Measure that takes samples that is minimized in expectation for a uniformly-distributed random variable?
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I am having trouble thinking of a function that operates on a set of samples, that is, single-valued random variables between zero and one, $x_i in (0,1), iin{1,2,...I}$, and provides a measure of "non uniformity" of the samples:
$$
F({x_i}) : [0,1]^I to R
$$
This measure would be uniquely minimized (in expectation) when the samples are from a uniform distribution.
My first reaction was to bin these samples by cutting $[0,1]$ into equal-sized peices. Then the standard deviation of the counts across the bins would be my measure, minimized when the counts in each bin are equal.
But the binning allows for "cheating", that is, the samples may not actually be uniformly distributed, but only appear that way due to the binning procedure; a different choice of bins would show the problem.
Any better ideas?
The motivation is to evaluate the quality of a CDF fitting procedure. The fitting procedure is optimal when the CDFs (different CDF for each sample) maps all the "real" samples $y_i in R$ uniformly to the [0,1] interval.
sampling descriptive-statistics uniform minimum uniformity
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up vote
1
down vote
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I am having trouble thinking of a function that operates on a set of samples, that is, single-valued random variables between zero and one, $x_i in (0,1), iin{1,2,...I}$, and provides a measure of "non uniformity" of the samples:
$$
F({x_i}) : [0,1]^I to R
$$
This measure would be uniquely minimized (in expectation) when the samples are from a uniform distribution.
My first reaction was to bin these samples by cutting $[0,1]$ into equal-sized peices. Then the standard deviation of the counts across the bins would be my measure, minimized when the counts in each bin are equal.
But the binning allows for "cheating", that is, the samples may not actually be uniformly distributed, but only appear that way due to the binning procedure; a different choice of bins would show the problem.
Any better ideas?
The motivation is to evaluate the quality of a CDF fitting procedure. The fitting procedure is optimal when the CDFs (different CDF for each sample) maps all the "real" samples $y_i in R$ uniformly to the [0,1] interval.
sampling descriptive-statistics uniform minimum uniformity
add a comment |
up vote
1
down vote
favorite
up vote
1
down vote
favorite
I am having trouble thinking of a function that operates on a set of samples, that is, single-valued random variables between zero and one, $x_i in (0,1), iin{1,2,...I}$, and provides a measure of "non uniformity" of the samples:
$$
F({x_i}) : [0,1]^I to R
$$
This measure would be uniquely minimized (in expectation) when the samples are from a uniform distribution.
My first reaction was to bin these samples by cutting $[0,1]$ into equal-sized peices. Then the standard deviation of the counts across the bins would be my measure, minimized when the counts in each bin are equal.
But the binning allows for "cheating", that is, the samples may not actually be uniformly distributed, but only appear that way due to the binning procedure; a different choice of bins would show the problem.
Any better ideas?
The motivation is to evaluate the quality of a CDF fitting procedure. The fitting procedure is optimal when the CDFs (different CDF for each sample) maps all the "real" samples $y_i in R$ uniformly to the [0,1] interval.
sampling descriptive-statistics uniform minimum uniformity
I am having trouble thinking of a function that operates on a set of samples, that is, single-valued random variables between zero and one, $x_i in (0,1), iin{1,2,...I}$, and provides a measure of "non uniformity" of the samples:
$$
F({x_i}) : [0,1]^I to R
$$
This measure would be uniquely minimized (in expectation) when the samples are from a uniform distribution.
My first reaction was to bin these samples by cutting $[0,1]$ into equal-sized peices. Then the standard deviation of the counts across the bins would be my measure, minimized when the counts in each bin are equal.
But the binning allows for "cheating", that is, the samples may not actually be uniformly distributed, but only appear that way due to the binning procedure; a different choice of bins would show the problem.
Any better ideas?
