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Lecture II (27.04.10)
Contents:
● Characterize data samples
● Characterize distributions
● Correlations, covariance
Note
However for N->∞, Law of large numbers
Modern Methods of Data Analysis - SS 2010 Stephanie Hansmann-Menzemer
Variance of a Distribution:
● V[x] = E[(x-μ)²] =
● V[x] = E[x²] – µ²
N = 100 N = 1000
µ=5
σ=1
N = 10000
● E[ x ] = ???
● V[ x ] = ???
● Efficiency of Estimator:
“variance of optimal estimator/variance of estimator”
r = 0.23 truncated
mean best estimator
for unkown sym.
distribution
r
Modern Methods of Data Analysis - SS 2010 Stephanie Hansmann-Menzemer
Moments
●
r-th algebraic moment
● r-th central moment
“Schiefe”/skewness
- pos. for right winged distributions
“Wölbung”/kurtosis
- measure for ratio of core relative to tails
- pos. kurtosis: longer tails than Gaussian
Modern Methods of Data Analysis - SS 2010 Stephanie Hansmann-Menzemer
Skewness & Kurtosis
1σ
2σ
3σ
4σ
k Gauss Tchebycheff
1 0.317 1.0
2 0.0555 0.25
3 0.0027 0.1111
4 0.000063 0.0625
with :
● Compute
● Compute