Parameter Estimation

 Parameter estimation is the process of determining the values of unknown parameters in

a statistical model based on observed data such as linear regression, exponential
distribution, or Bayesian networks.
 The goal of parameter estimation is to find the most likely or best-fitting values for these
parameters given the observed data.

Parameter Estimation Methods

Maximum Likelihood Estimation (MLE) and Least Mean Square Error (LMS) are methods used
for parameter estimation in statistical and modeling contexts:

1. Maximum Likelihood Estimation (MLE):

 MLE is a widely used method for estimating the parameters of a statistical model.
 It seeks to find the parameter values that maximize the likelihood function, which
measures how well the model explains the observed data.
 In the context of parameter estimation, MLE aims to find the parameter values that make
the observed data most probable under the assumed model.
 MLE is commonly used in various statistical models, including linear regression,
logistic regression, exponential distribution, and Bayesian networks, among others.

Exponential Distribution

Let's consider an example involving the time between the arrivals of customers at a service
center, where we want to estimate the rate parameter (λ) for an exponential distribution.

Scenario: You manage a customer service center, and you are interested in modeling the time
between customer arrivals at your center's reception desk. You want to estimate the average
arrival rate (λ) of customers per hour using data collected over a week.

Step 1: Collect Data:

 Over the course of a week, you record the time intervals (in minutes) between customer arrivals
at your service center's reception desk. Here are some example data points:
[12, 18, 9, 15, 23, 8, 11, 20, 14, 17, 22, 13, 10, 19, 16]

Step 2: Formulate the Objective:

 Your objective is to estimate the average arrival rate (λ) of customers per hour based on the
collected data.

Step 3: Choose a Criterion:

 You decide to use Maximum Likelihood Estimation (MLE) to estimate λ. MLE will help you
find the value of λ that maximizes the likelihood of observing the given time intervals between
customer arrivals.

Step 4: Estimate the Parameter:

Step 5: Interpret the Result:

 The estimated λ value of approximately 3.75 customers per hour represents the average arrival
rate at your service center's reception desk. It suggests that, on average, you can expect about
3.75 customers to arrive every hour.

In this example, you've estimated the rate parameter (λ) of the exponential distribution to
describe the time between arrivals of customers at your service center. This estimation can help
you make staffing and scheduling decisions to optimize customer service.
2. Least Mean Square Error (LMS):

 LMS is a criterion used for parameter estimation, particularly in the context of linear
regression.
 In linear regression, the goal is to find the best-fitting linear equation that describes the
relationship between independent and dependent variables.
 LMS seeks to minimize the sum of squared differences (errors) between the observed
values and the predicted values obtained from the linear model.
 The estimated coefficients of the linear model are obtained by minimizing this mean
squared error, resulting in the best linear fit to the data.
 LMS is specific to linear regression but is a key method for estimating the coefficients
(parameters) of the linear model.

In summary, both MLE and LMS are parameter estimation methods, but they are used in
different statistical and modeling contexts. MLE is a general method used across various
statistical models to estimate parameters that maximize the likelihood of the observed data, while
LMS is specifically used in linear regression to estimate the coefficients of the linear model by
minimizing the mean squared error

Scenario: Suppose you are interested in modeling the relationship between the number of hours
spent studying (independent variable) and the test scores achieved (dependent variable) for a
group of students. You want to estimate the parameters of a linear regression model to describe
this relationship.

Linear Regression Model: The linear regression model assumes that the relationship between
the independent variable (hours spent studying, denoted as X) and the dependent variable (test
scores, denoted as Y) is linear and can be represented as:

Y=β0+β1X+ε

Where:

 Y is the predicted test score.

 X is the number of hours spent studying.
 β0 is the y-intercept (the value of Y when =X=0).
 β1 is the slope of the line (indicating how much Y changes for a one-unit change
in X).
 ε represents the error term, accounting for the variability in Y that cannot be
explained by the linear relationship.
 Parameter Estimation in Linear Regression:

1. Collect Data: First, you collect data on the number of hours spent studying (X) and the
corresponding test scores (Y) for a sample of students.
2. Formulate the Objective: The objective is to find the best-fitting values for the parameters β0
and β1 that minimize the differences (errors) between the predicted test scores and the actual test
scores in the dataset.
3. Choose a Criterion: Typically, the least mean squared error (LMS) criterion is used in linear
regression. The goal is to minimize the sum of squared differences between the observed test
scores and the predicted test scores. The objective function to minimize is:
L(β0,β1)=Σ(Yi−(β0+β1Xi))2

Where Yi is the observed test score for the i-th student, and Xi is the number of hours spent
studying by that student.
4. Estimate the Parameters: To estimate the parameters β0 and β1, you can use mathematical
techniques such as the method of least squares. These techniques find the values of β0 and β1
that minimize the objective function L(β0,β1).
5. Interpret the Results: Once you've estimated the parameters, you can interpret them in the
context of your problem. For example, you can say that for every additional hour spent studying
(X), the test score (Y) is expected to increase by β1 units, and the intercept β0 represents the
expected test score when no hours are spent studying.
6. Assess Model Fit: You can also assess how well the linear regression model fits the data by
examining residuals (differences between observed and predicted values) and using measures
like the coefficient of determination (2R2).

In summary, parameter estimation in linear regression involves finding the best-fitting values for
the parameters (β0 and β1) that describe the linear relationship between variables. This is done
by minimizing the mean squared differences between observed and predicted values, resulting in
a model that explains the observed data as closely as possible.

LEAST MEAN SQUARE

Least Mean Squares (LMS) is a widely used adaptive algorithm in signal
processing and machine learning for estimating unknown parameters in a
linear system. It is particularly useful when the statistics of the input signals
are not known in advance or when the system is non-stationary.

Basic Idea
 Objective: Minimize the mean square error (MSE) between the desired
output and the estimated output.
 Update Rule: Parameters are adjusted iteratively based on the gradient of
the MSE.

In linear regression, the Least Mean Squares (LMS) algorithm can be used to
estimate the coefficients of a linear model that best fits a given dataset. The
goal is to minimize the sum of the squared differences between the
predicted values and the actual values.

Basic Idea

 Model: y=w0+w1x, where w0 is the intercept and w1 is the slope.

 Objective: Minimize the mean square error (MSE) between predicted and actual
values.