden.
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\end{eqnarray*}
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\end{eqnarray*}
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Anstatt nach dem Maximum zu suchen, k\"onnen wir auch das Vorzeichen der Log-Likelihood
|
Anstatt nach dem Maximum zu suchen, k\"onnen wir auch das Vorzeichen der Log-Likelihood
|
||||||
umdrehen und nach dem Minimum suchen. Dabei k\"onnen wir auch den Faktor $1/2$ vor der Summe vernachl\"assigen --- auch das \"andert nichts an der Position des Minimums.
|
umdrehen und nach dem Minimum suchen. Dabei k\"onnen wir auch den Faktor $1/2$ vor der Summe vernachl\"assigen --- auch das \"andert nichts an der Position des Minimums.
|
||||||
\begin{eqnarray*}
|
\begin{equation}
|
||||||
\theta_{mle} & = & \text{argmin}_{\theta} \; \sum_{i=1}^n \left( \frac{y_i-f(x_i;\theta)}{\sigma_i} \right)^2 \;\; = \;\; \text{argmin}_{\theta} \; \chi^2
|
\theta_{mle} = \text{argmin}_{\theta} \; \sum_{i=1}^n \left( \frac{y_i-f(x_i;\theta)}{\sigma_i} \right)^2 \;\; = \;\; \text{argmin}_{\theta} \; \chi^2
|
||||||
\end{eqnarray*}
|
\end{equation}
|
||||||
Die Summer der quadratischen Abst\"ande normiert auf die jeweiligen
|
Die Summer der quadratischen Abst\"ande normiert auf die jeweiligen
|
||||||
Standardabweichungen wird auch mit $\chi^2$ bezeichnet. Der Wert des
|
Standardabweichungen wird auch mit $\chi^2$ bezeichnet. Der Wert des
|
||||||
Parameters $\theta$ welcher den quadratischen Abstand minimiert ist
|
Parameters $\theta$ welcher den quadratischen Abstand minimiert ist
|
||||||
@ -782,24 +680,42 @@ mit Steigung $\theta$. Die $\chi^2$-Summe lautet damit
|
|||||||
\[ \chi^2 = \sum_{i=1}^n \left( \frac{y_i-\theta x_i}{\sigma_i} \right)^2 \; . \]
|
\[ \chi^2 = \sum_{i=1}^n \left( \frac{y_i-\theta x_i}{\sigma_i} \right)^2 \; . \]
|
||||||
Zur Bestimmung des Minimums berechnen wir wieder die erste Ableitung nach $\theta$
|
Zur Bestimmung des Minimums berechnen wir wieder die erste Ableitung nach $\theta$
|
||||||
und setzen diese gleich Null:
|
und setzen diese gleich Null:
|
||||||
\begin{eqnarray*}
|
\begin{eqnarray}
|
||||||
\frac{\text{d}}{\text{d}\theta}\chi^2 & = & \frac{\text{d}}{\text{d}\theta} \sum_{i=1}^n \left( \frac{y_i-\theta x_i}{\sigma_i} \right)^2 \\
|
\frac{\text{d}}{\text{d}\theta}\chi^2 & = & \frac{\text{d}}{\text{d}\theta} \sum_{i=1}^n \left( \frac{y_i-\theta x_i}{\sigma_i} \right)^2 \nonumber \\
|
||||||
& = & \sum_{i=1}^n \frac{\text{d}}{\text{d}\theta} \left( \frac{y_i-\theta x_i}{\sigma_i} \right)^2 \\
|
& = & \sum_{i=1}^n \frac{\text{d}}{\text{d}\theta} \left( \frac{y_i-\theta x_i}{\sigma_i} \right)^2 \nonumber \\
|
||||||
& = & -2 \sum_{i=1}^n \frac{x_i}{\sigma_i} \left( \frac{y_i-\theta x_i}{\sigma_i} \right) \\
|
& = & -2 \sum_{i=1}^n \frac{x_i}{\sigma_i} \left( \frac{y_i-\theta x_i}{\sigma_i} \right) \nonumber \\
|
||||||
& = & -2 \sum_{i=1}^n \left( \frac{x_iy_i}{\sigma_i^2} - \theta \frac{x_i^2}{\sigma_i^2} \right) \;\; = \;\; 0 \\
|
& = & -2 \sum_{i=1}^n \left( \frac{x_iy_i}{\sigma_i^2} - \theta \frac{x_i^2}{\sigma_i^2} \right) \;\; = \;\; 0 \nonumber \\
|
||||||
\Leftrightarrow \quad \theta \sum_{i=1}^n \frac{x_i^2}{\sigma_i^2} & = & \sum_{i=1}^n \frac{x_iy_i}{\sigma_i^2} \\
|
\Leftrightarrow \quad \theta \sum_{i=1}^n \frac{x_i^2}{\sigma_i^2} & = & \sum_{i=1}^n \frac{x_iy_i}{\sigma_i^2} \nonumber \\
|
