Solutions for probability

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Solutions for probability

© All Rights Reserved

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(p.463: 9.40)

Let Y1, Y2, ..., Yn denote a random sample from a Poisson distribution with parameter θ.

2

Show that i 1Yi is sufficient for θ.

n

Solution:

n

n n

(p.463: 9.50)

Let Y1, Y2, ..., Yn denote a random sample from the uniform distribution over the interval (θ1,

θ2). Show that Y(1) = min(Y1, Y2, ..., Yn) and Y(n) = max(Y1, Y2, ..., Yn) are jointly sufficient for

θ1 and θ2.

Solution:

f ( y | 1 , 2 ) 2 11 I1 , 2 ( y ).

L(1 , 2 ) 1

( 2 1 ) n

in1 I1 , 2 ( y ) 1

( 2 1 ) n

I1 , 2 ( y(1) ) I1 , 2 ( y( n ) ) .

So, Theorem 9.4 is satisfied with g(y(1), y(2), θ1, θ2) = L(θ1, θ2) and h(y) = 1.

(p.475: 9.69)

Let Y1, Y2, ..., Yn denote a random sample from the probability density function

( 1) y , 0 y 1; 1,

f (y | )

0, elsewhere.

Find an estimator for θ by the method of moments. Show that the estimator is consistent. Is

the estimator a function of the sufficient statistic i 1 ln(Yi ) that we can obtain from the

n

Solution:

1

E (Y ) ( 1) y 1dy 12 y 2 |10 12 .

0

Thus,

2 1

1 .

And the MOM estimator is

ˆ 2Y 1

1Y

.

By LLN, Y is a consistent estimator of μ. By continuous mapping theorem, ˆ 2Y 1

1Y

is a

consistent estimator of θ. However, the estimator is nor a function of the sufficient statistic so it

can’t be the MVUE.

(p.475: 9.74)

Let Y1, Y2, ..., Yn denote a random sample from the probability density function

22 ( y ), 0 y ,

f ( y | )

0, elsewhere.

(a) Find an estimator for θ by using the MOM.

(b) Is the estimator a sufficient statistic for θ?

Solution:

(a)

First, calculate 1 ' E (Y ) 2 y ( y ) / 2 dy / 3 . Thus, the MOM estimator of θ is

0

ˆ 3Y .

(b)

The likelihood is L( ) 2 2 n in1 ( yi ) . Clearly, the likelihood can’t be factored into a

n

function that only depends on Y , so the MOM is not a sufficient statistic for θ.

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