File:Mean estimator consistency.gif
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Summary
| Description |
English: If you sample from a Cauchy distribution, the probability to get a value very far on the tails is so high that more data won't ever give you a better estimate of its mean. |
| Date | |
| Source | https://twitter.com/j_bertolotti/status/1303999888137613312 |
| Author | Jacopo Bertolotti |
| Permission (Reusing this file) |
https://twitter.com/j_bertolotti/status/1030470604418428929 |
Mathematica 12.1 code
n = 5 10^3;
data = RandomVariate[NormalDistribution[0, 10], n];
data2 = RandomVariate[CauchyDistribution[0, 10], n];
p0 = Table[
GraphicsGrid[{
{Show[
Histogram[data[[1 ;; j]], {1}, "Probability", ChartStyle -> Orange],
Plot[PDF[NormalDistribution[0, 10], x], {x, -40, 40}, PlotRange -> All, PlotStyle -> {Purple, Thick}]
, PlotRange -> {{-30, 30}, {0, 0.045}}, Axes -> False, Frame -> True, FrameLabel -> {"x", "P(x)"}, LabelStyle -> {Black, Bold}, PlotLabel -> "Normal distribution"
]
,
ListPlot[Table[Mean[data[[1 ;; i]] ], {i, 9, j}], Joined -> True, PlotRange -> {{0, n}, All}, DataRange -> j, Axes -> False, Frame -> True, FrameLabel -> {"#", "\!\(\*OverscriptBox[\(\[Mu]\), \(^\)]\)"}, LabelStyle -> {Black, Bold}, PlotStyle -> Black, Epilog -> {Purple, Thick, Dashed, Line[{{0, 0}, {n, 0}}]}]
,
ListPlot[Table[StandardDeviation[data[[1 ;; i]] ], {i, 9, j}], Joined -> True, PlotRange -> {{0, n}, All}, DataRange -> j, Axes -> False, Frame -> True, FrameLabel -> {"#", "\!\(\*OverscriptBox[\(\[Sigma]\), \(^\)]\)"}, LabelStyle -> {Black, Bold}, PlotStyle -> Black, Epilog -> {Purple, Thick, Dashed, Line[{{0, 10}, {n, 10}}]}]
}, {
Show[
Histogram[data2[[1 ;; j]], {1}, "Probability", ChartStyle -> Orange],
Plot[PDF[CauchyDistribution[0, 10], x], {x, -40, 40}, PlotRange -> All, PlotStyle -> {Purple, Thick}], PlotRange -> {{-40, 40}, {0, 0.035}}, Axes -> False, Frame -> True, FrameLabel -> {"x", "P(x)"}, LabelStyle -> {Black, Bold}, PlotLabel -> "Cauchy distribution"]
,
ListPlot[Table[Mean[data2[[1 ;; i]] ], {i, 1, j}], Joined -> True, PlotRange -> {{0, n}, All}, DataRange -> j, Axes -> False, Frame -> True, FrameLabel -> {"#", "\!\(\*OverscriptBox[\(\[Mu]\), \(^\)]\)"}, LabelStyle -> {Black, Bold}, PlotStyle -> Black, Epilog -> {Purple, Thick, Dashed, Line[{{0, 0}, {n, 0}}]}]
,
ListPlot[Table[StandardDeviation[data2[[1 ;; i]] ], {i, 2, j}], Joined -> True, PlotRange -> {{0, n}, All}, DataRange -> j, Axes -> False, Frame -> True, FrameLabel -> {"#", "\!\(\*OverscriptBox[\(\[Sigma]\), \(^\)]\)"}, LabelStyle -> {Black, Bold}, PlotStyle -> Black]
}}, ImageSize -> 800]
, {j, 10, n, 20}];
ListAnimate[p0]
Licensing
I, the copyright holder of this work, hereby publish it under the following license:
 
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This file is made available under the Creative Commons CC0 1.0 Universal Public Domain Dedication. |
| The person who associated a work with this deed has dedicated the work to the public domain by waiving all of their rights to the work worldwide under copyright law, including all related and neighboring rights, to the extent allowed by law. You can copy, modify, distribute and perform the work, even for commercial purposes, all without asking permission.
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| Date/Time | Thumbnail | Dimensions | User | Comment | |
|---|---|---|---|---|---|
| current | 09:26, 11 September 2020 | | 800 × 325 (4.53 MB) | Berto | Uploaded own work with UploadWizard |
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