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30 views3 pagesAdvanced Statistical Theory

Jun 05, 2014

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Advanced Statistical Theory

© All Rights Reserved

30 views

Advanced Statistical Theory

© All Rights Reserved

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You are on page 1of 3

Examination

Semester II: 2011-2012

ST5224 Advanced Statistical Theory (II)

April 2012 - Time allowed: 2 hours

INSTRUCTIONS TO CANDIDATES

1. This is a closed book examination.

2. This examination paper contains Four (4) questions and comprises

THREE (3) printed pages.

3. All the Four (4) questions are compulsory and must be answered.

4. Programmable calculators are allowed.

PAGE 2 ST5224

1. Let X

1

, . . . , X

n

be a random sample from a distribution F.

(i) Suppose F is the Gamma(, ) distribution with probability den-

sity function

f(x; , ) =

1

()

x

1

e

x/

I

[0,)

(x).

(ia) Derive the likelihood equation for the maximum likelihood

estimation of and .

(ib) Let ( ,

) be an MLE or RLE of (, ). Derive the joint

asymptotic distribution of ( ,

) .

(ii) Suppose F is the exponential distribution with probability density

function

f(x; a, ) =

1

e

(xa)/

I

[a,)

(x),

where < a < , > 0 are unknown.

(iia) Derive the MLE of (a, ).

(iib) Let a be the MLE of a. Derive the asymptotic variance of a.

2. Let X

1

, . . . , X

n

be a random sample from the normal distribution N(,

2

)

where 0 < < , > 0 are unknown. Considering testing H

0

: = 1

versus H

1

: = 1.

(i) Derive the MLE of and .

(ii) Derive the MLE of under H

0

.

(iii) Derive the Fisher information matrix about and .

(iv) Derive the Raos score test statistic.

(v) Derive the Wald test statistic.

PAGE 3 ST5224

3. Suppose that

X

i

= t

i

+

i

, i = 1, . . . , n,

where the t

i

s are xed constants and the s are i.i.d. random variables

with normal distribution N(0,

2

), < < and

2

> 0 are

unknown parameters.

(i) Derive the UMPU test of size for testing H

0

: 0 versus

H

1

: > 0.

(iii) Derive the UMPU test of size for testing H

0

: = 0 versus

H

1

: = 0.

4. Let X

1

, . . . , X

n

be a random sample from a distribution F.

(i) Suppose that F has the following probability density function

f(x; ) = x

(+1)

I

[0,)

(x).

Using the pivotal method, construct an equal tailed condence

interval of with condence coecient 1 .

(ii) Suppose that F is the normal distribution with mean and vari-

ance

2

. Obtain the uniformly most accurate unbiased (UMAU)

upper bound for .

END OF PAPER

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