||||||
\Leftrightarrow \quad \theta & = & \frac{\sum_{i=1}^n \frac{x_iy_i}{\sigma_i^2}}{ \sum_{i=1}^n \frac{x_i^2}{\sigma_i^2}}
|
\Leftrightarrow \quad \theta & = & \frac{\sum_{i=1}^n \frac{x_iy_i}{\sigma_i^2}}{ \sum_{i=1}^n \frac{x_i^2}{\sigma_i^2}} \label{mleslope}
|
||||||
\end{eqnarray*}
|
\end{eqnarray}
|
||||||
Damit haben wir nun einen anlytischen Ausdruck f\"ur die Bestimmung
|
Damit haben wir nun einen anlytischen Ausdruck f\"ur die Bestimmung
|
||||||
der Steigung $\theta$ des Regressionsgeraden gewonnen. Ein
|
der Steigung $\theta$ des Regressionsgeraden gewonnen. Ein
|
||||||
Gradientenabstieg ist f\"ur das Fitten der Geradensteigung also gar nicht
|
Gradientenabstieg ist f\"ur das Fitten der Geradensteigung also gar nicht
|
||||||
n\"otig. Das gilt allgemein f\"ur das fitten von Koeffizienten von
|
n\"otig. Das gilt allgemein f\"ur das Fitten von Koeffizienten von
|
||||||
linear kombinierten Basisfunktionen. Parameter die nichtlinear in
|
linear kombinierten Basisfunktionen. Parameter die nichtlinear in
|
||||||
einer Funktion enthalten sind k\"onnen aber nicht analytisch aus den
|
einer Funktion enthalten sind k\"onnen aber nicht analytisch aus den
|
||||||
Daten berechnet werden. Da bleibt dann nur auf numerische Verfahren
|
Daten berechnet werden. Da bleibt dann nur auf numerische Verfahren
|
||||||
zur Optimierung der Kostenfunktion, wie z.B. der Gradientenabstieg,
|
zur Optimierung der Kostenfunktion, wie z.B. der Gradientenabstieg,
|
||||||
zur\"uckzugreifen.
|
zur\"uckzugreifen.
|
||||||
|
|
||||||
|
\begin{exercise}[mleslope.m]
|
||||||
|
Schreibe eine Funktion, die in einem $x$ und einem $y$ Vektor die
|
||||||
|
Datenpaare \"uberreicht bekommt und die Steigung der
|
||||||
|
Ursprungsgeraden \eqnref{mleslope}, die die Likelihood maximiert,
|
||||||
|
zur\"uckgibt ($\sigma=1$).
|
||||||
|
\end{exercise}
|
||||||
|
|
||||||
|
\begin{exercise}[mlepropfit.m]
|
||||||
|
Schreibe ein Skript, das Datenpaare erzeugt, die um eine
|
||||||
|
Ursprungsgerade mit vorgegebener Steigung streuen. Berechne mit der
|
||||||
|
Funktion die Steigung aus den Daten, vergleiche mit der wahren
|
||||||
|
Steigung, und plotte die urspr\"ungliche sowie die gefittete Gerade
|
||||||
|
zusammen mit den Daten.
|
||||||
|
|
||||||
|
Ver\"andere die Anzahl der Datenpunkte, die Steigung, sowie die
|
||||||
|
Streuung der Daten um die Gerade.
|
||||||
|
\end{exercise}
|
||||||
|
|
||||||
|
|
||||||
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
|
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
|
||||||
\section{Fits von Wahrscheinlichkeitsverteilungen}
|
\section{Fits von Wahrscheinlichkeitsverteilungen}
|
||||||
@ -817,7 +733,8 @@ wie es normalverteilte Daten machen sollten. (ii) Die Datenwerte sind
|
|||||||
nicht unabh\"angig, da das normierte Histogram sich zu Eins
|
nicht unabh\"angig, da das normierte Histogram sich zu Eins
|
||||||
aufintegriert. Die beiden Annahmen normalverteilte und unabh\"angige Daten
|
aufintegriert. Die beiden Annahmen normalverteilte und unabh\"angige Daten
|
||||||
die die Minimierung des quadratischen Abstands zu einem Maximum
|
die die Minimierung des quadratischen Abstands zu einem Maximum
|
||||||
Likelihood Estimator machen sind also verletzt.
|
Likelihood Estimator machen sind also verletzt. (iii) Das Histgramm
|
||||||
|
h\"angt von der Wahl der Klassenbreite ab.
