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The sample minimum (or maximum) is not an inherently unstable statistic. If there is sufficient density in the distribution near its minimum, the sample minimum
by rcthompson 11y ago
The sample minimum (or maximum) is not an inherently unstable statistic. If there is sufficient density in the distribution near its minimum, the sample minimum can be quite robust. For example, consider that the maximum likelihood estimator for the upper bound of a uniform distribution is simply the sample maximum, and the minimum-variance unbiased estimator is also based on the sample maximum[1]. (This method was used by the Allies in World War 2 to estimate the total number of German tanks by sampling the serial numbers from destroyed tanks[2].)
Of course, a real thresholding process would not be perfect, so the lower bound of the distribution of accepted candidates would not be a perfect vertical cutoff as in the examples. Just like any process that adds additional variation to the data, this would reduce the statistical power. You could accept more bias in return for lower variance in your test by taking, say, the 5th percentile instead of the sample minimum as your test statistic. (You can think of the sample minimum as the zeroth percentile.)
[1] https://en.wikipedia.org/wiki/Uniform_distribution_%28continuous%29#Estimation_of_maximum https://en.wikipedia.org/wiki/Uniform_distribution_%28contin...
[2] https://en.wikipedia.org/wiki/German_tank_problem https://en.wikipedia.org/wiki/German_tank_problem
- nazka 11y agoIt's very interesting. And what are the most suitable formulas we can use to measure how robust it is?
- chestervonwinch 11y agoIf you are estimating a parameter with a sample statistic, two properties it should have are unbiasedness and low variance: https://en.wikipedia.org/wiki/Minimum-variance_unbiased_estimator https://en.wikipedia.org/wiki/Minimum-variance_unbiased_esti...
- rcthompson 11y agoThe robustness of a sample min or max for a continuous distribution is basically proportional to the density of the distribution at that extremum. A steep or vertical drop-off at the edge of the distribution is the ideal case. The article gives a formula for the statistical power of the hypothesis test derived from the sample min. It depends on the function h(x), whose purpose is to establish a lower bound on the density of the distribution at the min, and hence a lower bound on the robustness of the sample min as an estimator.