Scale parameter

Page issues

In probability theory and statistics, a scale

parameter is a special kind of numerical
parameter of a parametric family of
probability distributions. The larger the
scale parameter, the more spread out the
distribution.

Definition
If a family of probability distributions is
such that there is a parameter s (and other
parameters θ) for which the cumulative
distribution function satisfies

then s is called a scale parameter, since

its value determines the "scale" or
statistical dispersion of the probability
distribution. If s is large, then the
distribution will be more spread out; if s is
small then it will be more concentrated.

If the probability density exists for all

values of the complete parameter set, then
the density (as a function of the scale
parameter only) satisfies
where f is the density of a standardized
version of the density, i.e.
.

An estimator of a scale parameter is

called an estimator of scale.

Simple manipulations

We can write in terms of ,

as follows:

Because f is a probability density function,

it integrates to unity:
By the substitution rule of integral
calculus, we then have

So is also properly normalized.

Rate parameter
Some families of distributions use a rate
parameter which is simply the reciprocal
of the scale parameter. So for example the
exponential distribution with scale
parameter β and probability density
could equivalently be written with rate
parameter λ as

Examples
The normal distribution has two
parameters: a location parameter and
a scale parameter . In practice the
normal distribution is often
parameterized in terms of the squared
scale , which corresponds to the
variance of the distribution.
 The gamma distribution is usually
parameterized in terms of a scale
parameter or its inverse.
Special cases of distributions where the
scale parameter equals unity may be
called "standard" under certain
conditions. For example, if the location
parameter equals zero and the scale
parameter equals one, the normal
distribution is known as the standard
normal distribution, and the Cauchy
distribution as the standard Cauchy
distribution.

Estimation
A statistic can be used to estimate a scale
parameter so long as it:

Is location-invariant,
Scales linearly with the scale parameter,
and
Converges as the sample size grows.

Various measures of statistical dispersion

satisfy these. In order to make the statistic
a consistent estimator for the scale
parameter, one must in general multiply
the statistic by a constant scale factor.
This scale factor is defined as the
theoretical value of the value obtained by
dividing the required scale parameter by
the asymptotic value of the statistic. Note
that the scale factor depends on the
distribution in question.

For instance, in order to use the median

absolute deviation (MAD) to estimate the
standard deviation of the normal
distribution, one must multiply it by the
factor

where Φ−1 is the quantile function (inverse

of the cumulative distribution function) for
the standard normal distribution. (See
MAD for details.) That is, the MAD is not a
consistent estimator for the standard
deviation of a normal distribution, but
1.4826... MAD is a consistent estimator.
Similarly, the average absolute deviation
needs to be multiplied by approximately
1.2533 to be a consistent estimator for
standard deviation. Different factors would
be required to estimate the standard
deviation if the population did not follow a
normal distribution.

See also
Central tendency
Invariant estimator
Location parameter
Location-scale family
 Mean-preserving spread
Statistical dispersion

Further reading
Mood, A. M.; Graybill, F. A.; Boes, D. C.
(1974). "VII.6.2 Scale invariance".
Introduction to the theory of statistics
(3rd ed.). New York: McGraw-Hill.

Retrieved from
"https://en.wikipedia.org/w/index.php?
title=Scale_parameter&oldid=876153303"

Last edited 19 days ago by StraussI…

Content is available under CC BY-SA 3.0 unless
otherwise noted.