Summary
In statistics, a consistent estimator or asymptotically consistent estimator is an estimator—a rule for computing estimates of a parameter θ0—having the property that as the number of data points used increases indefinitely, the resulting sequence of estimates converges in probability to θ0. This means that the distributions of the estimates become more and more concentrated near the true value of the parameter being estimated, so that the probability of the estimator being arbitrarily close to θ0 converges to one. In practice one constructs an estimator as a function of an available sample of size n, and then imagines being able to keep collecting data and expanding the sample ad infinitum. In this way one would obtain a sequence of estimates indexed by n, and consistency is a property of what occurs as the sample size “grows to infinity”. If the sequence of estimates can be mathematically shown to converge in probability to the true value θ0, it is called a consistent estimator; otherwise the estimator is said to be inconsistent. Consistency as defined here is sometimes referred to as weak consistency. When we replace convergence in probability with almost sure convergence, then the estimator is said to be strongly consistent. Consistency is related to bias; see bias versus consistency. Formally speaking, an estimator Tn of parameter θ is said to be consistent, if it converges in probability to the true value of the parameter: i.e. if, for all ε > 0 A more rigorous definition takes into account the fact that θ is actually unknown, and thus the convergence in probability must take place for every possible value of this parameter. Suppose {pθ: θ ∈ Θ} is a family of distributions (the parametric model), and Xθ = {X1, X2, ... : Xi ~ pθ} is an infinite sample from the distribution pθ. Let { Tn(Xθ) } be a sequence of estimators for some parameter g(θ). Usually Tn will be based on the first n observations of a sample.
About this result
This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.