|
||||||
|
|
||||||
Den direkten Weg, eine Wahrscheinlichkeitsdichtefunktion an ein
|
Den direkten Weg, eine Wahrscheinlichkeitsdichtefunktion an ein
|
||||||
Datenset zu fitten, haben wir oben schon bei dem Beispiel zur
|
Datenset zu fitten, haben wir oben schon bei dem Beispiel zur
|
||||||
@ -834,10 +751,36 @@ z.B. dem Gradientenabstieg, gel\"ost wird.
|
|||||||
Wahrscheinlichkeitsdichtefunktion. Links: die 100 Datenpunkte, die aus der Gammaverteilung
|
Wahrscheinlichkeitsdichtefunktion. Links: die 100 Datenpunkte, die aus der Gammaverteilung
|
||||||
2. Ordnung (rot) gezogen worden sind. Der Maximum-Likelihood-Fit ist orange dargestellt.
|
2. Ordnung (rot) gezogen worden sind. Der Maximum-Likelihood-Fit ist orange dargestellt.
|
||||||
Rechts: das normierte Histogramm der Daten zusammen mit der \"uber Minimierung
|
Rechts: das normierte Histogramm der Daten zusammen mit der \"uber Minimierung
|
||||||
des quadratischen Abstands zum Histogramm berechneten Fits.}
|
des quadratischen Abstands zum Histogramm berechneten Fits ist potentiell schlechter.}
|
||||||
\end{figure}
|
\end{figure}
|
||||||
|
|
||||||
|
|
||||||
|
\begin{exercise}[mlepdffit.m]
|
||||||
|
Zur Abwechslung ziehen wir uns diesmal Zufallszahlen, die nicht
|
||||||
|
einer Normalverteilung entstammen, sonder aus der Gamma-Verteilung.
|
||||||
|
|
||||||
|
Finde heraus welche Funktion die Wahrscheinlichkeitsdichtefunktion
|
||||||
|
(probability density function) der Gamma-Verteilung in \code{matlab}
|
||||||
|
berechnet.
|
||||||
|
|
||||||
|
Plotte mit Hilfe dieser Funktion die Wahrscheinlichkeitsdichtefunktion
|
||||||
|
der Gamma-Verteilung f\"ur verschiedene Werte des (positiven) ``shape'' Parameters.
|
||||||
|
Den ``scale'' Parameter setzen wir auf Eins.
|
||||||
|
|
||||||
|
Finde heraus mit welcher Funktion Gamma-verteilte Zufallszahlen in
|
||||||
|
\code{matlab} gezogen werden k\"onnen. Erzeuge mit dieser Funktion
|
||||||
|
50 Zufallszahlen mit einem der oben geplotteten ``shape'' Parameter.
|
||||||
|
|
||||||
|
Berechne und plotte ein normiertes Histogramm dieser Zufallszahlen.
|
||||||
|
|
||||||
|
Finde heraus mit welcher \code{matlab}-Funktion die Gammaverteilung
|
||||||
|
an die Zufallszahlen nach der Maximum-Likelihood Methode gefittet
|
||||||
|
werden kann. Bestimme mit dieser Funktion die Parameter der
|
||||||
|
Gammaverteilung aus den Zufallszahlen. Plotte anschlie{\ss}end
|
||||||
|
die Gammaverteilung mit den gefitteten Parametern.
|
||||||
|
\end{exercise}
|
||||||
|
|
||||||
|
|
||||||
\end{document}
|
\end{document}
|
||||||
|
|
||||||
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
|
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
|
||||||
@ -852,3 +795,123 @@ What is "a statistic"? % dt. Sch\"atzfunktion
|
|||||||
\source{http://en.wikipedia.org/wiki/Statistic}
|
\source{http://en.wikipedia.org/wiki/Statistic}
|
||||||
\end{definition}
|
\end{definition}
|
||||||
|
|
||||||
|
|
||||||
|
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
|
||||||
|
\section{Data types}
|
||||||
|
|
||||||
|
\subsection{Nominal scale}
|
||||||
|
\begin{itemize}
|
||||||
|
\item Binary
|
||||||
|
\begin{itemize}
|
||||||
|
\item ``yes/no'',
|
||||||
|
\item ``true/false'',
|
||||||
|
\item ``success/failure'', etc.
|
||||||
|
\end{itemize}
|
||||||
|
\item Categorial
|
||||||
|
\begin{itemize}
|
||||||
|
\item cell type (``rod/cone/horizontal cell/bipolar cell/ganglion cell''),
|
||||||
|
\item blood type (``A/B/AB/0''),
|
||||||
|
\item parts of speech (``noun/veerb/preposition/article/...''),
|
||||||
|
\item taxonomic groups (``Coleoptera/Lepidoptera/Diptera/Hymenoptera''), etc.
