- Two 1-parameter models are discussed for estimating <X>: estimating μ as the optimal average, and scaling a pattern APi to fit the data.
- There are two equivalent methods for obtaining the optimal solution: using the algebra of random variables to derive the optimal average and optimal scaling, and minimizing the chi-squared statistic χ2.
- Both methods result in weighting the data based on the inverse variances, and yield the same optimal solutions for the parameter estimates and their uncertainties.
- Two 1-parameter models are discussed for estimating <X>: estimating μ as the optimal average, and scaling a pattern APi to fit the data.
- There are two equivalent methods for obtaining the optimal solution: using the algebra of random variables to derive the optimal average and optimal scaling, and minimizing the chi-squared statistic χ2.
- Both methods result in weighting the data based on the inverse variances, and yield the same optimal solutions for the parameter estimates and their uncertainties.
- Two 1-parameter models are discussed for estimating <X>: estimating μ as the optimal average, and scaling a pattern APi to fit the data.
- There are two equivalent methods for obtaining the optimal solution: using the algebra of random variables to derive the optimal average and optimal scaling, and minimizing the chi-squared statistic χ2.
- Both methods result in weighting the data based on the inverse variances, and yield the same optimal solutions for the parameter estimates and their uncertainties.
- Two 1-parameter models are discussed for estimating <X>: estimating μ as the optimal average, and scaling a pattern APi to fit the data.
- There are two equivalent methods for obtaining the optimal solution: using the algebra of random variables to derive the optimal average and optimal scaling, and minimizing the chi-squared statistic χ2.
- Both methods result in weighting the data based on the inverse variances, and yield the same optimal solutions for the parameter estimates and their uncertainties.
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Review:
X" 1 # Xi N i 2 1 #$ i N2 i
Normal vs Optimal Average
X"
Adding up Noisy Data
A = area under the curve, e.g. ux of the star How to measure A ? Simple method: Add up the data: N
$X i i
/# i2 2 i
$ 2(X ) =
$1/#
#2 X =
( )
1 $1/# i2 i
A " # Xi i=1 N N
Dilemma: How many data points to include ?
! Equal weights: Poor data degrades the result. Better to ignore bad data. Information lost. Optimal weights: ! New data always improves the result. Use ALL the data, but with appropriate 1 / Variance weights. Must have good error bars.
A = A # Pi i=1
$ 2 [ A ] = #$ i 2 i=1
! Pi = fraction of photons in pixel i .
"P =1 i i=1
Biased if N too small. Noisy if N too large.
Can we do better? Yes, if the pattern P is known.
Optimal Scaling of a Pattern
Scale the pattern Pi by factor A to t the data. Optimal average of unbiased estimates: Ai " X i Pi unbiased : Ai = A $# ' Var [ Ai ] = & i ) % Pi ( 2
Sum the Data vs Optimal Scaling
Sum up the data. N
Data : X i " i Model : X i # i = A Pi Pattern : Pi
Optimal Scaling of known Pattern.
A " # Xi i=1 N N
A = Var A
#X P " #P " i i i 2 i i i
2 i
A = A # Pi
$ 2 [ A ] = #$ i 2 i=1
Optimal average : w i = 1 Var [ Ai ] ) A=
i=1
[ ]
*w A *w i i i i
$P ' $X ' * & # i ) & Pi ) i % i( % i ( $ P '2 * & #i ) i % i(
i i
#P i
" i2
*X P # *P # i i i 2 i i i
2 i
A !
) Var A
[ ]
* Var[ X ] ( P = i
# i2 2
$ ' 2 2 & * Pi # i ) % i (
! # i2
*P i
! Biased if N too small. Noisy if N too large.
No bias.
Result improves with N.
The Golden Rule of Optimal Data Analysis:
Optimal Scaling Model :
Fitting Models by minimising 2
Data : X i " i Parameters : $ k i = 1 ... N k = 1 ... M X i # i ($ )
Data : X i " i Model : X i # i = A Pi Optimal Scaling : A = Var A
$ X i Pi " i i
Error : %i # X i & i ($ )
$P i
" i2 " i2
[ ]
%i X i & i ($ ) = "i "i Badness - of - fit statistic :
Normalised Error : 'i # 2 N N * X & i ($ ) ( 2 ( X, " , $ ) # ) 'i 2 = ) , i / "i . i=1 i=1 + Best - fit parameters $ minimise ( 2 .
$P i
"2 2 " min
Memorise this result. Know how to derive it.
! !
Optimal Average is a special case of Optimal Scaling, with pattern Pi = 1.
" !
"
Page #
Example: Estimate < X > by 2 Fitting
Model : Xi = Badness - of - Fit statistic : % X # (2 "2 = + ' i * $i ) i & Minimise " 2 :
Parameter Error Bars: 1 at 2 = 1
= X = Optimal Average 1 Must have # 2 () = # 2 ( X ) = $ 1/# i2 From " 2 fit : i 2 " 2 = " min +
" #2 X $ = $2 & i 2 " %i i " 2# 2 1 = +2 & 2 " 2 %i i
Fill with water to depth of 1 "2
, "2 X # 0= = #2 + i 2 , $i i X + $ 2i = + $ 2 i i i i - =
