STATS 200 (Stanford University, Summer 2015)

Homework 2:

Due at 12:50 p.m. on July 13

DeGroot & Schervish X.Y .Z means Exercise Z at the end of Section X.Y in our text,
Probability and Statistics (Fourth Edition) by Morris H. DeGroot and Mark J. Schervish.
1. DeGroot & Schervish 8.2.10.
2. Let Un 2n . Show that n1/2 (Un n) converges in distribution as n , and find the
limiting distribution.
Note: Recall that the 2n distribution has expectation n and variance 2n. You may use
these facts without proof.
3. DeGroot & Schervish 7.5.8.
4. Let X1 , . . . , Xn iid N (0, 2 ), where 2 > 0 is unknown. Find the maximum likelihood
estimator of 2 .
5. Let Yn Bin(n, ), where is unknown and 0 1.
(a) Show that the maximum likelihood estimator of is n = Yn /n.

(b) Let = arcsin( ). Find the maximum likelihood estimator n of .

Note: There is no need to worry about any issues here with the parameter space
for the parameter , i.e., you may assume that simply follows from the parameter
space = [0, 1] for . More formally,
you may assume that is the image of

under the function g(t) = arcsin( t ), which is = [0, /2], i.e., 0 /2.

(c) Show that n(n ) converges in distribution as n , and find the limiting
distribution. What do you notice about the variance of the limiting distribution?
(Specifically, how does it depend on , or equivalently, on ?)
Note 1: You may use the result of Example 2.2.4 of the lecture notes without proof.
Note 2: The derivative of the arcsin function is dtd arcsin t = (1 t2 )1/2 .
6. Let Y be a single observation of a Geometric() random variable with pmf f (y) = (1)y
for all integers y 0 (and zero otherwise), where is unknown and 0 < 1.
Note: Under this setup, Y counts the number of failures before the first success occurs in
a sequence of iid trials.
(a) Find the maximum likelihood estimator of .
(b) Explain the connection between the estimator in part (a) of this problem and the
maximum likelihood estimator in part (a) of problem 5 above.
Hint: Recall the note about successes and failures.
7. Suppose that a large box contains tickets numbered from 1 to , where is an unknown
positive integer. A ticket is randomly drawn from the box, and we assume that each
ticket is equally likely to be drawn (i.e., the number on the ticket has a discrete uniform
distribution on the set {1, . . . , }). Suppose ticket #715 is drawn. What is the maximum
likelihood estimate of based on this observation?