|
||||||
|
\end{itemize}
|
||||||
|
\item Each observation/measurement/sample is put into one category
|
||||||
|
\item There is no reasonable order among the categories.\\
|
||||||
|
example: [rods, cones] vs. [cones, rods]
|
||||||
|
\item Statistics: mode, i.e. the most common item
|
||||||
|
\end{itemize}
|
||||||
|
|
||||||
|
\subsection{Ordinal scale}
|
||||||
|
\begin{itemize}
|
||||||
|
\item Like nominal scale, but with an order
|
||||||
|
\item Examples: ranks, ratings
|
||||||
|
\begin{itemize}
|
||||||
|
\item ``bad/ok/good'',
|
||||||
|
\item ``cold/warm/hot'',
|
||||||
|
\item ``young/old'', etc.
|
||||||
|
\end{itemize}
|
||||||
|
\item {\bf But:} there is no reasonable measure of {\em distance}
|
||||||
|
between the classes
|
||||||
|
\item Statistics: mode, median
|
||||||
|
\end{itemize}
|
||||||
|
|
||||||
|
\subsection{Interval scale}
|
||||||
|
\begin{itemize}
|
||||||
|
\item Quantitative/metric values
|
||||||
|
\item Reasonable measure of distance between values, but no absolute zero
|
||||||
|
\item Examples:
|
||||||
|
\begin{itemize}
|
||||||
|
\item Temperature in $^\circ$C ($20^\circ$C is not twice as hot as $10^\circ$C)
|
||||||
|
\item Direction measured in degrees from magnetic or true north
|
||||||
|
\end{itemize}
|
||||||
|
\item Statistics:
|
||||||
|
\begin{itemize}
|
||||||
|
\item Central tendency: mode, median, arithmetic mean
|
||||||
|
\item Dispersion: range, standard deviation
|
||||||
|
\end{itemize}
|
||||||
|
\end{itemize}
|
||||||
|
|
||||||
|
\subsection{Absolute/ratio scale}
|
||||||
|
\begin{itemize}
|
||||||
|
\item Like interval scale, but with absolute origin/zero
|
||||||
|
\item Examples:
|
||||||
|
\begin{itemize}
|
||||||
|
\item Temperature in $^\circ$K
|
||||||
|
\item Length, mass, duration, electric charge, ...
|
||||||
|
\item Plane angle, etc.
|
||||||
|
\item Count (e.g. number of spikes in response to a stimulus)
|
||||||
|
\end{itemize}
|
||||||
|
\item Statistics:
|
||||||
|
\begin{itemize}
|
||||||
|
\item Central tendency: mode, median, arithmetic, geometric, harmonic mean
|
||||||
|
\item Dispersion: range, standard deviation
|
||||||
|
\item Coefficient of variation (ratio standard deviation/mean)
|
||||||
|
\item All other statistical measures
|
||||||
|
\end{itemize}
|
||||||
|
\end{itemize}
|
||||||
|
|
||||||
|
\subsection{Data types}
|
||||||
|
\begin{itemize}
|
||||||
|
\item Data type selects
|
||||||
|
\begin{itemize}
|
||||||
|
\item statistics
|
||||||
|
\item type of plots (bar graph versus x-y plot)
|
||||||
|
\item correct tests
|
||||||
|
\end{itemize}
|
||||||
|
\item Scales exhibit increasing information content from nominal
|
||||||
|
to absolute.\\
|
||||||
|
Conversion ,,downwards'' is always possible
|
||||||
|
\item For example: size measured in meter (ratio scale) $\rightarrow$
|
||||||
|
categories ``small/medium/large'' (ordinal scale)
|
||||||
|
\end{itemize}
|
||||||
|
|
||||||
|
\subsection{Examples from neuroscience}
|
||||||
|
\begin{itemize}
|
||||||
|
\item {\bf absolute:}
|
||||||
|
\begin{itemize}
|
||||||
|
\item size of neuron/brain
|
||||||
|
\item length of axon
|
||||||
|
\item ion concentration
|
||||||
|
\item membrane potential
|
||||||
|
\item firing rate
|
||||||
|
\end{itemize}
|
||||||
|
|
||||||
|
\item {\bf interval:}
|
||||||
|
\begin{itemize}
|
||||||
|
\item edge orientation
|
||||||
|
\end{itemize}
|
||||||
|
|
||||||
|
\item {\bf ordinal:}
|
||||||
|
\begin{itemize}
|
||||||
|
\item stages of a disease
|
||||||
|
\item ratings
|
||||||
|
\end{itemize}
|
||||||
|
|
||||||
|
\item {\bf nominal:}
|
||||||
|
\begin{itemize}
|
||||||
|
\item cell type
|
||||||
|
\item odor
|
||||||
|
\item states of an ion channel
|
||||||
|
\end{itemize}
|
||||||
|
|
||||||
|
\end{itemize}
|
||||||
|
|
||||||
|
Reference in New Issue
Block a user