Probability and Statistics
Marcia Schafgans
September 2013
1. Consider 100 independent random variables uniformly distributed in the [0, 1[ interval. Call each
of them A
I
. Let 1 =

100
I=1
A
I
. Then, we can say that the distribution of probability of 1 is:
(a) aproximately normal with mean exactly equal to 50.
(b) aproximately normal with mean close (but probably not equal) to 50.
(c) uniform in the [0, 100[ interval.
(d) )
Y
(j) =
_
j,2ò00 for 0 j ò0
(100 j),2ò00 for ò0 j 100
(e) none of the above.
CLT =)1 Normal
1(1 ) = 1
_

100
I=1
A
I
_
=

100
I=1
1 (A
I
) =

100
I=1
1
2
= ò0.
2. (LM) What is the MLE for 0 in the jd)
)(j; 0) =
2j
1 0
2
, 0 j 1
if a random sample of size 6 yielded the measurements 0.70, 0.63, 0.92, 0.86, 0.43 and 0.21?
(a) 0
(b) 0.004
(c) 0.18
(d) 0.21
(e) 0.62ò
1(0) =
_
_
_
6

I=1
2Y
i
10
2
if 0 0.21
0 otherwise
As
6

I=1
2Y
i
10
2
is increasing in 0,
´
0
1JJ
= 0.21.
1
3. (LM) The number of red chips and white chips in an urn is not known, but it is known that
the proportion, j, of reds is either 1,ò or 1,8 or 1,2 or 8,4. A sample of size 4, drawn with
replacement, yields the sequence red, white, white, white. The MLE for j is:
(a) 1/5
(b) 1/4
(c) 1/3
(d) 1/2
(e) 3/4
1
_
1
ò
_
=
1
ò
_
4
ò
_
3
=
64
62ò
1
_
1
8
_
=
1
8
_
2
8
_
3
=
8
81
1
_
1
2
_
=
1
2
_
1
2
_
3
=
1
16
1
_
8
4
_
=
8
4
_
1
4
_
3
=
8
2ò6
1(1,ò) is the biggest among the 4 of them.
Note answer b cannot be the solution (despite
1
4
_
3
4
_
3
exceeding 1(1,ò)) as it is not in the
sample space... The only feasible solutions of j are 1,ò or 1,8 or 1,2 or 8,4.
4. Suppose a random sample of size : = 6 is drawn from the uniform pdf )(j; 0) = 1,0, 0 j 0 for
the purpose of using
´
0 = 1
max
to estimate 0. Suppose that 0 = 8.0. Then, Ii(
´
0 2 [00.8, 0÷0.8[)
is:
(a) 0.40
(b) 0.47
(c) 0.55
(d) 0.60
(e) 0.74
Ii(1
max
< 2, 7) =
6

I=1
Ii(1
I
< 2.7)
=
_
0
10
_
6
= 0.ò8
So, Ii(1
max
2.7) = 0.47 (and clearly 1
max
is always 8).
2
5. (LM) What is the method of moments estimate of 0 if a random sample of size 5 consisting of the
numbers 17, 92, 46, 39 and 56 is drawn from the pdf:
)(j; 0) =
1
0
, 0 j 0
(a) 92
(b) 100
(c) 104
(d) 109
(e) 112
Mean of the distribution: 1(1 ) = 0,2. MME chooses 0 such that
1
n
¯j
I
= 0,2
Sample mean: ¯ j = ò0
´
0
11J
2
= ¯ j = ò0 =)
´
0
11J
= 100
6. Consider a random variable A ·(0, o
2
), both 0 and o
2
are unknown. A researcher was trying
to estimate 0 and from a sample of size 0, obtained ¯ r = 1 and : = 8. Which one of the following
is a 95% con…dence interval for 0?
(a) (1, 2.86[
(b) [ò.01, 7.01[
(c) [4.ò8, 6.ò8[
(d) [0.86, 2.86[
(e) [1.81, 1)
¯ r = 1, :,
p
: = 1
t
8,5%
= 1.86, t
8,2.5%
= 2.806
(a) Ii(¯ r 2.86) = Ii(t
8
1.86) = ò/, correct
7. Let 1
1
, 1
2
, ..., 1
n
be a random sample of size : from the jd) )(j; 0) =
1
0
c
¸/0
, 0 0, j 0.
Consider 2 estimators:
´
0
1
= 1
1
and
´
0
2
= :.1
min
.
Hint: the jd) of 1
min
is given by:
)
Y
min
(j) = :.)
Y
(j). [1 1
Y
(j)[
n1
We can say that:
(a) both
´
0
1
and
´
0
2
are biased
(b) one of the estimators (
´
0
1
or
´
0
2
) is biased, the other is not.
(c) both
´
0
1
and
´
0
2
are unbiased and
´
0
1
is more e¢cient.
(d) both
´
0
1
and
´
0
2
are unbiased and
´
0
1
and
´
0
2
are equally e¢cient.
(e) both
´
0
1
and
´
0
2
are unbiased and
´
0
2
is more e¢cient.
1
Y
(j) = 1 c
¸/0
. So:
)
Y
min
(j) = :
1
0
c
¸/0
.
_
c
¸/0
_
n1
=
:
0
c

n

¸
3
which is the pdf of the exponential distribution with mean 0,:.
So,
´
0
1
: mean is 0, standard deviation is 0.
´
0
n
: mean is :0,: = 0, standard deviation is :0,: = 0.
8. Let A be a normally distributed random variable (A ·(j, o
2
)). A random sample of 3 real-
izations of A is generated and the sample mean,
¯
A, is calculated. Then, another realization of A
is collected (call it A
4
, it is independent from the 3 previous ones). What is the probability that
A
4
2 [
¯
A 2o,
¯
A ÷ 2o[?
(a) 68%
(b) 84%
(c) 91%
(d) 95%
(e) 98%
¯
A ·(j,
o
2
8
)
So
1(A
4

¯
A) = 0
and as A and
¯
A are independent,
\ ar(A
4

¯
A) = o
2
÷
o
2
8
=
4o
2
8
otd·(A
4

¯
A) =
2o
p
8
Now:
Ii(A
4
2 [
¯
A 2o,
¯
A ÷ 2o[)
= Ii(A
4

¯
A 2 [2o, 2o[)
= Ii
_
A
4

¯
A
2c
p
3
2
_
2o
2c
p
3
,
2o
2c
p
3
__
= Ii
_
7 2
_

p
8,
p
8
__
where 7 has a standard normal distribution.
As
p
8 = 1.7 and from the table we get 1(1.7) = 0.0òò4, 1 1(1.7) = 0.044
`
6
So, Ii
_
7 2
_

p
8,
p
8
¸_
= 0.0òò4 0.044
`
6 = 0.0108