STAT 409

Fall 2016
A. Stepanov

Homework #6
( due Friday, October 14, by 4:00 p.m. )

Please include your name ( with your last name underlined ), your NetID,
and your discussion section number at the top of the first page.

No credit will be given without supporting work.

Let > 0 and let X 1 , X 2 , , X n be a random sample from the distribution

1 2.

with probability density function

f(x; ) =

,
( 1 + x ) +1

x > 0,

zero otherwise.

W = ln ( 1 + X ) has an Exponential distribution with mean

Recall:

n 1
n

is an unbiased estimator of .

ln ( 1 + X i )
i =1

1.

a)

Suggest a confidence interval for with ( 1 ) 100 % confidence level based

n

on

ln (1 + X i ).
i =1

b)

Suppose n = 4, and

x 1 = 0.2, x 2 = 0.4, x 3 = 0.7, x 4 = 1.3.

Use part (a) to construct a 95% confidence interval for .

2.

c)

Find the Fisher information I ( ).

d)

Is an efficient estimator of ?

If is not an efficient estimator of ,

find its efficiency.

Hint:

Recall Homework 2 problems 1 & 2.

3 4.

Let X 1 , X 2 , , X n be a random sample from the distribution with probability

density function

f(x; ) =

4n 1
n
Xi
i =1

a)

12

xe

X has Gamma ( = 4, =

W=

3.

> 0.

x > 0,

) distribution.

is an unbiased estimator of .

Suggest a confidence interval for with ( 1 ) 100 % confidence level based

n

on

i =1

b)

Xi .

Suppose n = 5, and x 1 = 0.01, x 2 = 0.09, x 3 = 0.36, x 4 = 0.49, x 5 = 2.25.

Use part (a) to construct a 95% confidence interval for .

4.

c)

Find the Fisher information I ( ).

d)

Is an efficient estimator of ?

If is not an efficient estimator of ,

find its efficiency.

5.

Let X 1 , X 2 , , X n be a random sample from the distribution with probability

density function

f (x; ) =
Recall:

E( X ) =

( 2 + )

x 1 ( 1 x ) ,

Show that is asymptotically normally distributed ( as n ).

Find the parameters.

; the method of moments estimator of is =

+2

> 0.

0 < x < 1,

2X
1 X

Let X 1 , X 2 , , X n be a random sample of size n from a shifted

Exponential ( 1 ) distribution with probability density function

6 7.

f ( x ; ) = e ( x ) ,

6.

7.

R.

a)

Let Y 1 = min X i . Find b such that P ( < Y 1 < + b ) = 1 .

b)

Use part (a) to suggest a ( 1 ) 100 % confidence interval for .

c)

n
Find the distribution of 2 X i = 2 n X .
i =1

d)

Use part (c) to suggest a ( 1 ) 100 % confidence interval for .

8 9.

8.

x > ,

Let X 1 , X 2 , , X n be a random sample of size

distribution.
a)

from a N ( , 2 )

Determine the Fisher information I ( 2 ).

That is, consider N ( , ) distribution. Determine the Fisher information I ( ).

b)

Suppose that is unknown. We know that the sample variance S 2 is an unbiased

estimator of 2. Is S 2 an efficient estimator of 2? If not, find its efficiency.

( n 1 ) S 2 = ( X i X )

Recall that

Hint 2:

Recall that E ( ( r ) ) = r, Var ( ( r ) ) = 2 r.

has a

2(n 1)

Hint 1:

distribution.

9.

Suppose that is known.

c)

Find the maximum likelihood estimator for 2.

d)

Is the maximum likelihood estimator for 2 unbiased? Justify your answer.

e)

Is the maximum likelihood estimator for 2 efficient? If not, find its efficiency.
Hint 3:

Recall that

(X i ) 2

has a

2(n)

distribution.