The motivation is to evaluate the quality of a CDF fitting procedure. The fitting procedure is optimal when the CDFs (different CDF for each sample) maps all the "real" samples $y_i in R$ uniformly to the [0,1] interval.
sampling descriptive-statistics uniform minimum uniformity
sampling descriptive-statistics uniform minimum uniformity
edited 22 hours ago
asked 22 hours ago
OrangeSherbet
1105
1105
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2 Answers
2
active
oldest
votes
up vote
4
down vote
accepted
Like @Chris said, you can use some kind of divergence or information theory ideas. KL divergence like he said is good, or more generally f-divergence, etc., but more simply just use entropy. You said minimized when uniform, so entropy would be maximized, so do negative entropy. You said maps to real numbers, maybe you want for easier comparison, [0,1] interval, so use (negative) normalized entropy (divide by logN):
https://math.stackexchange.com/questions/395121/how-entropy-scales-with-sample-size
Or since you said the end goal is to compare some empirical CDF's, then depending on your problem maybe there is a more direct way you can do this like:
KS test:
https://en.wikipedia.org/wiki/Kolmogorov%E2%80%93Smirnov_test
Anderson-Darling:
https://en.wikipedia.org/wiki/Anderson%E2%80%93Darling_test
Cramer von Mises
https://en.wikipedia.org/wiki/Cram%C3%A9r%E2%80%93von_Mises_criterion
etc.
New contributor
1
The biggest revelation for me was realizing I could calculate the "empirical CDF" using the samples, and then use distance measures between the empirical CDF and the cdf for the uniform distribution (a straight line from [0,0] to [1,1]), all without binning anything.
– OrangeSherbet
16 hours ago
add a comment |
up vote
2
down vote
Take your samples and form a random variable $X$. To measure the non-uniformity of the samples measure the KL divergence between $X$ and $X'$ as $KL(X||X')$.
add a comment |
2 Answers
2
active
oldest
votes
2 Answers
2
active
oldest
votes
active
oldest
votes
active
oldest
votes
up vote
4
down vote
accepted
Like @Chris said, you can use some kind of divergence or information theory ideas. KL divergence like he said is good, or more generally f-divergence, etc., but more simply just use entropy. You said minimized when uniform, so entropy would be maximized, so do negative entropy. You said maps to real numbers, maybe you want for easier comparison, [0,1] interval, so use (negative) normalized entropy (divide by logN):
https://math.stackexchange.com/questions/395121/how-entropy-scales-with-sample-size
Or since you said the end goal is to compare some empirical CDF's, then depending on your problem maybe there is a more direct way you can do this like:
KS test:
https://en.wikipedia.org/wiki/Kolmogorov%E2%80%93Smirnov_test
Anderson-Darling:
https://en.wikipedia.org/wiki/Anderson%E2%80%93Darling_test
Cramer von Mises
https://en.wikipedia.org/wiki/Cram%C3%A9r%E2%80%93von_Mises_criterion
etc.
New contributor
1
The biggest revelation for me was realizing I could calculate the "empirical CDF" using the samples, and then use distance measures between the empirical CDF and the cdf for the uniform distribution (a straight line from [0,0] to [1,1]), all without binning anything.
– OrangeSherbet
16 hours ago
add a comment |
up vote
4
down vote
accepted
Like @Chris said, you can use some kind of divergence or information theory ideas. KL divergence like he said is good, or more generally f-divergence, etc., but more simply just use entropy. You said minimized when uniform, so entropy would be maximized, so do negative entropy. You said maps to real numbers, maybe you want for easier comparison, [0,1] interval, so use (negative) normalized entropy (divide by logN):
https://math.stackexchange.com/questions/395121/how-entropy-scales-with-sample-size
Or since you said the end goal is to compare some empirical CDF's, then depending on your problem maybe there is a more direct way you can do this like:
KS test:
https://en.wikipedia.org/wiki/Kolmogorov%E2%80%93Smirnov_test
Anderson-Darling:
https://en.wikipedia.org/wiki/Anderson%E2%80%93Darling_test
Cramer von Mises
https://en.wikipedia.org/wiki/Cram%C3%A9r%E2%80%93von_Mises_criterion
etc.
New contributor
1
The biggest revelation for me was realizing I could calculate the "empirical CDF" using the samples, and then use distance measures between the empirical CDF and the cdf for the uniform distribution (a straight line from [0,0] to [1,1]), all without binning anything.
