3.2 Invariant estimators

Let us introduce the concept of invariance with an example.

Example 3.7 The manufacturer of a given product claims that the product packages contain at least θ grams of product. If this claim is true, then the product content within a package is distributed as U(θ,θ+100). To check the claim of the manufacturer, a srs measuring the content was taken. The realization of this srs is (x1,,xn) and is used to compute an estimate ˆθ(x1,,xn). But, after computing the estimate, it is discovered that the balance was weighing systematically c grams less. Can we just simply correct the estimate as ˆθ(x1,,xn)+c?

The answer to the question depends on whether the estimator verifies

ˆθ(x1+c,,xn+c)=ˆθ(x1,,xn)+c.

If this is not the case, then we will need to compute ˆθ(x1+c,,xn+c) without being able to reuse ˆθ(x1,,xn).

Definition 3.3 (Translation-invariant estimator) An estimator ˆθ is translation-invariant if, for sample realization (x1,,xn) and any cR,

ˆθ(x1+c,,xn+c)=ˆθ(x1,,xn)+c.

Example 3.8 Check that X(1), ˉX, and (X(1)+X(n))/2 are statistics invariant to translations, but that the geometric mean (ni=1Xi)1/n and the harmonic mean n/ni=1X1i are not.

For X(1)=min we have

\begin{align*} \min_{1\leq i\leq n} (X_i+c)=\min_{1\leq i\leq n} (X_i)+c. \end{align*}

Therefore, X_{(1)} is translation-invariant. For \bar{X}=(1/n)\sum_{i=1}^n X_i,

\begin{align*} \frac{1}{n}\sum_{i=1}^n (X_i+c)=\frac{1}{n}\left[\sum_{i=1}^n X_i+nc\right]=\frac{1}{n}\sum_{i=1}^n X_i+c=\bar{X}+c, \end{align*}

so \bar{X} is translation-invariant too. We now check (X_{(1)}+X_{(n)})/2:

\begin{align*} \frac{1}{2}\left[\min_{1\leq i\leq n}(X_i+c)+\max_{1\leq i\leq n}(X_i+c)\right]&=\frac{1}{2}\left[\min_{1\leq i\leq n}X_i+\max_{1\leq i\leq n}X_i+2c\right]\\ &=\frac{1}{2}\left(X_{(1)}+X_{(n)}\right)+c. \end{align*}

To see that neither the geometric nor the harmonic means are invariant to translations, we only need to find counterexamples. For that, consider the sample realization (x_1,x_2,x_3)=(1,2,3). For these data, the geometric and harmonic means are, respectively,

\begin{align*} \left[\prod_{i=1}^n x_i\right]^{1/n}&=(1\times 2\times 3)^{1/3}=6^{1/3}=1.82,\\ \frac{n}{\sum_{i=1}^n x_i^{-1}}&=\frac{3}{1+\frac{1}{2}+\frac{1}{3}}=\frac{18}{11}=1.64. \end{align*}

However, if we take c=1:

\begin{align*} \left[\prod_{i=1}^n (x_i+c)\right]^{1/n}&=(2\times 3\times 4)^{1/3}=2.88\neq 1.82+1,\\ \frac{n}{\sum_{i=1}^n (x_i+c)^{-1}}&=\frac{3}{\frac{1}{2}+\frac{1}{3}+\frac{1}{4}}=\frac{36}{13}=2.77\neq 1.64+1, \end{align*}

and we see that none of these statistics is translation-invariant.

Example 3.9 A woman always arrives to the bus stop at the same hour. She wishes to estimate the maximum time waiting for the bus, knowing that the waiting time is distributed as \mathcal{U}(0,\theta). For that purpose, she times the waiting times during n days and obtains a realization of a srs, (x_1,\ldots,x_n), measured in seconds. Based on that sample, she obtains an estimate of the maximum waiting time \hat{\theta}(x_1,\ldots,x_n) in seconds. If she wants to convert the result to minutes, can she just compute \hat{\theta}(x_1,\ldots,x_n)/60?

The answer depends on whether the estimator satisfies

\begin{align*} \hat{\theta}(x_1/60,\ldots,x_n/60)=\hat{\theta}(x_1,\ldots,x_n)/60. \end{align*}

If this is not the case, then she will need to compute \hat{\theta}(x_1/60,\ldots,x_n/60).

Definition 3.4 (Scale-invariant estimators) An estimator \hat{\theta} is scale-invariant if, for sample realization (x_1,\ldots,x_n) and any c>0,

\begin{align*} \hat{\theta}(cx_1,\ldots,cx_n)=c\,\hat{\theta}(x_1,\ldots,x_n). \end{align*}

Example 3.10 Check that \bar{X} and X_{(n)} are scale-invariant estimators and that \log((1/n)\sum_{i=1}^n\exp({X_i})) and X_{(n)}/X_{(1)} are not.