May 28th, 2009| 11:54 pm | Posted by hlee

This simple law, despite my trial of full text search, was not showing in ADS. As discussed in systematic errors, astronomers, like physicists, show their error components in two additive terms; statistical error + systematic error. To explain such decomposition and to make error analysis statistically rigorous, the **law of total variance (LTV)** seems indispensable. Continue reading ‘[MADS] Law of Total Variance’ »

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Apr 9th, 2009| 07:01 pm | Posted by vlk

We astronomers are rather fond of approximating our counting statistics with Gaussian error distributions, and a lot of ink has been spilled justifying and/or denigrating this habit. But just how bad is the approximation anyway?

I ran a simple Monte Carlo based test to compute the expected bias between a Poisson sample and the “equivalent” Gaussian sample. The result is shown in the plot below.

The jagged red line is the fractional expected bias relative to the true intensity. The typical recommendation in high-energy astronomy is to bin up events until there are about 25 or so counts per bin. This leads to an average bias of about 2% in the estimate of the true intensity. The bias drops below 1% for counts >50. Continue reading ‘Poisson vs Gaussian’ »

Jan 2nd, 2009| 11:24 pm | Posted by vlk

You would think that something like “measurement error” is a well-defined concept, and everyone knows what it means. Not so. I have so far counted at least 3 different interpretations of what it means.

Suppose you have measurements *X={X*_{i}, i=1..N} of a quantity whose true value is, say, *X*_{0}. One can then compute the mean and standard deviation of the measurements, *E(X)* and *σ*_{X}. One can also infer the value of a parameter *θ(X)*, derive the posterior probability density *p(θ|X)*, and obtain confidence intervals on it.

So here are the different interpretations:

- Measurement error is
*σ*_{X}, or the spread in the measurements. Astronomers tend to use the term in this manner.
- Measurement error is
*X*_{0}-E(X), or the “error made when you make the measurement”, essentially what is left over beyond mere statistical variations. This is how statisticians seem to use it, essentially the bias term. To quote David van Dyk

For us it is just English. If your measurement is different from the real value. So this is not the Poisson variability of the source for effects or ARF, RMF, etc. It would disappear if you had a perfect measuring device (e.g., telescope).

- Measurement error is the width of
*p(θ|X)*, i.e., the measurement error of the first type propagated through the analysis. Astronomers use this too to refer to measurement error.

Who am I to say which is right? But be aware of who you may be speaking with and be sure to clarify what you mean when you use the term!

Jun 19th, 2008| 11:46 pm | Posted by hlee

While discussing different view points on the term, *clustering*, one of the conversers led me to his colleague’s poster. This poster (I don’t remember its title and abstract) was my favorite from all posters in the meeting. Continue reading ‘my first AAS. V. measurement error and EM’ »

Mar 13th, 2008| 01:53 pm | Posted by vlk

During the runup to his recent talk on logN-logS, Andreas mentioned how sometimes people are confused about the variety of statistical biases that afflict surveys. They usually know what the biases are, but often tend to mislabel them, especially the Eddington and Malmquist types. Sort of like using “your” and “you’re” interchangeably, which to me is like nails on a blackboard. So here’s a brief summary: Continue reading ‘Eddington versus Malmquist’ »

Nov 7th, 2007| 11:57 am | Posted by hlee

Today’s arxiv-stat email included papers by Poetscher and Leeb, who have been working on post model selection inference. Sometimes model selection is misled as a part of statistical inference. Simply, model selection can be considered as a step prior to inference. How you know your data are from chi-square distribution, or gamma distribution? (this is a model selection problem with nested models.) Should I estimate the degree of freedom, k from Chi-sq or α and β from gamma to know mean and error? Will the errors of the mean be same from both distributions? Continue reading ‘[ArXiv] Post Model Selection, Nov. 7, 2007’ »

Aug 16th, 2007| 04:36 pm | Posted by hlee

I’ve been heard so much, without knowing fundamental reasons (most likely physics), about coverage problems from astrostat/phystat groups. This paper might be an interest for those: Interval Estimation in Exponential Families by Brown, Cai,and DasGupta ; Statistica Sinica (2003), **13**, pp. 19-49

*Abstract summary:*

The authors investigated issues in interval estimation of the mean in the exponential family, such as binomial, Poisson, negative binomial, normal, gamma, and a sixth distribution. The poor performance of the Wald interval has been known not only for discrete cases but for nonnormal continuous cases with significant negative bias. Their computation suggested that the equal tailed Jeffreys interval and the likelihood ratio interval are the best alternatives to the Wald interval. Continue reading ‘Coverage issues in exponential families’ »

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Aug 14th, 2007| 10:17 pm | Posted by hlee

During the International X-ray Summer School, as a project presentation, I tried to explain the inadequate practice of χ^2 statistics in astronomy. *If your best fit is biased (any misidentification of a model easily causes such bias), do not use χ^2 statistics to get 1σ error for the 68% chance of capturing the true parameter.*

Later, I decided to do further investigation on that subject and this paper came along: Astrostatistics: Goodness-of-Fit and All That! by Babu and Feigelson.

Continue reading ‘Astrostatistics: Goodness-of-Fit and All That!’ »

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Jun 4th, 2007| 05:42 pm | Posted by vlk

Leccardi & Molendi (2007) have a paper in A&A (astro-ph/0705.4199) discussing the biases in parameter estimation when spectral fitting is confronted with low counts data. Not surprisingly, they find that the bias is higher for lower counts, for standard chisq compared to C-stat, for grouped data compared to ungrouped. Peter Freeman talked about something like this at the 2003 X-ray Astronomy School at Wallops Island (pdf1, pdf2), and no doubt part of the problem also has to do with the (un)reliability of the fitting process when the chisq surface gets complicated.

Anyway, they propose an empirical method to reduce the bias by computing the probability distribution functions (*pdf*s) for various simulations, and then *averaging the pdfs* in groups of 3. Seems to work, for reasons that escape me completely.

[**Update:** links to Peter's slides corrected]

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