Homework 10, Statistics 512, Spring 2005

This homework is due Thursday, April 7th at the beginning of class. 1. Let X 1 ,K , X n be an iid sample from the pdf 1 ( x ) / x> e f ( x; , ) = 0 x This is called the location-scale exponential distribution family. Use the factorization theorem to find a two-dimensional sufficient statistic for ( , ) . 2. Hogg, McKean and Craig, 7.3.2. 3. Let X 1 ,K , X n be an iid sample from the pdf or pmf f ( x; ), . Let T1 and T2 be two different sufficient statistics for . Suppose that T2 = g (T1 ) for some function g . Let U be an unbiased estimator of and let V1 = E (U | T1 ) V2 = E (V1 | T2 ). Show that Var (V2 ) Var (V1 ) for all . Note: As an example of different sufficient statistics for , for X 1 ,K , X n iid Normal ( n n ,1), the following are all sufficient statistics for : T1 = i =1 X i , T2 = i =1 X i / n , and T3 = ( X (1) , X (2) ,K , X ( n ) ) where X ( i ) is the i th order statistic.

4. Let X be a random variable whose pmf is by: x 1 2 3 f ( x; = 1) 0.01 0.01 0.01 f ( x; = 2) 0.06 0.05 0.04

f ( x; ) , = 1 or 2 where f ( x; ) is given 4 0.01 0.03 5 0.01 0.02 6 0.01 0.01 7 0.94 0.79

Suppose we want to test H 0 : = 1 versus H 0 : = 2 based on a sample of size one. Use the Neyman-Pearson Theorem to find the most powerful test of H 0 versus H1 of size = 0.04 . Compute the probability of Type II error for this test.