– OrangeSherbet
16 hours ago
add a comment |
up vote
4
down vote
accepted
up vote
4
down vote
accepted
Like @Chris said, you can use some kind of divergence or information theory ideas. KL divergence like he said is good, or more generally f-divergence, etc., but more simply just use entropy. You said minimized when uniform, so entropy would be maximized, so do negative entropy. You said maps to real numbers, maybe you want for easier comparison, [0,1] interval, so use (negative) normalized entropy (divide by logN):
https://math.stackexchange.com/questions/395121/how-entropy-scales-with-sample-size
Or since you said the end goal is to compare some empirical CDF's, then depending on your problem maybe there is a more direct way you can do this like:
KS test:
https://en.wikipedia.org/wiki/Kolmogorov%E2%80%93Smirnov_test
Anderson-Darling:
https://en.wikipedia.org/wiki/Anderson%E2%80%93Darling_test
Cramer von Mises
https://en.wikipedia.org/wiki/Cram%C3%A9r%E2%80%93von_Mises_criterion
etc.
New contributor
Like @Chris said, you can use some kind of divergence or information theory ideas. KL divergence like he said is good, or more generally f-divergence, etc., but more simply just use entropy. You said minimized when uniform, so entropy would be maximized, so do negative entropy. You said maps to real numbers, maybe you want for easier comparison, [0,1] interval, so use (negative) normalized entropy (divide by logN):
https://math.stackexchange.com/questions/395121/how-entropy-scales-with-sample-size
Or since you said the end goal is to compare some empirical CDF's, then depending on your problem maybe there is a more direct way you can do this like:
KS test:
https://en.wikipedia.org/wiki/Kolmogorov%E2%80%93Smirnov_test
Anderson-Darling:
https://en.wikipedia.org/wiki/Anderson%E2%80%93Darling_test
Cramer von Mises
https://en.wikipedia.org/wiki/Cram%C3%A9r%E2%80%93von_Mises_criterion
etc.
New contributor
New contributor
answered 20 hours ago
123learn
561
561
New contributor
New contributor
1
The biggest revelation for me was realizing I could calculate the "empirical CDF" using the samples, and then use distance measures between the empirical CDF and the cdf for the uniform distribution (a straight line from [0,0] to [1,1]), all without binning anything.
– OrangeSherbet
16 hours ago
add a comment |
1
The biggest revelation for me was realizing I could calculate the "empirical CDF" using the samples, and then use distance measures between the empirical CDF and the cdf for the uniform distribution (a straight line from [0,0] to [1,1]), all without binning anything.
– OrangeSherbet
16 hours ago
1
1
The biggest revelation for me was realizing I could calculate the "empirical CDF" using the samples, and then use distance measures between the empirical CDF and the cdf for the uniform distribution (a straight line from [0,0] to [1,1]), all without binning anything.
– OrangeSherbet
16 hours ago
The biggest revelation for me was realizing I could calculate the "empirical CDF" using the samples, and then use distance measures between the empirical CDF and the cdf for the uniform distribution (a straight line from [0,0] to [1,1]), all without binning anything.
– OrangeSherbet
16 hours ago
add a comment |
up vote
2
down vote
Take your samples and form a random variable $X$. To measure the non-uniformity of the samples measure the KL divergence between $X$ and $X'$ as $KL(X||X')$.
add a comment |
up vote
2
down vote
Take your samples and form a random variable $X$. To measure the non-uniformity of the samples measure the KL divergence between $X$ and $X'$ as $KL(X||X')$.
add a comment |
up vote
2
down vote
up vote
2
down vote
Take your samples and form a random variable $X$. To measure the non-uniformity of the samples measure the KL divergence between $X$ and $X'$ as $KL(X||X')$.
Take your samples and form a random variable $X$. To measure the non-uniformity of the samples measure the KL divergence between $X$ and $X'$ as $KL(X||X')$.
answered 21 hours ago
Chris
431211
431211
add a comment |
add a comment |
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